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feat: 更新网格引擎，优化订单处理逻辑，添加计划订单计数与唯一性检查以提升订单管理效率

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discountry
2025-10-08 02:34:37 +08:00
parent 4365d73562
commit 95426e222b
1 changed files with 24 additions and 8 deletions
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src/strategy/grid-engine.ts
+22 -6
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@@ -593,6 +593,8 @@ export class GridEngine {
// Desired open orders according to locked sides // Desired open orders according to locked sides
const desired: DesiredGridOrder[] = []; const desired: DesiredGridOrder[] = [];
const desiredKeySet = new Set<string>();
const plannedKeyCounts = new Map<string, number>(activeKeyCounts);
const halfTick = this.config.priceTick / 2; const halfTick = this.config.priceTick / 2;
const activeKeySet = new Set( const activeKeySet = new Set(
activeOrders.map((o) => this.getOrderKey(o.side, this.normalizePrice(o.price))) activeOrders.map((o) => this.getOrderKey(o.side, this.normalizePrice(o.price)))
@@ -603,9 +605,11 @@ export class GridEngine {
if (this.immediateCloseToPlace.length) { if (this.immediateCloseToPlace.length) {
for (const item of this.immediateCloseToPlace) { for (const item of this.immediateCloseToPlace) {
const key = this.getOrderKey(item.side, item.price); const key = this.getOrderKey(item.side, item.price);
const count = activeKeyCounts.get(key) ?? 0; const count = plannedKeyCounts.get(key) ?? 0;
if (count < 1) { if (count < 1 && !desiredKeySet.has(key)) {
desired.push({ level: item.targetLevel, side: item.side, price: item.price, amount: this.config.orderSize }); desired.push({ level: item.targetLevel, side: item.side, price: item.price, amount: this.config.orderSize });
desiredKeySet.add(key);
plannedKeyCounts.set(key, count + 1);
} }
if (!this.closeKeyBySourceLevel.has(item.sourceLevel)) { if (!this.closeKeyBySourceLevel.has(item.sourceLevel)) {
this.closeKeyBySourceLevel.set(item.sourceLevel, key); this.closeKeyBySourceLevel.set(item.sourceLevel, key);
@@ -623,8 +627,12 @@ export class GridEngine {
if (this.pendingLongLevels.has(level)) continue; // wait until close filled if (this.pendingLongLevels.has(level)) continue; // wait until close filled
const key = this.getOrderKey("BUY", this.formatPrice(levelPrice)); const key = this.getOrderKey("BUY", this.formatPrice(levelPrice));
const targetMax = this.isCloseDesiredForSideAtLevel("BUY", level) ? 2 : 1; const targetMax = this.isCloseDesiredForSideAtLevel("BUY", level) ? 2 : 1;
if ((activeKeyCounts.get(key) ?? 0) >= targetMax) continue; if ((plannedKeyCounts.get(key) ?? 0) >= targetMax) continue;
if (!desiredKeySet.has(key)) {
desired.push({ level, side: "BUY", price: this.formatPrice(levelPrice), amount: this.config.orderSize }); desired.push({ level, side: "BUY", price: this.formatPrice(levelPrice), amount: this.config.orderSize });
desiredKeySet.add(key);
plannedKeyCounts.set(key, (plannedKeyCounts.get(key) ?? 0) + 1);
}
} }
// opens above price (SELL) // opens above price (SELL)
@@ -635,8 +643,12 @@ export class GridEngine {
if (this.pendingShortLevels.has(level)) continue; if (this.pendingShortLevels.has(level)) continue;
const key = this.getOrderKey("SELL", this.formatPrice(levelPrice)); const key = this.getOrderKey("SELL", this.formatPrice(levelPrice));
const targetMax = this.isCloseDesiredForSideAtLevel("SELL", level) ? 2 : 1; const targetMax = this.isCloseDesiredForSideAtLevel("SELL", level) ? 2 : 1;
if ((activeKeyCounts.get(key) ?? 0) >= targetMax) continue; if ((plannedKeyCounts.get(key) ?? 0) >= targetMax) continue;
if (!desiredKeySet.has(key)) {
desired.push({ level, side: "SELL", price: this.formatPrice(levelPrice), amount: this.config.orderSize }); desired.push({ level, side: "SELL", price: this.formatPrice(levelPrice), amount: this.config.orderSize });
desiredKeySet.add(key);
plannedKeyCounts.set(key, (plannedKeyCounts.get(key) ?? 0) + 1);
}
} }
// close orders for pending levels (now non-reduce-only) // close orders for pending levels (now non-reduce-only)
@@ -645,8 +657,10 @@ export class GridEngine {
if (target == null) continue; if (target == null) continue;
const priceStr = this.formatPrice(this.gridLevels[target]!); const priceStr = this.formatPrice(this.gridLevels[target]!);
const closeKey = this.getOrderKey("SELL", priceStr); const closeKey = this.getOrderKey("SELL", priceStr);
if ((activeKeyCounts.get(closeKey) ?? 0) < 1) { if ((plannedKeyCounts.get(closeKey) ?? 0) < 1 && !desiredKeySet.has(closeKey)) {
desired.push({ level: target, side: "SELL", price: priceStr, amount: this.config.orderSize }); desired.push({ level: target, side: "SELL", price: priceStr, amount: this.config.orderSize });
desiredKeySet.add(closeKey);
plannedKeyCounts.set(closeKey, (plannedKeyCounts.get(closeKey) ?? 0) + 1);
} }
if (!this.closeKeyBySourceLevel.has(source)) { if (!this.closeKeyBySourceLevel.has(source)) {
this.closeKeyBySourceLevel.set(source, closeKey); this.closeKeyBySourceLevel.set(source, closeKey);
@@ -657,8 +671,10 @@ export class GridEngine {
if (target == null) continue; if (target == null) continue;
const priceStr = this.formatPrice(this.gridLevels[target]!); const priceStr = this.formatPrice(this.gridLevels[target]!);
const closeKey = this.getOrderKey("BUY", priceStr); const closeKey = this.getOrderKey("BUY", priceStr);
if ((activeKeyCounts.get(closeKey) ?? 0) < 1) { if ((plannedKeyCounts.get(closeKey) ?? 0) < 1 && !desiredKeySet.has(closeKey)) {
desired.push({ level: target, side: "BUY", price: priceStr, amount: this.config.orderSize }); desired.push({ level: target, side: "BUY", price: priceStr, amount: this.config.orderSize });
desiredKeySet.add(closeKey);
plannedKeyCounts.set(closeKey, (plannedKeyCounts.get(closeKey) ?? 0) + 1);
} }
if (!this.closeKeyBySourceLevel.has(source)) { if (!this.closeKeyBySourceLevel.has(source)) {
this.closeKeyBySourceLevel.set(source, closeKey); this.closeKeyBySourceLevel.set(source, closeKey);