From 9bad7f180e1f7068717613d098efa74e98bb969f Mon Sep 17 00:00:00 2001 From: discountry Date: Tue, 7 Oct 2025 04:09:06 +0800 Subject: [PATCH] =?UTF-8?q?feat:=20=E6=9B=B4=E6=96=B0=E7=BD=91=E6=A0=BC?= =?UTF-8?q?=E5=BC=95=E6=93=8E=EF=BC=8C=E6=B7=BB=E5=8A=A0=E6=96=B0=E9=80=BB?= =?UTF-8?q?=E8=BE=91=E4=BB=A5=E5=A4=84=E7=90=86=E6=97=A0=E6=8C=81=E4=BB=93?= =?UTF-8?q?=E5=92=8C=E6=97=A0=E6=8C=82=E5=8D=95=E7=8A=B6=E6=80=81=EF=BC=8C?= =?UTF-8?q?=E4=BC=98=E5=8C=96=E7=BD=91=E6=A0=BC=E7=8A=B6=E6=80=81=E6=B8=85?= =?UTF-8?q?=E7=90=86=E5=92=8C=E5=88=9D=E5=A7=8B=E4=BE=A7=E5=88=86=E9=85=8D?= =?UTF-8?q?=E5=8A=9F=E8=83=BD?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- src/strategy/common/grid-storage.ts | 21 ++++ src/strategy/grid-engine.ts | 186 +++++++++++++++++++++++----- 2 files changed, 178 insertions(+), 29 deletions(-) diff --git a/src/strategy/common/grid-storage.ts b/src/strategy/common/grid-storage.ts index 8f9240c..023bb87 100644 --- a/src/strategy/common/grid-storage.ts +++ b/src/strategy/common/grid-storage.ts @@ -56,3 +56,24 @@ export async function saveGridState(snapshot: StoredGridState): Promise { map[snapshot.symbol] = snapshot; await fs.writeFile(GRID_FILE, JSON.stringify(map, null, 2), "utf8"); } + +export async function clearGridState(symbol: string): Promise { + const map = await readStateFile(); + if (!Object.prototype.hasOwnProperty.call(map, symbol)) { + return; + } + delete map[symbol]; + const entries = Object.keys(map); + if (!entries.length) { + try { + await fs.unlink(GRID_FILE); + } catch (error: any) { + if (!error || (error.code !== "ENOENT" && error.code !== "ENOTDIR")) { + throw error; + } + } + return; + } + await ensureDataDir(); + await fs.writeFile(GRID_FILE, JSON.stringify(map, null, 2), "utf8"); +} diff --git a/src/strategy/grid-engine.ts b/src/strategy/grid-engine.ts index dba1a62..260f5c0 100644 --- a/src/strategy/grid-engine.ts +++ b/src/strategy/grid-engine.ts @@ -17,7 +17,7 @@ import { import { safeCancelOrder } from "../core/lib/orders"; import { StrategyEventEmitter } from "./common/event-emitter"; import { safeSubscribe, type LogHandler } from "./common/subscriptions"; -import { loadGridState, saveGridState, type StoredGridState } from "./common/grid-storage"; +import { clearGridState, loadGridState, saveGridState, type StoredGridState } from "./common/grid-storage"; interface DesiredGridOrder { level: number; @@ -128,6 +128,9 @@ export class GridEngine { private running: boolean; private stopReason: string | null = null; private lastUpdated: number | null = null; + private freshStartActive = false; + private pendingInitialSideAssignment = false; + private positionAlignHoldUntil = 0; constructor(private readonly config: GridConfig, private readonly exchange: ExchangeAdapter, options: EngineOptions = {}) { this.tradeLog = createTradeLog(this.config.maxLogEntries); @@ -209,6 +212,7 @@ export class GridEngine { log("info", "账户快照已同步"); } this.feedStatus.account = true; + this.evaluateFreshStart(); this.emitUpdate(); }, log, @@ -230,6 +234,7 @@ export class GridEngine { log("info", "订单快照已同步"); } this.feedStatus.orders = true; + this.evaluateFreshStart(); this.emitUpdate(); }, log, @@ -248,6 +253,7 @@ export class GridEngine { log("info", "盘口深度已同步"); } this.feedStatus.depth = true; + this.tryAssignInitialSidesFromPrice(); }, log, { @@ -265,6 +271,7 @@ export class GridEngine { log("info", "行情推送已同步"); } this.feedStatus.ticker = true; + this.tryAssignInitialSidesFromPrice(); this.emitUpdate(); }, log, @@ -291,6 +298,7 @@ export class GridEngine { if (this.processing) return; this.processing = true; try { + this.tryAssignInitialSidesFromPrice(); if (!this.running) { await this.tryRestart(); return; @@ -324,6 +332,92 @@ export class GridEngine { return getMidOrLast(this.depthSnapshot, this.tickerSnapshot); } + private evaluateFreshStart(): void { + if (!this.feedStatus.account || !this.feedStatus.orders) return; + const hasPosition = Math.abs(this.position.positionAmt) > EPSILON; + const hasOrders = this.hasActiveOrders(); + if (!hasPosition && !hasOrders) { + if (!this.freshStartActive) { + this.freshStartActive = true; + this.handleFreshStart(); + } + return; + } + this.freshStartActive = false; + this.pendingInitialSideAssignment = false; + } + + private handleFreshStart(): void { + this.log("info", "检测到无持仓且无挂单，重置本地网格状态"); + this.longExposure.clear(); + this.shortExposure.clear(); + this.lastOrderBook.clear(); + this.pendingCancelKeys.clear(); + this.desiredOrders = []; + this.positionAlignHoldUntil = 0; + if (this.statePersistTimer) { + clearTimeout(this.statePersistTimer); + this.statePersistTimer = null; + } + void this.clearPersistedGridState(); + const assigned = this.assignInitialSidesFromPrice(); + this.pendingInitialSideAssignment = !assigned; + if (!assigned) { + this.log("info", "等待行情价格以完成网格方向初始化"); + } + this.emitUpdate(); + } + + private assignInitialSidesFromPrice(): boolean { + const reference = this.getReferencePrice(); + if (!Number.isFinite(reference) || reference == null) { + return false; + } + const price = this.clampReferencePrice(Number(reference)); + this.buildLevelMeta(price); + return true; + } + + private tryAssignInitialSidesFromPrice(): void { + if (!this.pendingInitialSideAssignment) return; + if (!this.freshStartActive) return; + if (this.assignInitialSidesFromPrice()) { + this.pendingInitialSideAssignment = false; + this.emitUpdate(); + } + } + + private clampReferencePrice(price: number): number { + if (!this.gridLevels.length) return price; + const minLevel = this.gridLevels[0]!; + const maxLevel = this.gridLevels[this.gridLevels.length - 1]!; + return Math.min(Math.max(price, minLevel), maxLevel); + } + + private async clearPersistedGridState(): Promise { + try { + await clearGridState(this.config.symbol); + } catch (error) { + this.log("error", `清理本地网格状态失败: ${extractMessage(error)}`); + } + } + + private hasActiveOrders(): boolean { + return this.openOrders.some((order) => { + if (order.symbol !== this.config.symbol) return false; + if (order.type && order.type !== "LIMIT") return false; + const status = typeof order.status === "string" ? order.status.toUpperCase() : null; + if (!status) return true; + return !["FILLED", "CANCELED", "CANCELLED", "REJECTED", "EXPIRED"].includes(status); + }); + } + + private deferPositionAlignment(): void { + const buffer = Math.max(this.config.refreshIntervalMs * 2, 1000); + const deadline = this.now() + buffer; + this.positionAlignHoldUntil = Math.max(this.positionAlignHoldUntil, deadline); + } + private shouldStop(price: number): boolean { if (this.config.stopLossPct <= 0) return false; const lowerTrigger = this.config.lowerPrice * (1 - this.config.stopLossPct); @@ -839,14 +933,21 @@ export class GridEngine { return null; } - private buildLevelMeta(): void { + private buildLevelMeta(referencePrice?: number | null): void { this.levelMeta.length = 0; this.buyLevelIndices.length = 0; this.sellLevelIndices.length = 0; if (!this.gridLevels.length) return; const pivotIndex = Math.floor(Math.max(this.gridLevels.length - 1, 0) / 2); + const hasReference = Number.isFinite(referencePrice ?? NaN); + const pivotPrice = hasReference ? this.clampReferencePrice(Number(referencePrice)) : null; for (let i = 0; i < this.gridLevels.length; i += 1) { - const side: "BUY" | "SELL" = i <= pivotIndex ? "BUY" : "SELL"; + let side: "BUY" | "SELL"; + if (pivotPrice != null) { + side = this.gridLevels[i]! <= pivotPrice + EPSILON ? "BUY" : "SELL"; + } else { + side = i <= pivotIndex ? "BUY" : "SELL"; + } const meta: LevelMeta = { index: i, price: this.gridLevels[i]!, @@ -922,35 +1023,48 @@ export class GridEngine { private alignExposureWithPosition(): void { const actualLong = Math.max(this.position.positionAmt, 0); const trackedLong = this.sumExposure(this.longExposure); - if (Math.abs(trackedLong - actualLong) > EPSILON) { - this.longExposure.clear(); - let remaining = actualLong; - for (const level of [...this.buyLevelIndices].sort((a, b) => b - a)) { - if (remaining <= EPSILON) break; - const qty = Math.min(this.config.orderSize, remaining); - if (qty > EPSILON) { - this.longExposure.set(level, qty); - remaining -= qty; - } - } - this.schedulePersist(); - } - const actualShort = Math.max(-this.position.positionAmt, 0); const trackedShort = this.sumExposure(this.shortExposure); - if (Math.abs(trackedShort - actualShort) > EPSILON) { - this.shortExposure.clear(); - let remaining = actualShort; - for (const level of [...this.sellLevelIndices].sort((a, b) => a - b)) { - if (remaining <= EPSILON) break; - const qty = Math.min(this.config.orderSize, remaining); - if (qty > EPSILON) { - this.shortExposure.set(level, qty); - remaining -= qty; - } - } - this.schedulePersist(); + const tolerance = Math.max(this.config.qtyStep * 0.25, EPSILON); + const now = this.now(); + + const longDiff = actualLong - trackedLong; + if (longDiff > tolerance || (longDiff < -tolerance && now >= this.positionAlignHoldUntil)) { + this.resyncLongExposure(actualLong); } + + const shortDiff = actualShort - trackedShort; + if (shortDiff > tolerance || (shortDiff < -tolerance && now >= this.positionAlignHoldUntil)) { + this.resyncShortExposure(actualShort); + } + } + + private resyncLongExposure(total: number): void { + this.longExposure.clear(); + let remaining = total; + for (const level of [...this.buyLevelIndices].sort((a, b) => b - a)) { + if (remaining <= EPSILON) break; + const qty = Math.min(this.config.orderSize, remaining); + if (qty > EPSILON) { + this.longExposure.set(level, qty); + remaining -= qty; + } + } + this.schedulePersist(); + } + + private resyncShortExposure(total: number): void { + this.shortExposure.clear(); + let remaining = total; + for (const level of [...this.sellLevelIndices].sort((a, b) => a - b)) { + if (remaining <= EPSILON) break; + const qty = Math.min(this.config.orderSize, remaining); + if (qty > EPSILON) { + this.shortExposure.set(level, qty); + remaining -= qty; + } + } + this.schedulePersist(); } private incrementLongExposure(level: number, quantity: number): void { @@ -960,12 +1074,14 @@ export class GridEngine { if (next <= EPSILON) { if (this.longExposure.has(level)) { this.longExposure.delete(level); + this.deferPositionAlignment(); this.schedulePersist(); } return; } if (Math.abs(next - current) <= EPSILON) return; this.longExposure.set(level, next); + this.deferPositionAlignment(); this.schedulePersist(); } @@ -976,12 +1092,14 @@ export class GridEngine { if (next <= EPSILON) { if (this.shortExposure.has(level)) { this.shortExposure.delete(level); + this.deferPositionAlignment(); this.schedulePersist(); } return; } if (Math.abs(next - current) <= EPSILON) return; this.shortExposure.set(level, next); + this.deferPositionAlignment(); this.schedulePersist(); } @@ -989,6 +1107,7 @@ export class GridEngine { if (quantity <= EPSILON) return; const sources = this.levelMeta[closeLevel]?.closeSources ?? []; let remaining = quantity; + let consumedAny = false; for (const source of [...sources].sort((a, b) => b - a)) { if (remaining <= EPSILON) break; const current = this.longExposure.get(source) ?? 0; @@ -998,14 +1117,19 @@ export class GridEngine { if (next <= EPSILON) this.longExposure.delete(source); else this.longExposure.set(source, next); remaining -= consumed; + if (consumed > EPSILON) consumedAny = true; this.schedulePersist(); } + if (consumedAny) { + this.deferPositionAlignment(); + } } private consumeShortExposure(closeLevel: number, quantity: number): void { if (quantity <= EPSILON) return; const sources = this.levelMeta[closeLevel]?.closeSources ?? []; let remaining = quantity; + let consumedAny = false; for (const source of [...sources].sort((a, b) => a - b)) { if (remaining <= EPSILON) break; const current = this.shortExposure.get(source) ?? 0; @@ -1015,8 +1139,12 @@ export class GridEngine { if (next <= EPSILON) this.shortExposure.delete(source); else this.shortExposure.set(source, next); remaining -= consumed; + if (consumed > EPSILON) consumedAny = true; this.schedulePersist(); } + if (consumedAny) { + this.deferPositionAlignment(); + } } private sumExposure(storage: Map): number {