feat(grid): add grid shift, exchange stops, and reconcile safeguards

2026-09-09 08:18:07 +00:00 · 2026-07-21 15:14:26 +08:00
parent 7efd64ef29
commit ab47c82ebc
16 changed files with 4043 additions and 1859 deletions
@@ -0,0 +1,145 @@
+import { afterEach, beforeEach, describe, expect, it } from "vitest";
+import { promises as fs } from "fs";
+import os from "os";
+import path from "path";
+import {
+  loadGridState,
+  saveGridState,
+  clearGridState,
+  migrateV1ToV2,
+  type StoredGridStateV2,
+} from "../src/strategy/common/grid-storage";
+
+let tmpDir: string;
+let prevDataDir: string | undefined;
+
+beforeEach(async () => {
+  tmpDir = await fs.mkdtemp(path.join(os.tmpdir(), "grid-storage-test-"));
+  prevDataDir = process.env.GRID_DATA_DIR;
+  process.env.GRID_DATA_DIR = tmpDir;
+});
+
+afterEach(async () => {
+  if (prevDataDir == null) delete process.env.GRID_DATA_DIR;
+  else process.env.GRID_DATA_DIR = prevDataDir;
+  await fs.rm(tmpDir, { recursive: true, force: true });
+});
+
+function makeV2(symbol: string): StoredGridStateV2 {
+  return {
+    schemaVersion: 2,
+    symbol,
+    exchangeId: "aster",
+    gridVersion: 3,
+    anchorPrice: 150,
+    lowerPrice: 100,
+    upperPrice: 200,
+    gridLevels: 5,
+    orderSize: 0.1,
+    maxPositionSize: 0.4,
+    direction: "neutral",
+    gridMode: "geometric",
+    levels: {
+      "1": { phase: "holding", exitTarget: 2, holdQty: 0.1 },
+      "3": { phase: "exit_placed", exitTarget: 2, holdQty: 0.1, exitOrderId: "o-9" },
+    },
+    intents: [
+      {
+        orderId: "o-9",
+        clientOrderId: "grid-3-X-3-2-abc",
+        intent: "EXIT",
+        side: "BUY",
+        price: "141.4",
+        qty: 0.1,
+        level: 3,
+        target: 2,
+        gridVersion: 3,
+        createdAt: 1000,
+      },
+    ],
+    inflight: null,
+    shift: { phase: "closing", targetAnchor: 210, startedAt: 2000 },
+    exchangeStop: { orderId: "stop-1", side: "SELL", stopPrice: 99 },
+    updatedAt: 3000,
+  };
+}
+
+describe("grid-storage v2", () => {
+  it("round-trips a v2 snapshot", async () => {
+    const snapshot = makeV2("BTCUSDT");
+    await saveGridState(snapshot);
+    const loaded = await loadGridState("BTCUSDT");
+    expect(loaded).toEqual(snapshot);
+  });
+
+  it("returns null for unknown symbols", async () => {
+    expect(await loadGridState("NONE")).toBeNull();
+  });
+
+  it("keeps entries for other symbols on clear", async () => {
+    await saveGridState(makeV2("BTCUSDT"));
+    await saveGridState(makeV2("ETHUSDT"));
+    await clearGridState("BTCUSDT");
+    expect(await loadGridState("BTCUSDT")).toBeNull();
+    expect(await loadGridState("ETHUSDT")).not.toBeNull();
+  });
+
+  it("removes the file when the last symbol is cleared", async () => {
+    await saveGridState(makeV2("BTCUSDT"));
+    await clearGridState("BTCUSDT");
+    await expect(fs.stat(path.join(tmpDir, "grid-record.json"))).rejects.toMatchObject({
+      code: "ENOENT",
+    });
+  });
+});
+
+describe("grid-storage v1 migration", () => {
+  const v1Entry = {
+    symbol: "BTCUSDT",
+    lowerPrice: 100,
+    upperPrice: 200,
+    gridLevels: 5,
+    orderSize: 0.1,
+    maxPositionSize: 0.4,
+    direction: "both",
+    levels: {
+      "0": { state: "filled", sourceLevel: 0, targetLevel: 1 },
+      "1": { state: "exit_placed", sourceLevel: 1, targetLevel: 2, exitOrderId: "legacy-1" },
+      "2": { state: "idle", sourceLevel: 2, targetLevel: null },
+    },
+    updatedAt: 1234,
+  };
+
+  it("loads v1 entries as migrated v2", async () => {
+    await fs.writeFile(
+      path.join(tmpDir, "grid-record.json"),
+      JSON.stringify({ BTCUSDT: v1Entry }),
+      "utf8"
+    );
+    const loaded = await loadGridState("BTCUSDT");
+    expect(loaded).not.toBeNull();
+    expect(loaded!.schemaVersion).toBe(2);
+    expect(loaded!.gridVersion).toBe(1);
+    expect(loaded!.anchorPrice).toBeNull();
+    expect(loaded!.levels["0"]).toEqual({ phase: "holding", exitTarget: 1, holdQty: 0.1 });
+    expect(loaded!.levels["1"]).toEqual({
+      phase: "exit_placed",
+      exitTarget: 2,
+      holdQty: 0.1,
+      exitOrderId: "legacy-1",
+    });
+    expect(loaded!.levels["2"]).toBeUndefined();
+    expect(loaded!.intents).toEqual([]);
+  });
+
+  it("migrateV1ToV2 preserves config fingerprint fields", () => {
+    const migrated = migrateV1ToV2(v1Entry as any);
+    expect(migrated.symbol).toBe("BTCUSDT");
+    expect(migrated.direction).toBe("both");
+    expect(migrated.orderSize).toBe(0.1);
+    expect(migrated.gridLevels).toBe(5);
+    expect(migrated.gridMode).toBe("geometric");
+    expect(migrated.lowerPrice).toBe(100);
+    expect(migrated.upperPrice).toBe(200);
+  });
+});