feat: 增强网格引擎逻辑,添加持仓水平管理和订单书更新功能,优化订单取消和曝光对齐处理

This commit is contained in:
discountry
2025-10-07 02:15:23 +08:00
parent 5e65c7025d
commit b6a6515677
2 changed files with 135 additions and 3 deletions
+25
View File
@@ -194,6 +194,31 @@ describe("GridEngine", () => {
engine.stop();
});
it("does not repopulate the same buy level until exposure is released", () => {
const adapter = new StubAdapter();
const engine = new GridEngine(baseConfig, adapter, { now: () => 0 });
adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, 0));
adapter.emitOrders([]);
const desiredInitial = (engine as any).computeDesiredOrders(150) as Array<{ level: number; side: string }>;
const nearestBuy = desiredInitial.find((order) => order.side === "BUY");
expect(nearestBuy).toBeTruthy();
const targetLevel = nearestBuy!.level;
(engine as any).levelExposure.set(targetLevel, baseConfig.orderSize);
adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, baseConfig.orderSize));
const desiredAfterFill = (engine as any).computeDesiredOrders(150) as Array<{ level: number; side: string }>;
expect(desiredAfterFill.some((order) => order.level === targetLevel && order.side === "BUY")).toBe(false);
adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, 0));
const desiredAfterExit = (engine as any).computeDesiredOrders(150) as Array<{ level: number; side: string }>;
expect(desiredAfterExit.some((order) => order.level === targetLevel && order.side === "BUY")).toBe(true);
engine.stop();
});
it("halts the grid and closes positions when stop loss triggers", async () => {
const adapter = new StubAdapter();
const engine = new GridEngine(baseConfig, adapter, { now: () => 0 });