Add immediate depth protection logic to MakerPointsEngine

- Introduced a new private property `forceTickRequested` to manage immediate tick requests.
- Implemented `shouldTriggerImmediateDepthProtection` method to trigger a tick when depth falls below the configured threshold.
- Updated the tick processing logic to accommodate immediate depth protection.
- Added unit tests to validate the immediate tick triggering behavior based on depth changes.
This commit is contained in:
discountry
2026-02-07 23:10:56 +08:00
parent 6f85e609f8
commit b8942c18e6
2 changed files with 142 additions and 1 deletions
+45 -1
View File
@@ -128,6 +128,7 @@ export class MakerPointsEngine {
private processing = false;
private stopLossProcessing = false;
private stopLossCooldownUntil = 0;
private forceTickRequested = false;
private desiredOrders: DesiredOrder[] = [];
private accountUnrealized = 0;
private initialOrderSnapshotReady = false;
@@ -341,6 +342,10 @@ export class MakerPointsEngine {
this.lastStandxDepthTime = Date.now();
this.feedStatus.depth = true;
this.emitUpdate();
if (this.shouldTriggerImmediateDepthProtection(depth)) {
this.forceTickRequested = true;
void this.tick();
}
},
log,
{
@@ -568,7 +573,9 @@ export class MakerPointsEngine {
this.processing = true;
let hadRateLimit = false;
try {
const decision = this.rateLimit.beforeCycle();
const forceRun = this.forceTickRequested;
this.forceTickRequested = false;
const decision = forceRun ? "run" : this.rateLimit.beforeCycle();
if (decision === "paused") {
this.emitUpdate();
return;
@@ -864,6 +871,43 @@ export class MakerPointsEngine {
return changed;
}
/**
* 当深度从“满足阈值”切换到“不满足阈值”时,立即触发一次主循环,优先撤销不再安全的挂单。
*/
private shouldTriggerImmediateDepthProtection(depth: AsterDepth | null): boolean {
if (!depth) return false;
if (this.defenseMode || this.reconnectResetPending || this.stopLossProcessing) return false;
const minDepth = this.config.filterMinDepth;
if (minDepth <= 0) return false;
const { topBid, topAsk } = getTopPrices(depth);
if (topBid == null || topAsk == null) return false;
const targets = buildBpsTargets({
band0To10: this.config.enableBand0To10,
band10To30: this.config.enableBand10To30,
band30To100: this.config.enableBand30To100,
});
for (const bps of targets) {
const lastStatus = this.lastDepthOkStatus[bps];
if (!lastStatus) continue;
const buyPrice = topBid * (1 - bps / 10000);
const sellPrice = topAsk * (1 + bps / 10000);
const buyDepthQty = getDepthBetweenPrices(depth, "BUY", buyPrice);
const sellDepthQty = getDepthBetweenPrices(depth, "SELL", sellPrice);
const currentBuyOk = buyDepthQty >= minDepth;
const currentSellOk = sellDepthQty >= minDepth;
if (lastStatus.buy && !currentBuyOk) return true;
if (lastStatus.sell && !currentSellOk) return true;
}
return false;
}
private buildCloseOnlyOrders(
position: PositionSnapshot,
bid1: number,