feat: 更新订单处理逻辑,将价格类型改为字符串以避免精度问题,并添加价格格式化函数

This commit is contained in:
discountry
2025-10-03 07:15:21 +08:00
parent 65aaf26879
commit d5c4b04746
7 changed files with 68 additions and 39 deletions
+18 -11
View File
@@ -7,7 +7,7 @@ import type {
AsterOrder,
AsterTicker,
} from "../exchanges/types";
import { roundDownToTick } from "../utils/math";
import { formatPriceToString } from "../utils/math";
import { createTradeLog, type TradeLogEntry } from "../logging/trade-log";
import { isUnknownOrderError, isRateLimitError } from "../utils/errors";
import { getPosition } from "../utils/strategy";
@@ -30,7 +30,7 @@ import { SessionVolumeTracker } from "./common/session-volume";
interface DesiredOrder {
side: "BUY" | "SELL";
price: number;
price: string; // 改为字符串价格
amount: number;
reduceOnly: boolean;
}
@@ -244,10 +244,12 @@ export class MakerEngine {
return;
}
const closeBidPrice = roundDownToTick(topBid, this.config.priceTick);
const closeAskPrice = roundDownToTick(topAsk, this.config.priceTick);
const bidPrice = roundDownToTick(topBid - this.config.bidOffset, this.config.priceTick);
const askPrice = roundDownToTick(topAsk + this.config.askOffset, this.config.priceTick);
// 直接使用orderbook价格,格式化为字符串避免精度问题
const priceDecimals = Math.max(0, Math.floor(Math.log10(1 / this.config.priceTick)));
const closeBidPrice = formatPriceToString(topBid, priceDecimals);
const closeAskPrice = formatPriceToString(topAsk, priceDecimals);
const bidPrice = formatPriceToString(topBid - this.config.bidOffset, priceDecimals);
const askPrice = formatPriceToString(topAsk + this.config.askOffset, priceDecimals);
const position = getPosition(this.accountSnapshot, this.config.symbol);
const absPosition = Math.abs(position.positionAmt);
const desired: DesiredOrder[] = [];
@@ -268,7 +270,7 @@ export class MakerEngine {
this.desiredOrders = desired;
this.sessionVolume.update(position, this.getReferencePrice());
await this.syncOrders(desired);
await this.checkRisk(position, closeBidPrice, closeAskPrice);
await this.checkRisk(position, Number(closeBidPrice), Number(closeAskPrice));
this.emitUpdate();
} catch (error) {
if (isRateLimitError(error)) {
@@ -291,9 +293,10 @@ export class MakerEngine {
if (Math.abs(position.positionAmt) < EPS) return;
const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
if (topBid == null || topAsk == null) return;
const closeBidPrice = roundDownToTick(topBid, this.config.priceTick);
const closeAskPrice = roundDownToTick(topAsk, this.config.priceTick);
await this.checkRisk(position, closeBidPrice, closeAskPrice);
const priceDecimals = Math.max(0, Math.floor(Math.log10(1 / this.config.priceTick)));
const closeBidPrice = formatPriceToString(topBid, priceDecimals);
const closeAskPrice = formatPriceToString(topAsk, priceDecimals);
await this.checkRisk(position, Number(closeBidPrice), Number(closeAskPrice));
await this.flushOrders();
}
@@ -368,13 +371,17 @@ export class MakerEngine {
this.timers,
this.pending,
target.side,
target.price,
target.price, // 已经是字符串价格
target.amount,
(type, detail) => this.tradeLog.push(type, detail),
target.reduceOnly,
{
markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
maxPct: this.config.maxCloseSlippagePct,
},
{
priceTick: this.config.priceTick,
qtyStep: 0.001, // 默认数量步长
}
);
} catch (error) {