feat: 更新网格引擎,添加时间戳以跟踪等待订单状态,优化新订单下单逻辑以避免重复下单

This commit is contained in:
discountry
2025-10-08 04:56:04 +08:00
parent 51e0ce2bea
commit da3dacb549
+20 -4
View File
@@ -141,7 +141,7 @@ export class GridEngine {
private stopReason: string | null = null; private stopReason: string | null = null;
private lastUpdated: number | null = null; private lastUpdated: number | null = null;
private accountVersion = 0; private accountVersion = 0;
private awaitingByLevel = new Map<number, { accountVerAtStart: number; absAtStart: number }>(); private awaitingByLevel = new Map<number, { accountVerAtStart: number; absAtStart: number; ts: number }>();
constructor(private readonly config: GridConfig, private readonly exchange: ExchangeAdapter, options: EngineOptions = {}) { constructor(private readonly config: GridConfig, private readonly exchange: ExchangeAdapter, options: EngineOptions = {}) {
this.tradeLog = createTradeLog(this.config.maxLogEntries); this.tradeLog = createTradeLog(this.config.maxLogEntries);
@@ -619,7 +619,7 @@ export class GridEngine {
const level = meta.intent === "EXIT" const level = meta.intent === "EXIT"
? (meta.sourceLevel ?? this.findSourceForCloseTarget(meta.level, meta.side)) ? (meta.sourceLevel ?? this.findSourceForCloseTarget(meta.level, meta.side))
: meta.level; : meta.level;
this.awaitingByLevel.set(level, { accountVerAtStart: this.accountVersion, absAtStart: this.lastAbsPositionAmt }); this.awaitingByLevel.set(level, { accountVerAtStart: this.accountVersion, absAtStart: this.lastAbsPositionAmt, ts: this.now() });
// skip side effects for this disappeared id in this tick // skip side effects for this disappeared id in this tick
this.orderIntentById.delete(id); this.orderIntentById.delete(id);
continue; continue;
@@ -669,6 +669,11 @@ export class GridEngine {
// Resolve deferred unknown classifications after a new account snapshot // Resolve deferred unknown classifications after a new account snapshot
if (this.awaitingByLevel.size) { if (this.awaitingByLevel.size) {
for (const [level, info] of Array.from(this.awaitingByLevel.entries())) { for (const [level, info] of Array.from(this.awaitingByLevel.entries())) {
// timeout fallback: if no account delta for long time, treat as canceled/no-op
if (this.now() - info.ts > 8000) {
this.awaitingByLevel.delete(level);
continue;
}
if (this.accountVersion <= info.accountVerAtStart) continue; if (this.accountVersion <= info.accountVerAtStart) continue;
const absNow = Math.abs(this.position.positionAmt); const absNow = Math.abs(this.position.positionAmt);
if (absNow > info.absAtStart + EPSILON) { if (absNow > info.absAtStart + EPSILON) {
@@ -835,9 +840,17 @@ export class GridEngine {
} }
} }
// Place desired orders // Place desired orders (rate-limited per tick to avoid dedupe race)
this.desiredOrders = desired; this.desiredOrders = desired;
let newOrdersPlaced = 0;
const MAX_NEW_ORDERS_PER_TICK = 1;
for (const d of desired) { for (const d of desired) {
if (newOrdersPlaced >= MAX_NEW_ORDERS_PER_TICK) break;
// If a LIMIT operation is already pending (coordinator lock), skip issuing more this tick
if (this.pendings["LIMIT"]) {
this.log("info", "存在未完成的 LIMIT 操作,本轮不再下新单");
break;
}
const isClose = d.intent === "EXIT" || (d.side === "SELL" && this.isTargetOfPendingLong(d.level)) || (d.side === "BUY" && this.isTargetOfPendingShort(d.level)); const isClose = d.intent === "EXIT" || (d.side === "SELL" && this.isTargetOfPendingLong(d.level)) || (d.side === "BUY" && this.isTargetOfPendingShort(d.level));
const intent: "ENTRY" | "EXIT" = isClose ? "EXIT" : "ENTRY"; const intent: "ENTRY" | "EXIT" = isClose ? "EXIT" : "ENTRY";
// Cap quantities: EXIT by remaining position; ENTRY by maxPositionSize guard // Cap quantities: EXIT by remaining position; ENTRY by maxPositionSize guard
@@ -859,7 +872,9 @@ export class GridEngine {
d.amount = capped; d.amount = capped;
} }
const key = this.getOrderKey(d.side, d.price, intent); const key = this.getOrderKey(d.side, d.price, intent);
if ((activeKeyCounts.get(key) ?? 0) >= 1) { // Strong local dedupe: skip if any active LIMIT exists with same side+price
const hasSameSidePrice = this.openOrders.some(o => this.isActiveLimitOrder(o) && o.side === d.side && this.normalizePrice(o.price) === d.price);
if (hasSameSidePrice || (activeKeyCounts.get(key) ?? 0) >= 1) {
this.log("info", `已存在挂单,跳过 ${intent} ${d.side} @ ${d.price}`); this.log("info", `已存在挂单,跳过 ${intent} ${d.side} @ ${d.price}`);
continue; continue;
} }
@@ -880,6 +895,7 @@ export class GridEngine {
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep } { priceTick: this.config.priceTick, qtyStep: this.config.qtyStep }
); );
if (placed) { if (placed) {
newOrdersPlaced += 1;
plannedKeyCounts.set(key, (plannedKeyCounts.get(key) ?? 0) + 1); plannedKeyCounts.set(key, (plannedKeyCounts.get(key) ?? 0) + 1);
activeKeyCounts.set(key, (activeKeyCounts.get(key) ?? 0) + 1); activeKeyCounts.set(key, (activeKeyCounts.get(key) ?? 0) + 1);
// ensure suppression window persists after success // ensure suppression window persists after success