更新交易引擎，添加最大平仓滑点百分比配置以优化价格操控保护逻辑，确保在市价平仓时价格与标记价格的偏差在允许范围内。

src/config.ts

@@ -9,6 +9,7 @@ export interface TradingConfig {
   pollIntervalMs: number;
   maxLogEntries: number;
   klineInterval: string;
+  maxCloseSlippagePct: number;
 }
 
 function parseNumber(value: string | undefined, fallback: number): number {
@@ -28,6 +29,7 @@ export const tradingConfig: TradingConfig = {
   pollIntervalMs: parseNumber(process.env.POLL_INTERVAL_MS, 500),
   maxLogEntries: parseNumber(process.env.MAX_LOG_ENTRIES, 200),
   klineInterval: process.env.KLINE_INTERVAL ?? "1m",
+  maxCloseSlippagePct: parseNumber(process.env.MAX_CLOSE_SLIPPAGE_PCT, 0.05),
 };
 
 export interface MakerConfig {
@@ -39,6 +41,7 @@ export interface MakerConfig {
   askOffset: number;
   refreshIntervalMs: number;
   maxLogEntries: number;
+  maxCloseSlippagePct: number;
 }
 
 export const makerConfig: MakerConfig = {
@@ -50,4 +53,8 @@ export const makerConfig: MakerConfig = {
   askOffset: parseNumber(process.env.MAKER_ASK_OFFSET, 0),
   refreshIntervalMs: parseNumber(process.env.MAKER_REFRESH_INTERVAL_MS, 1500),
   maxLogEntries: parseNumber(process.env.MAKER_MAX_LOG_ENTRIES, 200),
+  maxCloseSlippagePct: parseNumber(
+    process.env.MAKER_MAX_CLOSE_SLIPPAGE_PCT ?? process.env.MAX_CLOSE_SLIPPAGE_PCT,
+    0.05
+  ),
 };

src/core/maker-engine.ts

@@ -309,7 +309,11 @@ export class MakerEngine {
           target.price,
           target.amount,
           (type, detail) => this.tradeLog.push(type, detail),
-          target.reduceOnly
+          target.reduceOnly,
+          {
+            markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
+            maxPct: this.config.maxCloseSlippagePct,
+          }
         );
       } catch (error) {
         this.tradeLog.push("error", `挂单失败(${target.side} ${target.price}): ${String(error)}`);
@@ -345,6 +349,9 @@ export class MakerEngine {
     );
 
     if (derivedLoss || snapshotLoss) {
+      // 价格操纵保护：只有平仓方向价格与标记价格在阈值内才允许市价平仓
+      const closeSideIsSell = position.positionAmt > 0;
+      const closeSidePrice = closeSideIsSell ? bidPrice : askPrice;
       this.tradeLog.push(
         "stop",
         `触发止损，方向=${position.positionAmt > 0 ? "多" : "空"} 当前亏损=${pnl.toFixed(4)} USDT`
@@ -360,7 +367,12 @@ export class MakerEngine {
           this.pending,
           position.positionAmt > 0 ? "SELL" : "BUY",
           absPosition,
-          (type, detail) => this.tradeLog.push(type, detail)
+          (type, detail) => this.tradeLog.push(type, detail),
+          {
+            markPrice: position.markPrice,
+            expectedPrice: Number(closeSidePrice) || null,
+            maxPct: this.config.maxCloseSlippagePct,
+          }
         );
       } catch (error) {
         if (isUnknownOrderError(error)) {

src/core/offset-maker-engine.ts

@@ -306,6 +306,9 @@ export class OffsetMakerEngine {
     if (!longExitRequired && !shortExitRequired) return false;
 
     const side: "BUY" | "SELL" = position.positionAmt > 0 ? "SELL" : "BUY";
+    const bid = Number(this.depthSnapshot?.bids?.[0]?.[0]);
+    const ask = Number(this.depthSnapshot?.asks?.[0]?.[0]);
+    const closeSidePrice = side === "SELL" ? bid : ask;
     this.tradeLog.push(
       "stop",
       `深度极端不平衡(${buySum.toFixed(4)} vs ${sellSum.toFixed(4)}), 市价平仓 ${side}`
@@ -321,7 +324,12 @@ export class OffsetMakerEngine {
         this.pending,
         side,
         absPosition,
-        (type, detail) => this.tradeLog.push(type, detail)
+        (type, detail) => this.tradeLog.push(type, detail),
+        {
+          markPrice: position.markPrice,
+          expectedPrice: Number(closeSidePrice) || null,
+          maxPct: this.config.maxCloseSlippagePct,
+        }
       );
     } catch (error) {
       if (isUnknownOrderError(error)) {
@@ -396,7 +404,11 @@ export class OffsetMakerEngine {
           target.price,
           target.amount,
           (type, detail) => this.tradeLog.push(type, detail),
-          target.reduceOnly
+          target.reduceOnly,
+          {
+            markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
+            maxPct: this.config.maxCloseSlippagePct,
+          }
         );
       } catch (error) {
         this.tradeLog.push("error", `挂单失败(${target.side} ${target.price}): ${String(error)}`);
@@ -447,7 +459,12 @@ export class OffsetMakerEngine {
           this.pending,
           position.positionAmt > 0 ? "SELL" : "BUY",
           absPosition,
-          (type, detail) => this.tradeLog.push(type, detail)
+          (type, detail) => this.tradeLog.push(type, detail),
+          {
+            markPrice: position.markPrice,
+            expectedPrice: Number(position.positionAmt > 0 ? bidPrice : askPrice) || null,
+            maxPct: this.config.maxCloseSlippagePct,
+          }
         );
       } catch (error) {
         if (isUnknownOrderError(error)) {

src/core/order-coordinator.ts

@@ -2,12 +2,45 @@ import type { ExchangeAdapter } from "../exchanges/adapter";
 import type { AsterOrder, CreateOrderParams } from "../exchanges/types";
 import { toPrice1Decimal, toQty3Decimal } from "../utils/math";
 import { isUnknownOrderError } from "../utils/errors";
+import { isOrderPriceAllowedByMark } from "../utils/strategy";
 
 export type OrderLockMap = Record<string, boolean>;
 export type OrderTimerMap = Record<string, ReturnType<typeof setTimeout> | null>;
 export type OrderPendingMap = Record<string, string | null>;
 export type LogHandler = (type: string, detail: string) => void;
 
+type OrderGuardOptions = {
+  markPrice?: number | null;
+  expectedPrice?: number | null;
+  maxPct?: number;
+};
+
+function enforceMarkPriceGuard(
+  side: "BUY" | "SELL",
+  toCheckPrice: number | null | undefined,
+  guard: OrderGuardOptions | undefined,
+  log: LogHandler,
+  context: string
+): boolean {
+  if (!guard || guard.maxPct == null) return true;
+  const allowed = isOrderPriceAllowedByMark({
+    side,
+    orderPrice: toCheckPrice,
+    markPrice: guard.markPrice,
+    maxPct: guard.maxPct,
+  });
+  if (!allowed) {
+    const priceStr = Number.isFinite(Number(toCheckPrice)) ? Number(toCheckPrice).toFixed(2) : String(toCheckPrice);
+    const markStr = Number.isFinite(Number(guard.markPrice)) ? Number(guard.markPrice).toFixed(2) : String(guard.markPrice);
+    log(
+      "info",
+      `${context} 保护触发：side=${side} price=${priceStr} mark=${markStr} 超过 ${(guard.maxPct! * 100).toFixed(2)}%`
+    );
+    return false;
+  }
+  return true;
+}
+
 export function isOperating(locks: OrderLockMap, type: string): boolean {
   return Boolean(locks[type]);
 }
@@ -92,10 +125,12 @@ export async function placeOrder(
   price: number,
   amount: number,
   log: LogHandler,
-  reduceOnly = false
+  reduceOnly = false,
+  guard?: OrderGuardOptions
 ): Promise<AsterOrder | undefined> {
   const type = "LIMIT";
   if (isOperating(locks, type)) return;
+  if (!enforceMarkPriceGuard(side, price, guard, log, "限价单")) return;
   const params: CreateOrderParams = {
     symbol,
     side,
@@ -132,10 +167,12 @@ export async function placeMarketOrder(
   side: "BUY" | "SELL",
   amount: number,
   log: LogHandler,
-  reduceOnly = false
+  reduceOnly = false,
+  guard?: OrderGuardOptions
 ): Promise<AsterOrder | undefined> {
   const type = "MARKET";
   if (isOperating(locks, type)) return;
+  if (!enforceMarkPriceGuard(side, guard?.expectedPrice ?? null, guard, log, "市价单")) return;
   const params: CreateOrderParams = {
     symbol,
     side,
@@ -171,10 +208,12 @@ export async function placeStopLossOrder(
   stopPrice: number,
   quantity: number,
   lastPrice: number | null,
-  log: LogHandler
+  log: LogHandler,
+  guard?: OrderGuardOptions
 ): Promise<AsterOrder | undefined> {
   const type = "STOP_MARKET";
   if (isOperating(locks, type)) return;
+  if (!enforceMarkPriceGuard(side, stopPrice, guard, log, "止损单")) return;
   if (lastPrice != null) {
     if (side === "SELL" && stopPrice >= lastPrice) {
       log("error", `止损价 ${stopPrice} 高于或等于当前价 ${lastPrice}，取消挂单`);
@@ -222,10 +261,12 @@ export async function placeTrailingStopOrder(
   activationPrice: number,
   quantity: number,
   callbackRate: number,
-  log: LogHandler
+  log: LogHandler,
+  guard?: OrderGuardOptions
 ): Promise<AsterOrder | undefined> {
   const type = "TRAILING_STOP_MARKET";
   if (isOperating(locks, type)) return;
+  if (!enforceMarkPriceGuard(side, activationPrice, guard, log, "动态止盈单")) return;
   const params: CreateOrderParams = {
     symbol,
     side,
@@ -265,10 +306,12 @@ export async function marketClose(
   pendings: OrderPendingMap,
   side: "BUY" | "SELL",
   quantity: number,
-  log: LogHandler
+  log: LogHandler,
+  guard?: OrderGuardOptions
 ): Promise<void> {
   const type = "MARKET";
   if (isOperating(locks, type)) return;
+  if (!enforceMarkPriceGuard(side, guard?.expectedPrice ?? null, guard, log, "市价平仓")) return;
   const params: CreateOrderParams = {
     symbol,
     side,

src/core/trend-engine.ts

@@ -286,7 +286,13 @@ export class TrendEngine {
         this.pending,
         side,
         this.config.tradeAmount,
-        (type, detail) => this.tradeLog.push(type, detail)
+        (type, detail) => this.tradeLog.push(type, detail),
+        false,
+        {
+          markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
+          expectedPrice: Number(this.tickerSnapshot?.lastPrice) || null,
+          maxPct: this.config.maxCloseSlippagePct,
+        }
       );
       this.tradeLog.push("open", `${reason}: ${side} @ ${price}`);
       this.lastOpenPlan = { side, price };
@@ -395,6 +401,23 @@ export class TrendEngine {
             }
           }
         }
+        // 价格操纵保护：仅当平仓方向价格与标记价格偏离在阈值内才执行市价平仓
+        const mark = getPosition(this.accountSnapshot, this.config.symbol).markPrice;
+        const limitPct = this.config.maxCloseSlippagePct;
+        const sideIsSell = direction === "long";
+        const depthBid = Number(this.depthSnapshot?.bids?.[0]?.[0]);
+        const depthAsk = Number(this.depthSnapshot?.asks?.[0]?.[0]);
+        const closeSidePrice = sideIsSell ? depthBid : depthAsk;
+        if (mark != null && Number.isFinite(mark) && mark > 0 && Number.isFinite(closeSidePrice)) {
+          const pctDiff = Math.abs(closeSidePrice - mark) / mark;
+          if (pctDiff > limitPct) {
+            this.tradeLog.push(
+              "info",
+              `市价平仓保护触发：closePx=${Number(closeSidePrice).toFixed(2)} mark=${mark.toFixed(2)} 偏离 ${(pctDiff * 100).toFixed(2)}% > ${(limitPct * 100).toFixed(2)}%`
+            );
+            return { closed: false, pnl };
+          }
+        }
         await marketClose(
           this.exchange,
           this.config.symbol,
@@ -404,7 +427,16 @@ export class TrendEngine {
           this.pending,
           direction === "long" ? "SELL" : "BUY",
           Math.abs(position.positionAmt),
-          (type, detail) => this.tradeLog.push(type, detail)
+          (type, detail) => this.tradeLog.push(type, detail),
+          {
+            markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
+            expectedPrice: Number(
+              direction === "long"
+                ? this.depthSnapshot?.bids?.[0]?.[0]
+                : this.depthSnapshot?.asks?.[0]?.[0]
+            ) || null,
+            maxPct: this.config.maxCloseSlippagePct,
+          }
         );
         this.tradeLog.push("close", `止损平仓: ${direction === "long" ? "SELL" : "BUY"}`);
       } catch (err) {
@@ -439,7 +471,11 @@ export class TrendEngine {
         stopPrice,
         quantity,
         lastPrice,
-        (type, detail) => this.tradeLog.push(type, detail)
+        (type, detail) => this.tradeLog.push(type, detail),
+        {
+          markPrice: position.markPrice,
+          maxPct: this.config.maxCloseSlippagePct,
+        }
       );
     } catch (err) {
       this.tradeLog.push("error", `挂止损单失败: ${String(err)}`);
@@ -484,7 +520,11 @@ export class TrendEngine {
         activationPrice,
         quantity,
         this.config.trailingCallbackRate,
-        (type, detail) => this.tradeLog.push(type, detail)
+        (type, detail) => this.tradeLog.push(type, detail),
+        {
+          markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
+          maxPct: this.config.maxCloseSlippagePct,
+        }
       );
     } catch (err) {
       this.tradeLog.push("error", `挂动态止盈失败: ${String(err)}`);

src/utils/strategy.ts

@@ -4,15 +4,16 @@ export interface PositionSnapshot {
   positionAmt: number;
   entryPrice: number;
   unrealizedProfit: number;
+  markPrice: number | null;
 }
 
 export function getPosition(snapshot: AsterAccountSnapshot | null, symbol: string): PositionSnapshot {
   if (!snapshot) {
-    return { positionAmt: 0, entryPrice: 0, unrealizedProfit: 0 };
+    return { positionAmt: 0, entryPrice: 0, unrealizedProfit: 0, markPrice: null };
   }
   const positions = snapshot.positions?.filter((p) => p.symbol === symbol) ?? [];
   if (positions.length === 0) {
-    return { positionAmt: 0, entryPrice: 0, unrealizedProfit: 0 };
+    return { positionAmt: 0, entryPrice: 0, unrealizedProfit: 0, markPrice: null };
   }
   const NON_ZERO_EPS = 1e-8;
   const withExposure = positions.filter((p) => Math.abs(Number(p.positionAmt)) > NON_ZERO_EPS);
@@ -20,10 +21,13 @@ export function getPosition(snapshot: AsterAccountSnapshot | null, symbol: strin
     withExposure.find((p) => p.positionSide === "BOTH") ??
     withExposure.sort((a, b) => Math.abs(Number(b.positionAmt)) - Math.abs(Number(a.positionAmt)))[0] ??
     positions[0];
+  const rawMark = Number(selected?.markPrice);
+  const markPrice = Number.isFinite(rawMark) && rawMark > 0 ? rawMark : null;
   return {
     positionAmt: Number(selected?.positionAmt) || 0,
     entryPrice: Number(selected?.entryPrice) || 0,
     unrealizedProfit: Number(selected?.unrealizedProfit) || 0,
+    markPrice,
   };
 }
 
@@ -47,3 +51,25 @@ export function calcTrailingActivationPrice(entryPrice: number, qty: number, sid
   }
   return entryPrice - profit / Math.abs(qty);
 }
+
+/**
+ * Return true if the intended order price is within the allowed deviation from mark price.
+ * - For BUY: orderPrice must be <= markPrice * (1 + maxPct)
+ * - For SELL: orderPrice must be >= markPrice * (1 - maxPct)
+ * If markPrice is null/invalid, the check passes (no protection possible).
+ */
+export function isOrderPriceAllowedByMark(params: {
+  side: "BUY" | "SELL";
+  orderPrice: number | null | undefined;
+  markPrice: number | null | undefined;
+  maxPct: number;
+}): boolean {
+  const { side, orderPrice, markPrice, maxPct } = params;
+  const price = Number(orderPrice);
+  const mark = Number(markPrice);
+  if (!Number.isFinite(price) || !Number.isFinite(mark) || mark <= 0) return true;
+  if (side === "BUY") {
+    return price <= mark * (1 + Math.max(0, maxPct));
+  }
+  return price >= mark * (1 - Math.max(0, maxPct));
+}