diff --git a/src/strategy/maker-points-engine.ts b/src/strategy/maker-points-engine.ts index 1befc1b..01c0141 100644 --- a/src/strategy/maker-points-engine.ts +++ b/src/strategy/maker-points-engine.ts @@ -86,6 +86,8 @@ const INSUFFICIENT_BALANCE_COOLDOWN_MS = 15_000; const STOP_LOSS_COOLDOWN_MS = 5_000; const STOP_LOSS_CHECK_INTERVAL_MS = 250; // 止损检查最大间隔 const STOP_LOSS_RETRY_INTERVAL_MS = 500; // 止损失败后重试间隔 +const DATA_STALE_THRESHOLD_MS = 5_000; // 数据过时阈值（5秒） +const DEFENSE_MODE_CHECK_INTERVAL_MS = 1000; // 防御模式检查间隔 export class MakerPointsEngine { private accountSnapshot: AsterAccountSnapshot | null = null; @@ -153,12 +155,25 @@ export class MakerPointsEngine { private lastPositionAmt = 0; private lastPositionSide: "LONG" | "SHORT" | "FLAT" = "FLAT"; - // 连接保护相关状态 - private standxConnectionState: "connected" | "disconnected" = "connected"; + // 连接保护相关状态（用于断连/重连事件处理） + private _standxConnectionState: "connected" | "disconnected" = "connected"; private reconnectResetPending = false; private lastRepriceQueryTime = 0; private readonly repriceQueryIntervalMs = 3000; // 最小查询间隔 + // ========== 数据过时防御模式 ========== + // 各数据源最后更新时间 + private lastStandxDepthTime = 0; + private lastStandxAccountTime = 0; + private lastBinanceDepthTime = 0; + // 防御模式状态 + private defenseMode = false; + private defenseModeNotified = false; + private defenseModeTimer: ReturnType | null = null; + // 防御模式下的 REST 轮询定时器 + private defenseRestPollTimer: ReturnType | null = null; + private defenseRestPollActive = false; + constructor(private readonly config: MakerPointsConfig, private readonly exchange: ExchangeAdapter) { this.tradeLog = createTradeLog(this.config.maxLogEntries); this.rateLimit = new RateLimitController(this.config.refreshIntervalMs, (type, detail) => @@ -177,6 +192,7 @@ export class MakerPointsEngine { }); this.binanceDepth.onUpdate(() => { this.feedStatus.binance = true; + this.lastBinanceDepthTime = Date.now(); this.emitUpdate(); }); // 监听 Binance 连接状态变化 @@ -198,6 +214,12 @@ export class MakerPointsEngine { start(): void { if (this.timer) return; + // 初始化数据时间戳 + const now = Date.now(); + this.lastStandxDepthTime = now; + this.lastStandxAccountTime = now; + this.lastBinanceDepthTime = now; + this.timer = setInterval(() => { void this.tick(); }, this.config.refreshIntervalMs); @@ -206,6 +228,12 @@ export class MakerPointsEngine { void this.checkStopLoss(); }, Math.min(STOP_LOSS_CHECK_INTERVAL_MS, this.config.refreshIntervalMs)); } + // 启动防御模式检测定时器 + if (!this.defenseModeTimer) { + this.defenseModeTimer = setInterval(() => { + this.checkDataStaleAndDefense(); + }, DEFENSE_MODE_CHECK_INTERVAL_MS); + } this.binanceDepth.start(); } @@ -218,6 +246,11 @@ export class MakerPointsEngine { clearInterval(this.stopLossTimer); this.stopLossTimer = null; } + if (this.defenseModeTimer) { + clearInterval(this.defenseModeTimer); + this.defenseModeTimer = null; + } + this.stopDefenseRestPoll(); this.binanceDepth.stop(); } @@ -240,6 +273,7 @@ export class MakerPointsEngine { this.exchange.watchAccount.bind(this.exchange), (snapshot) => { this.accountSnapshot = snapshot; + this.lastStandxAccountTime = Date.now(); const totalUnrealized = Number(snapshot.totalUnrealizedProfit ?? "0"); if (Number.isFinite(totalUnrealized)) { this.accountUnrealized = totalUnrealized; @@ -290,6 +324,7 @@ export class MakerPointsEngine { this.exchange.watchDepth.bind(this.exchange, this.config.symbol), (depth) => { this.depthSnapshot = depth; + this.lastStandxDepthTime = Date.now(); this.feedStatus.depth = true; this.emitUpdate(); }, @@ -338,7 +373,7 @@ export class MakerPointsEngine { * 处理断连事件 */ private handleDisconnect(symbol: string): void { - this.standxConnectionState = "disconnected"; + this._standxConnectionState = "disconnected"; this.tradeLog.push("warn", `WebSocket 断连 (${symbol})，启动断连保护`); this.notify({ type: "token_expired", @@ -355,7 +390,7 @@ export class MakerPointsEngine { * 重连后需要重新查询挂单并取消所有挂单 */ private async handleReconnect(symbol: string): Promise { - this.standxConnectionState = "connected"; + this._standxConnectionState = "connected"; this.reconnectResetPending = true; this.tradeLog.push("info", `WebSocket 重连成功 (${symbol})，开始重连保护流程`); @@ -437,6 +472,8 @@ export class MakerPointsEngine { if (this.reconnectResetPending) return; // 止损执行期间不执行主循环，避免订单冲突 if (this.stopLossProcessing) return; + // 防御模式下不执行正常挂单逻辑 + if (this.defenseMode) return; this.processing = true; let hadRateLimit = false; try { @@ -1378,7 +1415,7 @@ export class MakerPointsEngine { this.lastPositionSide = currentSide; } - private async handleTokenExpiry(position: PositionSnapshot, absPosition: number): Promise { + private async handleTokenExpiry(position: PositionSnapshot, _absPosition: number): Promise { if (!isTokenExpiryConfigured()) { return false; } @@ -1461,6 +1498,195 @@ export class MakerPointsEngine { return true; } + + // ========== 数据过时防御模式方法 ========== + + /** + * 检查数据是否过时，进入或退出防御模式 + * 当 StandX 或 Binance 任意一方数据超过 5 秒未更新时，进入防御模式 + */ + private checkDataStaleAndDefense(): void { + const now = Date.now(); + const standxDepthStale = this.lastStandxDepthTime > 0 && (now - this.lastStandxDepthTime) > DATA_STALE_THRESHOLD_MS; + const standxAccountStale = this.lastStandxAccountTime > 0 && (now - this.lastStandxAccountTime) > DATA_STALE_THRESHOLD_MS; + const binanceStale = this.lastBinanceDepthTime > 0 && (now - this.lastBinanceDepthTime) > DATA_STALE_THRESHOLD_MS; + + const shouldDefend = standxDepthStale || standxAccountStale || binanceStale; + + if (shouldDefend && !this.defenseMode) { + // 进入防御模式 + this.enterDefenseMode({ + standxDepthStale, + standxAccountStale, + binanceStale, + standxDepthAge: now - this.lastStandxDepthTime, + standxAccountAge: now - this.lastStandxAccountTime, + binanceAge: now - this.lastBinanceDepthTime, + }); + } else if (!shouldDefend && this.defenseMode) { + // 退出防御模式 + this.exitDefenseMode(); + } + } + + /** + * 进入防御模式 + * 取消所有挂单，启动 REST 轮询保护仓位 + */ + private enterDefenseMode(staleInfo: { + standxDepthStale: boolean; + standxAccountStale: boolean; + binanceStale: boolean; + standxDepthAge: number; + standxAccountAge: number; + binanceAge: number; + }): void { + this.defenseMode = true; + + // 构建过时信息描述 + const staleItems: string[] = []; + if (staleInfo.standxDepthStale) { + staleItems.push(`StandX深度(${Math.round(staleInfo.standxDepthAge / 1000)}s)`); + } + if (staleInfo.standxAccountStale) { + staleItems.push(`StandX账户(${Math.round(staleInfo.standxAccountAge / 1000)}s)`); + } + if (staleInfo.binanceStale) { + staleItems.push(`Binance深度(${Math.round(staleInfo.binanceAge / 1000)}s)`); + } + + this.tradeLog.push("warn", `数据过时检测: ${staleItems.join(", ")}，进入防御模式`); + + // 发送通知 + if (!this.defenseModeNotified) { + this.notify({ + type: "token_expired", + level: "warn", + symbol: this.config.symbol, + title: "防御模式", + message: `数据推送中断: ${staleItems.join(", ")}，已取消所有挂单`, + details: staleInfo, + }); + this.defenseModeNotified = true; + } + + // 立即取消所有挂单 + void this.defenseCancelAllOrders(); + + // 启动 REST 轮询保护仓位 + this.startDefenseRestPoll(); + } + + /** + * 退出防御模式 + */ + private exitDefenseMode(): void { + this.defenseMode = false; + this.defenseModeNotified = false; + + this.tradeLog.push("info", "数据推送恢复正常，退出防御模式"); + + this.notify({ + type: "position_opened", + level: "info", + symbol: this.config.symbol, + title: "防御模式解除", + message: "数据推送恢复正常，恢复正常交易", + details: {}, + }); + + // 停止 REST 轮询 + this.stopDefenseRestPoll(); + + // 重置本地状态，强制下一轮重新计算挂单 + this.desiredOrders = []; + this.lastDesiredSummary = null; + this.lastQuoteBid1 = null; + this.lastQuoteAsk1 = null; + } + + /** + * 防御模式下取消所有挂单 + */ + private async defenseCancelAllOrders(): Promise { + try { + if (this.exchange.forceCancelAllOrders) { + const success = await this.exchange.forceCancelAllOrders(); + if (success) { + this.tradeLog.push("order", "防御模式: 已强制取消所有挂单"); + } else { + this.tradeLog.push("warn", "防御模式: 取消挂单未完全成功，将继续重试"); + } + } else { + await this.exchange.cancelAllOrders({ symbol: this.config.symbol }); + this.tradeLog.push("order", "防御模式: 已取消所有挂单"); + } + + // 重置本地挂单状态 + this.openOrders = []; + this.pendingCancelOrders.clear(); + unlockOperating(this.locks, this.timers, this.pending, "LIMIT"); + } catch (error) { + if (isUnknownOrderError(error)) { + this.tradeLog.push("order", "防御模式: 挂单已不存在"); + this.openOrders = []; + this.pendingCancelOrders.clear(); + } else { + this.tradeLog.push("error", `防御模式取消挂单失败: ${extractMessage(error)}`); + } + } + } + + /** + * 启动防御模式下的 REST 轮询 + * 使用 REST API 拉取数据，确保止损逻辑能正常工作 + */ + private startDefenseRestPoll(): void { + if (this.defenseRestPollActive) return; + this.defenseRestPollActive = true; + + this.tradeLog.push("info", "防御模式: 启动 REST 数据轮询"); + + const poll = async () => { + if (!this.defenseRestPollActive || !this.defenseMode) return; + + try { + // 如果有查询挂单的方法，定期检查并取消 + if (this.exchange.queryOpenOrders) { + const realOrders = await this.exchange.queryOpenOrders(); + if (realOrders.length > 0) { + this.tradeLog.push("warn", `防御模式: 发现 ${realOrders.length} 个挂单，执行取消`); + await this.defenseCancelAllOrders(); + } + } + + // 检查止损条件（使用当前账户快照中的数据） + // checkStopLoss 会继续运行，使用最后收到的数据进行止损判断 + } catch (error) { + this.tradeLog.push("error", `防御模式 REST 轮询失败: ${extractMessage(error)}`); + } + + // 继续下一次轮询 + if (this.defenseRestPollActive && this.defenseMode) { + this.defenseRestPollTimer = setTimeout(() => void poll(), 2000); + } + }; + + void poll(); + } + + /** + * 停止防御模式下的 REST 轮询 + */ + private stopDefenseRestPoll(): void { + if (!this.defenseRestPollActive) return; + this.defenseRestPollActive = false; + if (this.defenseRestPollTimer) { + clearTimeout(this.defenseRestPollTimer); + this.defenseRestPollTimer = null; + } + this.tradeLog.push("info", "防御模式: 停止 REST 数据轮询"); + } } function resolveBinanceSymbol(symbol: string): string {