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feat: 更新网格引擎，增强日志记录以优化订单处理逻辑，添加跳过条件的详细信息

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discountry
2025-10-08 03:51:29 +08:00
parent 640f1bfb4e
commit e3411c6791
1 changed files with 33 additions and 10 deletions
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src/strategy/grid-engine.ts
+33 -10
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@@ -613,8 +613,14 @@ export class GridEngine {
for (const level of this.buyLevelIndices) {
const levelPrice = this.gridLevels[level]!;
if (levelPrice >= price - halfTick) continue;
if (this.awaitingByLevel.has(level)) continue;
if (this.pendingLongLevels.has(level)) continue; // wait until close filled
if (this.awaitingByLevel.has(level)) {
this.log("info", `跳过 BUY @ ${this.formatPrice(levelPrice)}：等待上一笔消失判定`);
continue;
}
if (this.pendingLongLevels.has(level)) {
this.log("info", `跳过 BUY @ ${this.formatPrice(levelPrice)}：等待对应平仓成交`);
continue; // wait until close filled
}
const key = this.getOrderKey("BUY", this.formatPrice(levelPrice), "ENTRY");
if ((plannedKeyCounts.get(key) ?? 0) >= 1) continue;
if (!desiredKeySet.has(key)) {
@@ -628,8 +634,14 @@ export class GridEngine {
for (const level of this.sellLevelIndices) {
const levelPrice = this.gridLevels[level]!;
if (levelPrice <= price + halfTick) continue;
if (this.awaitingByLevel.has(level)) continue;
if (this.pendingShortLevels.has(level)) continue;
if (this.awaitingByLevel.has(level)) {
this.log("info", `跳过 SELL @ ${this.formatPrice(levelPrice)}：等待上一笔消失判定`);
continue;
}
if (this.pendingShortLevels.has(level)) {
this.log("info", `跳过 SELL @ ${this.formatPrice(levelPrice)}：等待对应平仓成交`);
continue;
}
const key = this.getOrderKey("SELL", this.formatPrice(levelPrice), "ENTRY");
if ((plannedKeyCounts.get(key) ?? 0) >= 1) continue;
if (!desiredKeySet.has(key)) {
@@ -681,11 +693,22 @@ export class GridEngine {
d.amount = capped;
} else {
const capped = this.capEntryQty(d.amount, d.side);
if (capped <= EPSILON) continue;
if (capped <= EPSILON) {
const absPos = Math.abs(this.position.positionAmt);
const pendingEntrySameSide = this.estimatePendingEntryQty(d.side);
this.log(
"info",
`跳过开仓 ${d.side} @ ${d.price}：仓位容量已满 (abs=${absPos}, pending=${pendingEntrySameSide}, max=${this.config.maxPositionSize})`
);
continue;
}
d.amount = capped;
}
const key = this.getOrderKey(d.side, d.price, intent);
if ((activeKeyCounts.get(key) ?? 0) >= 1) continue;
if ((activeKeyCounts.get(key) ?? 0) >= 1) {
this.log("info", `已存在挂单，跳过 ${intent} ${d.side} @ ${d.price}`);
continue;
}
try {
const placed = await placeOrder(
this.exchange,
@@ -766,11 +789,11 @@ export class GridEngine {
return sum;
}
private capEntryQty(desiredQty: number, side: "BUY" | "SELL"): number {
// Cap per side to allow simultaneous BUY/SELL grids without mutual blocking
private capEntryQty(desiredQty: number, _side: "BUY" | "SELL"): number {
// Relaxed policy: cap only by current absolute position, not by outstanding open entries
// This matches expectation to place the full grid even before any fills occur.
const absPos = Math.abs(this.position.positionAmt);
const pendingEntrySameSide = this.estimatePendingEntryQty(side);
const remain = Math.max(this.config.maxPositionSize - absPos - pendingEntrySameSide, 0);
const remain = Math.max(this.config.maxPositionSize - absPos, 0);
return Math.min(desiredQty, remain);
}