feat: 重构订单路由逻辑,添加订单意图类型以支持多交易所订单处理

This commit is contained in:
discountry
2025-10-23 14:04:44 +08:00
parent fabc8af679
commit ea5da20311
10 changed files with 745 additions and 62 deletions
+101 -61
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@@ -1,6 +1,13 @@
import type { ExchangeAdapter } from "../exchanges/adapter";
import type { AsterOrder, CreateOrderParams } from "../exchanges/types";
import { roundDownToTick, roundQtyDownToStep, formatPriceToString } from "../utils/math";
import type { AsterOrder } from "../exchanges/types";
import {
routeCloseOrder,
routeLimitOrder,
routeMarketOrder,
routeStopOrder,
routeTrailingStopOrder,
} from "../exchanges/order-router";
import { roundDownToTick, roundQtyDownToStep } from "../utils/math";
import { isUnknownOrderError } from "../utils/errors";
import { isOrderPriceAllowedByMark } from "../utils/strategy";
@@ -146,25 +153,30 @@ export async function placeOrder(
if (isOperating(locks, type)) return;
const priceNum = Number(price);
if (!enforceMarkPriceGuard(side, priceNum, guard, log, "限价单")) return;
const priceTick = opts?.priceTick ?? 0.1;
const qtyStep = opts?.qtyStep ?? 0.001;
const params: CreateOrderParams = {
symbol,
side,
type,
quantity: roundQtyDownToStep(amount, qtyStep),
price: priceNum, // 直接使用字符串转换的数字,不再格式化
timeInForce: "GTX",
};
if (reduceOnly) params.reduceOnly = "true";
const rawQuantity = Math.abs(amount);
const roundedQuantity = roundQtyDownToStep(rawQuantity, qtyStep);
const quantity = roundedQuantity > 0 ? roundedQuantity : rawQuantity;
if (quantity <= 0) {
log("error", "限价单数量无效,跳过下单");
return;
}
if (!opts?.skipDedupe) {
await deduplicateOrders(adapter, symbol, openOrders, locks, timers, pendings, type, side, log);
}
lockOperating(locks, timers, pendings, type, log);
try {
const order = await adapter.createOrder(params);
const order = await routeLimitOrder({
adapter,
symbol,
side,
quantity,
price: priceNum,
timeInForce: "GTX",
reduceOnly: reduceOnly ? true : undefined,
});
pendings[type] = String(order.orderId);
log("order", `挂限价单: ${side} @ ${params.price} 数量 ${params.quantity} reduceOnly=${reduceOnly}`);
log("order", `挂限价单: ${side} @ ${priceNum} 数量 ${quantity} reduceOnly=${reduceOnly}`);
return order;
} catch (err) {
unlockOperating(locks, timers, pendings, type);
@@ -194,19 +206,25 @@ export async function placeMarketOrder(
if (isOperating(locks, type)) return;
if (!enforceMarkPriceGuard(side, guard?.expectedPrice ?? null, guard, log, "市价单")) return;
const qtyStep = opts?.qtyStep ?? 0.001;
const params: CreateOrderParams = {
symbol,
side,
type,
quantity: roundQtyDownToStep(amount, qtyStep),
};
if (reduceOnly) params.reduceOnly = "true";
const rawQuantity = Math.abs(amount);
const roundedQuantity = roundQtyDownToStep(rawQuantity, qtyStep);
const quantity = roundedQuantity > 0 ? roundedQuantity : rawQuantity;
if (quantity <= 0) {
log("error", "市价单数量无效,跳过下单");
return;
}
await deduplicateOrders(adapter, symbol, openOrders, locks, timers, pendings, type, side, log);
lockOperating(locks, timers, pendings, type, log);
try {
const order = await adapter.createOrder(params);
const order = await routeMarketOrder({
adapter,
symbol,
side,
quantity,
reduceOnly: reduceOnly ? true : undefined,
});
pendings[type] = String(order.orderId);
log("order", `市价单: ${side} 数量 ${params.quantity} reduceOnly=${reduceOnly}`);
log("order", `市价单: ${side} 数量 ${quantity} reduceOnly=${reduceOnly}`);
return order;
} catch (err) {
unlockOperating(locks, timers, pendings, type);
@@ -248,29 +266,32 @@ export async function placeStopLossOrder(
}
const priceTick = opts?.priceTick ?? 0.1;
const qtyStep = opts?.qtyStep ?? 0.001;
const params: CreateOrderParams = {
symbol,
side,
type,
quantity: roundQtyDownToStep(quantity, qtyStep),
stopPrice: roundDownToTick(stopPrice, priceTick),
// Always mark reduce-only semantics; some exchanges (e.g. Aster) ignore this on STOP
reduceOnly: "true",
// Some exchanges prefer explicit close-position semantics; gateways will normalize
closePosition: "true",
timeInForce: "GTC",
// GRVT requires triggerType to match side semantics: BUY -> TAKE_PROFIT, SELL -> STOP_LOSS
triggerType: side === "BUY" ? "TAKE_PROFIT" : "STOP_LOSS",
};
const normalizedStop = roundDownToTick(stopPrice, priceTick);
const rawQuantity = Math.abs(quantity);
const roundedQuantity = roundQtyDownToStep(rawQuantity, qtyStep);
const normalizedQty = roundedQuantity > 0 ? roundedQuantity : rawQuantity;
if (normalizedQty <= 0) {
log("error", "止损单数量无效,跳过下单");
return;
}
// Avoid forcing price for STOP_MARKET globally; keep this exchange-specific in gateways
await deduplicateOrders(adapter, symbol, openOrders, locks, timers, pendings, type, side, log);
lockOperating(locks, timers, pendings, type, log);
try {
const order = await adapter.createOrder(params);
const order = await routeStopOrder({
adapter,
symbol,
side,
quantity: normalizedQty,
stopPrice: normalizedStop,
timeInForce: "GTC",
reduceOnly: true,
closePosition: true,
triggerType: side === "BUY" ? "TAKE_PROFIT" : "STOP_LOSS",
});
pendings[type] = String(order.orderId);
log("stop", `挂止损单: ${side} STOP_MARKET @ ${params.stopPrice}`);
log("stop", `挂止损单: ${side} STOP_MARKET @ ${normalizedStop}`);
return order;
} catch (err) {
unlockOperating(locks, timers, pendings, type);
@@ -299,27 +320,38 @@ export async function placeTrailingStopOrder(
): Promise<AsterOrder | undefined> {
const type = "TRAILING_STOP_MARKET";
if (isOperating(locks, type)) return;
if (!adapter.supportsTrailingStops()) {
log("error", "当前交易所不支持动态止盈单");
return;
}
if (!enforceMarkPriceGuard(side, activationPrice, guard, log, "动态止盈单")) return;
const priceTick = opts?.priceTick ?? 0.1;
const qtyStep = opts?.qtyStep ?? 0.001;
const params: CreateOrderParams = {
symbol,
side,
type,
quantity,
reduceOnly: "true",
activationPrice: roundDownToTick(activationPrice, priceTick),
callbackRate,
timeInForce: "GTC",
};
const normalizedActivation = roundDownToTick(activationPrice, priceTick);
const rawQuantity = Math.abs(quantity);
const roundedQuantity = roundQtyDownToStep(rawQuantity, qtyStep);
const normalizedQty = roundedQuantity > 0 ? roundedQuantity : rawQuantity;
if (normalizedQty <= 0) {
log("error", "动态止盈单数量无效,跳过下单");
return;
}
await deduplicateOrders(adapter, symbol, openOrders, locks, timers, pendings, type, side, log);
lockOperating(locks, timers, pendings, type, log);
try {
const order = await adapter.createOrder(params);
const order = await routeTrailingStopOrder({
adapter,
symbol,
side,
quantity: normalizedQty,
activationPrice: normalizedActivation,
callbackRate,
timeInForce: "GTC",
reduceOnly: true,
});
pendings[type] = String(order.orderId);
log(
"order",
`挂动态止盈单: ${side} activation=${params.activationPrice} callbackRate=${callbackRate}`
`挂动态止盈单: ${side} activation=${normalizedActivation} callbackRate=${callbackRate}`
);
return order;
} catch (err) {
@@ -349,18 +381,26 @@ export async function marketClose(
if (isOperating(locks, type)) return;
if (!enforceMarkPriceGuard(side, guard?.expectedPrice ?? null, guard, log, "市价平仓")) return;
const params: CreateOrderParams = {
symbol,
side,
type,
quantity,
reduceOnly: "true",
};
const qtyStep = opts?.qtyStep;
const rawQuantity = Math.abs(quantity);
const normalizedQtyRaw = qtyStep != null ? roundQtyDownToStep(rawQuantity, qtyStep) : rawQuantity;
const normalizedQty = normalizedQtyRaw > 0 ? normalizedQtyRaw : rawQuantity;
if (normalizedQty <= 0) {
log("error", "市价平仓数量无效,跳过下单");
return;
}
await deduplicateOrders(adapter, symbol, openOrders, locks, timers, pendings, type, side, log);
lockOperating(locks, timers, pendings, type, log);
try {
const order = await adapter.createOrder(params);
const order = await routeCloseOrder({
adapter,
symbol,
side,
quantity: normalizedQty,
reduceOnly: true,
closePosition: true,
});
pendings[type] = String(order.orderId);
log("close", `市价平仓: ${side}`);
} catch (err) {
+101
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@@ -0,0 +1,101 @@
import type { AsterOrder, CreateOrderParams } from "../types";
import type {
BaseOrderIntent,
ClosePositionIntent,
LimitOrderIntent,
MarketOrderIntent,
StopOrderIntent,
TrailingStopOrderIntent,
} from "../order-schema";
import { toStringBoolean } from "../order-schema";
function applyCommonFields(params: CreateOrderParams, intent: BaseOrderIntent): CreateOrderParams {
if (params.quantity === undefined) {
params.quantity = intent.quantity;
}
if (params.timeInForce === undefined && intent.timeInForce) {
params.timeInForce = intent.timeInForce;
}
if (intent.reduceOnly !== undefined) {
params.reduceOnly = toStringBoolean(intent.reduceOnly);
}
if (intent.closePosition !== undefined) {
params.closePosition = toStringBoolean(intent.closePosition);
}
return params;
}
export async function createLimitOrder(intent: LimitOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "LIMIT",
quantity: intent.quantity,
price: intent.price,
timeInForce: intent.timeInForce ?? "GTX",
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createMarketOrder(intent: MarketOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "MARKET",
quantity: intent.quantity,
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createStopOrder(intent: StopOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "STOP_MARKET",
quantity: intent.quantity,
stopPrice: intent.stopPrice,
timeInForce: intent.timeInForce ?? "GTC",
triggerType: intent.triggerType,
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createTrailingStopOrder(intent: TrailingStopOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "TRAILING_STOP_MARKET",
quantity: intent.quantity,
activationPrice: intent.activationPrice,
callbackRate: intent.callbackRate,
timeInForce: intent.timeInForce ?? "GTC",
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createClosePositionOrder(intent: ClosePositionIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "MARKET",
quantity: intent.quantity,
reduceOnly: "true",
},
intent
);
return intent.adapter.createOrder(params);
}
+88
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@@ -0,0 +1,88 @@
import type { AsterOrder, CreateOrderParams } from "../types";
import type {
BaseOrderIntent,
ClosePositionIntent,
LimitOrderIntent,
MarketOrderIntent,
StopOrderIntent,
TrailingStopOrderIntent,
} from "../order-schema";
import { toStringBoolean } from "../order-schema";
function applyCommonFields(params: CreateOrderParams, intent: BaseOrderIntent): CreateOrderParams {
if (params.quantity === undefined) {
params.quantity = intent.quantity;
}
if (params.timeInForce === undefined && intent.timeInForce) {
params.timeInForce = intent.timeInForce;
}
if (intent.reduceOnly !== undefined) {
params.reduceOnly = toStringBoolean(intent.reduceOnly);
}
if (intent.closePosition !== undefined) {
params.closePosition = toStringBoolean(intent.closePosition);
}
return params;
}
export async function createLimitOrder(intent: LimitOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "LIMIT",
quantity: intent.quantity,
price: intent.price,
timeInForce: intent.timeInForce ?? "GTX",
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createMarketOrder(intent: MarketOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "MARKET",
quantity: intent.quantity,
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createStopOrder(intent: StopOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "STOP_MARKET",
quantity: intent.quantity,
stopPrice: intent.stopPrice,
timeInForce: intent.timeInForce ?? "GTC",
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createTrailingStopOrder(_intent: TrailingStopOrderIntent): Promise<AsterOrder> {
throw new Error("Backpack exchange does not support trailing stop orders");
}
export async function createClosePositionOrder(intent: ClosePositionIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "MARKET",
quantity: intent.quantity,
reduceOnly: "true",
},
intent
);
return intent.adapter.createOrder(params);
}
+92
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@@ -0,0 +1,92 @@
import type { AsterOrder, CreateOrderParams } from "../types";
import type {
BaseOrderIntent,
ClosePositionIntent,
LimitOrderIntent,
MarketOrderIntent,
StopOrderIntent,
TrailingStopOrderIntent,
} from "../order-schema";
import { toStringBoolean } from "../order-schema";
function applyCommonFields(params: CreateOrderParams, intent: BaseOrderIntent): CreateOrderParams {
if (params.quantity === undefined) {
params.quantity = intent.quantity;
}
if (params.timeInForce === undefined && intent.timeInForce) {
params.timeInForce = intent.timeInForce;
}
if (intent.reduceOnly !== undefined) {
params.reduceOnly = toStringBoolean(intent.reduceOnly);
}
if (intent.closePosition !== undefined) {
params.closePosition = toStringBoolean(intent.closePosition);
}
return params;
}
export async function createLimitOrder(intent: LimitOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "LIMIT",
quantity: intent.quantity,
price: intent.price,
timeInForce: intent.timeInForce ?? "GTX",
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createMarketOrder(intent: MarketOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "MARKET",
quantity: intent.quantity,
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createStopOrder(intent: StopOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "STOP_MARKET",
quantity: intent.quantity,
stopPrice: intent.stopPrice,
timeInForce: intent.timeInForce ?? "GTC",
triggerType: intent.triggerType ?? (intent.side === "BUY" ? "TAKE_PROFIT" : "STOP_LOSS"),
closePosition: toStringBoolean(intent.closePosition ?? true),
reduceOnly: toStringBoolean(intent.reduceOnly ?? true),
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createTrailingStopOrder(_intent: TrailingStopOrderIntent): Promise<AsterOrder> {
throw new Error("GRVT exchange does not support trailing stop orders");
}
export async function createClosePositionOrder(intent: ClosePositionIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "MARKET",
quantity: intent.quantity,
reduceOnly: "true",
closePosition: toStringBoolean(intent.closePosition ?? true),
},
intent
);
return intent.adapter.createOrder(params);
}
+93
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@@ -0,0 +1,93 @@
import type { AsterOrder, CreateOrderParams } from "../types";
import type {
BaseOrderIntent,
ClosePositionIntent,
LimitOrderIntent,
MarketOrderIntent,
StopOrderIntent,
TrailingStopOrderIntent,
} from "../order-schema";
import { toStringBoolean } from "../order-schema";
function applyCommonFields(params: CreateOrderParams, intent: BaseOrderIntent): CreateOrderParams {
if (params.quantity === undefined) {
params.quantity = intent.quantity;
}
if (params.timeInForce === undefined && intent.timeInForce) {
params.timeInForce = intent.timeInForce;
}
if (intent.reduceOnly !== undefined) {
params.reduceOnly = toStringBoolean(intent.reduceOnly);
}
if (intent.closePosition !== undefined) {
params.closePosition = toStringBoolean(intent.closePosition);
}
return params;
}
export async function createLimitOrder(intent: LimitOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "LIMIT",
quantity: intent.quantity,
price: intent.price,
timeInForce: intent.timeInForce ?? "GTC",
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createMarketOrder(intent: MarketOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "MARKET",
quantity: intent.quantity,
timeInForce: intent.timeInForce ?? "IOC",
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createStopOrder(intent: StopOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "STOP_MARKET",
quantity: intent.quantity,
stopPrice: intent.stopPrice,
timeInForce: intent.timeInForce ?? "GTC",
reduceOnly: toStringBoolean(intent.reduceOnly ?? true),
closePosition: toStringBoolean(intent.closePosition ?? true),
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createTrailingStopOrder(_intent: TrailingStopOrderIntent): Promise<AsterOrder> {
throw new Error("Lighter exchange does not support trailing stop orders");
}
export async function createClosePositionOrder(intent: ClosePositionIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "MARKET",
quantity: intent.quantity,
reduceOnly: "true",
closePosition: toStringBoolean(intent.closePosition ?? true),
timeInForce: intent.timeInForce ?? "IOC",
},
intent
);
return intent.adapter.createOrder(params);
}
+118
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@@ -0,0 +1,118 @@
import type { ExchangeAdapter } from "./adapter";
import type { AsterOrder } from "./types";
import type {
BaseOrderIntent,
ClosePositionIntent,
LimitOrderIntent,
MarketOrderIntent,
StopOrderIntent,
TrailingStopOrderIntent,
} from "./order-schema";
import * as asterOrders from "./aster/order";
import * as backpackOrders from "./backpack/order";
import * as grvtOrders from "./grvt/order";
import * as lighterOrders from "./lighter/order";
import * as paradexOrders from "./paradex/order";
type ExchangeKey = "aster" | "backpack" | "grvt" | "lighter" | "paradex";
interface ExchangeOrderHandlers {
limit(intent: LimitOrderIntent): Promise<AsterOrder>;
market(intent: MarketOrderIntent): Promise<AsterOrder>;
stop(intent: StopOrderIntent): Promise<AsterOrder>;
trailingStop?: (intent: TrailingStopOrderIntent) => Promise<AsterOrder>;
close(intent: ClosePositionIntent): Promise<AsterOrder>;
}
const handlerMap: Record<ExchangeKey, ExchangeOrderHandlers> = {
aster: {
limit: asterOrders.createLimitOrder,
market: asterOrders.createMarketOrder,
stop: asterOrders.createStopOrder,
trailingStop: asterOrders.createTrailingStopOrder,
close: asterOrders.createClosePositionOrder,
},
backpack: {
limit: backpackOrders.createLimitOrder,
market: backpackOrders.createMarketOrder,
stop: backpackOrders.createStopOrder,
trailingStop: backpackOrders.createTrailingStopOrder,
close: backpackOrders.createClosePositionOrder,
},
grvt: {
limit: grvtOrders.createLimitOrder,
market: grvtOrders.createMarketOrder,
stop: grvtOrders.createStopOrder,
trailingStop: grvtOrders.createTrailingStopOrder,
close: grvtOrders.createClosePositionOrder,
},
lighter: {
limit: lighterOrders.createLimitOrder,
market: lighterOrders.createMarketOrder,
stop: lighterOrders.createStopOrder,
trailingStop: lighterOrders.createTrailingStopOrder,
close: lighterOrders.createClosePositionOrder,
},
paradex: {
limit: paradexOrders.createLimitOrder,
market: paradexOrders.createMarketOrder,
stop: paradexOrders.createStopOrder,
trailingStop: paradexOrders.createTrailingStopOrder,
close: paradexOrders.createClosePositionOrder,
},
};
const knownExchanges: ExchangeKey[] = ["aster", "backpack", "grvt", "lighter", "paradex"];
function normalizeExchangeId(value: string | undefined | null): string | undefined {
if (!value) return undefined;
return value.trim().toLowerCase();
}
function resolveExchangeKey(adapter: ExchangeAdapter): ExchangeKey {
const fromEnv = normalizeExchangeId(process.env.TRADE_EXCHANGE ?? process.env.EXCHANGE);
const candidates = [fromEnv, normalizeExchangeId(adapter.id)];
for (const candidate of candidates) {
if (!candidate) continue;
if ((knownExchanges as string[]).includes(candidate)) {
return candidate as ExchangeKey;
}
}
throw new Error(
`Unsupported exchange for order routing: ${candidates.filter(Boolean).join(", ") || "unknown"}`
);
}
function getHandlers(intent: BaseOrderIntent): ExchangeOrderHandlers {
const exchangeKey = resolveExchangeKey(intent.adapter);
const handlers = handlerMap[exchangeKey];
if (!handlers) {
throw new Error(`Order handlers not implemented for exchange: ${exchangeKey}`);
}
return handlers;
}
export function routeLimitOrder(intent: LimitOrderIntent): Promise<AsterOrder> {
return getHandlers(intent).limit(intent);
}
export function routeMarketOrder(intent: MarketOrderIntent): Promise<AsterOrder> {
return getHandlers(intent).market(intent);
}
export function routeStopOrder(intent: StopOrderIntent): Promise<AsterOrder> {
return getHandlers(intent).stop(intent);
}
export function routeTrailingStopOrder(intent: TrailingStopOrderIntent): Promise<AsterOrder> {
const handlers = getHandlers(intent);
if (!handlers.trailingStop) {
throw new Error("Trailing stop orders are not supported by the current exchange");
}
return handlers.trailingStop(intent);
}
export function routeCloseOrder(intent: ClosePositionIntent): Promise<AsterOrder> {
return getHandlers(intent).close(intent);
}
+42
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@@ -0,0 +1,42 @@
import type { ExchangeAdapter } from "./adapter";
import type { OrderSide, TimeInForce } from "./types";
export interface BaseOrderIntent {
adapter: ExchangeAdapter;
symbol: string;
side: OrderSide;
quantity: number;
reduceOnly?: boolean;
closePosition?: boolean;
timeInForce?: TimeInForce | "GTX";
}
export interface LimitOrderIntent extends BaseOrderIntent {
price: number;
}
export interface MarketOrderIntent extends BaseOrderIntent {
expectedPrice?: number | null;
}
export interface StopOrderIntent extends BaseOrderIntent {
stopPrice: number;
triggerType?: "UNSPECIFIED" | "TAKE_PROFIT" | "STOP_LOSS";
}
export interface TrailingStopOrderIntent extends BaseOrderIntent {
activationPrice: number;
callbackRate: number;
}
export interface ClosePositionIntent extends BaseOrderIntent {
expectedPrice?: number | null;
}
export type ExchangeOrderType = "limit" | "market" | "stop" | "trailingStop" | "close";
export function toStringBoolean(value: boolean | undefined): "true" | "false" | undefined {
if (value === undefined) return undefined;
return value ? "true" : "false";
}
+3
View File
@@ -602,6 +602,9 @@ export class ParadexGateway {
// Only omit amount for MARKET close-position orders; STOP requires explicit size
const shouldOmitAmount = isClosePosition && type === "market";
const amountArg: any = shouldOmitAmount ? undefined : amount;
if (!shouldOmitAmount && amountArg != null && extraParams.size === undefined) {
extraParams.size = amountArg.toString();
}
const order = (await this.exchange.createOrder(
symbol,
type,
+93
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@@ -0,0 +1,93 @@
import type { AsterOrder, CreateOrderParams } from "../types";
import type {
BaseOrderIntent,
ClosePositionIntent,
LimitOrderIntent,
MarketOrderIntent,
StopOrderIntent,
TrailingStopOrderIntent,
} from "../order-schema";
import { toStringBoolean } from "../order-schema";
function applyCommonFields(params: CreateOrderParams, intent: BaseOrderIntent): CreateOrderParams {
if (params.quantity === undefined) {
params.quantity = intent.quantity;
}
if (params.timeInForce === undefined && intent.timeInForce) {
params.timeInForce = intent.timeInForce;
}
if (intent.reduceOnly !== undefined) {
params.reduceOnly = toStringBoolean(intent.reduceOnly);
}
if (intent.closePosition !== undefined) {
params.closePosition = toStringBoolean(intent.closePosition);
}
return params;
}
export async function createLimitOrder(intent: LimitOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "LIMIT",
quantity: intent.quantity,
price: intent.price,
timeInForce: intent.timeInForce ?? "GTC",
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createMarketOrder(intent: MarketOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "MARKET",
quantity: intent.quantity,
timeInForce: intent.timeInForce,
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createStopOrder(intent: StopOrderIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "STOP_MARKET",
quantity: intent.quantity,
stopPrice: intent.stopPrice,
price: intent.stopPrice,
timeInForce: intent.timeInForce ?? "GTC",
reduceOnly: toStringBoolean(intent.reduceOnly ?? true),
closePosition: toStringBoolean(intent.closePosition ?? true),
},
intent
);
return intent.adapter.createOrder(params);
}
export async function createTrailingStopOrder(_intent: TrailingStopOrderIntent): Promise<AsterOrder> {
throw new Error("Paradex exchange does not support trailing stop orders");
}
export async function createClosePositionOrder(intent: ClosePositionIntent): Promise<AsterOrder> {
const params: CreateOrderParams = applyCommonFields(
{
symbol: intent.symbol,
side: intent.side,
type: "MARKET",
quantity: intent.quantity,
reduceOnly: "true",
closePosition: toStringBoolean(intent.closePosition ?? true),
timeInForce: intent.timeInForce,
},
intent
);
return intent.adapter.createOrder(params);
}
+14 -1
View File
@@ -1,4 +1,4 @@
import { describe, expect, it, vi } from "vitest";
import { describe, expect, it, vi, beforeEach, afterAll } from "vitest";
import type { ExchangeAdapter } from "../src/exchanges/adapter";
import type { AsterOrder } from "../src/exchanges/types";
import type { OrderLockMap, OrderTimerMap, OrderPendingMap } from "../src/core/order-coordinator";
@@ -12,6 +12,9 @@ import {
unlockOperating,
} from "../src/core/order-coordinator";
const originalTradeExchange = process.env.TRADE_EXCHANGE;
const originalExchange = process.env.EXCHANGE;
const baseOrder: AsterOrder = {
orderId: 1,
clientOrderId: "client",
@@ -47,6 +50,16 @@ function createMockExchange(overrides: Partial<ExchangeAdapter> = {}): ExchangeA
}
describe("order-coordinator", () => {
beforeEach(() => {
process.env.TRADE_EXCHANGE = "aster";
process.env.EXCHANGE = undefined;
});
afterAll(() => {
process.env.TRADE_EXCHANGE = originalTradeExchange;
process.env.EXCHANGE = originalExchange;
});
it("deduplicates orders by type and side", async () => {
const adapter = createMockExchange();
const locks: OrderLockMap = {};