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fix retry

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discountry
2025-09-23 16:00:51 +08:00
parent ffa5b9e6fa
commit f54e81c7df
9 changed files with 164 additions and 152 deletions
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src/core/maker-engine.ts
+49 -45
View File
@@ -8,7 +8,7 @@ import type {
} from "../exchanges/types";
import { toPrice1Decimal } from "../utils/math";
import { createTradeLog, type TradeLogEntry } from "../state/trade-log";
import { loadState, saveState } from "../utils/persistence";
import { isUnknownOrderError } from "../utils/errors";
import { getPosition, type PositionSnapshot } from "../utils/strategy";
import {
marketClose,
@@ -33,6 +33,7 @@ export interface MakerEngineSnapshot {
position: PositionSnapshot;
pnl: number;
accountUnrealized: number;
sessionVolume: number;
openOrders: AsterOrder[];
desiredOrders: DesiredOrder[];
tradeLog: TradeLogEntry[];
@@ -56,21 +57,18 @@ export class MakerEngine {
private readonly tradeLog: ReturnType<typeof createTradeLog>;
private readonly listeners = new Map<MakerEvent, Set<MakerListener>>();
private readonly stateFile: string;
private savedStateApplied = false;
private lastPersistedAt = 0;
private savedOpenOrders: AsterOrder[] = [];
private timer: ReturnType<typeof setInterval> | null = null;
private processing = false;
private desiredOrders: DesiredOrder[] = [];
private accountUnrealized = 0;
private sessionQuoteVolume = 0;
private prevPositionAmt = 0;
private initializedPosition = false;
constructor(private readonly config: MakerConfig, private readonly exchange: ExchangeAdapter) {
this.tradeLog = createTradeLog(this.config.maxLogEntries);
this.stateFile = `maker-${this.config.symbol}.json`;
this.bootstrap();
void this.restoreState();
}
start(): void {
@@ -113,6 +111,8 @@ export class MakerEngine {
if (Number.isFinite(totalUnrealized)) {
this.accountUnrealized = totalUnrealized;
}
const position = getPosition(snapshot, this.config.symbol);
this.updateSessionVolume(position);
this.emitUpdate();
});
@@ -121,7 +121,6 @@ export class MakerEngine {
this.openOrders = Array.isArray(orders)
? orders.filter((order) => order.type !== "MARKET" && order.symbol === this.config.symbol)
: [];
this.reconcileSavedOpenOrders();
this.emitUpdate();
});
@@ -191,6 +190,7 @@ export class MakerEngine {
}
this.desiredOrders = desired;
this.updateSessionVolume(position);
await this.syncOrders(desired);
await this.checkRisk(position, bidPrice, askPrice);
this.emitUpdate();
@@ -232,7 +232,11 @@ export class MakerEngine {
await this.exchange.cancelOrder({ symbol: this.config.symbol, orderId: order.orderId });
this.tradeLog.push("order", `撤销不匹配订单 ${order.side} @ ${order.price} reduceOnly=${order.reduceOnly}`);
} catch (error) {
this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
if (isUnknownOrderError(error)) {
this.tradeLog.push("order", "撤销时发现订单已被成交/取消，忽略");
} else {
this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
}
}
}
@@ -287,7 +291,11 @@ export class MakerEngine {
(type, detail) => this.tradeLog.push(type, detail)
);
} catch (error) {
this.tradeLog.push("error", `止损平仓失败: ${String(error)}`);
if (isUnknownOrderError(error)) {
this.tradeLog.push("order", "止损平仓时订单已不存在");
} else {
this.tradeLog.push("error", `止损平仓失败: ${String(error)}`);
}
}
}
}
@@ -298,7 +306,11 @@ export class MakerEngine {
try {
await this.exchange.cancelOrder({ symbol: this.config.symbol, orderId: order.orderId });
} catch (error) {
this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
if (isUnknownOrderError(error)) {
this.tradeLog.push("order", "订单已不存在，撤销跳过");
} else {
this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
}
}
}
}
@@ -309,7 +321,6 @@ export class MakerEngine {
if (handlers) {
handlers.forEach((handler) => handler(snapshot));
}
void this.persistSnapshot(snapshot);
}
private buildSnapshot(): MakerEngineSnapshot {
@@ -335,6 +346,7 @@ export class MakerEngine {
position,
pnl,
accountUnrealized: this.accountUnrealized,
sessionVolume: this.sessionQuoteVolume,
openOrders: this.openOrders,
desiredOrders: this.desiredOrders,
tradeLog: this.tradeLog.all(),
@@ -342,41 +354,33 @@ export class MakerEngine {
};
}
private async restoreState(): Promise<void> {
if (this.savedStateApplied) return;
this.savedStateApplied = true;
const state = await loadState<{
tradeLog?: TradeLogEntry[];
accountUnrealized?: number;
openOrders?: AsterOrder[];
}>(this.stateFile);
if (!state) return;
if (Array.isArray(state.tradeLog)) this.tradeLog.replace(state.tradeLog);
if (typeof state.accountUnrealized === "number") this.accountUnrealized = state.accountUnrealized;
if (Array.isArray(state.openOrders)) this.savedOpenOrders = state.openOrders;
}
private reconcileSavedOpenOrders(): void {
if (!this.savedOpenOrders.length) return;
const currentIds = new Set(this.openOrders.map((order) => order.orderId));
const missing = this.savedOpenOrders.filter((order) => !currentIds.has(order.orderId));
if (missing.length) {
this.tradeLog.push("order", `检测到 ${missing.length} 个历史挂单与当前状态不一致，将重新同步`);
private updateSessionVolume(position: PositionSnapshot): void {
const price = this.getReferencePrice();
if (!this.initializedPosition) {
this.prevPositionAmt = position.positionAmt;
this.initializedPosition = true;
return;
}
this.savedOpenOrders = [];
if (price == null) {
this.prevPositionAmt = position.positionAmt;
return;
}
const delta = Math.abs(position.positionAmt - this.prevPositionAmt);
if (delta > 0) {
this.sessionQuoteVolume += delta * price;
}
this.prevPositionAmt = position.positionAmt;
}
private async persistSnapshot(snapshot?: MakerEngineSnapshot): Promise<void> {
const now = Date.now();
if (now - this.lastPersistedAt < 1000) return;
this.lastPersistedAt = now;
const current = snapshot ?? this.buildSnapshot();
await saveState(this.stateFile, {
tradeLog: current.tradeLog,
accountUnrealized: current.accountUnrealized,
openOrders: current.openOrders.filter((order) => order.symbol === this.config.symbol),
position: current.position,
timestamp: current.lastUpdated,
});
private getReferencePrice(): number | null {
const bid = Number(this.depthSnapshot?.bids?.[0]?.[0]);
const ask = Number(this.depthSnapshot?.asks?.[0]?.[0]);
if (Number.isFinite(bid) && Number.isFinite(ask)) return (bid + ask) / 2;
if (this.tickerSnapshot) {
const last = Number(this.tickerSnapshot.lastPrice);
if (Number.isFinite(last)) return last;
}
return null;
}
}
src/core/order-coordinator.ts
+26 -1
View File
@@ -1,6 +1,7 @@
import type { ExchangeAdapter } from "../exchanges/adapter";
import type { AsterOrder, CreateOrderParams } from "../exchanges/types";
import { toPrice1Decimal, toQty3Decimal } from "../utils/math";
import { isUnknownOrderError } from "../utils/errors";
export type OrderLockMap = Record<string, boolean>;
export type OrderTimerMap = Record<string, ReturnType<typeof setTimeout> | null>;
@@ -70,7 +71,11 @@ export async function deduplicateOrders(
await adapter.cancelOrders({ symbol, orderIdList });
log("order", `去重撤销重复 ${type} 单: ${orderIdList.join(",")}`);
} catch (err) {
log("error", `去重撤单失败: ${String(err)}`);
if (isUnknownOrderError(err)) {
log("order", "去重时发现订单已不存在，跳过删除");
} else {
log("error", `去重撤单失败: ${String(err)}`);
}
} finally {
unlockOperating(locks, timers, pendings, type);
}
@@ -109,6 +114,10 @@ export async function placeOrder(
return order;
} catch (err) {
unlockOperating(locks, timers, pendings, type);
if (isUnknownOrderError(err)) {
log("order", "订单已成交或被撤销，跳过新单");
return undefined;
}
throw err;
}
}
@@ -143,6 +152,10 @@ export async function placeMarketOrder(
return order;
} catch (err) {
unlockOperating(locks, timers, pendings, type);
if (isUnknownOrderError(err)) {
log("order", "市价单失败但订单已不存在，忽略");
return undefined;
}
throw err;
}
}
@@ -190,6 +203,10 @@ export async function placeStopLossOrder(
return order;
} catch (err) {
unlockOperating(locks, timers, pendings, type);
if (isUnknownOrderError(err)) {
log("order", "止损单已失效，跳过");
return undefined;
}
throw err;
}
}
@@ -231,6 +248,10 @@ export async function placeTrailingStopOrder(
return order;
} catch (err) {
unlockOperating(locks, timers, pendings, type);
if (isUnknownOrderError(err)) {
log("order", "动态止盈单已失效，跳过");
return undefined;
}
throw err;
}
}
@@ -263,6 +284,10 @@ export async function marketClose(
log("close", `市价平仓: ${side}`);
} catch (err) {
unlockOperating(locks, timers, pendings, type);
if (isUnknownOrderError(err)) {
log("order", "市场平仓时订单已不存在");
return;
}
throw err;
}
}
src/core/trend-engine.ts
+57 -54
View File
@@ -22,9 +22,9 @@ import {
unlockOperating,
} from "./order-coordinator";
import type { OrderLockMap, OrderPendingMap, OrderTimerMap } from "./order-coordinator";
import { isUnknownOrderError } from "../utils/errors";
import { toPrice1Decimal } from "../utils/math";
import { createTradeLog, type TradeLogEntry } from "../state/trade-log";
import { loadState, saveState } from "../utils/persistence";
export interface TrendEngineSnapshot {
ready: boolean;
@@ -37,6 +37,7 @@ export interface TrendEngineSnapshot {
unrealized: number;
totalProfit: number;
totalTrades: number;
sessionVolume: number;
tradeLog: TradeLogEntry[];
openOrders: AsterOrder[];
depth: AsterDepth | null;
@@ -74,18 +75,15 @@ export class TrendEngine {
private totalProfit = 0;
private totalTrades = 0;
private lastOpenPlan: OpenOrderPlan = { side: null, price: null };
private savedStateApplied = false;
private readonly stateFile: string;
private lastPersistedAt = 0;
private savedOpenOrders: AsterOrder[] = [];
private sessionQuoteVolume = 0;
private prevPositionAmt = 0;
private initializedPosition = false;
private readonly listeners = new Map<TrendEngineEvent, Set<TrendEngineListener>>();
constructor(private readonly config: TradingConfig, private readonly exchange: ExchangeAdapter) {
this.tradeLog = createTradeLog(this.config.maxLogEntries);
this.stateFile = `trend-${this.config.symbol}.json`;
this.bootstrap();
void this.restoreState();
}
start(): void {
@@ -124,6 +122,8 @@ export class TrendEngine {
private bootstrap(): void {
this.exchange.watchAccount((snapshot) => {
this.accountSnapshot = snapshot;
const position = getPosition(snapshot, this.config.symbol);
this.updateSessionVolume(position);
this.emitUpdate();
});
this.exchange.watchOrders((orders) => {
@@ -131,7 +131,6 @@ export class TrendEngine {
this.openOrders = Array.isArray(orders)
? orders.filter((order) => order.type !== "MARKET" && order.symbol === this.config.symbol)
: [];
this.reconcileSavedOpenOrders();
this.emitUpdate();
});
this.exchange.watchDepth(this.config.symbol, (depth) => {
@@ -194,6 +193,7 @@ export class TrendEngine {
}
}
this.updateSessionVolume(position);
this.lastSma30 = sma30;
this.lastPrice = price;
this.emitUpdate();
@@ -309,7 +309,15 @@ export class TrendEngine {
try {
if (this.openOrders.length > 0) {
const orderIdList = this.openOrders.map((order) => order.orderId);
await this.exchange.cancelOrders({ symbol: this.config.symbol, orderIdList });
try {
await this.exchange.cancelOrders({ symbol: this.config.symbol, orderIdList });
} catch (err) {
if (isUnknownOrderError(err)) {
this.tradeLog.push("order", "止损前撤单发现订单已不存在");
} else {
throw err;
}
}
}
await marketClose(
this.exchange,
@@ -322,9 +330,13 @@ export class TrendEngine {
this.config.tradeAmount,
(type, detail) => this.tradeLog.push(type, detail)
);
this.tradeLog.push("close", `止损平仓: ${direction === "long" ? "SELL" : "BUY"}`);
this.tradeLog.push("close", `止损平仓: ${direction === "long" ? "SELL" : "BUY"}`);
} catch (err) {
this.tradeLog.push("error", `止损平仓失败: ${String(err)}`);
if (isUnknownOrderError(err)) {
this.tradeLog.push("order", "止损平仓时目标订单已不存在");
} else {
this.tradeLog.push("error", `止损平仓失败: ${String(err)}`);
}
}
return { closed: true, pnl };
}
@@ -365,7 +377,11 @@ export class TrendEngine {
try {
await this.exchange.cancelOrder({ symbol: this.config.symbol, orderId: currentOrder.orderId });
} catch (err) {
this.tradeLog.push("error", `取消原止损单失败: ${String(err)}`);
if (isUnknownOrderError(err)) {
this.tradeLog.push("order", "原止损单已不存在，跳过撤销");
} else {
this.tradeLog.push("error", `取消原止损单失败: ${String(err)}`);
}
}
await this.tryPlaceStopLoss(side, nextStopPrice, lastPrice);
this.tradeLog.push("stop", `移动止损到 ${nextStopPrice}`);
@@ -401,7 +417,6 @@ export class TrendEngine {
if (handlers) {
handlers.forEach((handler) => handler(snapshot));
}
void this.persistSnapshot(snapshot);
}
private buildSnapshot(): TrendEngineSnapshot {
@@ -431,6 +446,7 @@ export class TrendEngine {
unrealized: position.unrealizedProfit,
totalProfit: this.totalProfit,
totalTrades: this.totalTrades,
sessionVolume: this.sessionQuoteVolume,
tradeLog: this.tradeLog.all(),
openOrders: this.openOrders,
depth: this.depthSnapshot,
@@ -440,49 +456,36 @@ export class TrendEngine {
};
}
private async restoreState(): Promise<void> {
if (this.savedStateApplied) return;
this.savedStateApplied = true;
const state = await loadState<{
totalProfit?: number;
totalTrades?: number;
lastOpenPlan?: OpenOrderPlan;
tradeLog?: TradeLogEntry[];
openOrders?: AsterOrder[];
}>(this.stateFile);
if (!state) return;
if (typeof state.totalProfit === "number") this.totalProfit = state.totalProfit;
if (typeof state.totalTrades === "number") this.totalTrades = state.totalTrades;
if (state.lastOpenPlan) this.lastOpenPlan = state.lastOpenPlan;
if (Array.isArray(state.tradeLog)) this.tradeLog.replace(state.tradeLog);
if (Array.isArray(state.openOrders)) this.savedOpenOrders = state.openOrders;
}
private reconcileSavedOpenOrders(): void {
if (!this.savedOpenOrders.length) return;
const currentIds = new Set(this.openOrders.map((order) => order.orderId));
const missing = this.savedOpenOrders.filter((order) => !currentIds.has(order.orderId));
if (missing.length) {
this.tradeLog.push(
"order",
`检测到 ${missing.length} 个历史挂单与当前状态不符，将按策略逻辑重新挂单`
);
private updateSessionVolume(position: PositionSnapshot): void {
const price = this.getReferencePrice();
if (!this.initializedPosition) {
this.prevPositionAmt = position.positionAmt;
this.initializedPosition = true;
return;
}
this.savedOpenOrders = [];
if (price == null) {
this.prevPositionAmt = position.positionAmt;
return;
}
const delta = Math.abs(position.positionAmt - this.prevPositionAmt);
if (delta > 0) {
this.sessionQuoteVolume += delta * price;
}
this.prevPositionAmt = position.positionAmt;
}
private async persistSnapshot(snapshot: TrendEngineSnapshot): Promise<void> {
const now = Date.now();
if (now - this.lastPersistedAt < 1000) return;
this.lastPersistedAt = now;
await saveState(this.stateFile, {
totalProfit: this.totalProfit,
totalTrades: this.totalTrades,
lastOpenPlan: this.lastOpenPlan,
tradeLog: snapshot.tradeLog,
openOrders: snapshot.openOrders.filter((order) => order.symbol === this.config.symbol),
position: snapshot.position,
timestamp: snapshot.lastUpdated,
});
private getReferencePrice(): number | null {
if (this.tickerSnapshot) {
const last = Number(this.tickerSnapshot.lastPrice);
if (Number.isFinite(last)) return last;
}
if (this.depthSnapshot) {
const bid = Number(this.depthSnapshot.bids?.[0]?.[0]);
const ask = Number(this.depthSnapshot.asks?.[0]?.[0]);
if (Number.isFinite(bid) && Number.isFinite(ask)) return (bid + ask) / 2;
}
if (this.lastPrice != null && Number.isFinite(this.lastPrice)) return this.lastPrice;
return null;
}
}