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feat: 优化 Lighter 适配器的订单簿处理逻辑，添加排序和限制深度功能

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discountry
2025-10-03 16:06:31 +08:00
parent 263cbd7c21
commit f8a87f4557
1 changed files with 20 additions and 4 deletions
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src/exchanges/lighter/gateway.ts
+20 -4
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@@ -541,8 +541,8 @@ export class LighterGateway {
const snapshot: LighterOrderBookSnapshot = { const snapshot: LighterOrderBookSnapshot = {
market_id: this.marketId ?? 0, market_id: this.marketId ?? 0,
offset: message.order_book.offset ?? Date.now(), offset: message.order_book.offset ?? Date.now(),
bids: normalizeLevels(message.order_book.bids ?? []), bids: sortAndTrimLevels(normalizeLevels(message.order_book.bids ?? []), "bid"),
asks: normalizeLevels(message.order_book.asks ?? []), asks: sortAndTrimLevels(normalizeLevels(message.order_book.asks ?? []), "ask"),
}; };
this.orderBook = snapshot; this.orderBook = snapshot;
this.lastOrderBookOffset = snapshot.offset ?? incomingOffset ?? this.lastOrderBookOffset; this.lastOrderBookOffset = snapshot.offset ?? incomingOffset ?? this.lastOrderBookOffset;
@@ -564,11 +564,11 @@ export class LighterGateway {
if (!update) return; if (!update) return;
if (Array.isArray(update.asks)) { if (Array.isArray(update.asks)) {
const asks = normalizeLevels(update.asks); const asks = normalizeLevels(update.asks);
this.orderBook.asks = mergeLevels(this.orderBook.asks ?? [], asks); this.orderBook.asks = sortAndTrimLevels(mergeLevels(this.orderBook.asks ?? [], asks), "ask");
} }
if (Array.isArray(update.bids)) { if (Array.isArray(update.bids)) {
const bids = normalizeLevels(update.bids); const bids = normalizeLevels(update.bids);
this.orderBook.bids = mergeLevels(this.orderBook.bids ?? [], bids); this.orderBook.bids = sortAndTrimLevels(mergeLevels(this.orderBook.bids ?? [], bids), "bid");
} }
this.orderBook.offset = update.offset ?? this.orderBook.offset; this.orderBook.offset = update.offset ?? this.orderBook.offset;
this.lastOrderBookOffset = Number(this.orderBook.offset ?? incomingOffset ?? this.lastOrderBookOffset); this.lastOrderBookOffset = Number(this.orderBook.offset ?? incomingOffset ?? this.lastOrderBookOffset);
@@ -892,6 +892,22 @@ function normalizeLevels(raw: Array<LighterOrderBookLevel | [string | number, st
.filter((lvl) => lvl.price != null && lvl.size != null); .filter((lvl) => lvl.price != null && lvl.size != null);
} }
// Ensure correct side ordering and limit depth size
function sortAndTrimLevels(
levels: LighterOrderBookLevel[] | undefined,
side: "bid" | "ask",
limit: number = 200
): LighterOrderBookLevel[] {
const list = Array.isArray(levels) ? levels.slice() : [];
list.sort((a, b) => {
const pa = Number(a.price);
const pb = Number(b.price);
if (!Number.isFinite(pa) || !Number.isFinite(pb)) return 0;
return side === "bid" ? pb - pa : pa - pb;
});
return list.slice(0, Math.max(1, limit));
}
function mapOrderType(type: OrderType): number { function mapOrderType(type: OrderType): number {
switch (type) { switch (type) {
case "MARKET": case "MARKET":