From f973fe433d061e2fa999ec77377f47f2984a1939 Mon Sep 17 00:00:00 2001 From: discountry Date: Wed, 8 Oct 2025 03:38:21 +0800 Subject: [PATCH] =?UTF-8?q?feat:=20=E6=9B=B4=E6=96=B0=E7=BD=91=E6=A0=BC?= =?UTF-8?q?=E5=BC=95=E6=93=8E=EF=BC=8C=E6=B7=BB=E5=8A=A0=E7=AD=89=E5=BE=85?= =?UTF-8?q?=E5=88=86=E7=B1=BB=E6=9C=BA=E5=88=B6=E4=BB=A5=E5=A4=84=E7=90=86?= =?UTF-8?q?=E8=B4=A6=E6=88=B7=E5=BF=AB=E7=85=A7=E5=90=8E=E7=9A=84=E8=AE=A2?= =?UTF-8?q?=E5=8D=95=E7=8A=B6=E6=80=81=EF=BC=8C=E4=BC=98=E5=8C=96=E5=85=A5?= =?UTF-8?q?=E5=8F=A3=E6=95=B0=E9=87=8F=E9=99=90=E5=88=B6=E4=B8=8E=E8=AE=A2?= =?UTF-8?q?=E5=8D=95=E8=BF=87=E6=BB=A4=E9=80=BB=E8=BE=91?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- src/strategy/grid-engine.ts | 131 ++++++++++++++++++++++++++++++------ 1 file changed, 110 insertions(+), 21 deletions(-) diff --git a/src/strategy/grid-engine.ts b/src/strategy/grid-engine.ts index 810e847..0407f70 100644 --- a/src/strategy/grid-engine.ts +++ b/src/strategy/grid-engine.ts @@ -135,6 +135,7 @@ export class GridEngine { private stopReason: string | null = null; private lastUpdated: number | null = null; private accountVersion = 0; + private awaitingByLevel = new Map(); constructor(private readonly config: GridConfig, private readonly exchange: ExchangeAdapter, options: EngineOptions = {}) { this.tradeLog = createTradeLog(this.config.maxLogEntries); @@ -149,6 +150,12 @@ export class GridEngine { this.stopReason = "配置无效，已暂停网格"; this.log("error", this.stopReason); } + if (this.gridLevels.length === 0) { + this.running = false; + this.stopReason = `网格价位计算失败，模式不支持或参数无效: ${String(this.config.gridMode)}`; + this.log("error", this.stopReason); + this.emitUpdate(); + } this.bootstrap(); } @@ -199,6 +206,9 @@ export class GridEngine { if (!Number.isFinite(this.config.maxPositionSize) || this.config.maxPositionSize <= 0) { return false; } + if (!Number.isFinite(this.config.refreshIntervalMs) || this.config.refreshIntervalMs < 100) { + return false; + } return true; } @@ -294,11 +304,17 @@ export class GridEngine { private synchronizeLocks(orders: AsterOrder[] | null | undefined): void { const list = Array.isArray(orders) ? orders : []; + const FINAL = new Set(["FILLED", "CANCELED", "CANCELLED", "REJECTED", "EXPIRED"]); Object.keys(this.pendings).forEach((type) => { const pendingId = this.pendings[type]; if (!pendingId) return; const match = list.find((order) => String(order.orderId) === pendingId); - if (!match || (match.status && match.status !== "NEW")) { + if (!match) { + unlockOperating(this.locks, this.timers, this.pendings, type); + return; + } + const status = String(match.status || "").toUpperCase(); + if (FINAL.has(status)) { unlockOperating(this.locks, this.timers, this.pendings, type); } }); @@ -397,6 +413,13 @@ export class GridEngine { this.running = false; this.pendingLongLevels.clear(); this.pendingShortLevels.clear(); + this.awaitingByLevel.clear(); + this.closeKeyBySourceLevel.clear(); + this.immediateCloseToPlace = []; + // 仅在不需要自动重启时停止轮询定时器 + if (!this.config.autoRestart) { + this.stop(); + } } private async closePosition(): Promise { @@ -441,11 +464,14 @@ export class GridEngine { this.log("info", "价格重新回到网格区间，恢复网格运行"); this.running = true; this.stopReason = null; + // 重新锚定买卖侧（可选：根据当前价格） + this.sidesLocked = false; + this.tryLockSidesOnce(); this.start(); } private async syncGridSimple(price: number): Promise { - const activeOrders = this.openOrders.filter((o) => o.symbol === this.config.symbol && o.type === "LIMIT"); + const activeOrders = this.openOrders.filter((o) => this.isActiveLimitOrder(o)); // Build lookup for all recent orders by id (including non-active) to read final statuses const allOrdersById = new Map(); for (const o of this.openOrders) { @@ -488,11 +514,14 @@ export class GridEngine { } } if (classified === "unknown") { - const absNow = Math.abs(this.position.positionAmt); - const expectUp = meta.intent === "ENTRY"; // ENTRY should increase abs position; EXIT should decrease - if (expectUp && absNow > this.lastAbsPositionAmt + EPSILON) classified = "filled"; - else if (!expectUp && absNow + EPSILON < this.lastAbsPositionAmt) classified = "filled"; - else classified = "canceled"; // conservative default + // Defer classification until next account snapshot; block ENTRY on that level in the meantime + const level = meta.intent === "EXIT" + ? (meta.sourceLevel ?? this.findSourceForCloseTarget(meta.level, meta.side)) + : meta.level; + this.awaitingByLevel.set(level, { accountVerAtStart: this.accountVersion, absAtStart: this.lastAbsPositionAmt }); + // skip side effects for this disappeared id in this tick + this.orderIntentById.delete(id); + continue; } if (classified === "filled") { if (meta.intent === "ENTRY") { @@ -524,10 +553,38 @@ export class GridEngine { this.closeKeyBySourceLevel.delete(src); } } + // cleanup intent map for this disappeared id to avoid leaks + this.orderIntentById.delete(id); } // Update prevActiveIds for next tick this.prevActiveIds = currIds; + // Resolve deferred unknown classifications after a new account snapshot + if (this.awaitingByLevel.size) { + for (const [level, info] of Array.from(this.awaitingByLevel.entries())) { + if (this.accountVersion <= info.accountVerAtStart) continue; + const absNow = Math.abs(this.position.positionAmt); + if (absNow > info.absAtStart + EPSILON) { + // infer ENTRY filled -> mark level pending + const sideAtLevel = this.levelMeta[level]?.side === "BUY" ? "BUY" : "SELL"; + if (sideAtLevel === "BUY") this.pendingLongLevels.add(level); + else this.pendingShortLevels.add(level); + this.awaitingByLevel.delete(level); + continue; + } + if (absNow + EPSILON < info.absAtStart) { + // infer EXIT filled -> clear pending and close key for source level + this.pendingLongLevels.delete(level); + this.pendingShortLevels.delete(level); + this.closeKeyBySourceLevel.delete(level); + this.awaitingByLevel.delete(level); + continue; + } + // no abs change after new account snapshot -> treat as canceled/no-op + this.awaitingByLevel.delete(level); + } + } + // Desired open orders according to locked sides const desired: DesiredGridOrder[] = []; const desiredKeySet = new Set(); @@ -556,6 +613,7 @@ 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 const key = this.getOrderKey("BUY", this.formatPrice(levelPrice), "ENTRY"); if ((plannedKeyCounts.get(key) ?? 0) >= 1) continue; @@ -570,6 +628,7 @@ 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; const key = this.getOrderKey("SELL", this.formatPrice(levelPrice), "ENTRY"); if ((plannedKeyCounts.get(key) ?? 0) >= 1) continue; @@ -615,12 +674,14 @@ export class GridEngine { for (const d of desired) { const isClose = d.intent === "EXIT" || (d.side === "SELL" && this.isTargetOfPendingLong(d.level)) || (d.side === "BUY" && this.isTargetOfPendingShort(d.level)); const intent: "ENTRY" | "EXIT" = isClose ? "EXIT" : "ENTRY"; - // Cap EXIT quantity to avoid over-closing and accidental flip + // Cap quantities: EXIT by remaining position; ENTRY by maxPositionSize guard if (intent === "EXIT") { const capped = this.capExitQty(d.amount, d.side); - if (capped <= EPSILON) { - continue; - } + if (capped <= EPSILON) continue; + d.amount = capped; + } else { + const capped = this.capEntryQty(d.amount); + if (capped <= EPSILON) continue; d.amount = capped; } const key = this.getOrderKey(d.side, d.price, intent); @@ -677,8 +738,7 @@ export class GridEngine { if (absPos <= EPSILON) return 0; let pendingExitQty = 0; for (const o of this.openOrders) { - if (o.symbol !== this.config.symbol) continue; - if (o.type !== "LIMIT") continue; + if (!this.isActiveLimitOrder(o)) continue; if (o.side !== side) continue; // same side as this EXIT order const meta = this.orderIntentById.get(String(o.orderId)); if (!meta || meta.intent !== "EXIT") continue; @@ -691,6 +751,26 @@ export class GridEngine { return Math.min(desiredQty, remain); } + private estimatePendingEntryQty(): number { + let sum = 0; + for (const o of this.openOrders) { + if (!this.isActiveLimitOrder(o)) continue; + const meta = this.orderIntentById.get(String(o.orderId)); + if (!meta || meta.intent !== "ENTRY") continue; + const orig = Number(o.origQty || 0); + const exec = Number(o.executedQty || 0); + sum += Math.max(orig - exec, 0); + } + return sum; + } + + private capEntryQty(desiredQty: number): number { + const absPos = Math.abs(this.position.positionAmt); + const pendingEntry = this.estimatePendingEntryQty(); + const remain = Math.max(this.config.maxPositionSize - absPos - pendingEntry, 0); + return Math.min(desiredQty, remain); + } + private findSourceForCloseTarget(targetLevel: number, side: "BUY" | "SELL"): number { // side here is reduce-only side at target level; source is opposite side level which maps to this target if (side === "SELL") { @@ -735,8 +815,14 @@ export class GridEngine { const price = lowerPrice * Math.pow(ratio, i); levels.push(Number(price.toFixed(this.priceDecimals))); } + // snap endpoints to exact bounds to avoid drift + if (levels.length) { + levels[0] = Number(lowerPrice.toFixed(this.priceDecimals)); + levels[levels.length - 1] = Number(upperPrice.toFixed(this.priceDecimals)); + } return levels; } + this.log("error", `不支持的网格模式: ${String(this.config.gridMode)}`); return []; } @@ -750,7 +836,7 @@ export class GridEngine { ); const openOrderKeys = new Set( this.openOrders - .filter((order) => order.symbol === this.config.symbol && order.type === "LIMIT") + .filter((order) => this.isActiveLimitOrder(order)) .map((order) => { const id = String(order.orderId); const meta = this.orderIntentById.get(id); @@ -784,7 +870,7 @@ export class GridEngine { midPrice, gridLines, desiredOrders: this.desiredOrders.slice(), - openOrders: this.openOrders.filter((order) => order.symbol === this.config.symbol), + openOrders: this.openOrders.filter((order) => this.isActiveLimitOrder(order)), position: this.position, running: this.running, stopReason: this.running ? null : this.stopReason, @@ -803,6 +889,13 @@ export class GridEngine { return `${side}:${price}:${intent}`; } + private isActiveLimitOrder(o: AsterOrder): boolean { + if (o.symbol !== this.config.symbol) return false; + if (o.type !== "LIMIT") return false; + const s = String(o.status || "").toUpperCase(); + return !["FILLED", "CANCELED", "CANCELLED", "REJECTED", "EXPIRED"].includes(s); + } + private normalizePrice(price: string | number): string { const numeric = Number(price); if (!Number.isFinite(numeric)) return "0"; @@ -829,15 +922,11 @@ export class GridEngine { this.sellLevelIndices.length = 0; if (!this.gridLevels.length) return; const pivotIndex = Math.floor(Math.max(this.gridLevels.length - 1, 0) / 2); - const anchorByLevel = new Map(); const hasReference = Number.isFinite(referencePrice ?? NaN); const pivotPrice = hasReference ? this.clampReferencePrice(Number(referencePrice)) : null; for (let i = 0; i < this.gridLevels.length; i += 1) { let side: "BUY" | "SELL"; - const anchor = anchorByLevel.get(i); - if (anchor) { - side = anchor.side; - } else if (pivotPrice != null) { + if (pivotPrice != null) { side = this.gridLevels[i]! <= pivotPrice + EPSILON ? "BUY" : "SELL"; } else { side = i <= pivotIndex ? "BUY" : "SELL"; @@ -930,7 +1019,7 @@ export class GridEngine { priceStr, Math.abs(qty), this.log, - false, + true, undefined, { priceTick: this.config.priceTick, qtyStep: this.config.qtyStep, skipDedupe: true } );