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新增 OffsetMakerEngine 和 OffsetMakerApp，支持根据盘口深度自动偏移挂单并在极端不平衡时撤退；更新 MakerEngine，优化撤单逻辑以清理已成交的挂单。
This commit is contained in:
discountry
@@ -0,0 +1,552 @@
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import type { MakerConfig } from "../config";
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import type { ExchangeAdapter } from "../exchanges/adapter";
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import type {
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AsterAccountSnapshot,
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AsterDepth,
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AsterOrder,
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AsterTicker,
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} from "../exchanges/types";
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import { toPrice1Decimal } from "../utils/math";
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import { createTradeLog } from "../state/trade-log";
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import { isUnknownOrderError } from "../utils/errors";
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import { getPosition, type PositionSnapshot } from "../utils/strategy";
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import {
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marketClose,
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placeOrder,
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unlockOperating,
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} from "./order-coordinator";
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import type { OrderLockMap, OrderPendingMap, OrderTimerMap } from "./order-coordinator";
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import type { MakerEngineSnapshot } from "./maker-engine";
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interface DesiredOrder {
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side: "BUY" | "SELL";
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price: number;
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amount: number;
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reduceOnly: boolean;
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}
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export interface OffsetMakerEngineSnapshot extends MakerEngineSnapshot {
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buyDepthSum10: number;
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sellDepthSum10: number;
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depthImbalance: "balanced" | "buy_dominant" | "sell_dominant";
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skipBuySide: boolean;
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skipSellSide: boolean;
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}
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type MakerEvent = "update";
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type MakerListener = (snapshot: OffsetMakerEngineSnapshot) => void;
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const EPS = 1e-5;
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export class OffsetMakerEngine {
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private accountSnapshot: AsterAccountSnapshot | null = null;
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private depthSnapshot: AsterDepth | null = null;
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private tickerSnapshot: AsterTicker | null = null;
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private openOrders: AsterOrder[] = [];
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private readonly locks: OrderLockMap = {};
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private readonly timers: OrderTimerMap = {};
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private readonly pending: OrderPendingMap = {};
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private readonly pendingCancelOrders = new Set<number>();
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private readonly tradeLog: ReturnType<typeof createTradeLog>;
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private readonly listeners = new Map<MakerEvent, Set<MakerListener>>();
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private timer: ReturnType<typeof setInterval> | null = null;
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private processing = false;
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private desiredOrders: DesiredOrder[] = [];
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private accountUnrealized = 0;
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private sessionQuoteVolume = 0;
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private prevPositionAmt = 0;
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private initializedPosition = false;
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private initialOrderSnapshotReady = false;
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private initialOrderResetDone = false;
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private entryPricePendingLogged = false;
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private lastBuyDepthSum10 = 0;
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private lastSellDepthSum10 = 0;
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private lastSkipBuy = false;
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private lastSkipSell = false;
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private lastImbalance: "balanced" | "buy_dominant" | "sell_dominant" = "balanced";
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constructor(private readonly config: MakerConfig, private readonly exchange: ExchangeAdapter) {
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this.tradeLog = createTradeLog(this.config.maxLogEntries);
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this.bootstrap();
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}
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start(): void {
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if (this.timer) return;
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this.timer = setInterval(() => {
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void this.tick();
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}, this.config.refreshIntervalMs);
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}
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stop(): void {
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if (this.timer) {
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clearInterval(this.timer);
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this.timer = null;
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}
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}
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on(event: MakerEvent, handler: MakerListener): void {
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const handlers = this.listeners.get(event) ?? new Set<MakerListener>();
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handlers.add(handler);
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this.listeners.set(event, handlers);
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}
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off(event: MakerEvent, handler: MakerListener): void {
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const handlers = this.listeners.get(event);
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if (!handlers) return;
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handlers.delete(handler);
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if (handlers.size === 0) {
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this.listeners.delete(event);
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}
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}
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getSnapshot(): OffsetMakerEngineSnapshot {
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return this.buildSnapshot();
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}
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private bootstrap(): void {
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this.exchange.watchAccount((snapshot) => {
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this.accountSnapshot = snapshot;
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const totalUnrealized = Number(snapshot.totalUnrealizedProfit ?? "0");
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if (Number.isFinite(totalUnrealized)) {
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this.accountUnrealized = totalUnrealized;
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}
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const position = getPosition(snapshot, this.config.symbol);
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this.updateSessionVolume(position);
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this.emitUpdate();
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});
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this.exchange.watchOrders((orders) => {
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this.syncLocksWithOrders(orders);
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this.openOrders = Array.isArray(orders)
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? orders.filter((order) => order.type !== "MARKET" && order.symbol === this.config.symbol)
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: [];
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const currentIds = new Set(this.openOrders.map((order) => order.orderId));
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for (const id of Array.from(this.pendingCancelOrders)) {
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if (!currentIds.has(id)) {
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this.pendingCancelOrders.delete(id);
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}
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}
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this.initialOrderSnapshotReady = true;
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this.emitUpdate();
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});
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this.exchange.watchDepth(this.config.symbol, (depth) => {
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this.depthSnapshot = depth;
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this.emitUpdate();
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});
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this.exchange.watchTicker(this.config.symbol, (ticker) => {
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this.tickerSnapshot = ticker;
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this.emitUpdate();
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});
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this.exchange.watchKlines(this.config.symbol, "1m", () => {
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/* no-op */
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});
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}
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private syncLocksWithOrders(orders: AsterOrder[]): void {
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Object.keys(this.pending).forEach((type) => {
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const pendingId = this.pending[type];
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if (!pendingId) return;
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const match = orders.find((order) => String(order.orderId) === pendingId);
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if (!match || (match.status && match.status !== "NEW" && match.status !== "PARTIALLY_FILLED")) {
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unlockOperating(this.locks, this.timers, this.pending, type);
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}
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});
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}
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private isReady(): boolean {
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return Boolean(this.accountSnapshot && this.depthSnapshot);
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}
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private async tick(): Promise<void> {
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if (this.processing) return;
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this.processing = true;
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try {
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if (!this.isReady()) {
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this.emitUpdate();
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return;
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}
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if (!(await this.ensureStartupOrderReset())) {
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this.emitUpdate();
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return;
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}
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const depth = this.depthSnapshot!;
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const bidLevel = depth.bids?.[0];
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const askLevel = depth.asks?.[0];
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const topBid = bidLevel ? Number(bidLevel[0]) : undefined;
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const topAsk = askLevel ? Number(askLevel[0]) : undefined;
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if (!Number.isFinite(topBid) || !Number.isFinite(topAsk)) {
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this.emitUpdate();
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return;
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}
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const { buySum, sellSum, skipBuySide, skipSellSide, imbalance } = this.evaluateDepth(depth);
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this.lastBuyDepthSum10 = buySum;
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this.lastSellDepthSum10 = sellSum;
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this.lastSkipBuy = skipBuySide;
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this.lastSkipSell = skipSellSide;
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this.lastImbalance = imbalance;
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const position = getPosition(this.accountSnapshot, this.config.symbol);
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const handledImbalance = await this.handleImbalanceExit(position, buySum, sellSum);
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if (handledImbalance) {
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this.emitUpdate();
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return;
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}
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const bidPrice = toPrice1Decimal(topBid! - this.config.bidOffset);
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const askPrice = toPrice1Decimal(topAsk! + this.config.askOffset);
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const absPosition = Math.abs(position.positionAmt);
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const desired: DesiredOrder[] = [];
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if (absPosition < EPS) {
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this.entryPricePendingLogged = false;
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if (!skipBuySide) {
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desired.push({ side: "BUY", price: bidPrice, amount: this.config.tradeAmount, reduceOnly: false });
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}
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if (!skipSellSide) {
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desired.push({ side: "SELL", price: askPrice, amount: this.config.tradeAmount, reduceOnly: false });
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}
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} else {
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const closeSide: "BUY" | "SELL" = position.positionAmt > 0 ? "SELL" : "BUY";
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const closePrice = closeSide === "SELL" ? askPrice : bidPrice;
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desired.push({ side: closeSide, price: closePrice, amount: absPosition, reduceOnly: true });
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}
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this.desiredOrders = desired;
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this.updateSessionVolume(position);
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await this.syncOrders(desired);
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await this.checkRisk(position, bidPrice, askPrice);
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this.emitUpdate();
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} catch (error) {
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this.tradeLog.push("error", `偏移做市循环异常: ${String(error)}`);
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this.emitUpdate();
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} finally {
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this.processing = false;
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}
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}
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private async ensureStartupOrderReset(): Promise<boolean> {
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if (this.initialOrderResetDone) return true;
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if (!this.initialOrderSnapshotReady) return false;
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if (!this.openOrders.length) {
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this.initialOrderResetDone = true;
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return true;
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}
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try {
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await this.exchange.cancelAllOrders({ symbol: this.config.symbol });
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this.pendingCancelOrders.clear();
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unlockOperating(this.locks, this.timers, this.pending, "LIMIT");
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this.openOrders = [];
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this.emitUpdate();
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this.tradeLog.push("order", "启动时清理历史挂单");
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this.initialOrderResetDone = true;
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return true;
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} catch (error) {
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if (isUnknownOrderError(error)) {
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this.tradeLog.push("order", "历史挂单已消失，跳过启动清理");
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this.initialOrderResetDone = true;
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this.openOrders = [];
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this.emitUpdate();
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return true;
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}
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this.tradeLog.push("error", `启动撤单失败: ${String(error)}`);
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return false;
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}
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}
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private evaluateDepth(depth: AsterDepth): {
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buySum: number;
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sellSum: number;
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skipBuySide: boolean;
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skipSellSide: boolean;
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imbalance: "balanced" | "buy_dominant" | "sell_dominant";
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} {
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const topBids = (depth.bids ?? []).slice(0, 10);
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const topAsks = (depth.asks ?? []).slice(0, 10);
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const buySum = topBids.reduce((total, [price, qty]) => {
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const size = Number(qty);
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return Number.isFinite(size) ? total + size : total;
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}, 0);
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const sellSum = topAsks.reduce((total, [price, qty]) => {
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const size = Number(qty);
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return Number.isFinite(size) ? total + size : total;
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}, 0);
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const skipSellSide = sellSum === 0 || sellSum * 3 < buySum;
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const skipBuySide = buySum === 0 || buySum * 3 < sellSum;
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let imbalance: "balanced" | "buy_dominant" | "sell_dominant" = "balanced";
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if (buySum > sellSum * 3) {
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imbalance = "buy_dominant";
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} else if (sellSum > buySum * 3) {
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imbalance = "sell_dominant";
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}
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return { buySum, sellSum, skipBuySide, skipSellSide, imbalance };
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}
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private async handleImbalanceExit(
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position: PositionSnapshot,
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buySum: number,
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sellSum: number
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): Promise<boolean> {
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const absPosition = Math.abs(position.positionAmt);
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if (absPosition < EPS) return false;
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const longExitRequired = position.positionAmt > 0 && (buySum === 0 || buySum * 5 < sellSum);
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const shortExitRequired = position.positionAmt < 0 && (sellSum === 0 || sellSum * 5 < buySum);
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if (!longExitRequired && !shortExitRequired) return false;
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const side: "BUY" | "SELL" = position.positionAmt > 0 ? "SELL" : "BUY";
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this.tradeLog.push(
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"stop",
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`深度极端不平衡(${buySum.toFixed(4)} vs ${sellSum.toFixed(4)}), 市价平仓 ${side}`
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);
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try {
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await this.flushOrders();
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await marketClose(
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this.exchange,
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this.config.symbol,
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this.openOrders,
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this.locks,
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this.timers,
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this.pending,
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side,
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absPosition,
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(type, detail) => this.tradeLog.push(type, detail)
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);
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} catch (error) {
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if (isUnknownOrderError(error)) {
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this.tradeLog.push("order", "深度不平衡平仓时订单已不存在");
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} else {
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this.tradeLog.push("error", `深度不平衡平仓失败: ${String(error)}`);
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}
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}
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return true;
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}
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private async syncOrders(targets: DesiredOrder[]): Promise<void> {
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const tolerance = this.config.priceChaseThreshold;
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const unmatched = new Set(targets.map((_, idx) => idx));
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const toCancel: AsterOrder[] = [];
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for (const order of this.openOrders) {
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const price = Number(order.price);
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if (!Number.isFinite(price)) {
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toCancel.push(order);
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continue;
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}
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const reduceOnly = order.reduceOnly === true;
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if (this.pendingCancelOrders.has(order.orderId)) {
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continue;
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}
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const matchedIndex = targets.findIndex((target, index) => {
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if (!unmatched.has(index)) return false;
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if (target.side !== order.side) return false;
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if (target.reduceOnly !== reduceOnly) return false;
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return Math.abs(price - target.price) <= tolerance;
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});
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if (matchedIndex >= 0) {
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unmatched.delete(matchedIndex);
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continue;
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}
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toCancel.push(order);
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}
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for (const order of toCancel) {
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this.pendingCancelOrders.add(order.orderId);
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try {
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await this.exchange.cancelOrder({ symbol: this.config.symbol, orderId: order.orderId });
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this.tradeLog.push("order", `撤销不匹配订单 ${order.side} @ ${order.price} reduceOnly=${order.reduceOnly}`);
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} catch (error) {
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if (isUnknownOrderError(error)) {
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this.tradeLog.push("order", "撤销时发现订单已被成交/取消，忽略");
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this.pendingCancelOrders.delete(order.orderId);
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this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
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} else {
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this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
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this.pendingCancelOrders.delete(order.orderId);
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}
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}
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}
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for (const index of unmatched) {
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const target = targets[index];
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if (!target) continue;
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if (target.amount < EPS) continue;
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try {
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await placeOrder(
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this.exchange,
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this.config.symbol,
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this.openOrders,
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this.locks,
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this.timers,
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this.pending,
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target.side,
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target.price,
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target.amount,
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(type, detail) => this.tradeLog.push(type, detail),
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target.reduceOnly
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);
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} catch (error) {
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this.tradeLog.push("error", `挂单失败(${target.side} ${target.price}): ${String(error)}`);
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}
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}
|
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}
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private async checkRisk(position: PositionSnapshot, bidPrice: number, askPrice: number): Promise<void> {
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const absPosition = Math.abs(position.positionAmt);
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if (absPosition < EPS) return;
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const hasEntryPrice = Number.isFinite(position.entryPrice) && Math.abs(position.entryPrice) > 1e-8;
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if (!hasEntryPrice) {
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if (!this.entryPricePendingLogged) {
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this.tradeLog.push("info", "做市持仓均价未同步，等待账户快照刷新后再执行止损判断");
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this.entryPricePendingLogged = true;
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}
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return;
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}
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this.entryPricePendingLogged = false;
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const pnl = position.positionAmt > 0
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? (bidPrice - position.entryPrice) * absPosition
|
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: (position.entryPrice - askPrice) * absPosition;
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const unrealized = Number.isFinite(position.unrealizedProfit)
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? position.unrealizedProfit
|
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: null;
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const derivedLoss = pnl < -this.config.lossLimit;
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const snapshotLoss = Boolean(
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unrealized != null &&
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unrealized < -this.config.lossLimit &&
|
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pnl <= 0
|
||||
);
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if (derivedLoss || snapshotLoss) {
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this.tradeLog.push(
|
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"stop",
|
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`触发止损，方向=${position.positionAmt > 0 ? "多" : "空"} 当前亏损=${pnl.toFixed(4)} USDT`
|
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);
|
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try {
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await this.flushOrders();
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await marketClose(
|
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this.exchange,
|
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this.config.symbol,
|
||||
this.openOrders,
|
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this.locks,
|
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this.timers,
|
||||
this.pending,
|
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position.positionAmt > 0 ? "SELL" : "BUY",
|
||||
absPosition,
|
||||
(type, detail) => this.tradeLog.push(type, detail)
|
||||
);
|
||||
} catch (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)}`);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private async flushOrders(): Promise<void> {
|
||||
if (!this.openOrders.length) return;
|
||||
for (const order of this.openOrders) {
|
||||
if (this.pendingCancelOrders.has(order.orderId)) continue;
|
||||
this.pendingCancelOrders.add(order.orderId);
|
||||
try {
|
||||
await this.exchange.cancelOrder({ symbol: this.config.symbol, orderId: order.orderId });
|
||||
} catch (error) {
|
||||
if (isUnknownOrderError(error)) {
|
||||
this.tradeLog.push("order", "订单已不存在，撤销跳过");
|
||||
this.pendingCancelOrders.delete(order.orderId);
|
||||
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
||||
} else {
|
||||
this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
|
||||
this.pendingCancelOrders.delete(order.orderId);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private emitUpdate(): void {
|
||||
const snapshot = this.buildSnapshot();
|
||||
const handlers = this.listeners.get("update");
|
||||
if (handlers) {
|
||||
handlers.forEach((handler) => handler(snapshot));
|
||||
}
|
||||
}
|
||||
|
||||
private buildSnapshot(): OffsetMakerEngineSnapshot {
|
||||
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
||||
const bid = this.depthSnapshot?.bids?.[0]?.[0];
|
||||
const ask = this.depthSnapshot?.asks?.[0]?.[0];
|
||||
const bidNum = Number(bid);
|
||||
const askNum = Number(ask);
|
||||
const spread = Number.isFinite(bidNum) && Number.isFinite(askNum) ? askNum - bidNum : null;
|
||||
const priceForPnl = position.positionAmt > 0 ? bidNum : askNum;
|
||||
const pnl = Number.isFinite(priceForPnl)
|
||||
? (position.positionAmt > 0
|
||||
? (priceForPnl! - position.entryPrice) * Math.abs(position.positionAmt)
|
||||
: (position.entryPrice - priceForPnl!) * Math.abs(position.positionAmt))
|
||||
: 0;
|
||||
|
||||
return {
|
||||
ready: this.isReady(),
|
||||
symbol: this.config.symbol,
|
||||
topBid: Number.isFinite(bidNum) ? bidNum : null,
|
||||
topAsk: Number.isFinite(askNum) ? askNum : null,
|
||||
spread,
|
||||
position,
|
||||
pnl,
|
||||
accountUnrealized: this.accountUnrealized,
|
||||
sessionVolume: this.sessionQuoteVolume,
|
||||
openOrders: this.openOrders,
|
||||
desiredOrders: this.desiredOrders,
|
||||
tradeLog: this.tradeLog.all(),
|
||||
lastUpdated: Date.now(),
|
||||
buyDepthSum10: this.lastBuyDepthSum10,
|
||||
sellDepthSum10: this.lastSellDepthSum10,
|
||||
depthImbalance: this.lastImbalance,
|
||||
skipBuySide: this.lastSkipBuy,
|
||||
skipSellSide: this.lastSkipSell,
|
||||
};
|
||||
}
|
||||
|
||||
private updateSessionVolume(position: PositionSnapshot): void {
|
||||
const price = this.getReferencePrice();
|
||||
if (!this.initializedPosition) {
|
||||
this.prevPositionAmt = position.positionAmt;
|
||||
this.initializedPosition = true;
|
||||
return;
|
||||
}
|
||||
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 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;
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user