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feat: 更新网格引擎，增强订单消失处理逻辑，优化平仓订单管理与目标检测

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discountry
2025-10-07 22:26:32 +08:00
parent e524c225f2
commit fef7604490
1 changed files with 30 additions and 11 deletions
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src/strategy/grid-engine.ts
+30 -11
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@@ -490,10 +490,15 @@ export class GridEngine {
}
}
if (handledByCloseTracking) continue;
// Otherwise, treat as an open order disappearance and mark pending
// Otherwise, treat disappearance as potential open fill: confirm by position delta increase
if (meta) {
if (meta.side === "BUY") this.pendingLongLevels.add(meta.level);
else this.pendingShortLevels.add(meta.level);
const absNow = Math.abs(this.position.positionAmt);
if (absNow > this.lastAbsPositionAmt + EPSILON) {
if (meta.side === "BUY") this.pendingLongLevels.add(meta.level);
else this.pendingShortLevels.add(meta.level);
} else {
// Likely canceled or expired; do not mark pending
}
}
}
this.lastOpenOrderKeys = currentKeys;
@@ -511,6 +516,8 @@ export class GridEngine {
for (const level of this.buyLevelIndices) {
const levelPrice = this.gridLevels[level]!;
if (levelPrice >= price - halfTick) continue;
// do not open if this level is currently a close target for any pending source
if (this.isTargetOfPendingShort(level) || this.isTargetOfPendingLong(level)) continue;
if (this.pendingLongLevels.has(level)) continue; // wait until close filled
const key = this.getOrderKey("BUY", this.formatPrice(levelPrice), false);
if (activeKeySet.has(key)) continue; // already has open order
@@ -521,6 +528,7 @@ export class GridEngine {
for (const level of this.sellLevelIndices) {
const levelPrice = this.gridLevels[level]!;
if (levelPrice <= price + halfTick) continue;
if (this.isTargetOfPendingShort(level) || this.isTargetOfPendingLong(level)) continue;
if (this.pendingShortLevels.has(level)) continue;
const key = this.getOrderKey("SELL", this.formatPrice(levelPrice), false);
if (activeKeySet.has(key)) continue;
@@ -532,24 +540,35 @@ export class GridEngine {
const target = this.levelMeta[source]?.closeTarget;
if (target == null) continue;
const priceStr = this.formatPrice(this.gridLevels[target]!);
// always desire a close order; allow placement even if an identical open exists
desired.push({ level: target, side: "SELL", price: priceStr, amount: this.config.orderSize, reduceOnly: false });
const closeKey = this.getOrderKey("SELL", priceStr, false);
if (!activeKeySet.has(closeKey)) {
desired.push({ level: target, side: "SELL", price: priceStr, amount: this.config.orderSize, reduceOnly: false });
} else {
// Map existing identical open as the close so disappearance clears pending
if (!this.closeKeyBySourceLevel.has(source)) {
this.closeKeyBySourceLevel.set(source, closeKey);
}
}
}
for (const source of this.pendingShortLevels) {
const target = this.levelMeta[source]?.closeTarget;
if (target == null) continue;
const priceStr = this.formatPrice(this.gridLevels[target]!);
desired.push({ level: target, side: "BUY", price: priceStr, amount: this.config.orderSize, reduceOnly: false });
const closeKey = this.getOrderKey("BUY", priceStr, false);
if (!activeKeySet.has(closeKey)) {
desired.push({ level: target, side: "BUY", price: priceStr, amount: this.config.orderSize, reduceOnly: false });
} else {
if (!this.closeKeyBySourceLevel.has(source)) {
this.closeKeyBySourceLevel.set(source, closeKey);
}
}
}
// Place desired orders
this.desiredOrders = desired;
for (const d of desired) {
const key = this.getOrderKey(d.side, d.price, d.reduceOnly);
const isCloseDesired =
(d.side === "SELL" && this.isTargetOfPendingLong(d.level)) ||
(d.side === "BUY" && this.isTargetOfPendingShort(d.level));
if (activeKeySet.has(key) && !isCloseDesired) continue;
if (activeKeySet.has(key)) continue;
try {
const placed = await placeOrder(
this.exchange,
@@ -566,7 +585,7 @@ export class GridEngine {
undefined,
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep, skipDedupe: true }
);
if (placed && isCloseDesired) {
if (placed && ((d.side === "SELL" && this.isTargetOfPendingLong(d.level)) || (d.side === "BUY" && this.isTargetOfPendingShort(d.level)))) {
this.closeKeyBySourceLevel.set(
this.findSourceForCloseTarget(d.level, d.side),
key