Enhance Binance depth health monitoring and defense mode logic

- Updated translations for Binance depth status messages to include depth window information.
- Modified `MakerPointsEngine` to incorporate health checks for the Binance depth tracker, including handling of unhealthy states.
- Improved defense mode activation logic to respond to Binance depth health status, ensuring appropriate logging and notifications.
- Added integration tests for defense mode behavior based on Binance depth health, validating transitions into and out of defense mode.
- Refactored `BinanceDepthTracker` to support health checks and improved connection management.

src/i18n/index.ts

@@ -248,8 +248,8 @@ const translations: Record<string, TranslationEntry> = {
     en: "Quote mode: {mode} | BUY {buy} | SELL {sell}",
   },
   "makerPoints.binanceLine": {
-    zh: "Binance 深度: 买10 {buy} ｜ 卖10 {sell} ｜ 状态: {status}",
-    en: "Binance depth: bid10 {buy} | ask10 {sell} | Status: {status}",
+    zh: "Binance 深度(±9bps): 买 {buy} ｜ 卖 {sell} ｜ 状态: {status}",
+    en: "Binance depth (±9bps): bid {buy} | ask {sell} | Status: {status}",
   },
   "makerPoints.bandDepthLine": {
     zh: "StandX 档位 {band}bps 深度: 买 {buy} ｜ 卖 {sell}",

src/strategy/common/binance-depth.ts

@@ -1,28 +1,29 @@
 import NodeWebSocket from "ws";
-import { computeDepthStats, type DepthImbalance } from "../../utils/depth";
+import type { AsterDepthLevel } from "../../exchanges/types";
+import type { DepthImbalance } from "../../utils/depth";
 
 const WebSocketCtor: typeof globalThis.WebSocket =
   typeof globalThis.WebSocket !== "undefined"
     ? globalThis.WebSocket
     : ((NodeWebSocket as unknown) as typeof globalThis.WebSocket);
 
-const DEFAULT_BASE_URL = "wss://stream.binance.com:9443/ws";
+const DEFAULT_WS_BASE_URL = "wss://stream.binance.com:9443/ws";
+const DEFAULT_REST_BASE_URL = "https://api.binance.com";
 
-// ========== Binance WebSocket 连接管理常量 ==========
-// Binance 会发送 ping，若长时间无消息则认为连接异常
-// 我们设置 5 分钟作为心跳超时阈值（保守值）
 const HEARTBEAT_TIMEOUT_MS = 5 * 60 * 1000;
-// 心跳检查间隔（每 30 秒检查一次）
 const HEARTBEAT_CHECK_INTERVAL_MS = 30_000;
-// Binance 连接最长有效期 24 小时，我们设置 23 小时主动重连
 const MAX_CONNECTION_DURATION_MS = 23 * 60 * 60 * 1000;
-// 数据过时阈值（毫秒）- 超过此时间未收到数据，标记为不可用
 const DATA_STALE_THRESHOLD_MS = 5_000;
-// 基础重连延迟
 const RECONNECT_DELAY_BASE_MS = 3000;
-// 最大重连延迟
 const RECONNECT_DELAY_MAX_MS = 60_000;
 
+const DEFAULT_REFRESH_SYNC_INTERVAL_MS = 30_000;
+const DEFAULT_DEPTH_WINDOW_BPS = 9;
+const DEFAULT_IMBALANCE_RATIO = 9;
+const MAX_BUFFER_SIZE = 5000;
+const SYNC_SNAPSHOT_MAX_RETRIES = 5;
+const REST_FAILURE_DEFENSE_THRESHOLD = 1;
+
 export type BinanceConnectionState = "connected" | "disconnected" | "stale";
 
 export interface BinanceDepthSnapshot {
@@ -33,49 +34,91 @@ export interface BinanceDepthSnapshot {
   skipSellSide: boolean;
   imbalance: DepthImbalance;
   updatedAt: number;
+  windowBps: number;
+  localLastUpdateId: number;
+}
+
+export interface BinanceDepthHealth {
+  started: boolean;
+  connected: boolean;
+  orderBookReady: boolean;
+  restHealthy: boolean;
+  healthy: boolean;
+  reason: string | null;
+  lastEventAt: number;
+  lastSnapshotAt: number;
+  lastRestSyncAt: number;
+  localLastUpdateId: number;
 }
 
 export type BinanceConnectionListener = (state: BinanceConnectionState) => void;
 
+interface DepthUpdateEvent {
+  U: number;
+  u: number;
+  bids: AsterDepthLevel[];
+  asks: AsterDepthLevel[];
+}
+
+interface DepthSnapshotResponse {
+  lastUpdateId: number;
+  bids: AsterDepthLevel[];
+  asks: AsterDepthLevel[];
+}
+
 export class BinanceDepthTracker {
   private ws: WebSocket | null = null;
   private reconnectTimer: ReturnType<typeof setTimeout> | null = null;
   private reconnectDelayMs = RECONNECT_DELAY_BASE_MS;
   private stopped = false;
+  private started = false;
+
   private snapshot: BinanceDepthSnapshot | null = null;
   private listeners = new Set<(snapshot: BinanceDepthSnapshot) => void>();
   private connectionListeners = new Set<BinanceConnectionListener>();
 
-  // ========== 心跳与连接管理 ==========
-  // 上次收到消息的时间戳
   private lastMessageTime = 0;
-  // 心跳检查定时器
   private heartbeatTimer: ReturnType<typeof setInterval> | null = null;
-  // 连接建立时间（用于日志记录）
-  // eslint-disable-next-line @typescript-eslint/no-unused-vars
-  private connectionStartTime = 0;
-  // 24 小时重连定时器
   private maxDurationTimer: ReturnType<typeof setTimeout> | null = null;
-  // 当前连接状态
+  private refreshSyncTimer: ReturnType<typeof setInterval> | null = null;
   private connectionState: BinanceConnectionState = "disconnected";
 
+  private bidBook = new Map<string, number>();
+  private askBook = new Map<string, number>();
+  private localLastUpdateId = 0;
+  private orderBookReady = false;
+  private eventBuffer: DepthUpdateEvent[] = [];
+  private syncInFlight: Promise<void> | null = null;
+
+  private lastEventAt = 0;
+  private lastSnapshotAt = 0;
+  private lastRestSyncAt = 0;
+  private restConsecutiveFailures = 0;
+  private restLastError: string | null = null;
+
   constructor(
     private readonly symbol: string,
     private readonly options?: {
       baseUrl?: string;
+      restBaseUrl?: string;
       levels?: number;
       ratio?: number;
       speedMs?: number;
+      depthWindowBps?: number;
+      refreshSyncMs?: number;
       logger?: (context: string, error: unknown) => void;
     }
   ) {}
 
   start(): void {
+    this.started = true;
     this.stopped = false;
     this.connect();
+    this.startRefreshSyncTimer();
   }
 
   stop(): void {
+    this.started = false;
     this.stopped = true;
     this.cleanup();
   }
@@ -88,9 +131,6 @@ export class BinanceDepthTracker {
     this.listeners.delete(handler);
   }
 
-  /**
-   * 监听连接状态变化
-   */
   onConnectionChange(handler: BinanceConnectionListener): void {
     this.connectionListeners.add(handler);
   }
@@ -103,69 +143,111 @@ export class BinanceDepthTracker {
     return this.snapshot ? { ...this.snapshot } : null;
   }
 
-  /**
-   * 获取当前连接状态
-   */
   getConnectionState(): BinanceConnectionState {
     return this.connectionState;
   }
 
-  /**
-   * 检查数据是否过时
-   */
   isDataStale(): boolean {
     if (!this.snapshot) return true;
     return Date.now() - this.snapshot.updatedAt > DATA_STALE_THRESHOLD_MS;
   }
 
+  isHealthy(): boolean {
+    return this.getHealth().healthy;
+  }
+
+  getHealth(): BinanceDepthHealth {
+    if (!this.started) {
+      return {
+        started: false,
+        connected: false,
+        orderBookReady: false,
+        restHealthy: true,
+        healthy: true,
+        reason: null,
+        lastEventAt: this.lastEventAt,
+        lastSnapshotAt: this.lastSnapshotAt,
+        lastRestSyncAt: this.lastRestSyncAt,
+        localLastUpdateId: this.localLastUpdateId,
+      };
+    }
+
+    const restHealthy = this.restConsecutiveFailures < REST_FAILURE_DEFENSE_THRESHOLD;
+    let reason: string | null = null;
+
+    if (this.connectionState !== "connected") {
+      reason = `ws_${this.connectionState}`;
+    } else if (!this.orderBookReady) {
+      reason = "orderbook_not_ready";
+    } else if (this.isDataStale()) {
+      reason = "orderbook_stale";
+    } else if (!restHealthy) {
+      reason = this.restLastError ? `rest_sync_failed:${this.restLastError}` : "rest_sync_failed";
+    }
+
+    return {
+      started: true,
+      connected: this.connectionState === "connected",
+      orderBookReady: this.orderBookReady,
+      restHealthy,
+      healthy: reason == null,
+      reason,
+      lastEventAt: this.lastEventAt,
+      lastSnapshotAt: this.lastSnapshotAt,
+      lastRestSyncAt: this.lastRestSyncAt,
+      localLastUpdateId: this.localLastUpdateId,
+    };
+  }
+
   private cleanup(): void {
-    // 停止心跳监控
     if (this.heartbeatTimer) {
       clearInterval(this.heartbeatTimer);
       this.heartbeatTimer = null;
     }
-    // 停止 24 小时重连定时器
     if (this.maxDurationTimer) {
       clearTimeout(this.maxDurationTimer);
       this.maxDurationTimer = null;
     }
-    // 停止重连定时器
+    if (this.refreshSyncTimer) {
+      clearInterval(this.refreshSyncTimer);
+      this.refreshSyncTimer = null;
+    }
     if (this.reconnectTimer) {
       clearTimeout(this.reconnectTimer);
       this.reconnectTimer = null;
     }
-    // 关闭 WebSocket
     if (this.ws) {
       try {
         this.ws.close();
       } catch {
-        // Ignore close errors
+        // ignore close errors
       }
       this.ws = null;
     }
+    this.updateConnectionState("disconnected");
   }
 
   private connect(): void {
     if (this.ws || this.stopped) return;
-    const url = this.buildUrl();
+    const url = this.buildWsUrl();
     this.ws = new WebSocketCtor(url);
 
     const handleOpen = () => {
       this.reconnectDelayMs = RECONNECT_DELAY_BASE_MS;
-      this.connectionStartTime = Date.now();
       this.lastMessageTime = Date.now();
+      this.lastEventAt = Date.now();
+      this.orderBookReady = false;
+      this.eventBuffer = [];
       this.updateConnectionState("connected");
-
-      // 启动心跳监控
       this.startHeartbeatMonitor();
-      // 启动 24 小时自动重连定时器
       this.startMaxDurationTimer();
-
       this.options?.logger?.("binanceDepth", "WebSocket connected");
     };
 
     const handleClose = () => {
       this.ws = null;
+      this.orderBookReady = false;
+      this.eventBuffer = [];
       this.stopHeartbeatMonitor();
       this.stopMaxDurationTimer();
       this.updateConnectionState("disconnected");
@@ -178,7 +260,6 @@ export class BinanceDepthTracker {
 
     const handleError = (error: unknown) => {
       this.options?.logger?.("binanceDepth", error);
-      // 如果连接从未成功建立，需要清理并重连
       if (this.ws && this.connectionState === "disconnected") {
         this.ws = null;
         this.scheduleReconnect();
@@ -187,20 +268,18 @@ export class BinanceDepthTracker {
 
     const handleMessage = (event: { data: unknown }) => {
       this.lastMessageTime = Date.now();
-      // 如果之前是 stale 状态，恢复为 connected
+      this.lastEventAt = Date.now();
       if (this.connectionState === "stale") {
         this.updateConnectionState("connected");
       }
       this.handlePayload(event.data);
     };
 
-    // 处理 Binance 服务器的 ping 帧
-    // 根据文档：必须尽快回复 pong，payload 为 ping 的 payload 副本
     const handlePing = (data: unknown) => {
       this.lastMessageTime = Date.now();
       if (this.ws && "pong" in this.ws && typeof this.ws.pong === "function") {
         try {
-          this.ws.pong(data as any);
+          this.ws.pong(data as never);
         } catch (error) {
           this.options?.logger?.("binanceDepth pong", error);
         }
@@ -209,33 +288,40 @@ export class BinanceDepthTracker {
 
     if ("addEventListener" in this.ws && typeof this.ws.addEventListener === "function") {
       this.ws.addEventListener("open", handleOpen);
-      this.ws.addEventListener("message", handleMessage as any);
+      this.ws.addEventListener("message", handleMessage as never);
       this.ws.addEventListener("close", handleClose);
-      this.ws.addEventListener("error", handleError as any);
-      this.ws.addEventListener("ping", handlePing as any);
-    } else if ("on" in this.ws && typeof (this.ws as any).on === "function") {
-      const nodeSocket = this.ws as any;
+      this.ws.addEventListener("error", handleError as never);
+      this.ws.addEventListener("ping", handlePing as never);
+    } else if ("on" in this.ws && typeof (this.ws as { on?: unknown }).on === "function") {
+      const nodeSocket = this.ws as { on: (event: string, listener: (...args: unknown[]) => void) => void };
       nodeSocket.on("open", handleOpen);
       nodeSocket.on("message", (data: unknown) => handleMessage({ data }));
       nodeSocket.on("close", handleClose);
       nodeSocket.on("error", handleError);
       nodeSocket.on("ping", handlePing);
     } else {
-      (this.ws as any).onopen = handleOpen;
-      (this.ws as any).onmessage = handleMessage;
-      (this.ws as any).onclose = handleClose;
-      (this.ws as any).onerror = handleError;
+      const genericSocket = this.ws as any;
+      genericSocket.onopen = handleOpen;
+      genericSocket.onmessage = handleMessage;
+      genericSocket.onclose = handleClose;
+      genericSocket.onerror = handleError;
     }
   }
 
-  private buildUrl(): string {
-    const base = this.options?.baseUrl ?? DEFAULT_BASE_URL;
-    const levels = this.options?.levels ?? 10;
+  private buildWsUrl(): string {
+    const baseRaw = (this.options?.baseUrl ?? DEFAULT_WS_BASE_URL).replace(/\/+$/, "");
+    const base = baseRaw.endsWith("/ws") || baseRaw.includes("/stream") ? baseRaw : `${baseRaw}/ws`;
     const speed = this.options?.speedMs ?? 100;
-    const stream = `${this.symbol.toLowerCase()}@depth${levels}@${speed}ms`;
+    const stream = `${this.symbol.toLowerCase()}@depth@${speed}ms`;
     return `${base}/${stream}`;
   }
 
+  private buildRestDepthUrl(): string {
+    const base = (this.options?.restBaseUrl ?? process.env.BINANCE_REST_URL ?? DEFAULT_REST_BASE_URL).replace(/\/+$/, "");
+    const symbol = this.symbol.toUpperCase();
+    return `${base}/api/v3/depth?symbol=${encodeURIComponent(symbol)}&limit=5000`;
+  }
+
   private scheduleReconnect(): void {
     if (this.reconnectTimer || this.stopped) return;
     this.reconnectTimer = setTimeout(() => {
@@ -245,24 +331,17 @@ export class BinanceDepthTracker {
     }, this.reconnectDelayMs);
   }
 
-  /**
-   * 启动心跳监控
-   * 根据 Binance 文档：长时间无 pong 会断连
-   * 我们设置 5 分钟作为心跳超时阈值
-   */
   private startHeartbeatMonitor(): void {
     this.stopHeartbeatMonitor();
     this.heartbeatTimer = setInterval(() => {
       const now = Date.now();
       const elapsed = now - this.lastMessageTime;
 
-      // 检查数据是否过时（5 秒无数据）
       if (elapsed > DATA_STALE_THRESHOLD_MS && this.connectionState === "connected") {
         this.updateConnectionState("stale");
         this.options?.logger?.("binanceDepth", `Data stale: ${elapsed}ms since last message`);
       }
 
-      // 检查心跳超时（5 分钟无消息）
       if (elapsed > HEARTBEAT_TIMEOUT_MS) {
         this.options?.logger?.("binanceDepth", `Heartbeat timeout: ${elapsed}ms, forcing reconnect`);
         this.forceReconnect("heartbeat_timeout");
@@ -277,11 +356,6 @@ export class BinanceDepthTracker {
     }
   }
 
-  /**
-   * 启动 24 小时自动重连定时器
-   * 根据 Binance 文档：连接最长有效期 24 小时
-   * 我们设置 23 小时主动重连，避免被服务器断开
-   */
   private startMaxDurationTimer(): void {
     this.stopMaxDurationTimer();
     this.maxDurationTimer = setTimeout(() => {
@@ -297,9 +371,15 @@ export class BinanceDepthTracker {
     }
   }
 
-  /**
-   * 强制重连
-   */
+  private startRefreshSyncTimer(): void {
+    if (this.refreshSyncTimer) return;
+    const refreshSyncMs = Math.max(5000, this.options?.refreshSyncMs ?? DEFAULT_REFRESH_SYNC_INTERVAL_MS);
+    this.refreshSyncTimer = setInterval(() => {
+      if (!this.started || this.stopped || !this.orderBookReady) return;
+      this.ensureSynced("periodic_refresh");
+    }, refreshSyncMs);
+  }
+
   private forceReconnect(reason: string): void {
     this.options?.logger?.("binanceDepth", `Force reconnect: ${reason}`);
     this.stopHeartbeatMonitor();
@@ -314,15 +394,13 @@ export class BinanceDepthTracker {
       this.ws = null;
     }
 
+    this.orderBookReady = false;
+    this.eventBuffer = [];
     this.updateConnectionState("disconnected");
-    // 立即重连（不使用指数退避）
     this.reconnectDelayMs = RECONNECT_DELAY_BASE_MS;
     this.scheduleReconnect();
   }
 
-  /**
-   * 更新连接状态并通知监听器
-   */
   private updateConnectionState(state: BinanceConnectionState): void {
     if (this.connectionState === state) return;
     this.connectionState = state;
@@ -336,27 +414,197 @@ export class BinanceDepthTracker {
   }
 
   private handlePayload(data: unknown): void {
-    const payload = this.parsePayload(data);
-    if (!payload) return;
-    const bids = Array.isArray(payload.b) ? payload.b : Array.isArray(payload.bids) ? payload.bids : [];
-    const asks = Array.isArray(payload.a) ? payload.a : Array.isArray(payload.asks) ? payload.asks : [];
-    const depth = {
-      lastUpdateId: Number(payload.lastUpdateId ?? payload.u ?? Date.now()),
-      bids,
-      asks,
-    };
-    const levels = this.options?.levels ?? 10;
-    const ratio = this.options?.ratio ?? 3;
-    const stats = computeDepthStats(depth, levels, ratio);
+    const event = this.parseDepthEvent(data);
+    if (!event) return;
+
+    if (!this.orderBookReady) {
+      this.eventBuffer.push(event);
+      if (this.eventBuffer.length > MAX_BUFFER_SIZE) {
+        this.eventBuffer.splice(0, this.eventBuffer.length - MAX_BUFFER_SIZE);
+      }
+      this.ensureSynced("bootstrap");
+      return;
+    }
+
+    const applied = this.applyDepthEvent(event);
+    if (!applied) {
+      this.options?.logger?.(
+        "binanceDepth",
+        `Detected update gap: local=${this.localLastUpdateId}, event=[${event.U},${event.u}], resyncing`
+      );
+      this.orderBookReady = false;
+      this.eventBuffer = [event];
+      this.ensureSynced("sequence_gap");
+      return;
+    }
+
+    this.emitDepthSnapshot();
+  }
+
+  private ensureSynced(reason: string): void {
+    if (this.syncInFlight || this.stopped || !this.started) return;
+    this.syncInFlight = (async () => {
+      try {
+        if (!this.orderBookReady) {
+          await this.bootstrapOrderBookFromSnapshot(reason);
+          return;
+        }
+        await this.refreshOrderBookFromSnapshot(reason);
+      } finally {
+        this.syncInFlight = null;
+      }
+    })();
+  }
+
+  private async bootstrapOrderBookFromSnapshot(reason: string): Promise<void> {
+    if (this.eventBuffer.length === 0) {
+      return;
+    }
+
+    for (let attempt = 0; attempt < SYNC_SNAPSHOT_MAX_RETRIES; attempt += 1) {
+      const firstBuffered = this.eventBuffer[0];
+      if (!firstBuffered) return;
+
+      const snapshot = await this.fetchDepthSnapshot(reason);
+      if (!snapshot) return;
+
+      if (snapshot.lastUpdateId < firstBuffered.U) {
+        continue;
+      }
+
+      this.resetOrderBook(snapshot);
+
+      const buffered = this.eventBuffer.filter((event) => event.u > snapshot.lastUpdateId);
+      if (buffered.length > 0) {
+        const nextEvent = buffered[0];
+        if (!nextEvent) return;
+        const nextUpdateId = snapshot.lastUpdateId + 1;
+        if (nextEvent.U > nextUpdateId || nextEvent.u < nextUpdateId) {
+          continue;
+        }
+
+        let failed = false;
+        for (const event of buffered) {
+          if (!this.applyDepthEvent(event)) {
+            failed = true;
+            break;
+          }
+        }
+        if (failed) {
+          continue;
+        }
+      }
+
+      this.orderBookReady = true;
+      this.eventBuffer = [];
+      this.emitDepthSnapshot();
+      return;
+    }
+
+    this.options?.logger?.("binanceDepth", "Bootstrap orderbook failed after retries");
+  }
+
+  private async refreshOrderBookFromSnapshot(reason: string): Promise<void> {
+    const snapshot = await this.fetchDepthSnapshot(reason);
+    if (!snapshot) return;
+    if (snapshot.lastUpdateId < this.localLastUpdateId) {
+      return;
+    }
+    this.resetOrderBook(snapshot);
+    this.orderBookReady = true;
+    this.emitDepthSnapshot();
+  }
+
+  private resetOrderBook(snapshot: DepthSnapshotResponse): void {
+    this.bidBook.clear();
+    this.askBook.clear();
+    this.applyLevels(this.bidBook, snapshot.bids);
+    this.applyLevels(this.askBook, snapshot.asks);
+    this.localLastUpdateId = snapshot.lastUpdateId;
+    this.lastSnapshotAt = Date.now();
+  }
+
+  private applyDepthEvent(event: DepthUpdateEvent): boolean {
+    if (!this.localLastUpdateId) return false;
+
+    if (event.u < this.localLastUpdateId) {
+      return true;
+    }
+    if (event.U > this.localLastUpdateId + 1) {
+      return false;
+    }
+
+    this.applyLevels(this.bidBook, event.bids);
+    this.applyLevels(this.askBook, event.asks);
+    this.localLastUpdateId = event.u;
+    return true;
+  }
+
+  private applyLevels(book: Map<string, number>, levels: AsterDepthLevel[]): void {
+    for (const level of levels) {
+      const priceRaw = level?.[0];
+      const qtyRaw = level?.[1];
+      const price = Number(priceRaw);
+      const qty = Number(qtyRaw);
+      if (!priceRaw || !Number.isFinite(price) || price <= 0) continue;
+      if (!Number.isFinite(qty) || qty < 0) continue;
+
+      if (qty === 0) {
+        book.delete(priceRaw);
+      } else {
+        book.set(priceRaw, qty);
+      }
+    }
+  }
+
+  private emitDepthSnapshot(): void {
+    const bestBid = this.findBestPrice(this.bidBook, "bid");
+    const bestAsk = this.findBestPrice(this.askBook, "ask");
+    if (bestBid == null || bestAsk == null || bestBid <= 0 || bestAsk <= 0 || bestAsk < bestBid) {
+      return;
+    }
+
+    const windowBps = Math.max(1, this.options?.depthWindowBps ?? DEFAULT_DEPTH_WINDOW_BPS);
+    const ratio = Math.max(1.01, this.options?.ratio ?? DEFAULT_IMBALANCE_RATIO);
+    const bidWindowMin = bestBid * (1 - windowBps / 10_000);
+    const askWindowMax = bestAsk * (1 + windowBps / 10_000);
+
+    let buySum = 0;
+    let sellSum = 0;
+
+    for (const [priceRaw, qty] of this.bidBook.entries()) {
+      const price = Number(priceRaw);
+      if (!Number.isFinite(price) || price < bidWindowMin) continue;
+      buySum += qty;
+    }
+    for (const [priceRaw, qty] of this.askBook.entries()) {
+      const price = Number(priceRaw);
+      if (!Number.isFinite(price) || price > askWindowMax) continue;
+      sellSum += qty;
+    }
+
+    const skipSellSide = sellSum === 0 || buySum > sellSum * ratio;
+    const skipBuySide = buySum === 0 || sellSum > buySum * ratio;
+
+    let imbalance: DepthImbalance = "balanced";
+    if (buySum > sellSum * ratio) {
+      imbalance = "buy_dominant";
+    } else if (sellSum > buySum * ratio) {
+      imbalance = "sell_dominant";
+    }
+
     this.snapshot = {
       symbol: this.symbol,
-      buySum: stats.buySum,
-      sellSum: stats.sellSum,
-      skipBuySide: stats.skipBuySide,
-      skipSellSide: stats.skipSellSide,
-      imbalance: stats.imbalance,
+      buySum,
+      sellSum,
+      skipBuySide,
+      skipSellSide,
+      imbalance,
       updatedAt: Date.now(),
+      windowBps,
+      localLastUpdateId: this.localLastUpdateId,
     };
+
     for (const listener of this.listeners) {
       try {
         listener({ ...this.snapshot });
@@ -366,24 +614,100 @@ export class BinanceDepthTracker {
     }
   }
 
-  private parsePayload(
-    data: unknown
-  ): { b?: [string, string][]; a?: [string, string][]; bids?: [string, string][]; asks?: [string, string][]; u?: number; lastUpdateId?: number } | null {
+  private findBestPrice(book: Map<string, number>, side: "bid" | "ask"): number | null {
+    let best: number | null = null;
+
+    for (const [priceRaw, qty] of book.entries()) {
+      if (!Number.isFinite(qty) || qty <= 0) continue;
+      const price = Number(priceRaw);
+      if (!Number.isFinite(price) || price <= 0) continue;
+
+      if (best == null) {
+        best = price;
+        continue;
+      }
+      if (side === "bid") {
+        if (price > best) best = price;
+      } else if (price < best) {
+        best = price;
+      }
+    }
+
+    return best;
+  }
+
+  private async fetchDepthSnapshot(reason: string): Promise<DepthSnapshotResponse | null> {
+    try {
+      const response = await fetch(this.buildRestDepthUrl(), {
+        method: "GET",
+        headers: { "content-type": "application/json" },
+      });
+      if (!response.ok) {
+        throw new Error(`HTTP ${response.status}`);
+      }
+
+      const json = (await response.json()) as {
+        lastUpdateId?: number;
+        bids?: Array<[string, string]>;
+        asks?: Array<[string, string]>;
+      };
+
+      const lastUpdateId = Number(json.lastUpdateId);
+      if (!Number.isFinite(lastUpdateId) || lastUpdateId <= 0) {
+        throw new Error("invalid lastUpdateId");
+      }
+
+      const bids = Array.isArray(json.bids) ? (json.bids as AsterDepthLevel[]) : [];
+      const asks = Array.isArray(json.asks) ? (json.asks as AsterDepthLevel[]) : [];
+      this.lastRestSyncAt = Date.now();
+      this.restConsecutiveFailures = 0;
+      this.restLastError = null;
+      return { lastUpdateId, bids, asks };
+    } catch (error) {
+      this.restConsecutiveFailures += 1;
+      this.restLastError = this.extractMessage(error);
+      this.options?.logger?.("binanceDepth", `REST sync failed (${reason}): ${this.restLastError}`);
+      return null;
+    }
+  }
+
+  private parseDepthEvent(data: unknown): DepthUpdateEvent | null {
     try {
       const text = typeof data === "string" ? data : Buffer.isBuffer(data) ? data.toString("utf-8") : null;
       if (!text) return null;
-      const parsed = JSON.parse(text);
+      const parsed = JSON.parse(text) as unknown;
       if (!parsed || typeof parsed !== "object") return null;
-      return parsed as {
-        b?: [string, string][];
-        a?: [string, string][];
-        bids?: [string, string][];
-        asks?: [string, string][];
-        u?: number;
-        lastUpdateId?: number;
-      };
+
+      const maybeCombined = parsed as { data?: unknown };
+      const payload =
+        maybeCombined.data && typeof maybeCombined.data === "object"
+          ? (maybeCombined.data as Record<string, unknown>)
+          : (parsed as Record<string, unknown>);
+
+      const eventType = typeof payload.e === "string" ? payload.e : "";
+      if (eventType && eventType !== "depthUpdate") {
+        return null;
+      }
+
+      const U = Number(payload.U);
+      const u = Number(payload.u);
+      if (!Number.isFinite(U) || !Number.isFinite(u)) {
+        return null;
+      }
+
+      const bidsRaw = Array.isArray(payload.b) ? payload.b : [];
+      const asksRaw = Array.isArray(payload.a) ? payload.a : [];
+      const bids = bidsRaw.filter((level): level is AsterDepthLevel => Array.isArray(level)) as AsterDepthLevel[];
+      const asks = asksRaw.filter((level): level is AsterDepthLevel => Array.isArray(level)) as AsterDepthLevel[];
+
+      return { U, u, bids, asks };
     } catch {
       return null;
     }
   }
+
+  private extractMessage(error: unknown): string {
+    if (error instanceof Error) return error.message;
+    return String(error);
+  }
 }

src/strategy/maker-points-engine.ts

@@ -203,8 +203,10 @@ export class MakerPointsEngine {
     this.qtyStep = Math.max(1e-9, this.config.qtyStep);
     this.binanceDepth = new BinanceDepthTracker(resolveBinanceSymbol(this.config.symbol), {
       baseUrl: process.env.BINANCE_SPOT_WS_URL ?? process.env.BINANCE_WS_URL,
+      restBaseUrl: process.env.BINANCE_REST_URL,
       levels: 20,
       ratio: 9,
+      depthWindowBps: 9,
       speedMs: 100,
       logger: (context, error) => {
         this.tradeLog.push("warn", `Binance ${context} 异常: ${extractMessage(error)}`);
@@ -221,6 +223,7 @@ export class MakerPointsEngine {
         this.feedStatus.binance = false;
         this.tradeLog.push("warn", "Binance 深度连接断开");
       } else if (state === "stale") {
+        this.feedStatus.binance = false;
         this.tradeLog.push("warn", "Binance 深度数据过时");
       } else if (state === "connected") {
         this.feedStatus.binance = true;
@@ -1654,6 +1657,8 @@ export class MakerPointsEngine {
     const now = Date.now();
     const standxDepthStale = this.lastStandxDepthTime > 0 && (now - this.lastStandxDepthTime) > DATA_STALE_THRESHOLD_MS;
     const binanceStale = this.lastBinanceDepthTime > 0 && (now - this.lastBinanceDepthTime) > DATA_STALE_THRESHOLD_MS;
+    const binanceHealth = this.binanceDepth.getHealth();
+    const binanceUnhealthy = !binanceHealth.healthy;
 
     const standxAccountAge = this.lastStandxAccountTime > 0 ? now - this.lastStandxAccountTime : 0;
     const standxAccountStaleByAge = this.lastStandxAccountTime > 0 && standxAccountAge > ACCOUNT_DATA_STALE_THRESHOLD_MS;
@@ -1675,6 +1680,7 @@ export class MakerPointsEngine {
     const shouldDefend =
       standxDepthStale ||
       binanceStale ||
+      binanceUnhealthy ||
       standxAccountStale ||
       accountInvalid ||
       standxRestUnhealthy ||
@@ -1692,6 +1698,8 @@ export class MakerPointsEngine {
         standxRestLastError: this.standxRestLastError,
         marginModeNotIsolated,
         marginMode,
+        binanceUnhealthy,
+        binanceHealthReason: binanceHealth.reason,
         standxDepthAge: this.lastStandxDepthTime > 0 ? now - this.lastStandxDepthTime : 0,
         binanceAge: this.lastBinanceDepthTime > 0 ? now - this.lastBinanceDepthTime : 0,
         standxAccountAge,
@@ -1710,6 +1718,8 @@ export class MakerPointsEngine {
   private enterDefenseMode(staleInfo: {
     standxDepthStale: boolean;
     binanceStale: boolean;
+    binanceUnhealthy?: boolean;
+    binanceHealthReason?: string | null;
     standxAccountStale: boolean;
     accountInvalid: boolean;
     standxRestUnhealthy: boolean;
@@ -1744,8 +1754,13 @@ export class MakerPointsEngine {
     if (staleInfo.binanceStale) {
       staleItems.push(`Binance深度(${Math.round(staleInfo.binanceAge / 1000)}s)`);
     }
+    if (staleInfo.binanceUnhealthy && staleInfo.binanceHealthReason) {
+      staleItems.push(`Binance簿记异常(${staleInfo.binanceHealthReason})`);
+    }
 
-    this.tradeLog.push("warn", `数据过时检测: ${staleItems.join(", ")}，进入防御模式`);
+    const staleSummary = staleItems.length > 0 ? staleItems.join(", ") : "unknown";
+
+    this.tradeLog.push("warn", `数据过时检测: ${staleSummary}，进入防御模式`);
 
     // 发送通知
     if (!this.defenseModeNotified) {
@@ -1754,7 +1769,7 @@ export class MakerPointsEngine {
         level: "warn",
         symbol: this.config.symbol,
         title: "防御模式",
-        message: `数据推送中断: ${staleItems.join(", ")}，已取消所有挂单`,
+        message: `数据推送中断: ${staleSummary}，已取消所有挂单`,
         details: staleInfo,
       });
       this.defenseModeNotified = true;

tests/binance-depth-health-integration.test.ts

@@ -0,0 +1,172 @@
+import { afterEach, describe, expect, it, vi } from "vitest";
+import type { ExchangeAdapter } from "../src/exchanges/adapter";
+import type { AsterAccountSnapshot, AsterDepth, AsterKline, AsterOrder, AsterTicker } from "../src/exchanges/types";
+import { MakerPointsEngine } from "../src/strategy/maker-points-engine";
+
+const ORIGINAL_FETCH = globalThis.fetch;
+
+class StubAdapter implements ExchangeAdapter {
+  id = "standx";
+
+  supportsTrailingStops(): boolean {
+    return false;
+  }
+
+  watchAccount(_cb: (snapshot: AsterAccountSnapshot) => void): void {}
+  watchOrders(_cb: (orders: AsterOrder[]) => void): void {}
+  watchDepth(_symbol: string, _cb: (depth: AsterDepth) => void): void {}
+  watchTicker(_symbol: string, _cb: (ticker: AsterTicker) => void): void {}
+  watchKlines(_symbol: string, _interval: string, _cb: (klines: AsterKline[]) => void): void {}
+
+  async createOrder(): Promise<AsterOrder> {
+    throw new Error("not implemented");
+  }
+
+  async cancelOrder(): Promise<void> {}
+  async cancelOrders(): Promise<void> {}
+  async cancelAllOrders(): Promise<void> {}
+
+  async queryAccountSnapshot(): Promise<AsterAccountSnapshot | null> {
+    return {
+      canTrade: true,
+      canDeposit: true,
+      canWithdraw: true,
+      updateTime: Date.now(),
+      totalWalletBalance: "0",
+      totalUnrealizedProfit: "0",
+      positions: [],
+      assets: [],
+      marketType: "perp",
+    };
+  }
+}
+
+afterEach(() => {
+  globalThis.fetch = ORIGINAL_FETCH;
+  vi.restoreAllMocks();
+  vi.useRealTimers();
+});
+
+describe("MakerPointsEngine Binance depth health defense", () => {
+  it("enters defense mode when Binance depth tracker is unhealthy", () => {
+    vi.useFakeTimers();
+    globalThis.fetch = vi.fn(async () => {
+      throw new Error("network blocked in test");
+    }) as any;
+
+    const engine = new MakerPointsEngine(
+      {
+        symbol: "BTC-USD",
+        perOrderAmount: 0.01,
+        closeThreshold: 0,
+        stopLossUsd: 1,
+        refreshIntervalMs: 500,
+        maxLogEntries: 20,
+        maxCloseSlippagePct: 0.05,
+        priceTick: 0.1,
+        qtyStep: 0.001,
+        enableBand0To10: true,
+        enableBand10To30: false,
+        enableBand30To100: false,
+        band0To10Amount: 0.01,
+        band10To30Amount: 0.01,
+        band30To100Amount: 0.01,
+        minRepriceBps: 3,
+        enableBinanceDepthCancel: true,
+        filterMinDepth: 0,
+      },
+      new StubAdapter()
+    );
+
+    const now = Date.now();
+    (engine as any).lastStandxDepthTime = now;
+    (engine as any).lastStandxAccountTime = now;
+    (engine as any).lastBinanceDepthTime = now;
+
+    (engine as any).binanceDepth = {
+      getHealth: () => ({
+        started: true,
+        connected: true,
+        orderBookReady: false,
+        restHealthy: false,
+        healthy: false,
+        reason: "orderbook_not_ready",
+        lastEventAt: now,
+        lastSnapshotAt: 0,
+        lastRestSyncAt: 0,
+        localLastUpdateId: 0,
+      }),
+      stop: () => {},
+    };
+
+    (engine as any).checkDataStaleAndDefense();
+    expect((engine as any).defenseMode).toBe(true);
+
+    const logs = ((engine as any).tradeLog.all() as Array<{ detail: string }>).map((entry) => entry.detail);
+    expect(logs.some((detail) => detail.includes("Binance簿记异常(orderbook_not_ready)"))).toBe(true);
+
+    engine.stop();
+  });
+
+  it("exits defense mode after Binance depth health recovers", () => {
+    vi.useFakeTimers();
+    globalThis.fetch = vi.fn(async () => {
+      throw new Error("network blocked in test");
+    }) as any;
+
+    const engine = new MakerPointsEngine(
+      {
+        symbol: "BTC-USD",
+        perOrderAmount: 0.01,
+        closeThreshold: 0,
+        stopLossUsd: 1,
+        refreshIntervalMs: 500,
+        maxLogEntries: 20,
+        maxCloseSlippagePct: 0.05,
+        priceTick: 0.1,
+        qtyStep: 0.001,
+        enableBand0To10: true,
+        enableBand10To30: false,
+        enableBand30To100: false,
+        band0To10Amount: 0.01,
+        band10To30Amount: 0.01,
+        band30To100Amount: 0.01,
+        minRepriceBps: 3,
+        enableBinanceDepthCancel: true,
+        filterMinDepth: 0,
+      },
+      new StubAdapter()
+    );
+
+    const now = Date.now();
+    (engine as any).lastStandxDepthTime = now;
+    (engine as any).lastStandxAccountTime = now;
+    (engine as any).lastBinanceDepthTime = now;
+
+    let unhealthy = true;
+    (engine as any).binanceDepth = {
+      getHealth: () => ({
+        started: true,
+        connected: true,
+        orderBookReady: !unhealthy,
+        restHealthy: !unhealthy,
+        healthy: !unhealthy,
+        reason: unhealthy ? "orderbook_not_ready" : null,
+        lastEventAt: now,
+        lastSnapshotAt: now,
+        lastRestSyncAt: now,
+        localLastUpdateId: unhealthy ? 0 : 100,
+      }),
+      stop: () => {},
+    };
+
+    (engine as any).checkDataStaleAndDefense();
+    expect((engine as any).defenseMode).toBe(true);
+
+    unhealthy = false;
+    (engine as any).checkDataStaleAndDefense();
+    expect((engine as any).defenseMode).toBe(false);
+
+    engine.stop();
+  });
+});

tests/maker-points-defense-rest.test.ts

@@ -94,6 +94,8 @@ describe("MakerPointsEngine defense-mode REST polling", () => {
     (engine as any).enterDefenseMode({
       standxDepthStale: true,
       binanceStale: false,
+      binanceUnhealthy: false,
+      binanceHealthReason: null,
       standxAccountStale: false,
       accountInvalid: false,
       standxRestUnhealthy: false,
@@ -146,6 +148,8 @@ describe("MakerPointsEngine defense-mode REST polling", () => {
     (engine as any).enterDefenseMode({
       standxDepthStale: true,
       binanceStale: false,
+      binanceUnhealthy: false,
+      binanceHealthReason: null,
       standxAccountStale: false,
       accountInvalid: false,
       standxRestUnhealthy: false,