mirror of
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637 lines
22 KiB
TypeScript
637 lines
22 KiB
TypeScript
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 { roundDownToTick } from "../utils/math";
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import { createTradeLog } from "../state/trade-log";
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import { isUnknownOrderError, isRateLimitError } from "../utils/errors";
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import { getPosition, type PositionSnapshot } from "../utils/strategy";
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import { computeDepthStats } from "../utils/depth";
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import { computePositionPnl } from "../utils/pnl";
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import { getTopPrices, getMidOrLast } from "../utils/price";
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import { shouldStopLoss } from "../utils/risk";
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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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import { makeOrderPlan } from "./lib/order-plan";
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import { safeCancelOrder } from "./lib/orders";
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import { RateLimitController } from "./lib/rate-limit";
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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<string>();
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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 readonly rateLimit: RateLimitController;
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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.rateLimit = new RateLimitController(this.config.refreshIntervalMs, (type, detail) =>
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this.tradeLog.push(type, detail)
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);
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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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try {
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this.exchange.watchAccount((snapshot) => {
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try {
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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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} catch (err) {
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this.tradeLog.push("error", `账户推送处理异常: ${String(err)}`);
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}
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});
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} catch (err) {
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this.tradeLog.push("error", `订阅账户失败: ${String(err)}`);
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}
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try {
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this.exchange.watchOrders((orders) => {
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try {
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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) => String(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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} catch (err) {
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this.tradeLog.push("error", `订单推送处理异常: ${String(err)}`);
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}
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});
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} catch (err) {
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this.tradeLog.push("error", `订阅订单失败: ${String(err)}`);
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}
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try {
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this.exchange.watchDepth(this.config.symbol, (depth) => {
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try {
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this.depthSnapshot = depth;
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this.emitUpdate();
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} catch (err) {
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this.tradeLog.push("error", `深度推送处理异常: ${String(err)}`);
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}
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});
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} catch (err) {
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this.tradeLog.push("error", `订阅深度失败: ${String(err)}`);
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}
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try {
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this.exchange.watchTicker(this.config.symbol, (ticker) => {
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try {
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this.tickerSnapshot = ticker;
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this.emitUpdate();
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} catch (err) {
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this.tradeLog.push("error", `价格推送处理异常: ${String(err)}`);
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}
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});
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} catch (err) {
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this.tradeLog.push("error", `订阅Ticker失败: ${String(err)}`);
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}
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try {
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this.exchange.watchKlines(this.config.symbol, "1m", () => {
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try {
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/* no-op */
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} catch (err) {
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this.tradeLog.push("error", `K线推送处理异常: ${String(err)}`);
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}
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});
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} catch (err) {
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this.tradeLog.push("error", `订阅K线失败: ${String(err)}`);
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}
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}
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private syncLocksWithOrders(orders: AsterOrder[] | null | undefined): void {
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const list = Array.isArray(orders) ? orders : [];
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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 = list.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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let hadRateLimit = false;
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try {
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const decision = this.rateLimit.beforeCycle();
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if (decision === "paused") {
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this.emitUpdate();
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return;
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}
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if (decision === "skip") {
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return;
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}
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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 { topBid, topAsk } = getTopPrices(depth);
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if (topBid == null || topAsk == null) {
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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 closeBidPrice = roundDownToTick(topBid!, this.config.priceTick);
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const closeAskPrice = roundDownToTick(topAsk!, this.config.priceTick);
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const bidPrice = roundDownToTick(topBid! - this.config.bidOffset, this.config.priceTick);
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const askPrice = roundDownToTick(topAsk! + this.config.askOffset, this.config.priceTick);
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const absPosition = Math.abs(position.positionAmt);
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const desired: DesiredOrder[] = [];
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const canEnter = !this.rateLimit.shouldBlockEntries();
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if (absPosition < EPS) {
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this.entryPricePendingLogged = false;
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if (!skipBuySide && canEnter) {
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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 && canEnter) {
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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" ? closeAskPrice : closeBidPrice;
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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, closeBidPrice, closeAskPrice);
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this.emitUpdate();
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} catch (error) {
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if (isRateLimitError(error)) {
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hadRateLimit = true;
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this.rateLimit.registerRateLimit("offset-maker");
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await this.enforceRateLimitStop();
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this.tradeLog.push("warn", `OffsetMakerEngine 429: ${String(error)}`);
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} else {
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this.tradeLog.push("error", `偏移做市循环异常: ${String(error)}`);
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}
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this.emitUpdate();
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} finally {
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this.rateLimit.onCycleComplete(hadRateLimit);
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this.processing = false;
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}
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}
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private async enforceRateLimitStop(): Promise<void> {
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const position = getPosition(this.accountSnapshot, this.config.symbol);
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if (Math.abs(position.positionAmt) < EPS) return;
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await this.flushOrders();
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const absPosition = Math.abs(position.positionAmt);
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const side: "BUY" | "SELL" = position.positionAmt > 0 ? "SELL" : "BUY";
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const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
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const closeBidPrice = topBid != null ? roundDownToTick(topBid, this.config.priceTick) : null;
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const closeAskPrice = topAsk != null ? roundDownToTick(topAsk, this.config.priceTick) : null;
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try {
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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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markPrice: position.markPrice,
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expectedPrice:
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side === "SELL"
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? (closeAskPrice != null ? Number(closeAskPrice) : null)
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: (closeBidPrice != null ? Number(closeBidPrice) : null),
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maxPct: this.config.maxCloseSlippagePct,
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}
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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", "限频强制平仓时订单已不存在");
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} else {
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this.tradeLog.push("error", `限频强制平仓失败: ${String(error)}`);
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}
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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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// Keep existing behavior: 10 levels, ratio threshold 3x
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return computeDepthStats(depth, 10, 3);
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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 * 6 < sellSum);
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const shortExitRequired = position.positionAmt < 0 && (sellSum === 0 || sellSum * 6 < 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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const bid = Number(this.depthSnapshot?.bids?.[0]?.[0]);
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const ask = Number(this.depthSnapshot?.asks?.[0]?.[0]);
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const closeSidePrice = side === "SELL" ? bid : ask;
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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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markPrice: position.markPrice,
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expectedPrice: Number(closeSidePrice) || null,
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maxPct: this.config.maxCloseSlippagePct,
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}
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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 availableOrders = this.openOrders.filter((o) => !this.pendingCancelOrders.has(String(o.orderId)));
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const { toCancel, toPlace } = makeOrderPlan(availableOrders, targets, tolerance);
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for (const order of toCancel) {
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if (this.pendingCancelOrders.has(String(order.orderId))) continue;
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this.pendingCancelOrders.add(String(order.orderId));
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await safeCancelOrder(
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this.exchange,
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this.config.symbol,
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order,
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() => {
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this.tradeLog.push(
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"order",
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`撤销不匹配订单 ${order.side} @ ${order.price} reduceOnly=${order.reduceOnly}`
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);
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// 保持与原逻辑一致：成功撤销不立即修改本地 openOrders，等待订单流重建
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},
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() => {
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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(String(order.orderId));
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this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
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},
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(error) => {
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this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
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this.pendingCancelOrders.delete(String(order.orderId));
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// 避免同一轮内重复操作同一张已出错的本地挂单，直接从本地缓存移除，等待下一次订单推送重建
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this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
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}
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);
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}
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for (const target of toPlace) {
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if (!target) continue;
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if (target.amount < EPS) continue;
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try {
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await placeOrder(
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this.exchange,
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this.config.symbol,
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this.openOrders,
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this.locks,
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this.timers,
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this.pending,
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target.side,
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target.price,
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target.amount,
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(type, detail) => this.tradeLog.push(type, detail),
|
|
target.reduceOnly,
|
|
{
|
|
markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
|
|
maxPct: this.config.maxCloseSlippagePct,
|
|
}
|
|
);
|
|
} catch (error) {
|
|
this.tradeLog.push("error", `挂单失败(${target.side} ${target.price}): ${String(error)}`);
|
|
}
|
|
}
|
|
}
|
|
|
|
private async checkRisk(position: PositionSnapshot, bidPrice: number, askPrice: number): Promise<void> {
|
|
const absPosition = Math.abs(position.positionAmt);
|
|
if (absPosition < EPS) return;
|
|
|
|
const hasEntryPrice = Number.isFinite(position.entryPrice) && Math.abs(position.entryPrice) > 1e-8;
|
|
if (!hasEntryPrice) {
|
|
if (!this.entryPricePendingLogged) {
|
|
this.tradeLog.push("info", "做市持仓均价未同步，等待账户快照刷新后再执行止损判断");
|
|
this.entryPricePendingLogged = true;
|
|
}
|
|
return;
|
|
}
|
|
this.entryPricePendingLogged = false;
|
|
|
|
const pnl = computePositionPnl(position, bidPrice, askPrice);
|
|
const triggerStop = shouldStopLoss(position, bidPrice, askPrice, this.config.lossLimit);
|
|
|
|
if (triggerStop) {
|
|
this.tradeLog.push(
|
|
"stop",
|
|
`触发止损，方向=${position.positionAmt > 0 ? "多" : "空"} 当前亏损=${pnl.toFixed(4)} USDT`
|
|
);
|
|
try {
|
|
await this.flushOrders();
|
|
await marketClose(
|
|
this.exchange,
|
|
this.config.symbol,
|
|
this.openOrders,
|
|
this.locks,
|
|
this.timers,
|
|
this.pending,
|
|
position.positionAmt > 0 ? "SELL" : "BUY",
|
|
absPosition,
|
|
(type, detail) => this.tradeLog.push(type, detail),
|
|
{
|
|
markPrice: position.markPrice,
|
|
expectedPrice: Number(position.positionAmt > 0 ? bidPrice : askPrice) || null,
|
|
maxPct: this.config.maxCloseSlippagePct,
|
|
}
|
|
);
|
|
} 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(String(order.orderId))) continue;
|
|
this.pendingCancelOrders.add(String(order.orderId));
|
|
await safeCancelOrder(
|
|
this.exchange,
|
|
this.config.symbol,
|
|
order,
|
|
() => {
|
|
// 与原逻辑保持一致：成功撤销不记录日志且不修改本地 openOrders
|
|
},
|
|
() => {
|
|
this.tradeLog.push("order", "订单已不存在，撤销跳过");
|
|
this.pendingCancelOrders.delete(String(order.orderId));
|
|
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
|
},
|
|
(error) => {
|
|
this.tradeLog.push("error", `撤销订单失败: ${String(error)}`);
|
|
this.pendingCancelOrders.delete(String(order.orderId));
|
|
// 与同步撤单路径保持一致，移除本地异常订单，等待订单流重建
|
|
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
|
}
|
|
);
|
|
}
|
|
}
|
|
|
|
private emitUpdate(): void {
|
|
try {
|
|
const snapshot = this.buildSnapshot();
|
|
const handlers = this.listeners.get("update");
|
|
if (handlers) {
|
|
handlers.forEach((handler) => {
|
|
try {
|
|
handler(snapshot);
|
|
} catch (err) {
|
|
this.tradeLog.push("error", `更新回调处理异常: ${String(err)}`);
|
|
}
|
|
});
|
|
}
|
|
} catch (err) {
|
|
this.tradeLog.push("error", `快照或更新分发异常: ${String(err)}`);
|
|
}
|
|
}
|
|
|
|
private buildSnapshot(): OffsetMakerEngineSnapshot {
|
|
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
|
const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
|
|
const spread = topBid != null && topAsk != null ? topAsk - topBid : null;
|
|
const pnl = computePositionPnl(position, topBid, topAsk);
|
|
|
|
return {
|
|
ready: this.isReady(),
|
|
symbol: this.config.symbol,
|
|
topBid: topBid,
|
|
topAsk: topAsk,
|
|
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 {
|
|
return getMidOrLast(this.depthSnapshot, this.tickerSnapshot);
|
|
}
|
|
}
|