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690 lines
24 KiB
TypeScript
690 lines
24 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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AsterKline,
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AsterOrder,
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AsterTicker,
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} from "../exchanges/types";
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import { formatPriceToString } from "../utils/math";
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import { createTradeLog, type TradeLogEntry } from "../logging/trade-log";
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import { extractMessage, isInsufficientBalanceError, isUnknownOrderError, isRateLimitError } from "../utils/errors";
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import { getPosition } from "../utils/strategy";
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import type { PositionSnapshot } from "../utils/strategy";
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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 "../core/order-coordinator";
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import type { OrderLockMap, OrderPendingMap, OrderTimerMap } from "../core/order-coordinator";
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import { makeOrderPlan } from "../core/lib/order-plan";
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import { safeCancelOrder } from "../core/lib/orders";
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import { RateLimitController } from "../core/lib/rate-limit";
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import { StrategyEventEmitter } from "./common/event-emitter";
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import { safeSubscribe, type LogHandler } from "./common/subscriptions";
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import { SessionVolumeTracker } from "./common/session-volume";
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interface DesiredOrder {
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side: "BUY" | "SELL";
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price: string; // 改为字符串价格
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amount: number;
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reduceOnly: boolean;
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}
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export interface MakerEngineSnapshot {
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ready: boolean;
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symbol: string;
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topBid: number | null;
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topAsk: number | null;
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spread: number | null;
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priceDecimals: number;
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position: PositionSnapshot;
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pnl: number;
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accountUnrealized: number;
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sessionVolume: number;
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openOrders: AsterOrder[];
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desiredOrders: DesiredOrder[];
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tradeLog: TradeLogEntry[];
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lastUpdated: number | null;
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feedStatus: {
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account: boolean;
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orders: boolean;
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depth: boolean;
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ticker: boolean;
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};
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}
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type MakerEvent = "update";
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type MakerListener = (snapshot: MakerEngineSnapshot) => void;
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const EPS = 1e-5;
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const INSUFFICIENT_BALANCE_COOLDOWN_MS = 15_000;
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export class MakerEngine {
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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 events = new StrategyEventEmitter<MakerEvent, MakerEngineSnapshot>();
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private readonly sessionVolume = new SessionVolumeTracker();
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private priceTick: number = 0.1;
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private qtyStep: number = 0.001;
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private precisionSync: Promise<void> | null = null;
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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 initialOrderSnapshotReady = false;
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private initialOrderResetDone = false;
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private entryPricePendingLogged = false;
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private readinessLogged = {
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account: false,
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depth: false,
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ticker: false,
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orders: false,
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};
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private feedArrived = {
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account: false,
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depth: false,
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ticker: false,
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orders: false,
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};
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private feedStatus = {
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account: false,
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depth: false,
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ticker: false,
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orders: false,
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};
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private insufficientBalanceCooldownUntil = 0;
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private insufficientBalanceNotified = false;
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private lastInsufficientMessage: string | null = null;
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private lastDesiredSummary: string | null = null;
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private readonly rateLimit: RateLimitController;
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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.priceTick = Math.max(1e-9, this.config.priceTick);
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this.qtyStep = Math.max(1e-9, this.qtyStep);
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this.syncPrecision();
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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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this.events.on(event, handler);
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}
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off(event: MakerEvent, handler: MakerListener): void {
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this.events.off(event, handler);
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}
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getSnapshot(): MakerEngineSnapshot {
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return this.buildSnapshot();
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}
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private bootstrap(): void {
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const log: LogHandler = (type, detail) => this.tradeLog.push(type, detail);
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safeSubscribe<AsterAccountSnapshot>(
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this.exchange.watchAccount.bind(this.exchange),
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(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.sessionVolume.update(position, this.getReferencePrice());
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if (!this.feedArrived.account) {
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this.tradeLog.push("info", "账户快照已同步");
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this.feedArrived.account = true;
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}
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this.feedStatus.account = true;
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this.emitUpdate();
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},
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log,
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{
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subscribeFail: (error) => `订阅账户失败: ${String(error)}`,
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processFail: (error) => `账户推送处理异常: ${String(error)}`,
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}
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);
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safeSubscribe<AsterOrder[]>(
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this.exchange.watchOrders.bind(this.exchange),
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(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) => 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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if (!this.feedArrived.orders) {
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this.tradeLog.push("info", "订单快照已返回");
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this.feedArrived.orders = true;
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}
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this.feedStatus.orders = true;
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this.emitUpdate();
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},
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log,
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{
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subscribeFail: (error) => `订阅订单失败: ${String(error)}`,
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processFail: (error) => `订单推送处理异常: ${String(error)}`,
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}
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);
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safeSubscribe<AsterDepth>(
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this.exchange.watchDepth.bind(this.exchange, this.config.symbol),
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(depth) => {
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this.depthSnapshot = depth;
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if (!this.feedArrived.depth) {
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this.tradeLog.push("info", "获得最新深度行情");
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this.feedArrived.depth = true;
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}
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this.feedStatus.depth = true;
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this.emitUpdate();
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},
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log,
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{
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subscribeFail: (error) => `订阅深度失败: ${String(error)}`,
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processFail: (error) => `深度推送处理异常: ${String(error)}`,
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}
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);
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safeSubscribe<AsterTicker>(
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this.exchange.watchTicker.bind(this.exchange, this.config.symbol),
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(ticker) => {
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this.tickerSnapshot = ticker;
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if (!this.feedArrived.ticker) {
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this.tradeLog.push("info", "Ticker 已就绪");
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this.feedArrived.ticker = true;
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}
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this.feedStatus.ticker = true;
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this.emitUpdate();
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},
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log,
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{
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subscribeFail: (error) => `订阅Ticker失败: ${String(error)}`,
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processFail: (error) => `价格推送处理异常: ${String(error)}`,
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}
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);
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// Maker strategy does not require realtime klines.
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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(
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this.feedStatus.account &&
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this.feedStatus.depth &&
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this.feedStatus.ticker &&
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this.feedStatus.orders
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);
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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.logReadinessBlockers();
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this.emitUpdate();
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return;
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}
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this.resetReadinessFlags();
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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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// 直接使用orderbook价格，格式化为字符串避免精度问题
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const priceDecimals = this.getPriceDecimals();
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const closeBidPrice = formatPriceToString(topBid, priceDecimals);
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const closeAskPrice = formatPriceToString(topAsk, priceDecimals);
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const bidPrice = formatPriceToString(topBid - this.config.bidOffset, priceDecimals);
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const askPrice = formatPriceToString(topAsk + this.config.askOffset, priceDecimals);
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const position = getPosition(this.accountSnapshot, this.config.symbol);
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const absPosition = Math.abs(position.positionAmt);
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const desired: DesiredOrder[] = [];
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const insufficientActive = this.applyInsufficientBalanceState(Date.now());
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const canEnter = !this.rateLimit.shouldBlockEntries() && !insufficientActive;
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if (absPosition < EPS) {
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this.entryPricePendingLogged = false;
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if (canEnter) {
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desired.push({ side: "BUY", price: bidPrice, amount: this.config.tradeAmount, reduceOnly: false });
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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.logDesiredOrders(desired);
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this.sessionVolume.update(position, this.getReferencePrice());
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await this.syncOrders(desired);
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await this.checkRisk(position, Number(closeBidPrice), Number(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("maker");
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await this.enforceRateLimitStop();
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this.tradeLog.push("warn", `MakerEngine 429: ${String(error)}`);
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} else {
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this.tradeLog.push("error", `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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const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
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if (topBid == null || topAsk == null) return;
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const priceDecimals = this.getPriceDecimals();
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const closeBidPrice = formatPriceToString(topBid, priceDecimals);
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const closeAskPrice = formatPriceToString(topAsk, priceDecimals);
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await this.checkRisk(position, Number(closeBidPrice), Number(closeAskPrice));
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await this.flushOrders();
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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 async syncOrders(targets: DesiredOrder[]): Promise<void> {
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const availableOrders = this.openOrders.filter((o) => !this.pendingCancelOrders.has(String(o.orderId)));
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const openOrders = availableOrders.filter((order) => {
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const status = (order.status ?? "").toUpperCase();
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return !status.includes("CLOSED") && !status.includes("FILLED") && !status.includes("CANCELED");
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});
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const { toCancel, toPlace } = makeOrderPlan(openOrders, targets);
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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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},
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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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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, // 已经是字符串价格
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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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markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
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maxPct: this.config.maxCloseSlippagePct,
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},
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{
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priceTick: this.priceTick,
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qtyStep: this.qtyStep,
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}
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);
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} catch (error) {
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if (isInsufficientBalanceError(error)) {
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this.registerInsufficientBalance(error);
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break;
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}
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this.tradeLog.push(
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"error",
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`挂单失败(${target.side} ${target.price}): ${extractMessage(error)}`
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);
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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 = computePositionPnl(position, bidPrice, askPrice);
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const triggerStop = shouldStopLoss(position, bidPrice, askPrice, this.config.lossLimit);
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if (triggerStop) {
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// 价格操纵保护：只有平仓方向价格与标记价格在阈值内才允许市价平仓
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const closeSideIsSell = position.positionAmt > 0;
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const closeSidePrice = closeSideIsSell ? bidPrice : askPrice;
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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`
|
|
);
|
|
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(closeSidePrice) || null,
|
|
maxPct: this.config.maxCloseSlippagePct,
|
|
},
|
|
{ qtyStep: this.qtyStep }
|
|
);
|
|
} 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,
|
|
() => {
|
|
// 成功撤销不记录日志，保持现有行为
|
|
},
|
|
() => {
|
|
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: ${String(error)}`);
|
|
this.pendingCancelOrders.delete(String(order.orderId));
|
|
this.openOrders = this.openOrders.filter((existing) => existing.orderId !== order.orderId);
|
|
}
|
|
);
|
|
}
|
|
}
|
|
|
|
private syncPrecision(): void {
|
|
if (this.precisionSync) return;
|
|
const getPrecision = this.exchange.getPrecision?.bind(this.exchange);
|
|
if (!getPrecision) return;
|
|
this.precisionSync = getPrecision()
|
|
.then((precision) => {
|
|
if (!precision) return;
|
|
let updated = false;
|
|
if (Number.isFinite(precision.priceTick) && precision.priceTick > 0) {
|
|
if (Math.abs(precision.priceTick - this.priceTick) > 1e-12) {
|
|
this.priceTick = precision.priceTick;
|
|
this.config.priceTick = precision.priceTick;
|
|
updated = true;
|
|
}
|
|
}
|
|
if (Number.isFinite(precision.qtyStep) && precision.qtyStep > 0) {
|
|
if (Math.abs(precision.qtyStep - this.qtyStep) > 1e-12) {
|
|
this.qtyStep = precision.qtyStep;
|
|
updated = true;
|
|
}
|
|
}
|
|
if (updated) {
|
|
this.tradeLog.push(
|
|
"info",
|
|
`已同步交易精度: priceTick=${precision.priceTick} qtyStep=${precision.qtyStep}`
|
|
);
|
|
}
|
|
})
|
|
.catch((error) => {
|
|
this.tradeLog.push("error", `同步精度失败: ${extractMessage(error)}`);
|
|
this.precisionSync = null;
|
|
setTimeout(() => this.syncPrecision(), 2000);
|
|
});
|
|
}
|
|
|
|
private getPriceDecimals(): number {
|
|
const tick = Math.max(1e-9, this.priceTick);
|
|
const raw = Math.log10(1 / tick);
|
|
if (!Number.isFinite(raw)) return 0;
|
|
return Math.max(0, Math.floor(raw + 1e-9));
|
|
}
|
|
|
|
private emitUpdate(): void {
|
|
try {
|
|
const snapshot = this.buildSnapshot();
|
|
this.events.emit("update", snapshot, (error) => {
|
|
this.tradeLog.push("error", `更新回调处理异常: ${String(error)}`);
|
|
});
|
|
} catch (err) {
|
|
this.tradeLog.push("error", `快照或更新分发异常: ${String(err)}`);
|
|
}
|
|
}
|
|
|
|
private buildSnapshot(): MakerEngineSnapshot {
|
|
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,
|
|
priceDecimals: this.getPriceDecimals(),
|
|
position,
|
|
pnl,
|
|
accountUnrealized: this.accountUnrealized,
|
|
sessionVolume: this.sessionVolume.value,
|
|
openOrders: this.openOrders,
|
|
desiredOrders: this.desiredOrders,
|
|
tradeLog: this.tradeLog.all(),
|
|
lastUpdated: Date.now(),
|
|
feedStatus: { ...this.feedStatus },
|
|
};
|
|
}
|
|
|
|
private getReferencePrice(): number | null {
|
|
return getMidOrLast(this.depthSnapshot, this.tickerSnapshot);
|
|
}
|
|
|
|
private logReadinessBlockers(): void {
|
|
if (!this.feedStatus.account && !this.readinessLogged.account) {
|
|
this.tradeLog.push("info", "等待账户快照同步，尚未开始做市");
|
|
this.readinessLogged.account = true;
|
|
}
|
|
if (!this.feedStatus.depth && !this.readinessLogged.depth) {
|
|
this.tradeLog.push("info", "等待深度行情推送，尚未开始做市");
|
|
this.readinessLogged.depth = true;
|
|
}
|
|
if (!this.feedStatus.ticker && !this.readinessLogged.ticker) {
|
|
this.tradeLog.push("info", "等待Ticker推送，尚未开始做市");
|
|
this.readinessLogged.ticker = true;
|
|
}
|
|
if (!this.feedStatus.orders && !this.readinessLogged.orders) {
|
|
this.tradeLog.push("info", "等待订单快照返回，尚未执行初始化撤单");
|
|
this.readinessLogged.orders = true;
|
|
}
|
|
}
|
|
|
|
private resetReadinessFlags(): void {
|
|
this.readinessLogged = {
|
|
account: false,
|
|
depth: false,
|
|
ticker: false,
|
|
orders: false,
|
|
};
|
|
}
|
|
|
|
private logDesiredOrders(desired: DesiredOrder[]): void {
|
|
if (!desired.length) {
|
|
if (this.lastDesiredSummary !== "none") {
|
|
this.tradeLog.push("info", "当前无目标挂单，等待下一次刷新");
|
|
this.lastDesiredSummary = "none";
|
|
}
|
|
return;
|
|
}
|
|
const summary = desired
|
|
.map((order) => `${order.side}@${order.price}${order.reduceOnly ? "(RO)" : ""}`)
|
|
.join(" | ");
|
|
if (summary !== this.lastDesiredSummary) {
|
|
this.tradeLog.push("info", `目标挂单: ${summary}`);
|
|
this.lastDesiredSummary = summary;
|
|
}
|
|
}
|
|
|
|
private registerInsufficientBalance(error: unknown): void {
|
|
const now = Date.now();
|
|
const detail = extractMessage(error);
|
|
const alreadyActive = now < this.insufficientBalanceCooldownUntil;
|
|
if (alreadyActive && detail === this.lastInsufficientMessage) {
|
|
this.insufficientBalanceCooldownUntil = now + INSUFFICIENT_BALANCE_COOLDOWN_MS;
|
|
return;
|
|
}
|
|
this.insufficientBalanceCooldownUntil = now + INSUFFICIENT_BALANCE_COOLDOWN_MS;
|
|
this.lastInsufficientMessage = detail;
|
|
const seconds = Math.ceil(INSUFFICIENT_BALANCE_COOLDOWN_MS / 1000);
|
|
this.tradeLog.push("warn", `余额不足，暂停新挂单 ${seconds}s: ${detail}`);
|
|
this.insufficientBalanceNotified = true;
|
|
}
|
|
|
|
private applyInsufficientBalanceState(now: number): boolean {
|
|
const active = now < this.insufficientBalanceCooldownUntil;
|
|
if (!active && this.insufficientBalanceNotified) {
|
|
this.tradeLog.push("info", "余额检测恢复，重新尝试挂单");
|
|
this.insufficientBalanceNotified = false;
|
|
this.lastInsufficientMessage = null;
|
|
}
|
|
return active;
|
|
}
|
|
}
|