mirror of
https://github.com/discountry/ritmex-bot.git
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1074 lines
40 KiB
TypeScript
1074 lines
40 KiB
TypeScript
import crypto from "crypto";
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import type { TradingConfig } 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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AsterOrder,
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AsterTicker,
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AsterDepth,
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AsterKline,
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} from "../exchanges/types";
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import {
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calcStopLossPrice,
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calcTrailingActivationPrice,
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computeBollingerBandwidth,
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getPosition,
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getSMA,
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type PositionSnapshot,
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} from "../utils/strategy";
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import { computePositionPnl } from "../utils/pnl";
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import { getMidOrLast } from "../utils/price";
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import {
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marketClose,
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placeMarketOrder,
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placeStopLossOrder,
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placeTrailingStopOrder,
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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 { extractMessage, isUnknownOrderError } from "../utils/errors";
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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 { decryptCopyright } from "../utils/copyright";
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import { isRateLimitError } from "../utils/errors";
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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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export interface TrendEngineSnapshot {
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ready: boolean;
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symbol: string;
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lastPrice: number | null;
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sma30: number | null;
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bollingerBandwidth: number | null;
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trend: "做多" | "做空" | "无信号";
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position: PositionSnapshot;
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pnl: number;
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unrealized: number;
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totalProfit: number;
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totalTrades: number;
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sessionVolume: number;
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tradeLog: TradeLogEntry[];
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openOrders: AsterOrder[];
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depth: AsterDepth | null;
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ticker: AsterTicker | null;
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lastUpdated: number | null;
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lastOpenSignal: OpenOrderPlan;
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}
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export interface OpenOrderPlan {
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side: "BUY" | "SELL" | null;
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price: number | null;
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}
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type TrendEngineEvent = "update";
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type TrendEngineListener = (snapshot: TrendEngineSnapshot) => void;
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export class TrendEngine {
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private accountSnapshot: AsterAccountSnapshot | null = null;
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private openOrders: AsterOrder[] = [];
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private depthSnapshot: AsterDepth | null = null;
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private tickerSnapshot: AsterTicker | null = null;
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private klineSnapshot: AsterKline[] = [];
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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 tradeLog: ReturnType<typeof createTradeLog>;
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private readonly events = new StrategyEventEmitter<TrendEngineEvent, TrendEngineSnapshot>();
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private readonly sessionVolume = new SessionVolumeTracker();
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private timer: ReturnType<typeof setInterval> | null = null;
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private processing = false;
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private lastPrice: number | null = null;
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private lastSma30: number | null = null;
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private lastBollingerBandwidth: number | null = null;
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private totalProfit = 0;
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private totalTrades = 0;
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private lastOpenPlan: OpenOrderPlan = { side: null, price: null };
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private cancelAllRequested = false;
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private readonly pendingCancelOrders = new Set<string>();
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private readonly rateLimit: RateLimitController;
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private lastAccountPosition: PositionSnapshot = {
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positionAmt: 0,
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entryPrice: 0,
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unrealizedProfit: 0,
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markPrice: null,
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};
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private pendingRealized: { pnl: number; timestamp: number } | null = null;
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private klineInsufficientLogged = false;
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private klineReadyLogged = false;
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// 控制入场频率：同一分钟内最多入场一次
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private lastEntryMinute: number | null = null;
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// 止损后冷却：止损发生后的 60s 内忽略 SMA 入场信号
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private lastStopLossAt: number | null = null;
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private lastBollingerBlockLogged = 0;
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private ordersSnapshotReady = false;
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private startupLogged = false;
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private entryPricePendingLogged = false;
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// 记录最近一次止损下单尝试，用于抑制在无订单流识别时的重复挂单
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private lastStopAttempt: { side: "BUY" | "SELL" | null; price: number | null; at: number } = {
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side: null,
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price: null,
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at: 0,
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};
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private readonly copyrightFingerprint = crypto
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.createHash("sha256")
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.update(decryptCopyright())
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.digest("hex");
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private readonly listeners = new Map<TrendEngineEvent, Set<TrendEngineListener>>();
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private precisionSync: Promise<void> | null = null;
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constructor(private readonly config: TradingConfig, private readonly exchange: ExchangeAdapter) {
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this.tradeLog = createTradeLog(this.config.maxLogEntries);
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this.rateLimit = new RateLimitController(this.config.pollIntervalMs, (type, detail) =>
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this.tradeLog.push(type, detail)
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);
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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.pollIntervalMs);
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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: TrendEngineEvent, handler: TrendEngineListener): void {
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this.events.on(event, handler);
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}
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off(event: TrendEngineEvent, handler: TrendEngineListener): void {
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this.events.off(event, handler);
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}
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getSnapshot(): TrendEngineSnapshot {
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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 position = getPosition(snapshot, this.config.symbol);
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const reference = this.getReferencePrice();
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this.sessionVolume.update(position, reference);
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this.trackPositionLifecycle(position, reference);
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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: ${extractMessage(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.synchronizeLocks(orders);
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const isActive = (status: string | undefined) => {
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if (!status) return true;
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const normalized = status.toLowerCase();
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return normalized !== "filled" && normalized !== "canceled" && normalized !== "cancelled";
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};
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this.openOrders = Array.isArray(orders)
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? orders.filter(
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(order) =>
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order.type !== "MARKET" && order.symbol === this.config.symbol && isActive(order.status)
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)
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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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if (this.openOrders.length === 0 || this.pendingCancelOrders.size === 0) {
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this.cancelAllRequested = false;
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}
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this.ordersSnapshotReady = 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: ${extractMessage(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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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: ${extractMessage(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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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: ${extractMessage(error)}`,
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}
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);
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safeSubscribe<AsterKline[]>(
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this.exchange.watchKlines.bind(this.exchange, this.config.symbol, this.config.klineInterval),
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(klines) => {
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this.klineSnapshot = Array.isArray(klines) ? klines : [];
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const latestSma = getSMA(this.klineSnapshot, 30);
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this.lastSma30 = latestSma;
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this.logKlineSnapshot();
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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K线失败: ${String(error)}`,
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processFail: (error) => `K线推送处理异常: ${extractMessage(error)}`,
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}
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);
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}
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private synchronizeLocks(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")) {
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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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const minKlines = Math.max(30, this.config.bollingerLength);
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return Boolean(
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this.accountSnapshot &&
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this.tickerSnapshot &&
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this.depthSnapshot &&
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this.klineSnapshot.length >= minKlines
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);
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}
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private logKlineSnapshot(): void {
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const minKlines = Math.max(30, this.config.bollingerLength);
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const count = this.klineSnapshot.length;
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if (count < minKlines) {
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if (!this.klineInsufficientLogged) {
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const closes = this.klineSnapshot.slice(-5).map((k) => Number(k.close).toFixed(2));
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this.tradeLog.push(
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"info",
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`K线不足 ${count}/${minKlines}，最近收盘(${closes.length}): ${closes.join(", ")}`
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);
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this.klineInsufficientLogged = true;
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}
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return;
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}
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if (!this.klineReadyLogged) {
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const closes = this.klineSnapshot.slice(-5).map((k) => Number(k.close).toFixed(2));
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this.tradeLog.push(
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"info",
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`K线就绪 ${count} 根，可计算 SMA30。最近收盘: ${closes.join(", ")}`
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);
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this.klineReadyLogged = true;
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}
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this.klineInsufficientLogged = false;
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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.ordersSnapshotReady) {
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this.emitUpdate();
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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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this.logStartupState();
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const sma30 = getSMA(this.klineSnapshot, 30);
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if (sma30 == null) {
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return;
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}
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const bollingerBandwidth = computeBollingerBandwidth(
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this.klineSnapshot,
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this.config.bollingerLength,
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this.config.bollingerStdMultiplier
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);
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this.lastBollingerBandwidth = bollingerBandwidth;
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const ticker = this.tickerSnapshot!;
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const price = Number(ticker.lastPrice);
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const position = getPosition(this.accountSnapshot, this.config.symbol);
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if (Math.abs(position.positionAmt) < 1e-5) {
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if (!this.rateLimit.shouldBlockEntries()) {
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await this.handleOpenPosition(price, sma30, bollingerBandwidth);
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}
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} else {
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const result = await this.handlePositionManagement(position, price);
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if (result.closed) {
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this.pendingRealized = { pnl: result.pnl, timestamp: Date.now() };
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}
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}
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this.sessionVolume.update(position, price);
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this.trackPositionLifecycle(position, price);
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this.lastSma30 = sma30;
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this.lastPrice = price;
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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("trend");
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await this.enforceRateLimitStop();
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this.tradeLog.push("warn", `TrendEngine 429: ${String(error)}`);
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} else {
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this.tradeLog.push("error", `策略循环异常: ${String(error)}`);
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}
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this.emitUpdate();
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} finally {
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try {
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this.rateLimit.onCycleComplete(hadRateLimit);
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} catch (rateLimitError) {
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this.tradeLog.push("error", `限频控制器状态更新失败: ${String(rateLimitError)}`);
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} finally {
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this.processing = false;
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}
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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) < 1e-5) return;
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const price = this.getReferencePrice() ?? Number(this.tickerSnapshot?.lastPrice) ?? this.lastPrice;
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if (!Number.isFinite(price) || price == null) return;
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const result = await this.handlePositionManagement(position, Number(price));
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if (result.closed) {
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this.pendingRealized = { pnl: result.pnl, timestamp: Date.now() };
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}
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}
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private logStartupState(): void {
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if (this.startupLogged) return;
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const position = getPosition(this.accountSnapshot, this.config.symbol);
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const hasPosition = Math.abs(position.positionAmt) > 1e-5;
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if (hasPosition) {
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this.tradeLog.push(
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"info",
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`检测到已有持仓: ${position.positionAmt > 0 ? "多" : "空"} ${Math.abs(position.positionAmt).toFixed(4)} @ ${position.entryPrice.toFixed(2)}`
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);
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}
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if (this.openOrders.length > 0) {
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this.tradeLog.push("info", `检测到已有挂单 ${this.openOrders.length} 笔，将按策略规则接管`);
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}
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this.startupLogged = true;
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}
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private async handleOpenPosition(
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currentPrice: number,
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currentSma: number,
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currentBandwidth: number | null
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): Promise<void> {
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this.entryPricePendingLogged = false;
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const now = Date.now();
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const currentMinute = Math.floor(now / 60_000);
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// 止损后的冷却期：60s 内不允许基于 SMA 穿越再次入场
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if (this.lastStopLossAt != null && now - this.lastStopLossAt < 60_000) {
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const remaining = Math.max(0, 60_000 - (now - this.lastStopLossAt));
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this.tradeLog.push("info", `止损后冷却中 ${(remaining / 1000).toFixed(0)}s，忽略入场信号`);
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return;
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}
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// 同一分钟只允许一次入场
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if (this.lastEntryMinute != null && this.lastEntryMinute === currentMinute) {
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this.tradeLog.push("info", "本分钟已入场，忽略新的 SMA 入场信号");
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return;
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}
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if (
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Number.isFinite(currentBandwidth) &&
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this.config.minBollingerBandwidth > 0 &&
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Number(currentBandwidth) < this.config.minBollingerBandwidth
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) {
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if (now - this.lastBollingerBlockLogged > 15_000) {
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this.tradeLog.push(
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"info",
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`布林带宽度不足：${Number(currentBandwidth).toFixed(4)} < ${this.config.minBollingerBandwidth}，忽略入场信号`
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);
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this.lastBollingerBlockLogged = now;
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}
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return;
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}
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if (this.lastPrice == null) {
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this.lastPrice = currentPrice;
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return;
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}
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if (this.openOrders.length > 0 && !this.cancelAllRequested) {
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try {
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await this.exchange.cancelAllOrders({ symbol: this.config.symbol });
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this.cancelAllRequested = true;
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// 清空本地挂单与撤单队列，避免在下一轮中基于过期快照继续操作
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this.pendingCancelOrders.clear();
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this.openOrders = [];
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} catch (err) {
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if (isUnknownOrderError(err)) {
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this.tradeLog.push("order", "撤单时部分订单已不存在，忽略");
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this.cancelAllRequested = true;
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// 与成功撤单路径保持一致，立即清空本地缓存，等待订单流推送重建
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this.pendingCancelOrders.clear();
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this.openOrders = [];
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} else {
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this.tradeLog.push("error", `撤销挂单失败: ${String(err)}`);
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this.cancelAllRequested = false;
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}
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}
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}
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if (this.lastPrice > currentSma && currentPrice < currentSma) {
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await this.submitMarketOrder("SELL", currentPrice, "下穿SMA30，市价开空");
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this.lastEntryMinute = currentMinute;
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} else if (this.lastPrice < currentSma && currentPrice > currentSma) {
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await this.submitMarketOrder("BUY", currentPrice, "上穿SMA30，市价开多");
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this.lastEntryMinute = currentMinute;
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}
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}
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private async submitMarketOrder(side: "BUY" | "SELL", price: number, reason: string): Promise<void> {
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|
try {
|
|
await placeMarketOrder(
|
|
this.exchange,
|
|
this.config.symbol,
|
|
this.openOrders,
|
|
this.locks,
|
|
this.timers,
|
|
this.pending,
|
|
side,
|
|
this.config.tradeAmount,
|
|
(type, detail) => this.tradeLog.push(type, detail),
|
|
false,
|
|
{
|
|
markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
|
|
expectedPrice: Number(this.tickerSnapshot?.lastPrice) || null,
|
|
maxPct: this.config.maxCloseSlippagePct,
|
|
},
|
|
{ qtyStep: this.config.qtyStep }
|
|
);
|
|
this.tradeLog.push("open", `${reason}: ${side} @ ${price}`);
|
|
this.lastOpenPlan = { side, price };
|
|
} catch (err) {
|
|
this.tradeLog.push("error", `市价下单失败: ${String(err)}`);
|
|
}
|
|
}
|
|
|
|
private async handlePositionManagement(
|
|
position: PositionSnapshot,
|
|
price: number
|
|
): Promise<{ closed: boolean; pnl: number }> {
|
|
const hasEntryPrice = Number.isFinite(position.entryPrice) && Math.abs(position.entryPrice) > 1e-8;
|
|
if (!hasEntryPrice) {
|
|
if (!this.entryPricePendingLogged) {
|
|
this.tradeLog.push("info", "持仓均价尚未同步，等待交易所账户快照更新后再执行风控");
|
|
this.entryPricePendingLogged = true;
|
|
}
|
|
return { closed: false, pnl: position.unrealizedProfit };
|
|
}
|
|
this.entryPricePendingLogged = false;
|
|
const direction = position.positionAmt > 0 ? "long" : "short";
|
|
const qtyAbs = Math.abs(position.positionAmt);
|
|
const depthBid = Number(this.depthSnapshot?.bids?.[0]?.[0]);
|
|
const depthAsk = Number(this.depthSnapshot?.asks?.[0]?.[0]);
|
|
const closeSidePriceRaw = direction === "long" ? depthBid : depthAsk;
|
|
const effectiveClosePrice = Number.isFinite(closeSidePriceRaw)
|
|
? closeSidePriceRaw
|
|
: Number.isFinite(price)
|
|
? price
|
|
: position.entryPrice;
|
|
const pnl =
|
|
qtyAbs > 0
|
|
? (direction === "long"
|
|
? effectiveClosePrice - position.entryPrice
|
|
: position.entryPrice - effectiveClosePrice) * qtyAbs
|
|
: 0;
|
|
const unrealized = Number.isFinite(position.unrealizedProfit)
|
|
? position.unrealizedProfit
|
|
: null;
|
|
const stopSide = direction === "long" ? "SELL" : "BUY";
|
|
const stopPrice = calcStopLossPrice(
|
|
position.entryPrice,
|
|
Math.abs(position.positionAmt),
|
|
direction,
|
|
this.config.lossLimit
|
|
);
|
|
const activationPrice = calcTrailingActivationPrice(
|
|
position.entryPrice,
|
|
Math.abs(position.positionAmt),
|
|
direction,
|
|
this.config.trailingProfit
|
|
);
|
|
|
|
// 对于部分交易所（如 Lighter），触发类订单在订单流中可能显示为 LIMIT，但会带有 stopPrice。
|
|
// 因此将带有有效 stopPrice 的同向订单也视为当前止损单。
|
|
const currentStop = this.openOrders.find((o) => {
|
|
const hasStopPrice = Number.isFinite(Number(o.stopPrice)) && Number(o.stopPrice) > 0;
|
|
return o.side === stopSide && (o.type === "STOP_MARKET" || hasStopPrice);
|
|
});
|
|
const currentTrailing = this.openOrders.find(
|
|
(o) => o.type === "TRAILING_STOP_MARKET" && o.side === stopSide
|
|
);
|
|
|
|
// 步进式锁盈移动：在动态止盈生效前，盈利每增加一个 profitLockOffsetUsd 就上移/下移一次止损
|
|
{
|
|
const tick = Math.max(1e-9, this.config.priceTick);
|
|
const qtyAbs = Math.abs(position.positionAmt);
|
|
const stepUsd = Math.max(0, this.config.profitLockOffsetUsd);
|
|
const triggerUsd = Math.max(0, this.config.profitLockTriggerUsd);
|
|
const trailingActivateFromOrderRaw = currentTrailing?.activatePrice ?? (currentTrailing as any)?.activationPrice;
|
|
const trailingActivateFromOrder = Number(trailingActivateFromOrderRaw);
|
|
const trailingActivate = Number.isFinite(trailingActivateFromOrder)
|
|
? trailingActivateFromOrder
|
|
: activationPrice;
|
|
|
|
// 判断动态止盈是否已生效：多头 price >= activate；空头 price <= activate
|
|
const trailingActivated =
|
|
direction === "long"
|
|
? Number.isFinite(trailingActivate) && price >= trailingActivate - tick
|
|
: Number.isFinite(trailingActivate) && price <= trailingActivate + tick;
|
|
|
|
// 仅在动态止盈未生效时执行步进移动
|
|
if (!trailingActivated && qtyAbs > 0 && stepUsd > 0) {
|
|
const basisProfit = Number.isFinite(unrealized ?? pnl) ? Math.max(pnl, unrealized ?? pnl) : pnl;
|
|
if (basisProfit >= triggerUsd) {
|
|
const over = basisProfit - triggerUsd;
|
|
const steps = 1 + Math.floor(over / stepUsd);
|
|
const stepPx = stepUsd / qtyAbs;
|
|
const rawTarget = direction === "long"
|
|
? position.entryPrice + steps * stepPx
|
|
: position.entryPrice - steps * stepPx;
|
|
let targetStop = Number(formatPriceToString(rawTarget, Math.max(0, Math.floor(Math.log10(1 / this.config.priceTick)))));
|
|
|
|
// 不允许下一次移动超过动态止盈订单的激活价
|
|
if (Number.isFinite(trailingActivate)) {
|
|
if (stopSide === "SELL" && targetStop >= trailingActivate - tick) {
|
|
// 达到或超过激活价，停止移动
|
|
targetStop = Math.min(targetStop, trailingActivate - tick);
|
|
// 若已经无法进一步改善，则不再尝试
|
|
const existingRaw = Number(currentStop?.stopPrice);
|
|
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
|
|
const canImprove =
|
|
!Number.isFinite(existingPrice) ||
|
|
(stopSide === "SELL" && targetStop >= existingPrice + tick);
|
|
if (!canImprove) {
|
|
// 直接跳过
|
|
// no-op
|
|
} else if (currentStop) {
|
|
await this.tryReplaceStop(stopSide, currentStop, targetStop, price);
|
|
} else {
|
|
await this.tryPlaceStopLoss(stopSide, targetStop, price);
|
|
}
|
|
} else if (stopSide === "BUY" && targetStop <= trailingActivate + tick) {
|
|
targetStop = Math.max(targetStop, trailingActivate + tick);
|
|
const existingRaw = Number(currentStop?.stopPrice);
|
|
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
|
|
const canImprove =
|
|
!Number.isFinite(existingPrice) ||
|
|
(stopSide === "BUY" && targetStop <= existingPrice - tick);
|
|
if (!canImprove) {
|
|
// no-op
|
|
} else if (currentStop) {
|
|
await this.tryReplaceStop(stopSide, currentStop, targetStop, price);
|
|
} else {
|
|
await this.tryPlaceStopLoss(stopSide, targetStop, price);
|
|
}
|
|
} else {
|
|
// 正常范围内，且必须与当前价方向不冲突
|
|
const validForSide =
|
|
(stopSide === "SELL" && targetStop <= price - tick) ||
|
|
(stopSide === "BUY" && targetStop >= price + tick);
|
|
if (validForSide) {
|
|
if (!currentStop) {
|
|
await this.tryPlaceStopLoss(stopSide, targetStop, price);
|
|
} else {
|
|
const existingRaw = Number(currentStop.stopPrice);
|
|
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
|
|
const improves =
|
|
!Number.isFinite(existingPrice) ||
|
|
(stopSide === "SELL" && targetStop >= existingPrice + tick) ||
|
|
(stopSide === "BUY" && targetStop <= existingPrice - tick);
|
|
if (improves) {
|
|
await this.tryReplaceStop(stopSide, currentStop, targetStop, price);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
} else {
|
|
// 无法取得动态止盈激活价时，仅按普通步进逻辑
|
|
const validForSide =
|
|
(stopSide === "SELL" && targetStop <= price - tick) ||
|
|
(stopSide === "BUY" && targetStop >= price + tick);
|
|
if (validForSide) {
|
|
if (!currentStop) {
|
|
await this.tryPlaceStopLoss(stopSide, targetStop, price);
|
|
} else {
|
|
const existingRaw = Number(currentStop.stopPrice);
|
|
const existingPrice = Number.isFinite(existingRaw) ? existingRaw : NaN;
|
|
const improves =
|
|
!Number.isFinite(existingPrice) ||
|
|
(stopSide === "SELL" && targetStop >= existingPrice + tick) ||
|
|
(stopSide === "BUY" && targetStop <= existingPrice - tick);
|
|
if (improves) {
|
|
await this.tryReplaceStop(stopSide, currentStop, targetStop, price);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
if (!currentStop) {
|
|
await this.tryPlaceStopLoss(
|
|
stopSide,
|
|
Number(
|
|
formatPriceToString(
|
|
stopPrice,
|
|
Math.max(0, Math.floor(Math.log10(1 / this.config.priceTick)))
|
|
)
|
|
),
|
|
price
|
|
);
|
|
}
|
|
|
|
if (!currentTrailing && this.exchange.supportsTrailingStops()) {
|
|
await this.tryPlaceTrailingStop(
|
|
stopSide,
|
|
Number(formatPriceToString(activationPrice, Math.max(0, Math.floor(Math.log10(1 / this.config.priceTick))))),
|
|
Math.abs(position.positionAmt)
|
|
);
|
|
}
|
|
|
|
const derivedLoss = pnl < -this.config.lossLimit;
|
|
const snapshotLoss = derivedLoss;
|
|
|
|
if (derivedLoss || snapshotLoss) {
|
|
const result = { closed: false, pnl };
|
|
try {
|
|
if (this.openOrders.length > 0) {
|
|
const orderIdList = this.openOrders.map((order) => order.orderId);
|
|
const orderIdSet = new Set(orderIdList.map(String));
|
|
try {
|
|
await this.exchange.cancelOrders({ symbol: this.config.symbol, orderIdList });
|
|
orderIdSet.forEach((id) => this.pendingCancelOrders.add(id));
|
|
} catch (err) {
|
|
if (isUnknownOrderError(err)) {
|
|
this.tradeLog.push("order", "止损前撤单发现订单已不存在");
|
|
// 清理本地缓存，避免重复对同一订单执行撤单
|
|
for (const id of orderIdSet) {
|
|
this.pendingCancelOrders.delete(id);
|
|
}
|
|
this.openOrders = this.openOrders.filter((o) => !orderIdSet.has(String(o.orderId)));
|
|
} else {
|
|
throw err;
|
|
}
|
|
}
|
|
}
|
|
// 价格操纵保护：仅当平仓方向价格与标记价格偏离在阈值内才执行市价平仓
|
|
const mark = getPosition(this.accountSnapshot, this.config.symbol).markPrice;
|
|
const limitPct = this.config.maxCloseSlippagePct;
|
|
const sideIsSell = direction === "long";
|
|
const depthBid = Number(this.depthSnapshot?.bids?.[0]?.[0]);
|
|
const depthAsk = Number(this.depthSnapshot?.asks?.[0]?.[0]);
|
|
const closeSidePrice = sideIsSell ? depthBid : depthAsk;
|
|
if (mark != null && Number.isFinite(mark) && mark > 0 && Number.isFinite(closeSidePrice)) {
|
|
const pctDiff = Math.abs(closeSidePrice - mark) / mark;
|
|
if (pctDiff > limitPct) {
|
|
this.tradeLog.push(
|
|
"info",
|
|
`市价平仓保护触发：closePx=${Number(closeSidePrice).toFixed(2)} mark=${mark.toFixed(2)} 偏离 ${(pctDiff * 100).toFixed(2)}% > ${(limitPct * 100).toFixed(2)}%`
|
|
);
|
|
return { closed: false, pnl };
|
|
}
|
|
}
|
|
await marketClose(
|
|
this.exchange,
|
|
this.config.symbol,
|
|
this.openOrders,
|
|
this.locks,
|
|
this.timers,
|
|
this.pending,
|
|
direction === "long" ? "SELL" : "BUY",
|
|
Math.abs(position.positionAmt),
|
|
(type, detail) => this.tradeLog.push(type, detail),
|
|
{
|
|
markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
|
|
expectedPrice: Number(
|
|
direction === "long"
|
|
? this.depthSnapshot?.bids?.[0]?.[0]
|
|
: this.depthSnapshot?.asks?.[0]?.[0]
|
|
) || null,
|
|
maxPct: this.config.maxCloseSlippagePct,
|
|
},
|
|
{ qtyStep: this.config.qtyStep }
|
|
);
|
|
result.closed = true;
|
|
this.tradeLog.push("close", `止损平仓: ${direction === "long" ? "SELL" : "BUY"}`);
|
|
// 记录止损时间以便短期内抑制再次入场
|
|
this.lastStopLossAt = Date.now();
|
|
} catch (err) {
|
|
if (isUnknownOrderError(err)) {
|
|
this.tradeLog.push("order", "止损平仓时目标订单已不存在");
|
|
} else {
|
|
this.tradeLog.push("error", `止损平仓失败: ${String(err)}`);
|
|
}
|
|
return result;
|
|
}
|
|
return result;
|
|
}
|
|
|
|
return { closed: false, pnl };
|
|
}
|
|
|
|
private async tryPlaceStopLoss(
|
|
side: "BUY" | "SELL",
|
|
stopPrice: number,
|
|
lastPrice: number
|
|
): Promise<void> {
|
|
// 短期去抖：在订单流无法正确识别止损单时，避免在极短时间内重复提交同价同向止损
|
|
const tick = Math.max(1e-9, this.config.priceTick);
|
|
const now = Date.now();
|
|
if (
|
|
this.lastStopAttempt.side === side &&
|
|
this.lastStopAttempt.price != null &&
|
|
Math.abs(stopPrice - Number(this.lastStopAttempt.price)) < tick &&
|
|
now - this.lastStopAttempt.at < 5000
|
|
) {
|
|
// 5 秒内同向同价重复尝试，直接跳过
|
|
return;
|
|
}
|
|
try {
|
|
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
|
const quantity = Math.abs(position.positionAmt);
|
|
const minQty = this.config.qtyStep > 0 ? this.config.qtyStep / 2 : 1e-12;
|
|
if (quantity <= minQty) {
|
|
return;
|
|
}
|
|
await placeStopLossOrder(
|
|
this.exchange,
|
|
this.config.symbol,
|
|
this.openOrders,
|
|
this.locks,
|
|
this.timers,
|
|
this.pending,
|
|
side,
|
|
stopPrice,
|
|
quantity,
|
|
lastPrice,
|
|
(type, detail) => this.tradeLog.push(type, detail),
|
|
{
|
|
markPrice: position.markPrice,
|
|
maxPct: this.config.maxCloseSlippagePct,
|
|
},
|
|
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep }
|
|
);
|
|
this.lastStopAttempt = { side, price: stopPrice, at: Date.now() };
|
|
} catch (err) {
|
|
this.tradeLog.push("error", `挂止损单失败: ${String(err)}`);
|
|
// 记录尝试以避免在错误被抛回时立即再次重复尝试
|
|
this.lastStopAttempt = { side, price: stopPrice, at: Date.now() };
|
|
}
|
|
}
|
|
|
|
private async tryReplaceStop(
|
|
side: "BUY" | "SELL",
|
|
currentOrder: AsterOrder,
|
|
nextStopPrice: number,
|
|
lastPrice: number
|
|
): Promise<void> {
|
|
// 预校验：SELL 止损价必须低于当前价；BUY 止损价必须高于当前价
|
|
const invalidForSide =
|
|
(side === "SELL" && nextStopPrice >= lastPrice) ||
|
|
(side === "BUY" && nextStopPrice <= lastPrice);
|
|
if (invalidForSide) {
|
|
// 目标止损价与当前价冲突时跳过移动，避免反复撤单/重下导致的循环
|
|
return;
|
|
}
|
|
const existingStopPrice = Number(currentOrder.stopPrice);
|
|
try {
|
|
await this.exchange.cancelOrder({ symbol: this.config.symbol, orderId: currentOrder.orderId });
|
|
} catch (err) {
|
|
if (isUnknownOrderError(err)) {
|
|
this.tradeLog.push("order", "原止损单已不存在，跳过撤销");
|
|
// 订单已不存在，移除本地记录，防止后续重复匹配
|
|
this.openOrders = this.openOrders.filter((o) => o.orderId !== currentOrder.orderId);
|
|
} else {
|
|
this.tradeLog.push("error", `取消原止损单失败: ${String(err)}`);
|
|
}
|
|
}
|
|
// 仅在成功创建新止损单后记录“移动止损”日志
|
|
try {
|
|
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
|
const quantity = Math.abs(position.positionAmt);
|
|
const minQty = this.config.qtyStep > 0 ? this.config.qtyStep / 2 : 1e-12;
|
|
if (quantity <= minQty) {
|
|
return;
|
|
}
|
|
const order = await placeStopLossOrder(
|
|
this.exchange,
|
|
this.config.symbol,
|
|
this.openOrders,
|
|
this.locks,
|
|
this.timers,
|
|
this.pending,
|
|
side,
|
|
nextStopPrice,
|
|
quantity,
|
|
lastPrice,
|
|
(type, detail) => this.tradeLog.push(type, detail),
|
|
{
|
|
markPrice: position.markPrice,
|
|
maxPct: this.config.maxCloseSlippagePct,
|
|
},
|
|
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep }
|
|
);
|
|
if (order) {
|
|
this.tradeLog.push("stop", `移动止损到 ${formatPriceToString(nextStopPrice, Math.max(0, Math.floor(Math.log10(1 / this.config.priceTick))))}`);
|
|
}
|
|
} catch (err) {
|
|
this.tradeLog.push("error", `移动止损失败: ${String(err)}`);
|
|
// 回滚策略：尝试用原价恢复止损，以避免出现短时间内无止损保护
|
|
try {
|
|
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
|
const quantity = Math.abs(position.positionAmt);
|
|
const minQty = this.config.qtyStep > 0 ? this.config.qtyStep / 2 : 1e-12;
|
|
if (quantity <= minQty) {
|
|
return;
|
|
}
|
|
const restoreInvalid =
|
|
(side === "SELL" && existingStopPrice >= lastPrice) ||
|
|
(side === "BUY" && existingStopPrice <= lastPrice);
|
|
if (!restoreInvalid) {
|
|
const restored = await placeStopLossOrder(
|
|
this.exchange,
|
|
this.config.symbol,
|
|
this.openOrders,
|
|
this.locks,
|
|
this.timers,
|
|
this.pending,
|
|
side,
|
|
existingStopPrice,
|
|
quantity,
|
|
lastPrice,
|
|
(t, d) => this.tradeLog.push(t, d),
|
|
{
|
|
markPrice: position.markPrice,
|
|
maxPct: this.config.maxCloseSlippagePct,
|
|
},
|
|
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep }
|
|
);
|
|
if (restored) {
|
|
this.tradeLog.push("order", `恢复原止损 @ ${formatPriceToString(existingStopPrice, Math.max(0, Math.floor(Math.log10(1 / this.config.priceTick))))}`);
|
|
}
|
|
}
|
|
} catch (recoverErr) {
|
|
this.tradeLog.push("error", `恢复原止损失败: ${String(recoverErr)}`);
|
|
}
|
|
}
|
|
}
|
|
|
|
private async tryPlaceTrailingStop(
|
|
side: "BUY" | "SELL",
|
|
activationPrice: number,
|
|
quantity: number
|
|
): Promise<void> {
|
|
if (!this.exchange.supportsTrailingStops()) {
|
|
return;
|
|
}
|
|
try {
|
|
await placeTrailingStopOrder(
|
|
this.exchange,
|
|
this.config.symbol,
|
|
this.openOrders,
|
|
this.locks,
|
|
this.timers,
|
|
this.pending,
|
|
side,
|
|
activationPrice,
|
|
quantity,
|
|
this.config.trailingCallbackRate,
|
|
(type, detail) => this.tradeLog.push(type, detail),
|
|
{
|
|
markPrice: getPosition(this.accountSnapshot, this.config.symbol).markPrice,
|
|
maxPct: this.config.maxCloseSlippagePct,
|
|
},
|
|
{ priceTick: this.config.priceTick, qtyStep: this.config.qtyStep }
|
|
);
|
|
} catch (err) {
|
|
this.tradeLog.push("error", `挂动态止盈失败: ${String(err)}`);
|
|
}
|
|
}
|
|
|
|
private syncPrecision(): void {
|
|
if (this.precisionSync) return;
|
|
const getPrecision = this.exchange.getPrecision?.bind(this.exchange);
|
|
if (!getPrecision) return;
|
|
this.precisionSync = getPrecision()
|
|
.then((precision) => {
|
|
if (!precision) return;
|
|
let updated = false;
|
|
if (Number.isFinite(precision.priceTick) && precision.priceTick > 0) {
|
|
const delta = Math.abs(precision.priceTick - this.config.priceTick);
|
|
if (delta > 1e-12) {
|
|
this.config.priceTick = precision.priceTick;
|
|
updated = true;
|
|
}
|
|
}
|
|
if (Number.isFinite(precision.qtyStep) && precision.qtyStep > 0) {
|
|
const delta = Math.abs(precision.qtyStep - this.config.qtyStep);
|
|
if (delta > 1e-12) {
|
|
this.config.qtyStep = precision.qtyStep;
|
|
updated = true;
|
|
}
|
|
}
|
|
if (updated) {
|
|
this.tradeLog.push(
|
|
"info",
|
|
`已同步交易精度: priceTick=${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 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(): TrendEngineSnapshot {
|
|
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
|
const price = this.tickerSnapshot ? Number(this.tickerSnapshot.lastPrice) : null;
|
|
const sma30 = this.lastSma30;
|
|
const trend = price == null || sma30 == null
|
|
? "无信号"
|
|
: price > sma30
|
|
? "做多"
|
|
: price < sma30
|
|
? "做空"
|
|
: "无信号";
|
|
const pnl = price != null ? computePositionPnl(position, price, price) : 0;
|
|
return {
|
|
ready: this.isReady(),
|
|
symbol: this.config.symbol,
|
|
lastPrice: price,
|
|
sma30,
|
|
bollingerBandwidth: this.lastBollingerBandwidth,
|
|
trend,
|
|
position,
|
|
pnl,
|
|
unrealized: position.unrealizedProfit,
|
|
totalProfit: this.totalProfit,
|
|
totalTrades: this.totalTrades,
|
|
sessionVolume: this.sessionVolume.value,
|
|
tradeLog: this.tradeLog.all(),
|
|
openOrders: this.openOrders,
|
|
depth: this.depthSnapshot,
|
|
ticker: this.tickerSnapshot,
|
|
lastUpdated: Date.now(),
|
|
lastOpenSignal: this.lastOpenPlan,
|
|
};
|
|
}
|
|
|
|
private getReferencePrice(): number | null {
|
|
return getMidOrLast(this.depthSnapshot, this.tickerSnapshot) ?? (this.lastPrice != null && Number.isFinite(this.lastPrice) ? this.lastPrice : null);
|
|
}
|
|
|
|
private trackPositionLifecycle(position: PositionSnapshot, referencePrice: number | null): void {
|
|
const prev = this.lastAccountPosition;
|
|
const prevExposure = Math.abs(prev.positionAmt) > 1e-5;
|
|
const currentExposure = Math.abs(position.positionAmt) > 1e-5;
|
|
const signChanged =
|
|
prevExposure && currentExposure && Math.sign(prev.positionAmt) !== Math.sign(position.positionAmt);
|
|
|
|
if (prevExposure && (!currentExposure || signChanged)) {
|
|
let realized: number | null = this.pendingRealized?.pnl ?? null;
|
|
if (!Number.isFinite(realized)) {
|
|
realized = this.estimateRealizedPnl(prev, referencePrice);
|
|
}
|
|
if (Number.isFinite(realized)) {
|
|
this.totalTrades += 1;
|
|
this.totalProfit += realized ?? 0;
|
|
}
|
|
this.pendingRealized = null;
|
|
}
|
|
|
|
if (!prevExposure && currentExposure) {
|
|
this.pendingRealized = null;
|
|
}
|
|
|
|
this.lastAccountPosition = {
|
|
positionAmt: position.positionAmt,
|
|
entryPrice: position.entryPrice,
|
|
unrealizedProfit: position.unrealizedProfit,
|
|
markPrice: position.markPrice,
|
|
};
|
|
}
|
|
|
|
private estimateRealizedPnl(position: PositionSnapshot, referencePrice: number | null): number {
|
|
const fallbackPrice =
|
|
referencePrice ??
|
|
this.getReferencePrice() ??
|
|
(this.lastPrice != null && Number.isFinite(this.lastPrice) ? this.lastPrice : position.entryPrice);
|
|
if (!Number.isFinite(fallbackPrice)) {
|
|
return 0;
|
|
}
|
|
return computePositionPnl(position, fallbackPrice, fallbackPrice);
|
|
}
|
|
|
|
}
|