mirror of
https://github.com/discountry/ritmex-bot.git
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DisneyandGitHub
9355ec5019
- Updated translations for Binance depth status messages to include depth window information. - Modified `MakerPointsEngine` to incorporate health checks for the Binance depth tracker, including handling of unhealthy states. - Improved defense mode activation logic to respond to Binance depth health status, ensuring appropriate logging and notifications. - Added integration tests for defense mode behavior based on Binance depth health, validating transitions into and out of defense mode. - Refactored `BinanceDepthTracker` to support health checks and improved connection management.
1988 lines
69 KiB
TypeScript
1988 lines
69 KiB
TypeScript
import type { MakerPointsConfig } from "../config";
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import type { ExchangeAdapter } from "../exchanges/adapter";
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import type {
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AsterAccountSnapshot,
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AsterDepth,
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AsterOrder,
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AsterTicker,
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} from "../exchanges/types";
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import { formatPriceToString } from "../utils/math";
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import { createTradeLog, type TradeLogEntry } from "../logging/trade-log";
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import { extractMessage, isInsufficientBalanceError, isPrecisionError, isRateLimitError, isUnknownOrderError } from "../utils/errors";
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import { isOrderActiveStatus } from "../utils/order-status";
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import { getPosition, parseSymbolParts, validateAccountSnapshotForSymbol } from "../utils/strategy";
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import type { PositionSnapshot } from "../utils/strategy";
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import { computePositionPnl, computeStopLossPnl } from "../utils/pnl";
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import { getDepthBetweenPrices, getMidOrLast, getTopPrices } from "../utils/price";
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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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import { BinanceDepthTracker, type BinanceDepthSnapshot } from "./common/binance-depth";
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import { buildBpsTargets } from "./maker-points-logic";
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import { t } from "../i18n";
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import {
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checkStandxTokenExpiry,
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formatTokenExpiryMessage,
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isTokenExpiryConfigured,
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type TokenExpiryState,
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} from "../utils/standx-token-expiry";
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import {
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createTelegramNotifier,
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type NotificationSender,
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type TradeNotification,
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} from "../notifications";
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interface DesiredOrder {
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side: "BUY" | "SELL";
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price: string;
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amount: number;
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reduceOnly: boolean;
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}
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export interface MakerPointsSnapshot {
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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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binance: boolean;
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};
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binanceDepth: BinanceDepthSnapshot | null;
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bandDepths: Array<{
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band: "0-10" | "10-30" | "30-100";
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bps: number;
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buyDepth: number | null;
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sellDepth: number | null;
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enabled: boolean;
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}>;
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quoteStatus: {
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closeOnly: boolean;
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skipBuy: boolean;
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skipSell: boolean;
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};
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}
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type MakerPointsEvent = "update";
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type MakerPointsListener = (snapshot: MakerPointsSnapshot) => void;
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const EPS = 1e-5;
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const INSUFFICIENT_BALANCE_COOLDOWN_MS = 15_000;
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const STOP_LOSS_COOLDOWN_MS = 5_000;
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const STOP_LOSS_CHECK_INTERVAL_MS = 250; // 止损检查最大间隔
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const STOP_LOSS_RETRY_INTERVAL_MS = 500; // 止损失败后重试间隔
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const DATA_STALE_THRESHOLD_MS = 5_000; // 数据过时阈值（5秒）
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const DEFENSE_MODE_CHECK_INTERVAL_MS = 1000; // 防御模式检查间隔
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const ACCOUNT_DATA_STALE_THRESHOLD_MS = 20_000; // 账户数据长期无更新阈值（会先尝试通过 REST 补拉验证，不直接进入防御模式）
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const STANDX_REST_ERROR_DEFENSE_THRESHOLD = 3;
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const STANDX_MARGIN_MODE_CHECK_INTERVAL_MS = 500;
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const STANDX_MARGIN_MODE_MAX_ATTEMPTS = 10;
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const ACCOUNT_STALE_REST_PROBE_MIN_INTERVAL_MS = 5_000;
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export class MakerPointsEngine {
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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<MakerPointsEvent, MakerPointsSnapshot>();
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private readonly sessionVolume = new SessionVolumeTracker();
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private readonly rateLimit: RateLimitController;
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private readonly binanceDepth: BinanceDepthTracker;
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private readonly notifier: NotificationSender;
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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 stopLossTimer: ReturnType<typeof setInterval> | null = null;
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private processing = false;
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private stopLossProcessing = false;
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private stopLossCooldownUntil = 0;
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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 lastDesiredSummary: string | null = null;
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private lastCloseOnly = false;
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private lastSkipBuy = false;
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private lastSkipSell = false;
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private lastQuoteBid1: number | null = null;
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private lastQuoteAsk1: number | null = null;
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// 跟踪各档位深度是否足够的状态 (按 bps 值索引)
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private lastDepthOkStatus: Record<number, { buy: boolean; sell: boolean }> = {};
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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 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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binance: 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 tokenExpiryState: TokenExpiryState = "active";
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private tokenExpiryLogged = false;
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private tokenExpiryCancelDone = false;
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private tokenExpiredCloseOnlyMode = false;
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private tokenExpiryNotified = false;
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private lastPositionAmt = 0;
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private lastPositionSide: "LONG" | "SHORT" | "FLAT" = "FLAT";
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// 连接保护相关状态（用于断连/重连事件处理）
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private _standxConnectionState: "connected" | "disconnected" = "connected";
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private reconnectResetPending = false;
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private lastRepriceQueryTime = 0;
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private readonly repriceQueryIntervalMs = 3000; // 最小查询间隔
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// ========== 数据过时防御模式 ==========
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// 各数据源最后更新时间
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private lastStandxDepthTime = 0;
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private lastStandxAccountTime = 0;
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private lastBinanceDepthTime = 0;
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private accountStaleRestProbeInFlight: Promise<void> | null = null;
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private accountStaleRestProbeLastAttempt = 0;
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private accountStaleRestProbeConsecutiveFailures = 0;
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// 防御模式状态
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private defenseMode = false;
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private defenseModeNotified = false;
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private defenseModeTimer: ReturnType<typeof setInterval> | null = null;
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// 防御模式下的 REST 轮询定时器
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private defenseRestPollTimer: ReturnType<typeof setTimeout> | null = null;
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private defenseRestPollActive = false;
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private standxRestConsecutiveErrors = 0;
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private standxRestUnhealthy = false;
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private standxRestLastError: string | null = null;
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private marginModeEnsuring: Promise<boolean> | null = null;
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constructor(private readonly config: MakerPointsConfig, 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.notifier = createTelegramNotifier();
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this.priceTick = Math.max(1e-9, this.config.priceTick);
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this.qtyStep = Math.max(1e-9, this.config.qtyStep);
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this.binanceDepth = new BinanceDepthTracker(resolveBinanceSymbol(this.config.symbol), {
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baseUrl: process.env.BINANCE_SPOT_WS_URL ?? process.env.BINANCE_WS_URL,
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restBaseUrl: process.env.BINANCE_REST_URL,
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levels: 20,
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ratio: 9,
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depthWindowBps: 9,
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speedMs: 100,
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logger: (context, error) => {
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this.tradeLog.push("warn", `Binance ${context} 异常: ${extractMessage(error)}`);
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},
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});
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this.binanceDepth.onUpdate(() => {
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this.feedStatus.binance = true;
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this.lastBinanceDepthTime = Date.now();
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this.emitUpdate();
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});
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// 监听 Binance 连接状态变化
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this.binanceDepth.onConnectionChange((state) => {
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if (state === "disconnected") {
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this.feedStatus.binance = false;
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this.tradeLog.push("warn", "Binance 深度连接断开");
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} else if (state === "stale") {
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this.feedStatus.binance = false;
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this.tradeLog.push("warn", "Binance 深度数据过时");
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} else if (state === "connected") {
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this.feedStatus.binance = true;
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this.tradeLog.push("info", "Binance 深度连接恢复");
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}
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this.emitUpdate();
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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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// 初始化数据时间戳
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const now = Date.now();
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this.lastStandxDepthTime = now;
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this.lastStandxAccountTime = now;
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this.lastBinanceDepthTime = now;
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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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if (!this.stopLossTimer) {
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this.stopLossTimer = setInterval(() => {
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void this.checkStopLoss();
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}, Math.min(STOP_LOSS_CHECK_INTERVAL_MS, this.config.refreshIntervalMs));
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}
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// 启动防御模式检测定时器
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if (!this.defenseModeTimer) {
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this.defenseModeTimer = setInterval(() => {
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this.checkDataStaleAndDefense();
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}, DEFENSE_MODE_CHECK_INTERVAL_MS);
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}
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this.binanceDepth.start();
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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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if (this.stopLossTimer) {
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clearInterval(this.stopLossTimer);
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this.stopLossTimer = null;
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}
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if (this.defenseModeTimer) {
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clearInterval(this.defenseModeTimer);
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this.defenseModeTimer = null;
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}
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this.stopDefenseRestPoll();
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this.binanceDepth.stop();
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}
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on(event: MakerPointsEvent, handler: MakerPointsListener): void {
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this.events.on(event, handler);
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}
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off(event: MakerPointsEvent, handler: MakerPointsListener): void {
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this.events.off(event, handler);
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}
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getSnapshot(): MakerPointsSnapshot {
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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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this.setupRestHealthProtection();
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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.applyAccountSnapshot(snapshot);
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},
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log,
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{
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subscribeFail: (error) => t("log.subscribe.accountFail", { error: String(error) }),
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processFail: (error) => t("log.process.accountError", { error: 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(
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(order) =>
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order.type !== "MARKET" &&
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order.symbol === this.config.symbol &&
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isOrderActiveStatus(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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this.initialOrderSnapshotReady = true;
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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) => t("log.subscribe.orderFail", { error: String(error) }),
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processFail: (error) => t("log.process.orderError", { error: 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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this.lastStandxDepthTime = Date.now();
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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) => t("log.subscribe.depthFail", { error: String(error) }),
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processFail: (error) => t("log.process.depthError", { error: 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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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) => t("log.subscribe.tickerFail", { error: String(error) }),
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processFail: (error) => t("log.process.tickerError", { error: String(error) }),
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}
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);
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// 注册连接事件监听（如果交易所支持）
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this.setupConnectionProtection();
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}
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private applyAccountSnapshot(snapshot: AsterAccountSnapshot): void {
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this.accountSnapshot = snapshot;
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// StandX: WS 推送使用本地接收时间戳；REST 快照使用响应里的 time 字段映射到 snapshot.updateTime
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this.lastStandxAccountTime =
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this.exchange.id === "standx" && Number.isFinite(snapshot.updateTime) && snapshot.updateTime > 0
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? snapshot.updateTime
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: Date.now();
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this.accountStaleRestProbeConsecutiveFailures = 0;
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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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this.detectPositionChange(position);
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this.feedStatus.account = true;
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this.emitUpdate();
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}
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private maybeProbeStandxAccountSnapshot(now: number): void {
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if (this.exchange.id !== "standx") return;
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if (!this.exchange.queryAccountSnapshot) return;
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if (this.defenseMode) return;
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if (this.accountStaleRestProbeInFlight) return;
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if (this.accountStaleRestProbeLastAttempt > 0 && now - this.accountStaleRestProbeLastAttempt < ACCOUNT_STALE_REST_PROBE_MIN_INTERVAL_MS) {
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return;
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}
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this.accountStaleRestProbeLastAttempt = now;
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this.accountStaleRestProbeInFlight = (async () => {
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try {
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const next = await this.exchange.queryAccountSnapshot?.();
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if (next) {
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this.applyAccountSnapshot(next);
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} else {
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this.accountStaleRestProbeConsecutiveFailures += 1;
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}
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} catch {
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this.accountStaleRestProbeConsecutiveFailures += 1;
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} finally {
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this.accountStaleRestProbeInFlight = null;
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}
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})();
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}
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/**
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* 设置连接保护机制
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* 监听断连/重连事件，实现保护逻辑
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*/
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private setupConnectionProtection(): void {
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if (!this.exchange.onConnectionEvent) return;
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this.exchange.onConnectionEvent((event, symbol) => {
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if (event === "disconnected") {
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this.handleDisconnect(symbol);
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} else if (event === "reconnected") {
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this.handleReconnect(symbol);
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}
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});
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}
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private setupRestHealthProtection(): void {
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if (!this.exchange.onRestHealthEvent) return;
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this.exchange.onRestHealthEvent((state, info) => {
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if (state === "unhealthy") {
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this.standxRestUnhealthy = true;
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this.standxRestConsecutiveErrors = Math.max(this.standxRestConsecutiveErrors, info.consecutiveErrors);
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this.standxRestLastError = info.error ?? this.standxRestLastError;
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if (!this.defenseMode && this.standxRestConsecutiveErrors >= STANDX_REST_ERROR_DEFENSE_THRESHOLD) {
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this.enterDefenseMode({
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standxDepthStale: false,
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binanceStale: false,
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standxAccountStale: false,
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accountInvalid: false,
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standxRestUnhealthy: true,
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standxRestConsecutiveErrors: this.standxRestConsecutiveErrors,
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standxRestLastError: this.standxRestLastError,
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marginModeNotIsolated: false,
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marginMode: this.getStandxMarginMode(this.accountSnapshot),
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standxDepthAge: 0,
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binanceAge: 0,
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standxAccountAge: 0,
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accountIssues: [],
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});
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}
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} else if (state === "healthy") {
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this.standxRestUnhealthy = false;
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this.standxRestConsecutiveErrors = 0;
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this.standxRestLastError = null;
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}
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});
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}
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/**
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* 处理断连事件
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*/
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private handleDisconnect(symbol: string): void {
|
|
this._standxConnectionState = "disconnected";
|
|
this.tradeLog.push("warn", `WebSocket 断连 (${symbol})，启动断连保护`);
|
|
this.notify({
|
|
type: "token_expired",
|
|
level: "warn",
|
|
symbol: this.config.symbol,
|
|
title: "连接断开",
|
|
message: "WebSocket 断连，正在尝试取消所有挂单",
|
|
details: { symbol },
|
|
});
|
|
}
|
|
|
|
/**
|
|
* 处理重连事件
|
|
* 重连后需要重新查询挂单并取消所有挂单
|
|
*/
|
|
private async handleReconnect(symbol: string): Promise<void> {
|
|
this._standxConnectionState = "connected";
|
|
this.reconnectResetPending = true;
|
|
this.tradeLog.push("info", `WebSocket 重连成功 (${symbol})，开始重连保护流程`);
|
|
|
|
try {
|
|
// 查询真实挂单状态
|
|
if (this.exchange.queryOpenOrders) {
|
|
const realOrders = await this.exchange.queryOpenOrders();
|
|
this.tradeLog.push("info", `重连后查询到 ${realOrders.length} 个挂单`);
|
|
|
|
if (realOrders.length > 0) {
|
|
// 取消所有挂单
|
|
if (this.exchange.forceCancelAllOrders) {
|
|
const success = await this.exchange.forceCancelAllOrders();
|
|
if (success) {
|
|
this.tradeLog.push("order", "重连保护：已取消所有挂单");
|
|
} else {
|
|
this.tradeLog.push("warn", "重连保护：取消挂单未完全成功，将在下次循环重试");
|
|
}
|
|
} else {
|
|
await this.exchange.cancelAllOrders({ symbol: this.config.symbol });
|
|
this.tradeLog.push("order", "重连保护：已取消所有挂单");
|
|
}
|
|
}
|
|
}
|
|
|
|
// 重置本地挂单状态
|
|
this.openOrders = [];
|
|
this.pendingCancelOrders.clear();
|
|
unlockOperating(this.locks, this.timers, this.pending, "LIMIT");
|
|
|
|
// 重置 reprice 基准，强制下一次重新计算
|
|
this.lastQuoteBid1 = null;
|
|
this.lastQuoteAsk1 = null;
|
|
this.desiredOrders = [];
|
|
this.lastDesiredSummary = null;
|
|
|
|
// 标记启动重置需要重新执行
|
|
this.initialOrderResetDone = false;
|
|
|
|
this.notify({
|
|
type: "position_opened",
|
|
level: "info",
|
|
symbol: this.config.symbol,
|
|
title: "重连完成",
|
|
message: "WebSocket 重连成功，已清理挂单状态",
|
|
details: { symbol },
|
|
});
|
|
} catch (error) {
|
|
this.tradeLog.push("error", `重连保护流程失败: ${extractMessage(error)}`);
|
|
} finally {
|
|
this.reconnectResetPending = false;
|
|
}
|
|
}
|
|
|
|
private syncLocksWithOrders(orders: AsterOrder[] | null | undefined): void {
|
|
const list = Array.isArray(orders) ? orders : [];
|
|
Object.keys(this.pending).forEach((type) => {
|
|
const pendingId = this.pending[type];
|
|
if (!pendingId) return;
|
|
const match = list.find((order) => String(order.orderId) === pendingId);
|
|
if (!match || (match.status && match.status !== "NEW" && match.status !== "PARTIALLY_FILLED")) {
|
|
unlockOperating(this.locks, this.timers, this.pending, type);
|
|
}
|
|
});
|
|
}
|
|
|
|
private isReady(): boolean {
|
|
return Boolean(
|
|
this.feedStatus.account &&
|
|
this.feedStatus.depth &&
|
|
this.feedStatus.ticker &&
|
|
this.feedStatus.orders
|
|
);
|
|
}
|
|
|
|
private async tick(): Promise<void> {
|
|
if (this.processing) return;
|
|
// 重连处理期间不执行主循环，避免状态竞争
|
|
if (this.reconnectResetPending) return;
|
|
// 止损执行期间不执行主循环，避免订单冲突
|
|
if (this.stopLossProcessing) return;
|
|
// 防御模式下不执行正常挂单逻辑
|
|
if (this.defenseMode) return;
|
|
this.processing = true;
|
|
let hadRateLimit = false;
|
|
try {
|
|
const decision = this.rateLimit.beforeCycle();
|
|
if (decision === "paused") {
|
|
this.emitUpdate();
|
|
return;
|
|
}
|
|
if (decision === "skip") {
|
|
return;
|
|
}
|
|
if (!this.isReady()) {
|
|
this.logReadinessBlockers();
|
|
this.emitUpdate();
|
|
return;
|
|
}
|
|
|
|
if (!(await this.ensureStandxIsolatedMarginMode())) {
|
|
const current = this.getStandxMarginMode(this.accountSnapshot);
|
|
this.enterDefenseMode({
|
|
standxDepthStale: false,
|
|
binanceStale: false,
|
|
standxAccountStale: false,
|
|
accountInvalid: false,
|
|
standxRestUnhealthy: false,
|
|
standxRestConsecutiveErrors: this.standxRestConsecutiveErrors,
|
|
standxRestLastError: this.standxRestLastError,
|
|
marginModeNotIsolated: true,
|
|
marginMode: current,
|
|
standxDepthAge: 0,
|
|
binanceAge: 0,
|
|
standxAccountAge: 0,
|
|
accountIssues: [],
|
|
});
|
|
this.emitUpdate();
|
|
return;
|
|
}
|
|
|
|
const accountHealth = validateAccountSnapshotForSymbol(this.accountSnapshot, this.config.symbol);
|
|
if (!accountHealth.ok && !this.defenseMode) {
|
|
this.enterDefenseMode({
|
|
standxDepthStale: false,
|
|
binanceStale: false,
|
|
standxAccountStale: false,
|
|
accountInvalid: true,
|
|
standxRestUnhealthy: false,
|
|
standxRestConsecutiveErrors: this.standxRestConsecutiveErrors,
|
|
standxRestLastError: this.standxRestLastError,
|
|
marginModeNotIsolated: false,
|
|
marginMode: this.getStandxMarginMode(this.accountSnapshot),
|
|
standxDepthAge: 0,
|
|
binanceAge: 0,
|
|
standxAccountAge: 0,
|
|
accountIssues: accountHealth.issues,
|
|
});
|
|
this.emitUpdate();
|
|
return;
|
|
}
|
|
|
|
this.resetReadinessFlags();
|
|
if (!(await this.ensureStartupOrderReset())) {
|
|
this.emitUpdate();
|
|
return;
|
|
}
|
|
|
|
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
|
const absPosition = Math.abs(position.positionAmt);
|
|
|
|
if (await this.handleTokenExpiry(position, absPosition)) {
|
|
this.emitUpdate();
|
|
return;
|
|
}
|
|
|
|
const depth = this.depthSnapshot!;
|
|
const { topBid, topAsk } = getTopPrices(depth);
|
|
if (topBid == null || topAsk == null) {
|
|
this.emitUpdate();
|
|
return;
|
|
}
|
|
|
|
const closeThreshold = Number(this.config.closeThreshold);
|
|
const closeOnly =
|
|
this.tokenExpiredCloseOnlyMode ||
|
|
(Number.isFinite(closeThreshold) &&
|
|
closeThreshold > 0 &&
|
|
absPosition >= closeThreshold - EPS);
|
|
const prevCloseOnly = this.lastCloseOnly;
|
|
if (closeOnly !== prevCloseOnly) {
|
|
this.tradeLog.push("info", closeOnly ? "进入平仓模式，仅挂 reduce-only" : "退出平仓模式");
|
|
this.lastCloseOnly = closeOnly;
|
|
}
|
|
|
|
|
|
const binanceSnapshot = this.binanceDepth.getSnapshot();
|
|
const rawSkipBuy = this.config.enableBinanceDepthCancel && Boolean(binanceSnapshot?.skipBuySide);
|
|
const rawSkipSell = this.config.enableBinanceDepthCancel && Boolean(binanceSnapshot?.skipSellSide);
|
|
const skipBuy = closeOnly ? false : rawSkipBuy;
|
|
const skipSell = closeOnly ? false : rawSkipSell;
|
|
const prevSkipBuy = this.lastSkipBuy;
|
|
const prevSkipSell = this.lastSkipSell;
|
|
if (skipBuy !== prevSkipBuy || skipSell !== prevSkipSell) {
|
|
if (skipBuy || skipSell) {
|
|
const summary = `${skipBuy ? "BUY" : ""}${skipBuy && skipSell ? "/" : ""}${skipSell ? "SELL" : ""}`;
|
|
this.tradeLog.push("info", `Binance 深度失衡，暂停 ${summary} 挂单`);
|
|
} else {
|
|
this.tradeLog.push("info", "Binance 深度恢复，继续挂单");
|
|
}
|
|
this.lastSkipBuy = skipBuy;
|
|
this.lastSkipSell = skipSell;
|
|
}
|
|
|
|
const closeOnlyChanged = closeOnly !== prevCloseOnly;
|
|
const skipChanged = skipBuy !== prevSkipBuy || skipSell !== prevSkipSell;
|
|
const repriceNeeded = closeOnly ? true : this.shouldReprice(topBid, topAsk);
|
|
const depthStatusChanged = this.checkDepthStatusChanged(depth, topBid, topAsk);
|
|
const shouldRecompute =
|
|
closeOnly ||
|
|
repriceNeeded ||
|
|
closeOnlyChanged ||
|
|
skipChanged ||
|
|
depthStatusChanged ||
|
|
this.desiredOrders.length === 0;
|
|
|
|
const desired = shouldRecompute
|
|
? closeOnly
|
|
? this.buildCloseOnlyOrders(position, topBid, topAsk)
|
|
: this.buildDesiredOrders({
|
|
bid1: topBid,
|
|
ask1: topAsk,
|
|
skipBuy,
|
|
skipSell,
|
|
depth,
|
|
})
|
|
: this.desiredOrders;
|
|
|
|
if (shouldRecompute) {
|
|
if (closeOnly) {
|
|
this.lastQuoteBid1 = null;
|
|
this.lastQuoteAsk1 = null;
|
|
} else {
|
|
this.lastQuoteBid1 = topBid;
|
|
this.lastQuoteAsk1 = topAsk;
|
|
}
|
|
}
|
|
|
|
this.desiredOrders = desired;
|
|
this.logDesiredOrders(desired);
|
|
this.sessionVolume.update(position, this.getReferencePrice());
|
|
await this.syncOrders(desired, closeOnly);
|
|
this.emitUpdate();
|
|
} catch (error) {
|
|
if (isRateLimitError(error)) {
|
|
hadRateLimit = true;
|
|
this.rateLimit.registerRateLimit("maker-points");
|
|
this.tradeLog.push("warn", `限频触发，暂停挂单: ${extractMessage(error)}`);
|
|
} else {
|
|
this.tradeLog.push("error", `MakerPoints 主循环异常: ${extractMessage(error)}`);
|
|
}
|
|
this.emitUpdate();
|
|
} finally {
|
|
this.rateLimit.onCycleComplete(hadRateLimit);
|
|
this.processing = false;
|
|
}
|
|
}
|
|
|
|
private buildDesiredOrders(params: {
|
|
bid1: number;
|
|
ask1: number;
|
|
skipBuy: boolean;
|
|
skipSell: boolean;
|
|
depth: AsterDepth | null;
|
|
}): DesiredOrder[] {
|
|
const { bid1, ask1, skipBuy, skipSell, depth } = params;
|
|
|
|
const targets = buildBpsTargets({
|
|
band0To10: this.config.enableBand0To10,
|
|
band10To30: this.config.enableBand10To30,
|
|
band30To100: this.config.enableBand30To100,
|
|
}).sort((a, b) => b - a);
|
|
|
|
if (!targets.length) return [];
|
|
|
|
const priceDecimals = this.getPriceDecimals();
|
|
const desired: DesiredOrder[] = [];
|
|
const minDepth = this.config.filterMinDepth;
|
|
|
|
const getAmountForBps = (bps: number): number => {
|
|
if (bps <= 10) return Number(this.config.band0To10Amount);
|
|
if (bps <= 30) return Number(this.config.band10To30Amount);
|
|
return Number(this.config.band30To100Amount);
|
|
};
|
|
|
|
for (const bps of targets) {
|
|
const amount = getAmountForBps(bps);
|
|
if (!Number.isFinite(amount) || amount <= 0) continue;
|
|
|
|
// 所有档位都检查深度
|
|
const shouldCheckDepth = minDepth > 0;
|
|
|
|
if (!skipBuy) {
|
|
const price = bid1 * (1 - bps / 10000);
|
|
if (Number.isFinite(price) && price > 0) {
|
|
if (shouldCheckDepth) {
|
|
const depthQty = getDepthBetweenPrices(depth, "BUY", price);
|
|
if (depthQty < minDepth) {
|
|
this.logThinDepthSkip("BUY", bps, depthQty, minDepth);
|
|
} else {
|
|
this.resetThinDepthSkip("BUY", bps);
|
|
desired.push({
|
|
side: "BUY",
|
|
price: formatPriceToString(price, priceDecimals),
|
|
amount,
|
|
reduceOnly: false,
|
|
});
|
|
}
|
|
} else {
|
|
desired.push({
|
|
side: "BUY",
|
|
price: formatPriceToString(price, priceDecimals),
|
|
amount,
|
|
reduceOnly: false,
|
|
});
|
|
}
|
|
}
|
|
}
|
|
if (!skipSell) {
|
|
const price = ask1 * (1 + bps / 10000);
|
|
if (Number.isFinite(price) && price > 0) {
|
|
if (shouldCheckDepth) {
|
|
const depthQty = getDepthBetweenPrices(depth, "SELL", price);
|
|
if (depthQty < minDepth) {
|
|
this.logThinDepthSkip("SELL", bps, depthQty, minDepth);
|
|
} else {
|
|
this.resetThinDepthSkip("SELL", bps);
|
|
desired.push({
|
|
side: "SELL",
|
|
price: formatPriceToString(price, priceDecimals),
|
|
amount,
|
|
reduceOnly: false,
|
|
});
|
|
}
|
|
} else {
|
|
desired.push({
|
|
side: "SELL",
|
|
price: formatPriceToString(price, priceDecimals),
|
|
amount,
|
|
reduceOnly: false,
|
|
});
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
return desired;
|
|
}
|
|
|
|
/**
|
|
* 检查各档位的深度状态是否发生变化
|
|
* 当深度从足够变为不足，或从不足变为足够时，需要触发重新计算
|
|
*/
|
|
private checkDepthStatusChanged(
|
|
depth: AsterDepth | null,
|
|
bid1: number,
|
|
ask1: number
|
|
): boolean {
|
|
const minDepth = this.config.filterMinDepth;
|
|
if (minDepth <= 0) return false;
|
|
|
|
// 获取启用的所有档位
|
|
const targets = buildBpsTargets({
|
|
band0To10: this.config.enableBand0To10,
|
|
band10To30: this.config.enableBand10To30,
|
|
band30To100: this.config.enableBand30To100,
|
|
});
|
|
|
|
let changed = false;
|
|
|
|
for (const bps of targets) {
|
|
const buyPrice = bid1 * (1 - bps / 10000);
|
|
const sellPrice = ask1 * (1 + bps / 10000);
|
|
|
|
const buyDepthQty = getDepthBetweenPrices(depth, "BUY", buyPrice);
|
|
const sellDepthQty = getDepthBetweenPrices(depth, "SELL", sellPrice);
|
|
const currentBuyOk = buyDepthQty >= minDepth;
|
|
const currentSellOk = sellDepthQty >= minDepth;
|
|
|
|
const lastStatus = this.lastDepthOkStatus[bps];
|
|
if (lastStatus) {
|
|
if (lastStatus.buy !== currentBuyOk || lastStatus.sell !== currentSellOk) {
|
|
changed = true;
|
|
}
|
|
}
|
|
|
|
this.lastDepthOkStatus[bps] = { buy: currentBuyOk, sell: currentSellOk };
|
|
}
|
|
|
|
return changed;
|
|
}
|
|
|
|
private buildCloseOnlyOrders(
|
|
position: PositionSnapshot,
|
|
bid1: number,
|
|
ask1: number
|
|
): DesiredOrder[] {
|
|
const absPosition = Math.abs(position.positionAmt);
|
|
if (absPosition < EPS) return [];
|
|
const priceDecimals = this.getPriceDecimals();
|
|
if (position.positionAmt > 0) {
|
|
return [
|
|
{
|
|
side: "SELL",
|
|
price: formatPriceToString(bid1, priceDecimals),
|
|
amount: absPosition,
|
|
reduceOnly: true,
|
|
},
|
|
];
|
|
}
|
|
return [
|
|
{
|
|
side: "BUY",
|
|
price: formatPriceToString(ask1, priceDecimals),
|
|
amount: absPosition,
|
|
reduceOnly: true,
|
|
},
|
|
];
|
|
}
|
|
|
|
private shouldReprice(bid1: number, ask1: number): boolean {
|
|
const threshold = Number(this.config.minRepriceBps);
|
|
if (!Number.isFinite(threshold) || threshold <= 0) return true;
|
|
if (!Number.isFinite(bid1) || !Number.isFinite(ask1)) return false;
|
|
if (!Number.isFinite(this.lastQuoteBid1 ?? NaN) || !Number.isFinite(this.lastQuoteAsk1 ?? NaN)) {
|
|
return true;
|
|
}
|
|
if ((this.lastQuoteBid1 ?? 0) <= 0 || (this.lastQuoteAsk1 ?? 0) <= 0) return true;
|
|
const bidMove = Math.abs(bid1 - (this.lastQuoteBid1 ?? bid1)) / (this.lastQuoteBid1 ?? bid1) * 10000;
|
|
const askMove = Math.abs(ask1 - (this.lastQuoteAsk1 ?? ask1)) / (this.lastQuoteAsk1 ?? ask1) * 10000;
|
|
return bidMove >= threshold || askMove >= threshold;
|
|
}
|
|
|
|
private async ensureStartupOrderReset(): Promise<boolean> {
|
|
if (this.initialOrderResetDone) return true;
|
|
if (!this.initialOrderSnapshotReady) return false;
|
|
if (!this.openOrders.length) {
|
|
this.initialOrderResetDone = true;
|
|
return true;
|
|
}
|
|
try {
|
|
await this.exchange.cancelAllOrders({ symbol: this.config.symbol });
|
|
this.pendingCancelOrders.clear();
|
|
unlockOperating(this.locks, this.timers, this.pending, "LIMIT");
|
|
this.openOrders = [];
|
|
this.emitUpdate();
|
|
this.tradeLog.push("order", "启动时清理历史挂单");
|
|
this.initialOrderResetDone = true;
|
|
return true;
|
|
} catch (error) {
|
|
if (isUnknownOrderError(error)) {
|
|
this.tradeLog.push("order", "历史挂单已消失，跳过启动清理");
|
|
this.initialOrderResetDone = true;
|
|
this.openOrders = [];
|
|
this.emitUpdate();
|
|
return true;
|
|
}
|
|
this.tradeLog.push("error", `启动撤单失败: ${String(error)}`);
|
|
return false;
|
|
}
|
|
}
|
|
|
|
private async syncOrders(targets: DesiredOrder[], _closeOnly: boolean): Promise<void> {
|
|
// 止损执行期间不进行挂单操作，避免订单冲突
|
|
if (this.stopLossProcessing) return;
|
|
// 重连处理期间不进行挂单操作
|
|
if (this.reconnectResetPending) return;
|
|
|
|
// 价格变化保护：如果需要 reprice 且距上次查询已过足够时间，先查询真实挂单
|
|
const shouldVerifyOrders = await this.verifyOrdersIfNeeded();
|
|
if (shouldVerifyOrders) {
|
|
// 如果发现有未预期的挂单，先取消所有挂单
|
|
return;
|
|
}
|
|
|
|
const availableOrders = this.openOrders.filter((o) => !this.pendingCancelOrders.has(String(o.orderId)));
|
|
const openOrders = availableOrders.filter((order) => isOrderActiveStatus(order.status));
|
|
const { toCancel, toPlace } = makeOrderPlan(openOrders, targets);
|
|
|
|
for (const order of toCancel) {
|
|
if (this.pendingCancelOrders.has(String(order.orderId))) continue;
|
|
this.pendingCancelOrders.add(String(order.orderId));
|
|
await safeCancelOrder(
|
|
this.exchange,
|
|
this.config.symbol,
|
|
order,
|
|
() => {
|
|
this.tradeLog.push(
|
|
"order",
|
|
`撤销不匹配订单 ${order.side} @ ${order.price} reduceOnly=${order.reduceOnly}`
|
|
);
|
|
},
|
|
() => {
|
|
this.tradeLog.push("order", "撤销时发现订单已被成交/取消，忽略");
|
|
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);
|
|
}
|
|
);
|
|
}
|
|
|
|
const insufficientActive = this.applyInsufficientBalanceState(Date.now());
|
|
if (this.rateLimit.shouldBlockEntries() || insufficientActive) {
|
|
return;
|
|
}
|
|
|
|
for (const target of toPlace) {
|
|
if (!target) continue;
|
|
if (target.amount < EPS) continue;
|
|
try {
|
|
// reduce-only 订单不能设置 tp/sl，仅开仓单设置止损
|
|
const priceNum = Number(target.price);
|
|
const slPrice = target.reduceOnly
|
|
? undefined
|
|
: target.side === "BUY"
|
|
? priceNum - 1
|
|
: priceNum + 1;
|
|
await placeOrder(
|
|
this.exchange,
|
|
this.config.symbol,
|
|
this.openOrders,
|
|
this.locks,
|
|
this.timers,
|
|
this.pending,
|
|
target.side,
|
|
target.price,
|
|
target.amount,
|
|
(type, detail) => this.tradeLog.push(type, detail),
|
|
target.reduceOnly,
|
|
undefined,
|
|
{
|
|
priceTick: this.priceTick,
|
|
qtyStep: this.qtyStep,
|
|
skipDedupe: true,
|
|
slPrice,
|
|
}
|
|
);
|
|
} catch (error) {
|
|
if (isInsufficientBalanceError(error)) {
|
|
this.registerInsufficientBalance(error);
|
|
break;
|
|
}
|
|
if (isPrecisionError(error)) {
|
|
this.tradeLog.push("warn", `检测到精度错误，重新同步: ${extractMessage(error)}`);
|
|
this.syncPrecision(true);
|
|
}
|
|
this.tradeLog.push(
|
|
"error",
|
|
`挂单失败 ${target.side} @ ${target.price}: ${extractMessage(error)}`
|
|
);
|
|
}
|
|
}
|
|
}
|
|
|
|
/**
|
|
* 验证真实挂单状态，防止取消请求丢失
|
|
* 在每次 reprice 时查询真实挂单，发现未预期的挂单时取消所有挂单
|
|
* @returns true 表示发现问题并执行了取消操作，调用方应跳过本轮挂单
|
|
*/
|
|
private async verifyOrdersIfNeeded(): Promise<boolean> {
|
|
// 如果交易所不支持查询挂单，跳过验证
|
|
if (!this.exchange.queryOpenOrders) return false;
|
|
|
|
// 限制查询频率
|
|
const now = Date.now();
|
|
if (now - this.lastRepriceQueryTime < this.repriceQueryIntervalMs) {
|
|
return false;
|
|
}
|
|
|
|
try {
|
|
const realOrders = await this.exchange.queryOpenOrders();
|
|
this.lastRepriceQueryTime = now;
|
|
|
|
// 比较真实挂单与本地记录
|
|
const realOrderIds = new Set(realOrders.map((o) => String(o.orderId)));
|
|
const localOrderIds = new Set(this.openOrders.map((o) => String(o.orderId)));
|
|
|
|
// 查找本地以为已取消但实际还存在的订单
|
|
const unexpectedOrders = realOrders.filter((order) => {
|
|
const orderId = String(order.orderId);
|
|
// 如果本地没有这个订单，说明我们以为它已经被取消了
|
|
if (!localOrderIds.has(orderId)) {
|
|
return true;
|
|
}
|
|
// 如果本地记录这个订单在等待取消，但实际还存在
|
|
if (this.pendingCancelOrders.has(orderId)) {
|
|
return true;
|
|
}
|
|
return false;
|
|
});
|
|
|
|
if (unexpectedOrders.length > 0) {
|
|
this.tradeLog.push(
|
|
"warn",
|
|
`发现 ${unexpectedOrders.length} 个未预期挂单，执行强制取消`
|
|
);
|
|
|
|
// 强制取消所有挂单
|
|
if (this.exchange.forceCancelAllOrders) {
|
|
await this.exchange.forceCancelAllOrders();
|
|
} else {
|
|
await this.exchange.cancelAllOrders({ symbol: this.config.symbol });
|
|
}
|
|
|
|
// 重置本地状态
|
|
this.openOrders = [];
|
|
this.pendingCancelOrders.clear();
|
|
this.tradeLog.push("order", "已强制取消所有挂单，重置本地状态");
|
|
return true;
|
|
}
|
|
|
|
// 更新本地挂单状态以匹配真实状态
|
|
if (realOrders.length !== this.openOrders.length) {
|
|
// 移除本地记录中不存在于服务器的订单
|
|
this.openOrders = this.openOrders.filter((o) => realOrderIds.has(String(o.orderId)));
|
|
}
|
|
} catch (error) {
|
|
this.tradeLog.push("error", `验证挂单状态失败: ${extractMessage(error)}`);
|
|
}
|
|
|
|
return false;
|
|
}
|
|
|
|
/**
|
|
* 使用实时深度数据计算仓位的未实现盈亏
|
|
* 优先使用实时数据，回退到账户快照数据
|
|
*/
|
|
private computeRealtimePnl(position: PositionSnapshot): number | null {
|
|
const { topBid, topAsk } = getTopPrices(this.depthSnapshot);
|
|
return computeStopLossPnl(position, topBid, topAsk);
|
|
}
|
|
|
|
private async checkStopLoss(): Promise<void> {
|
|
if (this.stopLossProcessing) return;
|
|
const lossLimit = Number(this.config.stopLossUsd);
|
|
if (!Number.isFinite(lossLimit) || lossLimit <= 0) return;
|
|
if (!this.accountSnapshot) return;
|
|
|
|
const position = getPosition(this.accountSnapshot, this.config.symbol);
|
|
const absPosition = Math.abs(position.positionAmt);
|
|
if (absPosition < EPS) return;
|
|
|
|
// 使用实时计算的 PnL
|
|
const realtimePnl = this.computeRealtimePnl(position);
|
|
if (realtimePnl == null) return;
|
|
|
|
const now = Date.now();
|
|
if (now < this.stopLossCooldownUntil) return;
|
|
if (realtimePnl > -lossLimit) return;
|
|
|
|
this.stopLossProcessing = true;
|
|
// 不在这里设置冷却期，只有成功平仓后才设置
|
|
this.tradeLog.push(
|
|
"stop",
|
|
`触发止损: 实时未实现亏损 ${realtimePnl.toFixed(4)} USDT`
|
|
);
|
|
this.notify({
|
|
type: "stop_loss",
|
|
level: "error",
|
|
symbol: this.config.symbol,
|
|
title: "止损触发",
|
|
message: `实时未实现亏损 ${realtimePnl.toFixed(4)} USDT，强制平仓`,
|
|
details: {
|
|
side: position.positionAmt > 0 ? "LONG" : "SHORT",
|
|
size: absPosition,
|
|
unrealizedPnl: realtimePnl,
|
|
lossLimit: -lossLimit,
|
|
},
|
|
});
|
|
|
|
// 循环重试止损，直到仓位为0
|
|
await this.executeStopLossWithRetry(position.positionAmt > 0 ? "SELL" : "BUY");
|
|
}
|
|
|
|
/**
|
|
* 执行止损平仓，失败后自动重试直到仓位为0
|
|
*/
|
|
private async executeStopLossWithRetry(side: "BUY" | "SELL"): Promise<void> {
|
|
const maxRetries = 10;
|
|
let retryCount = 0;
|
|
|
|
try {
|
|
while (retryCount < maxRetries) {
|
|
// 每次重试前重新检查仓位
|
|
const currentPosition = getPosition(this.accountSnapshot, this.config.symbol);
|
|
const currentAbsPosition = Math.abs(currentPosition.positionAmt);
|
|
|
|
// 仓位已清零，止损成功
|
|
if (currentAbsPosition < EPS) {
|
|
this.tradeLog.push("stop", "止损成功: 仓位已清零");
|
|
this.stopLossCooldownUntil = Date.now() + STOP_LOSS_COOLDOWN_MS;
|
|
break;
|
|
}
|
|
|
|
try {
|
|
// 强制解锁 MARKET 类型，确保不被之前的操作阻塞
|
|
unlockOperating(this.locks, this.timers, this.pending, "MARKET");
|
|
|
|
// 先取消所有挂单
|
|
await this.flushOrders();
|
|
|
|
// 执行市价平仓
|
|
await marketClose(
|
|
this.exchange,
|
|
this.config.symbol,
|
|
this.openOrders,
|
|
this.locks,
|
|
this.timers,
|
|
this.pending,
|
|
side,
|
|
currentAbsPosition,
|
|
(type, detail) => this.tradeLog.push(type, detail),
|
|
undefined,
|
|
{ qtyStep: this.qtyStep }
|
|
);
|
|
|
|
// 等待一小段时间让账户数据更新
|
|
await this.sleep(STOP_LOSS_RETRY_INTERVAL_MS);
|
|
|
|
} catch (error) {
|
|
retryCount++;
|
|
if (isUnknownOrderError(error)) {
|
|
this.tradeLog.push("order", "止损平仓时订单已不存在，继续检查仓位");
|
|
} else if (isPrecisionError(error)) {
|
|
this.tradeLog.push("warn", `止损平仓精度错误，重新同步: ${extractMessage(error)}`);
|
|
this.syncPrecision(true);
|
|
} else {
|
|
this.tradeLog.push("error", `止损平仓失败 (重试 ${retryCount}/${maxRetries}): ${extractMessage(error)}`);
|
|
}
|
|
|
|
// 失败后等待一段时间再重试
|
|
if (retryCount < maxRetries) {
|
|
await this.sleep(STOP_LOSS_RETRY_INTERVAL_MS);
|
|
}
|
|
}
|
|
}
|
|
|
|
if (retryCount >= maxRetries) {
|
|
this.tradeLog.push("error", `止损重试已达上限 (${maxRetries} 次)，请手动检查仓位`);
|
|
// 达到重试上限后设置冷却期，避免持续重试
|
|
this.stopLossCooldownUntil = Date.now() + STOP_LOSS_COOLDOWN_MS;
|
|
}
|
|
} finally {
|
|
this.stopLossProcessing = false;
|
|
this.emitUpdate();
|
|
}
|
|
}
|
|
|
|
private sleep(ms: number): Promise<void> {
|
|
return new Promise((resolve) => setTimeout(resolve, ms));
|
|
}
|
|
|
|
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,
|
|
() => {
|
|
// No log on successful cancel
|
|
},
|
|
() => {
|
|
this.tradeLog.push("order", "撤销时发现订单已被成交/取消，忽略");
|
|
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(force = false): void {
|
|
if (this.precisionSync && !force) return;
|
|
const getPrecision = this.exchange.getPrecision?.bind(this.exchange);
|
|
if (!getPrecision) return;
|
|
this.precisionSync = getPrecision()
|
|
.then((precision) => {
|
|
this.precisionSync = null;
|
|
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",
|
|
t("log.common.precisionSynced", {
|
|
priceTick: precision.priceTick,
|
|
qtyStep: precision.qtyStep,
|
|
})
|
|
);
|
|
}
|
|
})
|
|
.catch((error) => {
|
|
this.tradeLog.push("error", t("log.common.precisionFailed", { error: 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", `更新监听异常: ${String(error)}`);
|
|
});
|
|
} catch (err) {
|
|
this.tradeLog.push("error", `快照生成异常: ${String(err)}`);
|
|
}
|
|
}
|
|
|
|
private buildSnapshot(): MakerPointsSnapshot {
|
|
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);
|
|
const bandDepths = this.computeBandDepths(topBid, topAsk);
|
|
|
|
return {
|
|
ready: this.isReady(),
|
|
symbol: this.config.symbol,
|
|
topBid,
|
|
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 },
|
|
binanceDepth: this.binanceDepth.getSnapshot(),
|
|
bandDepths,
|
|
quoteStatus: {
|
|
closeOnly: this.lastCloseOnly,
|
|
skipBuy: this.lastSkipBuy,
|
|
skipSell: this.lastSkipSell,
|
|
},
|
|
};
|
|
}
|
|
|
|
private computeBandDepths(topBid: number | null, topAsk: number | null): MakerPointsSnapshot["bandDepths"] {
|
|
const bands: MakerPointsSnapshot["bandDepths"] = [
|
|
{ band: "0-10", bps: 9, buyDepth: null, sellDepth: null, enabled: this.config.enableBand0To10 },
|
|
{ band: "10-30", bps: 29, buyDepth: null, sellDepth: null, enabled: this.config.enableBand10To30 },
|
|
{ band: "30-100", bps: 99, buyDepth: null, sellDepth: null, enabled: this.config.enableBand30To100 },
|
|
];
|
|
|
|
if (!this.depthSnapshot || topBid == null || topAsk == null) {
|
|
return bands;
|
|
}
|
|
|
|
return bands.map((band) => {
|
|
const buyPrice = topBid * (1 - band.bps / 10000);
|
|
const sellPrice = topAsk * (1 + band.bps / 10000);
|
|
const buyDepth = getDepthBetweenPrices(this.depthSnapshot, "BUY", buyPrice);
|
|
const sellDepth = getDepthBetweenPrices(this.depthSnapshot, "SELL", sellPrice);
|
|
return { ...band, buyDepth, sellDepth };
|
|
});
|
|
}
|
|
|
|
private getReferencePrice(): number | null {
|
|
return getMidOrLast(this.depthSnapshot, this.tickerSnapshot);
|
|
}
|
|
|
|
private notify(notification: TradeNotification): void {
|
|
this.notifier.send(notification);
|
|
}
|
|
|
|
private logReadinessBlockers(): void {
|
|
if (!this.feedStatus.account && !this.readinessLogged.account) {
|
|
this.tradeLog.push("info", t("log.maker.waitAccount"));
|
|
this.readinessLogged.account = true;
|
|
}
|
|
if (!this.feedStatus.depth && !this.readinessLogged.depth) {
|
|
this.tradeLog.push("info", t("log.maker.waitDepth"));
|
|
this.readinessLogged.depth = true;
|
|
}
|
|
if (!this.feedStatus.ticker && !this.readinessLogged.ticker) {
|
|
this.tradeLog.push("info", t("log.maker.waitTicker"));
|
|
this.readinessLogged.ticker = true;
|
|
}
|
|
if (!this.feedStatus.orders && !this.readinessLogged.orders) {
|
|
this.tradeLog.push("info", t("log.maker.waitOrders"));
|
|
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", "暂无目标挂单");
|
|
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: ${summary}`);
|
|
this.lastDesiredSummary = summary;
|
|
}
|
|
}
|
|
|
|
// 跟踪各档位的深度跳过状态 (按 bps 和 side 索引)
|
|
private thinDepthSkipStatus: Record<string, boolean> = {};
|
|
|
|
/**
|
|
* 记录因深度不足而跳过挂单的日志
|
|
* 使用状态跟踪避免重复日志
|
|
*/
|
|
private logThinDepthSkip(side: "BUY" | "SELL", bps: number, depthQty: number, minDepth: number): void {
|
|
const key = `${side}_${bps}`;
|
|
const alreadySkipped = this.thinDepthSkipStatus[key];
|
|
|
|
if (!alreadySkipped) {
|
|
this.tradeLog.push(
|
|
"info",
|
|
`跳过 ${side} ${bps}bps 挂单: 深度 ${depthQty.toFixed(4)} BTC < ${minDepth} BTC`
|
|
);
|
|
this.thinDepthSkipStatus[key] = true;
|
|
}
|
|
}
|
|
|
|
/**
|
|
* 当深度恢复时重置跳过状态，允许下次再次记录
|
|
*/
|
|
private resetThinDepthSkip(side: "BUY" | "SELL", bps: number): void {
|
|
const key = `${side}_${bps}`;
|
|
if (this.thinDepthSkipStatus[key]) {
|
|
this.tradeLog.push("info", `${side} ${bps}bps 深度恢复，继续挂单`);
|
|
this.thinDepthSkipStatus[key] = false;
|
|
}
|
|
}
|
|
|
|
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: ${detail}`);
|
|
this.insufficientBalanceNotified = true;
|
|
}
|
|
|
|
private applyInsufficientBalanceState(now: number): boolean {
|
|
const active = now < this.insufficientBalanceCooldownUntil;
|
|
if (!active && this.insufficientBalanceNotified) {
|
|
this.tradeLog.push("info", "余额恢复，继续挂单");
|
|
this.insufficientBalanceNotified = false;
|
|
this.lastInsufficientMessage = null;
|
|
}
|
|
return active;
|
|
}
|
|
|
|
private detectPositionChange(position: PositionSnapshot): void {
|
|
const currentAmt = position.positionAmt;
|
|
const currentSide: "LONG" | "SHORT" | "FLAT" =
|
|
currentAmt > EPS ? "LONG" : currentAmt < -EPS ? "SHORT" : "FLAT";
|
|
const prevAmt = this.lastPositionAmt;
|
|
const prevSide = this.lastPositionSide;
|
|
|
|
if (Math.abs(currentAmt - prevAmt) < EPS && currentSide === prevSide) {
|
|
return;
|
|
}
|
|
|
|
const absChange = Math.abs(currentAmt - prevAmt);
|
|
const reference = this.getReferencePrice() ?? 0;
|
|
|
|
if (prevSide === "FLAT" && currentSide !== "FLAT") {
|
|
this.notify({
|
|
type: "position_opened",
|
|
level: "info",
|
|
symbol: this.config.symbol,
|
|
title: "开仓",
|
|
message: `${currentSide === "LONG" ? "做多" : "做空"} ${Math.abs(currentAmt).toFixed(6)}`,
|
|
details: {
|
|
side: currentSide,
|
|
size: Math.abs(currentAmt),
|
|
price: reference > 0 ? reference : null,
|
|
},
|
|
});
|
|
} else if (currentSide === "FLAT" && prevSide !== "FLAT") {
|
|
const pnl = position.unrealizedProfit;
|
|
const closeType = this.tokenExpiredCloseOnlyMode ? "Token过期平仓" : "平仓";
|
|
this.notify({
|
|
type: "position_closed",
|
|
level: "success",
|
|
symbol: this.config.symbol,
|
|
title: closeType,
|
|
message: `已平仓 ${Math.abs(prevAmt).toFixed(6)} (${prevSide === "LONG" ? "多" : "空"})`,
|
|
details: {
|
|
prevSide,
|
|
closedSize: Math.abs(prevAmt),
|
|
pnl: Number.isFinite(pnl) ? pnl : null,
|
|
},
|
|
});
|
|
} else if (currentSide === prevSide && absChange > EPS) {
|
|
const isIncrease = Math.abs(currentAmt) > Math.abs(prevAmt);
|
|
if (isIncrease) {
|
|
this.notify({
|
|
type: "order_filled",
|
|
level: "info",
|
|
symbol: this.config.symbol,
|
|
title: "加仓",
|
|
message: `${currentSide === "LONG" ? "做多" : "做空"} +${absChange.toFixed(6)} → ${Math.abs(currentAmt).toFixed(6)}`,
|
|
details: {
|
|
side: currentSide,
|
|
added: absChange,
|
|
totalSize: Math.abs(currentAmt),
|
|
},
|
|
});
|
|
} else {
|
|
this.notify({
|
|
type: "order_filled",
|
|
level: "info",
|
|
symbol: this.config.symbol,
|
|
title: "减仓",
|
|
message: `${currentSide === "LONG" ? "多" : "空"} -${absChange.toFixed(6)} → ${Math.abs(currentAmt).toFixed(6)}`,
|
|
details: {
|
|
side: currentSide,
|
|
reduced: absChange,
|
|
totalSize: Math.abs(currentAmt),
|
|
},
|
|
});
|
|
}
|
|
} else if (currentSide !== prevSide && currentSide !== "FLAT" && prevSide !== "FLAT") {
|
|
this.notify({
|
|
type: "position_opened",
|
|
level: "info",
|
|
symbol: this.config.symbol,
|
|
title: "反向开仓",
|
|
message: `${prevSide === "LONG" ? "多→空" : "空→多"} ${Math.abs(currentAmt).toFixed(6)}`,
|
|
details: {
|
|
prevSide,
|
|
newSide: currentSide,
|
|
size: Math.abs(currentAmt),
|
|
},
|
|
});
|
|
}
|
|
|
|
this.lastPositionAmt = currentAmt;
|
|
this.lastPositionSide = currentSide;
|
|
}
|
|
|
|
private async handleTokenExpiry(position: PositionSnapshot, _absPosition: number): Promise<boolean> {
|
|
if (!isTokenExpiryConfigured()) {
|
|
return false;
|
|
}
|
|
|
|
const expiryStatus = checkStandxTokenExpiry({
|
|
positionAmt: position.positionAmt,
|
|
openOrderCount: this.openOrders.length,
|
|
});
|
|
|
|
if (!expiryStatus.expired) {
|
|
if (this.tokenExpiryState !== "active") {
|
|
this.tokenExpiryState = "active";
|
|
this.tokenExpiryLogged = false;
|
|
this.tokenExpiryCancelDone = false;
|
|
this.tokenExpiredCloseOnlyMode = false;
|
|
this.tokenExpiryNotified = false;
|
|
}
|
|
return false;
|
|
}
|
|
|
|
const prevState = this.tokenExpiryState;
|
|
this.tokenExpiryState = expiryStatus.state;
|
|
|
|
if (!this.tokenExpiryLogged) {
|
|
const message = formatTokenExpiryMessage(expiryStatus);
|
|
if (message) {
|
|
this.tradeLog.push("warn", message);
|
|
}
|
|
this.tokenExpiryLogged = true;
|
|
}
|
|
|
|
if (!this.tokenExpiryNotified) {
|
|
this.notify({
|
|
type: "token_expired",
|
|
level: "warn",
|
|
symbol: this.config.symbol,
|
|
title: "Token 已过期",
|
|
message: expiryStatus.hasPosition
|
|
? "Token 已过期，进入平仓模式，不再开新仓"
|
|
: "Token 已过期，策略进入静默模式",
|
|
details: {
|
|
hasPosition: expiryStatus.hasPosition,
|
|
hasOpenOrders: expiryStatus.hasOpenOrders,
|
|
state: expiryStatus.state,
|
|
},
|
|
});
|
|
this.tokenExpiryNotified = true;
|
|
}
|
|
|
|
if (!this.tokenExpiryCancelDone && this.openOrders.length > 0) {
|
|
try {
|
|
await this.exchange.cancelAllOrders({ symbol: this.config.symbol });
|
|
this.tradeLog.push("order", "Token 过期，已撤销所有挂单");
|
|
this.openOrders = [];
|
|
this.tokenExpiryCancelDone = true;
|
|
} catch (error) {
|
|
if (isUnknownOrderError(error)) {
|
|
this.tradeLog.push("order", "Token 过期撤单时订单已不存在");
|
|
this.tokenExpiryCancelDone = true;
|
|
} else {
|
|
this.tradeLog.push("error", `Token 过期撤单失败: ${extractMessage(error)}`);
|
|
}
|
|
}
|
|
}
|
|
|
|
if (expiryStatus.state === "expired_with_position") {
|
|
if (!this.tokenExpiredCloseOnlyMode) {
|
|
this.tokenExpiredCloseOnlyMode = true;
|
|
this.tradeLog.push("info", "Token 过期，强制进入平仓模式，仅允许 reduce-only 订单");
|
|
}
|
|
return false;
|
|
}
|
|
|
|
if (expiryStatus.state === "silent") {
|
|
if (prevState !== "silent") {
|
|
this.tradeLog.push("info", "进入静默数据接收模式，不再进行任何交易操作");
|
|
}
|
|
return true;
|
|
}
|
|
|
|
return true;
|
|
}
|
|
|
|
// ========== 数据过时防御模式方法 ==========
|
|
|
|
/**
|
|
* 检查数据是否过时，进入或退出防御模式
|
|
* StandX 账户数据在 WS 推送异常时会通过 REST 补拉；长期无更新通常意味着 WS/REST 均异常，应进入防御模式
|
|
*/
|
|
private checkDataStaleAndDefense(): void {
|
|
const now = Date.now();
|
|
const standxDepthStale = this.lastStandxDepthTime > 0 && (now - this.lastStandxDepthTime) > DATA_STALE_THRESHOLD_MS;
|
|
const binanceStale = this.lastBinanceDepthTime > 0 && (now - this.lastBinanceDepthTime) > DATA_STALE_THRESHOLD_MS;
|
|
const binanceHealth = this.binanceDepth.getHealth();
|
|
const binanceUnhealthy = !binanceHealth.healthy;
|
|
|
|
const standxAccountAge = this.lastStandxAccountTime > 0 ? now - this.lastStandxAccountTime : 0;
|
|
const standxAccountStaleByAge = this.lastStandxAccountTime > 0 && standxAccountAge > ACCOUNT_DATA_STALE_THRESHOLD_MS;
|
|
if (standxAccountStaleByAge) {
|
|
this.maybeProbeStandxAccountSnapshot(now);
|
|
}
|
|
const standxAccountStale =
|
|
standxAccountStaleByAge &&
|
|
// WS 推送间隔可能较长，先给 REST 补拉一次机会；只有补拉失败后才进入防御模式
|
|
this.accountStaleRestProbeConsecutiveFailures > 0 &&
|
|
this.accountStaleRestProbeInFlight == null;
|
|
const accountHealth = validateAccountSnapshotForSymbol(this.accountSnapshot, this.config.symbol);
|
|
const accountInvalid = this.accountSnapshot != null && !accountHealth.ok;
|
|
const standxRestUnhealthy =
|
|
this.standxRestUnhealthy && this.standxRestConsecutiveErrors >= STANDX_REST_ERROR_DEFENSE_THRESHOLD;
|
|
const marginMode = this.getStandxMarginMode(this.accountSnapshot);
|
|
const marginModeNotIsolated = this.exchange.id === "standx" && marginMode != null && marginMode !== "isolated";
|
|
|
|
const shouldDefend =
|
|
standxDepthStale ||
|
|
binanceStale ||
|
|
binanceUnhealthy ||
|
|
standxAccountStale ||
|
|
accountInvalid ||
|
|
standxRestUnhealthy ||
|
|
marginModeNotIsolated;
|
|
|
|
if (shouldDefend && !this.defenseMode) {
|
|
// 进入防御模式
|
|
this.enterDefenseMode({
|
|
standxDepthStale,
|
|
binanceStale,
|
|
standxAccountStale,
|
|
accountInvalid,
|
|
standxRestUnhealthy,
|
|
standxRestConsecutiveErrors: this.standxRestConsecutiveErrors,
|
|
standxRestLastError: this.standxRestLastError,
|
|
marginModeNotIsolated,
|
|
marginMode,
|
|
binanceUnhealthy,
|
|
binanceHealthReason: binanceHealth.reason,
|
|
standxDepthAge: this.lastStandxDepthTime > 0 ? now - this.lastStandxDepthTime : 0,
|
|
binanceAge: this.lastBinanceDepthTime > 0 ? now - this.lastBinanceDepthTime : 0,
|
|
standxAccountAge,
|
|
accountIssues: accountInvalid ? accountHealth.issues : [],
|
|
});
|
|
} else if (!shouldDefend && this.defenseMode) {
|
|
// 退出防御模式
|
|
this.exitDefenseMode();
|
|
}
|
|
}
|
|
|
|
/**
|
|
* 进入防御模式
|
|
* 取消所有挂单，启动 REST 轮询保护仓位
|
|
*/
|
|
private enterDefenseMode(staleInfo: {
|
|
standxDepthStale: boolean;
|
|
binanceStale: boolean;
|
|
binanceUnhealthy?: boolean;
|
|
binanceHealthReason?: string | null;
|
|
standxAccountStale: boolean;
|
|
accountInvalid: boolean;
|
|
standxRestUnhealthy: boolean;
|
|
standxRestConsecutiveErrors: number;
|
|
standxRestLastError: string | null;
|
|
marginModeNotIsolated: boolean;
|
|
marginMode: string | null;
|
|
standxDepthAge: number;
|
|
binanceAge: number;
|
|
standxAccountAge: number;
|
|
accountIssues: string[];
|
|
}): void {
|
|
this.defenseMode = true;
|
|
|
|
// 构建过时信息描述
|
|
const staleItems: string[] = [];
|
|
if (staleInfo.standxDepthStale) {
|
|
staleItems.push(`StandX深度(${Math.round(staleInfo.standxDepthAge / 1000)}s)`);
|
|
}
|
|
if (staleInfo.standxAccountStale) {
|
|
staleItems.push(`StandX账户(${Math.round(staleInfo.standxAccountAge / 1000)}s)`);
|
|
}
|
|
if (staleInfo.accountInvalid) {
|
|
staleItems.push(`StandX仓位数据异常(${staleInfo.accountIssues.join(",") || "unknown"})`);
|
|
}
|
|
if (staleInfo.standxRestUnhealthy) {
|
|
staleItems.push(`StandX REST错误(${staleInfo.standxRestConsecutiveErrors}次)`);
|
|
}
|
|
if (staleInfo.marginModeNotIsolated) {
|
|
staleItems.push(`保证金模式(${staleInfo.marginMode ?? "unknown"})`);
|
|
}
|
|
if (staleInfo.binanceStale) {
|
|
staleItems.push(`Binance深度(${Math.round(staleInfo.binanceAge / 1000)}s)`);
|
|
}
|
|
if (staleInfo.binanceUnhealthy && staleInfo.binanceHealthReason) {
|
|
staleItems.push(`Binance簿记异常(${staleInfo.binanceHealthReason})`);
|
|
}
|
|
|
|
const staleSummary = staleItems.length > 0 ? staleItems.join(", ") : "unknown";
|
|
|
|
this.tradeLog.push("warn", `数据过时检测: ${staleSummary}，进入防御模式`);
|
|
|
|
// 发送通知
|
|
if (!this.defenseModeNotified) {
|
|
this.notify({
|
|
type: "token_expired",
|
|
level: "warn",
|
|
symbol: this.config.symbol,
|
|
title: "防御模式",
|
|
message: `数据推送中断: ${staleSummary}，已取消所有挂单`,
|
|
details: staleInfo,
|
|
});
|
|
this.defenseModeNotified = true;
|
|
}
|
|
|
|
// 立即取消所有挂单
|
|
void this.defenseCancelAllOrders();
|
|
|
|
// 启动 REST 轮询保护仓位
|
|
this.startDefenseRestPoll();
|
|
}
|
|
|
|
/**
|
|
* 退出防御模式
|
|
*/
|
|
private exitDefenseMode(): void {
|
|
this.defenseMode = false;
|
|
this.defenseModeNotified = false;
|
|
|
|
this.tradeLog.push("info", "数据推送恢复正常，退出防御模式");
|
|
|
|
this.notify({
|
|
type: "position_opened",
|
|
level: "info",
|
|
symbol: this.config.symbol,
|
|
title: "防御模式解除",
|
|
message: "数据推送恢复正常，恢复正常交易",
|
|
details: {},
|
|
});
|
|
|
|
// 停止 REST 轮询
|
|
this.stopDefenseRestPoll();
|
|
|
|
// 重置本地状态，强制下一轮重新计算挂单
|
|
this.desiredOrders = [];
|
|
this.lastDesiredSummary = null;
|
|
this.lastQuoteBid1 = null;
|
|
this.lastQuoteAsk1 = null;
|
|
}
|
|
|
|
/**
|
|
* 防御模式下取消所有挂单
|
|
*/
|
|
private async defenseCancelAllOrders(): Promise<void> {
|
|
try {
|
|
if (this.exchange.forceCancelAllOrders) {
|
|
const success = await this.exchange.forceCancelAllOrders();
|
|
if (success) {
|
|
this.tradeLog.push("order", "防御模式: 已强制取消所有挂单");
|
|
} else {
|
|
this.tradeLog.push("warn", "防御模式: 取消挂单未完全成功，将继续重试");
|
|
}
|
|
} else {
|
|
await this.exchange.cancelAllOrders({ symbol: this.config.symbol });
|
|
this.tradeLog.push("order", "防御模式: 已取消所有挂单");
|
|
}
|
|
|
|
// 重置本地挂单状态
|
|
this.openOrders = [];
|
|
this.pendingCancelOrders.clear();
|
|
unlockOperating(this.locks, this.timers, this.pending, "LIMIT");
|
|
} catch (error) {
|
|
if (isUnknownOrderError(error)) {
|
|
this.tradeLog.push("order", "防御模式: 挂单已不存在");
|
|
this.openOrders = [];
|
|
this.pendingCancelOrders.clear();
|
|
} else {
|
|
this.tradeLog.push("error", `防御模式取消挂单失败: ${extractMessage(error)}`);
|
|
}
|
|
}
|
|
}
|
|
|
|
/**
|
|
* 启动防御模式下的 REST 轮询
|
|
* 使用 REST API 拉取数据，确保止损逻辑能正常工作
|
|
*/
|
|
private startDefenseRestPoll(): void {
|
|
if (this.defenseRestPollActive) return;
|
|
this.defenseRestPollActive = true;
|
|
|
|
this.tradeLog.push("info", "防御模式: 启动 REST 数据轮询");
|
|
|
|
const poll = async () => {
|
|
if (!this.defenseRestPollActive || !this.defenseMode) return;
|
|
|
|
try {
|
|
if (this.exchange.queryAccountSnapshot) {
|
|
const nextAccount = await this.exchange.queryAccountSnapshot();
|
|
if (nextAccount) {
|
|
this.applyAccountSnapshot(nextAccount);
|
|
const health = validateAccountSnapshotForSymbol(nextAccount, this.config.symbol);
|
|
if (!health.ok) {
|
|
this.tradeLog.push("warn", `防御模式: 仓位数据仍异常: ${health.issues.join(",")}`);
|
|
}
|
|
} else {
|
|
this.tradeLog.push("warn", "防御模式: REST 获取账户快照为空");
|
|
}
|
|
}
|
|
|
|
// 防御模式下也尝试修复保证金模式（StandX）
|
|
if (this.exchange.id === "standx") {
|
|
await this.ensureStandxIsolatedMarginMode();
|
|
}
|
|
|
|
// 防御模式下持续通过 REST 刷新挂单，并尽力撤销所有挂单（避免本地状态/WS 丢失导致遗留挂单）
|
|
if (this.exchange.queryOpenOrders) {
|
|
try {
|
|
const realOrders = await this.exchange.queryOpenOrders();
|
|
this.openOrders = Array.isArray(realOrders)
|
|
? realOrders.filter(
|
|
(order) =>
|
|
order.type !== "MARKET" &&
|
|
order.symbol === this.config.symbol &&
|
|
isOrderActiveStatus(order.status)
|
|
)
|
|
: [];
|
|
this.pendingCancelOrders.clear();
|
|
this.feedStatus.orders = true;
|
|
|
|
if (realOrders.length > 0) {
|
|
this.tradeLog.push("warn", `防御模式: 发现 ${realOrders.length} 个挂单，执行取消`);
|
|
await this.defenseCancelAllOrders();
|
|
}
|
|
} catch (error) {
|
|
this.tradeLog.push("error", `防御模式查询挂单失败: ${extractMessage(error)}`);
|
|
// 查询失败时仍然尝试撤销所有挂单（宁可多撤，也不遗留）
|
|
await this.defenseCancelAllOrders();
|
|
}
|
|
} else {
|
|
await this.defenseCancelAllOrders();
|
|
}
|
|
|
|
// 检查止损条件（使用当前账户快照中的数据）
|
|
// checkStopLoss 会继续运行，使用最后收到的数据进行止损判断
|
|
} catch (error) {
|
|
this.tradeLog.push("error", `防御模式 REST 轮询失败: ${extractMessage(error)}`);
|
|
}
|
|
|
|
// 继续下一次轮询
|
|
if (this.defenseRestPollActive && this.defenseMode) {
|
|
this.defenseRestPollTimer = setTimeout(() => void poll(), 2000);
|
|
}
|
|
};
|
|
|
|
void poll();
|
|
}
|
|
|
|
private getStandxMarginMode(snapshot: AsterAccountSnapshot | null): string | null {
|
|
if (this.exchange.id !== "standx") return null;
|
|
const positions = snapshot?.positions ?? [];
|
|
const match = positions.find((pos) => pos.symbol === this.config.symbol);
|
|
const raw = (match as any)?.marginType ?? (match as any)?.margin_mode;
|
|
const mode = typeof raw === "string" ? raw.trim().toLowerCase() : "";
|
|
return mode ? mode : null;
|
|
}
|
|
|
|
private async ensureStandxIsolatedMarginMode(): Promise<boolean> {
|
|
if (this.exchange.id !== "standx") return true;
|
|
const currentMode = this.getStandxMarginMode(this.accountSnapshot);
|
|
if (currentMode === "isolated") return true;
|
|
const change = this.exchange.changeMarginMode?.bind(this.exchange);
|
|
const queryAccount = this.exchange.queryAccountSnapshot?.bind(this.exchange);
|
|
if (!change || !queryAccount) return false;
|
|
|
|
if (this.marginModeEnsuring) {
|
|
return false;
|
|
}
|
|
|
|
this.marginModeEnsuring = (async () => {
|
|
try {
|
|
await change({ symbol: this.config.symbol, marginMode: "isolated" });
|
|
for (let attempt = 0; attempt < STANDX_MARGIN_MODE_MAX_ATTEMPTS; attempt++) {
|
|
const next = await queryAccount();
|
|
if (next) {
|
|
this.applyAccountSnapshot(next);
|
|
}
|
|
const mode = this.getStandxMarginMode(this.accountSnapshot);
|
|
if (mode === "isolated") {
|
|
this.tradeLog.push("info", "已切换为逐仓模式 (isolated)，恢复策略运行");
|
|
return true;
|
|
}
|
|
await this.sleep(STANDX_MARGIN_MODE_CHECK_INTERVAL_MS);
|
|
}
|
|
this.tradeLog.push("warn", `逐仓模式切换未确认，当前模式: ${this.getStandxMarginMode(this.accountSnapshot) ?? "unknown"}`);
|
|
return false;
|
|
} catch (error) {
|
|
this.tradeLog.push("error", `切换逐仓模式失败: ${extractMessage(error)}`);
|
|
return false;
|
|
} finally {
|
|
this.marginModeEnsuring = null;
|
|
}
|
|
})();
|
|
|
|
return await this.marginModeEnsuring;
|
|
}
|
|
|
|
/**
|
|
* 停止防御模式下的 REST 轮询
|
|
*/
|
|
private stopDefenseRestPoll(): void {
|
|
if (!this.defenseRestPollActive) return;
|
|
this.defenseRestPollActive = false;
|
|
if (this.defenseRestPollTimer) {
|
|
clearTimeout(this.defenseRestPollTimer);
|
|
this.defenseRestPollTimer = null;
|
|
}
|
|
this.tradeLog.push("info", "防御模式: 停止 REST 数据轮询");
|
|
}
|
|
}
|
|
|
|
function resolveBinanceSymbol(symbol: string): string {
|
|
const parts = parseSymbolParts(symbol);
|
|
const base = (parts.base ?? symbol).replace(/[^a-zA-Z0-9]/g, "").toUpperCase();
|
|
return base ? `${base}USDT` : "BTCUSDT";
|
|
}
|