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114 lines
3.6 KiB
TypeScript
114 lines
3.6 KiB
TypeScript
import type { AsterDepth, AsterTicker } from "../exchanges/types";
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export function getTopPrices(depth?: AsterDepth | null): { topBid: number | null; topAsk: number | null } {
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const bid = Number(depth?.bids?.[0]?.[0]);
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const ask = Number(depth?.asks?.[0]?.[0]);
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return {
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topBid: Number.isFinite(bid) ? bid : null,
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topAsk: Number.isFinite(ask) ? ask : null,
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};
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}
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/**
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* 获取指定档位的盘口价格
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* @param depth 深度数据
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* @param level 档位（1=买1/卖1，2=买2/卖2，以此类推）
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* @returns 指定档位的买卖价格，如果该档位不存在则回退到最近的有效档位
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*/
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export function getPricesAtLevel(
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depth?: AsterDepth | null,
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level: number = 1
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): { bidAtLevel: number | null; askAtLevel: number | null } {
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const index = Math.max(0, level - 1);
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// 尝试获取指定档位，如果不存在则回退到最近的有效档位
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const bids = depth?.bids ?? [];
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const asks = depth?.asks ?? [];
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let bidAtLevel: number | null = null;
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let askAtLevel: number | null = null;
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// 从指定档位向前查找第一个有效的买价
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for (let i = Math.min(index, bids.length - 1); i >= 0; i--) {
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const bid = Number(bids[i]?.[0]);
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if (Number.isFinite(bid)) {
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bidAtLevel = bid;
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break;
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}
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}
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// 从指定档位向前查找第一个有效的卖价
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for (let i = Math.min(index, asks.length - 1); i >= 0; i--) {
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const ask = Number(asks[i]?.[0]);
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if (Number.isFinite(ask)) {
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askAtLevel = ask;
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break;
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}
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}
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return { bidAtLevel, askAtLevel };
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}
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export function getMidOrLast(depth?: AsterDepth | null, ticker?: AsterTicker | null): number | null {
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const { topBid, topAsk } = getTopPrices(depth);
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if (topBid != null && topAsk != null) return (topBid + topAsk) / 2;
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const last = Number(ticker?.lastPrice);
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return Number.isFinite(last) ? last : null;
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}
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/**
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* 计算从盘口一档到目标价格之间的挂单总量
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* @param depth 深度数据
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* @param side 挂单方向: BUY 检查 bids, SELL 检查 asks
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* @param targetPrice 目标挂单价格
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* @returns 从一档到目标价格之间的挂单总量 (不包含目标价格本身)
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*/
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export function getDepthBetweenPrices(
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depth: AsterDepth | null | undefined,
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side: "BUY" | "SELL",
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targetPrice: number
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): number {
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if (!depth) return 0;
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if (!Number.isFinite(targetPrice) || targetPrice <= 0) return 0;
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let total = 0;
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if (side === "BUY") {
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// BUY 订单挂在 bid 侧，检查从 bid1 到目标价格之间的所有 bids
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// bids 按价格从高到低排序，目标价格 < bid1
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const bids = depth.bids ?? [];
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for (const level of bids) {
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const price = Number(level[0]);
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const qty = Number(level[1]);
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if (!Number.isFinite(price) || !Number.isFinite(qty)) continue;
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// 只计算价格 > 目标价格的档位 (目标价格以上的挂单)
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if (price > targetPrice) {
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total += qty;
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} else {
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// bids 是从高到低排序，一旦 price <= targetPrice 就停止
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break;
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}
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}
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} else {
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// SELL 订单挂在 ask 侧，检查从 ask1 到目标价格之间的所有 asks
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// asks 按价格从低到高排序，目标价格 > ask1
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const asks = depth.asks ?? [];
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for (const level of asks) {
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const price = Number(level[0]);
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const qty = Number(level[1]);
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if (!Number.isFinite(price) || !Number.isFinite(qty)) continue;
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// 只计算价格 < 目标价格的档位 (目标价格以下的挂单)
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if (price < targetPrice) {
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total += qty;
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} else {
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// asks 是从低到高排序，一旦 price >= targetPrice 就停止
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break;
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}
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}
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}
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return total;
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}
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