grid_skeleton/docs/MODULE_INTERFACES.md

核心模块接口说明

定义各 package 暴露的主要类、方法签名、数据模型及依赖关系，统一编码约束。

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1. 公共类型

• 统一 Typescript 接口位于 packages/domain/src/types.ts，需至少包含：

  export type Side = 'buy' | 'sell';
  export type TimeInForce = 'GTC' | 'IOC' | 'FOK';
  
  export interface OrderIntent {
  symbol: string;
  side: Side;
  price: number;
  size: number;
  tif: TimeInForce;
  postOnly?: boolean;
  clientId: string;
  strategyTag: 'grid' | 'scalper' | 'hedge';
  }
  
  export interface FillEvent {
  orderId: string;
  clientId: string;
  symbol: string;
  side: Side;
  price: number;
  size: number;
  fee: number;
  liquidity: 'maker' | 'taker';
  timestamp: number;
  }
  

• 所有模块引用公共类型，不允许重复定义字段。

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2. MarketData / ShadowBook

模块	文件	责任
ShadowBook	packages/utils/src/shadowBook.ts	聚合多标的订单簿，提供 mid/spread/OBI 等派生指标
MarketDataAdapter	packages/utils/src/marketDataAdapter.ts	拉取或订阅行情并同步至 ShadowBook

核心接口：

class ShadowBook {
  constructor(options?: { maxDepth?: number; stalenessMs?: number });
  updateFromSnapshot(symbol: string, snapshot: OrderBook, seq?: number): void;
  applyIncrement(symbol: string, delta: OrderBookDelta): void;
  snapshot(symbol: string): OrderBook | undefined;
  mid(symbol: string): number | undefined;
  spreadBps(symbol: string): number | undefined;
  computeObi(symbol: string, depth?: number): number | undefined;
  topDepthUsd(symbol: string, depth?: number): number | undefined;
  detectDataGap(symbol: string, now?: number): boolean;
  reset(): void;
}

ShadowBook 维护每个标的的最新订单簿，与策略/风控共享数据；若底层行情支持增量更新，可通过 applyIncrement 合并。

class MarketDataAdapter extends EventEmitter {
  constructor(options: { symbols: string[]; shadowBook: ShadowBook; fetchSnapshot: (symbol: string) => Promise<OrderBook>; pollIntervalMs?: number });
  start(): Promise<void>;
  stop(): void;
  ingestSnapshot(symbol: string, snapshot: OrderBook, seq?: number): void;
  ingestDelta(symbol: string, delta: OrderBookDelta): void;
}

• 默认实现基于轮询 REST 快照，可扩展为 WebSocket 增量模式。

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3. Registry 层

3.1 SymbolRegistry

type SymbolStatus = 'inactive' | 'active' | 'paused' | 'disabled';

interface SymbolConfig {
  symbol: string;
  maxNotional: number;
  maxBase: number;
  enabled?: boolean;
  tags?: string[];
  metadata?: Record<string, unknown>;
}

class SymbolRegistry extends EventEmitter {
  constructor(initialConfigs?: SymbolConfig[]);
  register(config: SymbolConfig): SymbolRuntimeState;
  updateConfig(symbol: string, patch: Partial<SymbolConfig>): SymbolRuntimeState;
  activate(symbol: string): SymbolRuntimeState;
  pause(symbol: string, reason: string): SymbolRuntimeState;
  disable(symbol: string, reason?: string): SymbolRuntimeState;
  remove(symbol: string): void;
  list(status?: SymbolStatus): SymbolRuntimeState[];
  listActive(): SymbolRuntimeState[];
  setAllocation(symbol: string, allocation: RiskAllocation | undefined): SymbolRuntimeState;
  setScore(symbol: string, score: number | undefined): SymbolRuntimeState;
  on(event: 'registered' | 'updated' | 'statusChanged' | 'removed', handler: (...args)=>void): this;
}

• 保存符号配置、当前状态、最近分配的风险预算与评分。
• 所有状态更新通过事件触发，便于 Runner / RiskAllocator 监听。

3.2 RiskAllocator

interface RiskBudget { totalNotional: number; totalBase: number; }

class RiskAllocator {
  constructor(budget: RiskBudget, options?: { minNotionalPerSymbol?: number; minBasePerSymbol?: number });
  allocate(states: SymbolRuntimeState[]): Map<string, RiskAllocation>;
}

• 根据 SymbolRuntimeState.score 按比例分配风险预算，自动裁剪至每个符号的配置上限。
• 若配置了 minNotionalPerSymbol / minBasePerSymbol，会确保分配不低于该最小值。

3.3 SymbolScorer

interface SymbolMetrics {
  spreadBps: number;
  topDepthUsd: number;
  volumePerMin: number;
  fundingCorrelation: number;
  dataLatencyMs?: number;
}

class SymbolScorer {
  constructor(options?: ScorerOptions);
  score(metrics: SymbolMetrics): number;      // 0~1，越高代表越适合启用
  shouldEnable(metrics: SymbolMetrics): boolean;
}

• 默认权重均分在 spread / depth / volume / funding 之间，并对过期行情加惩罚。
• shouldEnable 同时检查 spread、深度、资金费率等硬阈值。

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4. Strategy 层

3.1 StrategyCoordinator

interface StrategyCoordinatorOptions {
  priorities: ('grid' | 'scalper')[];
}

class StrategyCoordinator {
  constructor(options: StrategyCoordinatorOptions);
  registerProducer(tag: 'grid' | 'scalper', producer: AsyncGenerator<OrderIntent[]>): void;
  async nextIntentBatch(): Promise<OrderIntent[]>; // 按优先级+冲突处理返回
  resolveConflicts(intents: OrderIntent[]): OrderIntent[];
}

• 冲突规则：同一 symbol、对向意向 → 保留优先级高的策略；同向合并尺寸。
• nextIntentBatch 需支持 Promise.race 超时，避免阻塞。

3.2 GridMaker

当前网格策略直接依赖 OrderRouter 与 HedgeEngine：

class GridMaker {
  constructor(
    cfg: GridConfig,
    router: OrderRouter,
    hedgeEngine: HedgeEngine,
    shadowBook: ShadowBook
  );
  initialize(): Promise<void>;   // 读取 mid，按配置挂出买卖网格
  onFill(fill: Fill): Promise<void>; // 补挂对手单、更新 delta、触发 hedge
  onHedgeFill(fill: Fill): Promise<void>; // Hedger 成交后，根据实际结果校准 delta
  onTick(): Promise<void>;       // 定时调用，驱动自适应逻辑
  reset(): Promise<void>;        // 撤销未成交挂单并重新初始化
  getStatus(): GridStatus;       // 提供监控数据
}

• GridConfig 字段详见 config/grid.example.yaml 与 docs/CONFIG_REFERENCE.md。
• 未来若接入 StrategyCoordinator，需新增返回 OrderIntent[] 的变体并在此文档说明。

3.3 MicroScalper

class MicroScalper {
  constructor(cfg: ScalperConfig, shadow: ShadowBook, signalBus: EventEmitter);
  onBook(book: OrderBookEvent): void;
  onTrade(trade: TradeEvent): void;
  drainIntents(): OrderIntent[];
}

• 内部维护冷却时间；drainIntents 每个周期输出并清空累计意向。

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5. Execution 层

4.1 GlobalOrderCoordinator

interface GlobalOrderSnapshot {
  orderId: string;
  accountId: string;
  symbol: string;
  side: Side;
  price: number;
}

class GlobalOrderCoordinator extends EventEmitter {
  constructor(options?: { stpToleranceBps?: number });
  validate(intent: { accountId: string; symbol: string; side: Side; price: number }): void;
  register(snapshot: GlobalOrderSnapshot): void;
  release(orderId: string): void;
}

• 维护 (symbol, price) 到挂单列表的索引，阻止关联账户在相同价位对向挂单触发 STP。
• stpToleranceBps 用于允许极小价差以内的并行挂单（默认 0 表示严格禁止）。

5.2 OrderRouter

interface OrderRouterConfig {
  maxBps: number;
  minIntervalMs?: number;
  forbidPostOnlyCross?: boolean;
  clientIdCacheSize?: number;
}

class OrderRouter {
  constructor(
    sendLimit: (order: Order) => Promise<{ id: string }>,
    getBook: (symbol: string) => OrderBook | undefined,
    config: OrderRouterConfig
  );
  sendLimit(order: Order): Promise<string>;
  sendLimitChild(order: Order): Promise<string>; // 兼容旧接口
  sendIOC(order: Order): Promise<string>;
}

• 下单前执行滑点守卫、post-only 交叉检查、clientId 去重以及最小时间间隔节流。
• getBook 通常由 ShadowBook.snapshot(symbol) 实现，确保 router 获得最新 top-of-book。

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6. Risk & Hedge

6.1 RiskEngine

interface RiskLimits {
  maxBaseAbs: number;
  maxNotionalAbs: number;
  maxOrderSz: number;
}

interface KillSwitchConfig {
  drawdownPct: number;
  triggers?: Array<{ type: 'pnl_drawdown' | 'delta_abs' | 'hedge_failure_count' | 'data_gap_sec'; threshold: number }>;
}

class RiskEngine {
  constructor(limits: RiskLimits, killSwitch?: KillSwitchConfig);
  preCheck(order: Order, position: PositionSnapshot, midPrice: number): void;
  reportFill(pnlDelta: number): void;
  updateEquity(equity: number): void;
  updateDeltaAbs(deltaAbs: number): void;
  recordHedgeFailure(): void;
  recordHedgeSuccess(): void;
  setDataGap(seconds: number): void;
  shouldHalt(): boolean;
  getStatus(): RiskStatus;
}

• preCheck 在下单前验证名义、库存、单笔限额。
• updateEquity/updateDeltaAbs/recordHedgeFailure 等接口由上层定期调用，Kill-switch 根据 drawdown 与触发器自动判定停机。

5.2 HedgeEngine

interface HedgeCfg { kp: number; ki: number; Qmax: number; minIntervalMs: number; }
interface HedgeResult { hedged: number; orderId?: string; clientId?: string; }

class HedgeEngine {
  constructor(cfg: HedgeCfg, place: (order: Order) => Promise<{ id: string }>, getMid: () => number | undefined);
  compute(delta: number): number;        // PI 控制器输出，截断至 ±Qmax
  maybeHedge(symbol: string, delta: number): Promise<HedgeResult>; // 按节流阈值提交 IOC 对冲，返回下单信息
}

• 当前版本未与风险引擎集成；若需要队列、重试等特性，请扩展代码并更新文档。

-### 6.2 FundingRateMonitor

interface FundingRate { rate: number; timestamp: number; venue?: string; }

class FundingRateMonitor extends EventEmitter {
  constructor(options: { fetchPrimary: () => Promise<FundingRate>; fetchHedge: () => Promise<FundingRate>; pollIntervalMs?: number });
  start(): Promise<void>;
  stop(): void;
}

• 定期抓取主账户与对冲账户的资金费率，输出是否同向支付等指标。后续可计算相关性、驱动风险降级。

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7. Telemetry

class Telemetry {
  recordCounter(name: string, labels: Record<string,string>, value?: number): void;
  observeHistogram(name: string, labels: Record<string,string>, value: number): void;
  setGauge(name: string, labels: Record<string,string>, value: number): void;
}

• 指标定义集中于 packages/telemetry/metrics.ts，模块通过依赖注入使用。
• 不允许直接调用 prom-client，避免重复注册。

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8. 依赖与初始化

最小可运行流程：

1. 读取 config.yaml（或 config/grid.example.yaml）并实例化 GridConfig、HedgeCfg、风险参数。
2. 初始化发送下单的回调（正式版应调用 Pacifica adapter）。
3. 创建单例 ShadowBook，在收到行情快照时调用 shadowBook.set(book).
4. 实例化 OrderRouter、HedgeEngine、GridMaker，并在首个 mid 可用时调用 gridMaker.initialize().
5. 将成交事件传递给 gridMaker.onFill(fill)，由其内部处理补单与对冲。

引入其他策略或协调器后，请扩展本节并保证文档与实现保持一致。

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8. 错误与日志规范

• 每个模块定义自有错误类型，位于 packages/errors.

• 捕获异常需写入结构化日志：

  logger.error({ err, intent, module: 'OrderRouter' }, 'order rejected');
  

• 日志字段：

  • traceId: 贯穿意向 → 下单 → 成交 → 对冲 → 降级
  • accountId, strategyTag, symbol
  • deltaBefore, deltaAfter (RiskEngine / HedgeEngine)

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9. 文档维护

• 本文件版本号与代码同步更新（Version: 1.0.0 初始）。

• 新增模块需补充章节，PR 必须更新该文档并通过审查。

  5.3 AdapterRegistry（packages/connectors/pacifica/src/adapterRegistry.ts）

  interface AdapterRegistryEntry {
  id: string;
  role?: string;
  adapter: PacificaAdapter;
  }
  
  class AdapterRegistry {
  register(id: string, config: PacificaConfig, role?: string): AdapterRegistryEntry;
  attach(id: string, adapter: PacificaAdapter, role?: string): AdapterRegistryEntry;
  get(id: string): PacificaAdapter;
  findByRole(role: string): PacificaAdapter | undefined;
  collectPositions(symbol: string): Promise<PositionSnapshot[]>;
  }
  

• 同时管理 maker / hedger 等账户 adapter，便于在执行层动态选择账户。collectPositions 供 PositionManager 聚合风险使用。

5.4 PacificaWebSocket（packages/connectors/pacifica/src/wsClient.ts）

interface PacificaWebSocketConfig {
  url: string;
  apiKey?: string;      // account address
  secret?: string;      // private key
  subaccount?: string;
  reconnectIntervalMs?: number;
  maxReconnectIntervalMs?: number;
  heartbeatIntervalMs?: number;
}

class PacificaWebSocket extends EventEmitter {
  constructor(config: PacificaWebSocketConfig);
  connect(): void;
  disconnect(): void;
  subscribe(channel: string, params?: Record<string, unknown>): void;
  subscribeAuthenticated(channel: string, params?: Record<string, unknown>, authOverride?: SigningConfig): void;
  sendRaw(payload: unknown): void;
}

• 负责维护 WebSocket 连接、登录校验（如提供账户 address / private key）、心跳与重连，断线后自动恢复订阅。事件：open、close、error、message、reconnected。
• SigningConfig 定义复用 packages/connectors/pacifica/src/signing.ts。
• subscribeAuthenticated 可显式传入凭证（多账号时很有用），否则默认使用 constructor 配置；orders.* / fills.* / account.* 会自动套用签名。

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