package com.xcong.excoin.modules.okxNewPrice;
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import cn.hutool.core.util.StrUtil;
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import com.alibaba.fastjson.JSON;
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import com.alibaba.fastjson.JSONArray;
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import com.alibaba.fastjson.JSONObject;
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import com.xcong.excoin.modules.okxNewPrice.okxpi.config.OKXAccount;
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import com.xcong.excoin.modules.okxNewPrice.okxpi.config.enums.HttpMethod;
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import com.xcong.excoin.modules.okxNewPrice.okxpi.config.utils.OKXContants;
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import com.xcong.excoin.utils.dingtalk.DingTalkUtils;
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import lombok.extern.slf4j.Slf4j;
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import java.math.BigDecimal;
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import java.math.RoundingMode;
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import java.util.*;
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/**
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* OKX 网格交易策略引擎 — 多空对冲网格。
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*
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* <h3>策略原理</h3>
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* 对齐 Gate 版本逻辑：以空仓基底入场价为价格基准，向上/向下各生成价格网格队列。
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* 价格触发网格层级时挂条件单，成交后自动挂止盈单。
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*
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* <h3>完整生命周期</h3>
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* <pre>
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* startGrid() → WAITING_KLINE
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* ↓
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* onKline(首根K线) → OPENING → 异步市价双开基底（开多+开空）
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* ↓
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* onPositionUpdate() → 基底成交 → baseLongOpened && baseShortOpened
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* ↓
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* tryGenerateQueues() → generateShortQueue()+generateLongQueue()+updateGridElements()
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* → 挂基座止损单 + state=ACTIVE
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* ↓
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* ACTIVE 状态每根K线:
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* processShortGrid() + processLongGrid() → 匹配队列 → 挂条件单 → 订单成交后挂止盈
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* ↓
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* onPositionClose() → cumulativePnl 累加 → 检查停止条件
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* </pre>
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*
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* <h3>OKX vs Gate 差异</h3>
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* <ul>
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* <li>OKX 使用 side(buy/sell)+posSide(long/short) 下单，而非 size 正负</li>
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* <li>条件单使用 algo order (ordType=conditional)</li>
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* <li>止盈止损通过 algo order 实现</li>
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* </ul>
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*
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* @author Administrator
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*/
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@Slf4j
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public class OkxGridTradeService {
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public enum StrategyState {
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WAITING_KLINE, OPENING, ACTIVE, STOPPED
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}
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private final OkxConfig config;
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private final OkxTradeExecutor executor;
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private final OKXAccount okxAccount;
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private final StopLossManager stopLossManager;
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private volatile StrategyState state = StrategyState.WAITING_KLINE;
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/** 空仓价格队列，降序排列（大→小） */
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private final List<BigDecimal> shortPriceQueue = Collections.synchronizedList(new ArrayList<>());
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/** 多仓价格队列，升序排列（小→大） */
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private final List<BigDecimal> longPriceQueue = Collections.synchronizedList(new ArrayList<>());
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/** 当前多仓条件单映射：algoId → 止盈价格 */
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private final Map<String, BigDecimal> currentLongOrderIds = Collections.synchronizedMap(new LinkedHashMap<>());
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/** 当前空仓条件单映射：algoId → 止盈价格 */
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private final Map<String, BigDecimal> currentShortOrderIds = Collections.synchronizedMap(new LinkedHashMap<>());
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/** 基底空头入场价 */
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private BigDecimal shortBaseEntryPrice;
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/** 基底多头入场价 */
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private BigDecimal longBaseEntryPrice;
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/** 基底多头是否已开 */
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private volatile boolean baseLongOpened = false;
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/** 基底空头是否已开 */
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private volatile boolean baseShortOpened = false;
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// ---- WS 订阅就绪标志 ----
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/** candle1m (Business WS) 订阅已确认 */
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private volatile boolean candle1mSubscribed = false;
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/** positions (Private WS) 订阅已确认 */
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private volatile boolean positionsSubscribed = false;
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/** orders (Private WS) 订阅已确认 */
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private volatile boolean ordersSubscribed = false;
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/** 等待所有订阅就绪期间缓存的最新 K 线价格 */
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private volatile BigDecimal pendingKlinePrice = null;
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private volatile boolean shortActive = false;
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private volatile boolean longActive = false;
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private volatile BigDecimal lastKlinePrice;
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private volatile BigDecimal cumulativePnl = BigDecimal.ZERO;
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private volatile BigDecimal unrealizedPnl = BigDecimal.ZERO;
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private volatile BigDecimal longEntryPrice = BigDecimal.ZERO;
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private volatile BigDecimal shortEntryPrice = BigDecimal.ZERO;
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private volatile BigDecimal longPositionSize = BigDecimal.ZERO;
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private volatile BigDecimal shortPositionSize = BigDecimal.ZERO;
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private volatile BigDecimal initialPrincipal = BigDecimal.ZERO;
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public OkxGridTradeService(OkxConfig config, OKXAccount okxAccount) {
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this.config = config;
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this.okxAccount = okxAccount;
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this.executor = new OkxTradeExecutor(okxAccount, config.getInstId(), config.getTdMode());
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this.stopLossManager = new StopLossManager(config, executor);
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}
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// ---- 初始化 ----
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/**
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* 初始化策略环境：获取账户 → 清旧条件单 → 平已有仓位 → 设杠杆。
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*/
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public void init() {
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try {
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// 1. 查询账户获取初始本金（仅取 USDT 合约账户余额）
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String balanceResp = executor.getBalance();
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if (balanceResp != null) {
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JSONObject json = JSON.parseObject(balanceResp);
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if ("0".equals(json.getString("code"))) {
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JSONArray data = json.getJSONArray("data");
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if (data != null && !data.isEmpty()) {
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JSONObject accountData = data.getJSONObject(0);
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JSONArray details = accountData.getJSONArray("details");
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if (details != null) {
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for (int i = 0; i < details.size(); i++) {
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JSONObject detail = details.getJSONObject(i);
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if ("USDT".equals(detail.getString("ccy"))) {
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String eq = detail.getString("eq");
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if (eq != null) {
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this.initialPrincipal = new BigDecimal(eq);
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log.info("[OKX] 初始本金(USDT合约): {} USDT", initialPrincipal);
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}
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break;
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}
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}
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}
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}
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}
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}
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// 2. 清除旧条件单
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executor.cancelAllAlgoOrders();
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log.info("[OKX] 旧条件单已清除");
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// 3. 平掉已有仓位
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closeExistingPositions();
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// 4. 设置杠杆
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executor.setLeverage(config.getLeverage());
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log.info("[OKX] 初始化完成, 合约:{}, 杠杆:{}x", config.getInstId(), config.getLeverage());
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} catch (Exception e) {
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log.error("[OKX] 初始化失败", e);
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}
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}
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/**
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* 平掉当前合约的所有已有仓位。
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*/
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private void closeExistingPositions() {
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try {
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String posResp = executor.getPositions();
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if (posResp == null) return;
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JSONObject json = JSON.parseObject(posResp);
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if (!"0".equals(json.getString("code"))) return;
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JSONArray data = json.getJSONArray("data");
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if (data == null || data.isEmpty()) {
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log.info("[OKX] 无已有仓位");
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return;
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}
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for (int i = 0; i < data.size(); i++) {
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JSONObject pos = data.getJSONObject(i);
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String instId = pos.getString("instId");
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if (!config.getInstId().equals(instId)) continue;
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String posSide = pos.getString("posSide");
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String posSz = pos.getString("pos");
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if (posSz == null || "0".equals(posSz)) continue;
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String side = "long".equals(posSide) ? "sell" : "buy";
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executor.marketClose(side, posSide, posSz);
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log.info("[OKX] 平已有仓位, posSide:{}, sz:{}, side:{}", posSide, posSz, side);
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}
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} catch (Exception e) {
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log.warn("[OKX] 平仓位异常", e);
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}
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}
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// ---- 启动/停止 ----
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public void startGrid() {
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if (state != StrategyState.WAITING_KLINE && state != StrategyState.STOPPED) {
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log.warn("[OKX] 策略已在运行中, state:{}", state);
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return;
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}
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state = StrategyState.WAITING_KLINE;
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cumulativePnl = BigDecimal.ZERO;
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unrealizedPnl = BigDecimal.ZERO;
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longEntryPrice = BigDecimal.ZERO;
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shortEntryPrice = BigDecimal.ZERO;
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longPositionSize = BigDecimal.ZERO;
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shortPositionSize = BigDecimal.ZERO;
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baseLongOpened = false;
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baseShortOpened = false;
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longActive = false;
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shortActive = false;
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candle1mSubscribed = false;
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positionsSubscribed = false;
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ordersSubscribed = false;
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pendingKlinePrice = null;
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shortPriceQueue.clear();
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longPriceQueue.clear();
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currentLongOrderIds.clear();
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currentShortOrderIds.clear();
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// 每次重启重新获取当前本金，确保盈亏对比基准正确
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refreshInitialPrincipal();
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log.info("[OKX] 网格策略已启动, 当前本金: {} USDT", initialPrincipal);
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}
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/**
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* 重新获取当前账户权益作为初始本金。
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*/
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private void refreshInitialPrincipal() {
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try {
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String balanceResp = executor.getBalance();
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if (balanceResp != null) {
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JSONObject json = JSON.parseObject(balanceResp);
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if ("0".equals(json.getString("code"))) {
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JSONArray data = json.getJSONArray("data");
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if (data != null && !data.isEmpty()) {
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JSONObject accountData = data.getJSONObject(0);
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JSONArray details = accountData.getJSONArray("details");
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if (details != null) {
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for (int i = 0; i < details.size(); i++) {
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JSONObject detail = details.getJSONObject(i);
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if ("USDT".equals(detail.getString("ccy"))) {
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String eq = detail.getString("eq");
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if (eq != null) {
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this.initialPrincipal = new BigDecimal(eq);
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}
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break;
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}
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}
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}
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}
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}
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}
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} catch (Exception e) {
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log.warn("[OKX] 获取初始化本金失败，使用旧值: {}", initialPrincipal);
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}
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}
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public void stopGrid() {
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state = StrategyState.STOPPED;
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executor.cancelAllAlgoOrders();
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executor.shutdown();
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log.info("[OKX] 策略已停止, 累计盈亏: {}", cumulativePnl);
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}
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// ---- K线回调 ----
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public void onKline(BigDecimal closePrice) {
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lastKlinePrice = closePrice;
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updateUnrealizedPnl();
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if (state == StrategyState.STOPPED) {
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executor.cancelAllAlgoOrders();
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closeExistingPositions();
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BigDecimal totalPnl = cumulativePnl.add(unrealizedPnl);
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log.info("[OKX] 已实现:{}, 未实现:{}, 合计:{}", cumulativePnl, unrealizedPnl, totalPnl);
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startGrid();
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return;
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}
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if (state == StrategyState.WAITING_KLINE) {
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// 等待所有 WS 订阅就绪后再开仓
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if (!allSubscriptionsReady()) {
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pendingKlinePrice = closePrice;
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log.info("[OKX] 等待所有 WS 订阅就绪(candle1m={}, positions={}, orders={}), 当前价: {}",
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candle1mSubscribed, positionsSubscribed, ordersSubscribed, closePrice);
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return;
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}
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state = StrategyState.OPENING;
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log.info("[OKX] 首根K线到达，所有订阅就绪，开基底仓位 多空各{}张...", config.getBaseQuantity());
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openBasePositions();
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return;
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}
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if (state != StrategyState.ACTIVE) {
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return;
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}
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checkProfitAndReset();
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}
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/**
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* WS 订阅成功确认回调，由各 {@link OkxGridChannelHandler#onSubscribed()} 触发。
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* 当所有订阅就绪且已有缓存的 K 线价格时，自动触发开仓。
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*/
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public void onSubscriptionConfirmed(String channel) {
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if ("candle1m".equals(channel)) candle1mSubscribed = true;
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else if ("positions".equals(channel)) positionsSubscribed = true;
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else if ("orders".equals(channel)) ordersSubscribed = true;
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log.info("[OKX] 订阅就绪: {}, 全部就绪: {}", channel, allSubscriptionsReady());
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// 所有订阅就绪 + 有缓存 K 线价格 + 仍处于等待状态 → 触发开仓
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if (allSubscriptionsReady() && pendingKlinePrice != null && state == StrategyState.WAITING_KLINE) {
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BigDecimal price = pendingKlinePrice;
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pendingKlinePrice = null;
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log.info("[OKX] 所有 WS 订阅就绪，触发开仓, 价格: {}", price);
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state = StrategyState.OPENING;
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log.info("[OKX] 首根K线到达，所有订阅就绪，开基底仓位 多空各{}张...", config.getBaseQuantity());
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openBasePositions();
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}
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}
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/** @return true 表示 candle1m + positions + orders 三个频道均已订阅成功 */
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private boolean allSubscriptionsReady() {
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return candle1mSubscribed && positionsSubscribed && ordersSubscribed;
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}
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/** 市价双开基底仓位（多 + 空），对齐 Gate 版本逻辑 */
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private void openBasePositions() {
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executor.openLong(config.getBaseQuantity(), (orderId) -> {
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OkxTraderParam baseLongTp = OkxTraderParam.builder().entryOrderId(orderId).build();
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config.setBaseLongTraderParam(baseLongTp);
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tryGenerateQueues();
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}, null);
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executor.openShort(config.getBaseQuantity(), (orderId) -> {
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OkxTraderParam baseShortTp = OkxTraderParam.builder().entryOrderId(orderId).build();
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config.setBaseShortTraderParam(baseShortTp);
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tryGenerateQueues();
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}, null);
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}
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// ---- 仓位推送回调 ----
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public void onPositionUpdate(String instId, String posSide, BigDecimal posSize, BigDecimal avgPx) {
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if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) {
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return;
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}
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boolean hasPosition = posSize.compareTo(BigDecimal.ZERO) > 0;
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if ("long".equals(posSide)) {
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if (hasPosition) {
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longActive = true;
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longEntryPrice = avgPx;
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if (!baseLongOpened) {
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longPositionSize = posSize;
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longBaseEntryPrice = avgPx;
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baseLongOpened = true;
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log.info("[OKX] 基底多成交价: {}", longBaseEntryPrice);
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tryGenerateQueues();
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} else {
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longPositionSize = posSize;
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tryGenerateQueues(); // 后续 WS 推送触发重试，兜底此前 NPE 失败的情况
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}
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} else {
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if (longActive && state == StrategyState.ACTIVE) {
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log.info("[OKX] 多仓持仓归零，重置策略");
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handlePositionZeroAndReset("多仓");
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}
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longActive = false;
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longPositionSize = BigDecimal.ZERO;
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}
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} else if ("short".equals(posSide)) {
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if (hasPosition) {
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shortActive = true;
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shortEntryPrice = avgPx;
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if (!baseShortOpened) {
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shortPositionSize = posSize;
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shortBaseEntryPrice = avgPx;
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baseShortOpened = true;
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log.info("[OKX] 基底空成交价: {}", shortBaseEntryPrice);
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tryGenerateQueues();
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} else {
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shortPositionSize = posSize;
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tryGenerateQueues(); // 后续 WS 推送触发重试，兜底此前 NPE 失败的情况
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}
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} else {
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if (shortActive && state == StrategyState.ACTIVE) {
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log.info("[OKX] 空仓持仓归零，重置策略");
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handlePositionZeroAndReset("空仓");
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}
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shortActive = false;
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shortPositionSize = BigDecimal.ZERO;
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}
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}
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}
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// ---- 平仓推送回调 ----
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public void onPositionClose(String side, BigDecimal pnl) {
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if (state == StrategyState.STOPPED) {
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return;
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}
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cumulativePnl = cumulativePnl.add(pnl);
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updateUnrealizedPnl();
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BigDecimal totalPnl = cumulativePnl.add(unrealizedPnl);
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log.info("[OKX] 已实现:{}, 未实现:{}, 合计:{}", cumulativePnl, unrealizedPnl, totalPnl);
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if (totalPnl.compareTo(config.getMaxLoss().negate()) <= 0) {
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String logMsg = StrUtil.format("[OKX] 已达亏损风险值(合计{}), 已实现:{}, 未实现:{}",
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totalPnl, cumulativePnl, unrealizedPnl);
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log.info(logMsg);
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DingTalkUtils.getDefault().sendActionCard("风险提醒", logMsg, config.getApiKey(), "");
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}
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}
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// ---- 订单/条件单推送回调 ----
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public void onOrderUpdate(String algoId, String state, String ordType) {
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if (!"filled".equals(state) && !"canceled".equals(state)) {
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return;
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}
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// 匹配止损单 → 委托 StopLossManager
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OkxGridElement byLongStopLoss = OkxGridElement.findByLongStopLossOrderId(algoId);
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if (byLongStopLoss != null) {
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stopLossManager.handleLongStopLossTriggered(byLongStopLoss, longEntryPrice);
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return;
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}
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OkxGridElement byShortStopLoss = OkxGridElement.findByShortStopLossOrderId(algoId);
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if (byShortStopLoss != null) {
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stopLossManager.handleShortStopLossTriggered(byShortStopLoss, shortEntryPrice);
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return;
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}
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// 匹配挂单 —— 条件单成交后：清空挂单状态 + 追挂止损
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OkxGridElement shortGridElement = OkxGridElement.findByShortOrderId(algoId);
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if (shortGridElement != null && shortGridElement.isHasShortOrder()) {
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int filledQty = Integer.parseInt(shortGridElement.getShortTraderParam().getQuantity());
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stopLossManager.clearShortEntryState(shortGridElement);
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stopLossManager.extendShortStopLoss(filledQty);
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log.info("[OKX] 空单成交 gridId:{}, qty:{}, 追挂止损", shortGridElement.getId(), filledQty);
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return;
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}
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OkxGridElement longGridElement = OkxGridElement.findByLongOrderId(algoId);
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if (longGridElement != null && longGridElement.isHasLongOrder()) {
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int filledQty = Integer.parseInt(longGridElement.getLongTraderParam().getQuantity());
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stopLossManager.clearLongEntryState(longGridElement);
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stopLossManager.extendLongStopLoss(filledQty);
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log.info("[OKX] 多单成交 gridId:{}, qty:{}, 追挂止损", longGridElement.getId(), filledQty);
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return;
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}
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}
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// ---- 网格队列处理 ----
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private void tryGenerateQueues() {
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// 防止重复执行：一旦已进入 ACTIVE 状态不再重复初始化
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if (state == StrategyState.ACTIVE) {
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return;
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}
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if (baseLongOpened && baseShortOpened) {
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// 防御异步竞态：openLong/openShort 的回调可能还未设置 trader param
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OkxTraderParam baseLongTp = config.getBaseLongTraderParam();
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OkxTraderParam baseShortTp = config.getBaseShortTraderParam();
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if (baseLongTp == null || baseShortTp == null) {
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log.warn("[OKX] tryGenerateQueues 等待异步回调: longTp={}, shortTp={}",
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baseLongTp != null, baseShortTp != null);
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return;
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}
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// 委托 GridQueueBuilder 构建价格队列 + GridElements
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List<BigDecimal> tmpShort = GridQueueBuilder.buildShortQueue(config, shortBaseEntryPrice);
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List<BigDecimal> tmpLong = GridQueueBuilder.buildLongQueue(config, shortBaseEntryPrice);
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synchronized (shortPriceQueue) {
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shortPriceQueue.clear();
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shortPriceQueue.addAll(tmpShort);
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}
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synchronized (longPriceQueue) {
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longPriceQueue.clear();
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longPriceQueue.addAll(tmpLong);
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}
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GridQueueBuilder.buildGridElements(config, shortPriceQueue, longPriceQueue, shortBaseEntryPrice);
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// 标记基座挂单
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OkxGridElement baseGridElement = OkxGridElement.findById(0);
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baseGridElement.setLongOrderId(baseLongTp.getEntryOrderId());
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baseGridElement.setHasLongOrder(true);
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baseGridElement.setShortOrderId(baseShortTp.getEntryOrderId());
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baseGridElement.setHasShortOrder(true);
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// 委托 StopLossManager 挂止损单
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stopLossManager.setupBaseStopLosses();
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state = StrategyState.ACTIVE;
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}
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}
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// ---- 盈亏计算 ----
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private void updateUnrealizedPnl() {
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if (lastKlinePrice == null || lastKlinePrice.compareTo(BigDecimal.ZERO) == 0) return;
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BigDecimal multiplier = config.getCtVal();
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BigDecimal longPnl = BigDecimal.ZERO;
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BigDecimal shortPnl = BigDecimal.ZERO;
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if (longPositionSize.compareTo(BigDecimal.ZERO) > 0 && longEntryPrice.compareTo(BigDecimal.ZERO) > 0) {
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longPnl = longPositionSize.multiply(multiplier).multiply(lastKlinePrice.subtract(longEntryPrice));
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}
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if (shortPositionSize.compareTo(BigDecimal.ZERO) > 0 && shortEntryPrice.compareTo(BigDecimal.ZERO) > 0) {
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shortPnl = shortPositionSize.multiply(multiplier).multiply(shortEntryPrice.subtract(lastKlinePrice));
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}
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unrealizedPnl = longPnl.add(shortPnl);
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log.info("[OKX] 未实现盈亏: {}", unrealizedPnl);
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}
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private boolean isMarginSafe() {
|
try {
|
String balanceResp = executor.getBalance();
|
if (balanceResp == null) return true;
|
JSONObject json = JSON.parseObject(balanceResp);
|
if (!"0".equals(json.getString("code"))) return true;
|
JSONArray data = json.getJSONArray("data");
|
if (data == null || data.isEmpty()) return true;
|
JSONObject detail = data.getJSONObject(0);
|
String imr = detail.getString("imr");
|
if (imr == null) return true;
|
BigDecimal margin = new BigDecimal(imr);
|
if (initialPrincipal.compareTo(BigDecimal.ZERO) == 0) return true;
|
BigDecimal ratio = margin.divide(initialPrincipal, 4, RoundingMode.HALF_UP);
|
log.debug("[OKX] 保证金比例: {}/{}={}", margin, initialPrincipal, ratio);
|
return ratio.compareTo(config.getMarginRatioLimit()) < 0;
|
} catch (Exception e) {
|
log.warn("[OKX] 查保证金失败，默认放行", e);
|
return true;
|
}
|
}
|
|
private void checkProfitAndReset() {
|
try {
|
String balanceResp = executor.getBalance();
|
if (balanceResp == null) return;
|
JSONObject json = JSON.parseObject(balanceResp);
|
if (!"0".equals(json.getString("code"))) return;
|
JSONArray data = json.getJSONArray("data");
|
if (data == null || data.isEmpty()) return;
|
JSONObject detail = data.getJSONObject(0);
|
String upl = detail.getString("upl");
|
String availEq = detail.getString("availEq");
|
if (upl == null || availEq == null) return;
|
BigDecimal unrealisedPnl = new BigDecimal(upl);
|
BigDecimal available = new BigDecimal(availEq);
|
BigDecimal totalEquity = unrealisedPnl.add(available);
|
BigDecimal target = initialPrincipal.add(config.getExpectedProfit());
|
log.info("[OKX] 盈亏检查 upl:{}, availEq:{}, 合计:{}, 目标:{}", unrealisedPnl, available, totalEquity, target);
|
if (totalEquity.compareTo(target) > 0) {
|
log.info("[OKX] 盈亏达标({}>{})，重置策略", totalEquity, target);
|
state = StrategyState.STOPPED;
|
closeExistingPositions();
|
executor.cancelAllAlgoOrders();
|
startGrid();
|
}
|
} catch (Exception e) {
|
log.warn("[OKX] 盈亏检查失败", e);
|
}
|
}
|
|
private void handlePositionZeroAndReset(String direction) {
|
state = StrategyState.STOPPED;
|
executor.cancelAllAlgoOrders();
|
closeExistingPositions();
|
startGrid();
|
}
|
|
// ---- getters ----
|
public BigDecimal getLastKlinePrice() { return lastKlinePrice; }
|
public boolean isStrategyActive() { return state != StrategyState.STOPPED && state != StrategyState.WAITING_KLINE; }
|
public BigDecimal getCumulativePnl() { return cumulativePnl; }
|
public BigDecimal getUnrealizedPnl() { return unrealizedPnl; }
|
public StrategyState getState() { return state; }
|
}
|
