feat(trade): 优化交易系统止损逻辑和订单处理机制

Administrator

5 days ago 23ece6103fd890655f0eef79331d3d73921611a2

 src/main/java/com/xcong/excoin/modules/okxNewPrice/okxWs/OrderInfoWs.java

@@ -5,6 +5,7 @@
import com.alibaba.fastjson.JSONObject;
import com.xcong.excoin.modules.okxNewPrice.okxWs.enums.CoinEnums;
import com.xcong.excoin.modules.okxNewPrice.okxWs.enums.OrderParamEnums;
import com.xcong.excoin.modules.okxNewPrice.okxWs.param.TradeRequestParam;
import com.xcong.excoin.modules.okxNewPrice.okxWs.wanggeList.WangGeListEnum;
import com.xcong.excoin.modules.okxNewPrice.okxpi.MallUtils;
import com.xcong.excoin.modules.okxNewPrice.utils.WsMapBuild;
@@ -14,6 +15,9 @@
import org.java_websocket.client.WebSocketClient;

import java.math.BigDecimal;
import java.math.RoundingMode;
import java.util.ArrayList;
import java.util.List;
import java.util.Map;
import java.util.concurrent.ConcurrentHashMap;

@@ -65,14 +69,16 @@
    private static final String ACCFILLSZ_KEY = "accFillSz";
    private static final String AVGPX_KEY = "avgPx";
    private static final String STATE_KEY = "state";
    public static void handleEvent(JSONObject response, RedisUtils redisUtils, String accountName) {
    private static final String FILLFEE_KEY = "fillFee";
    private static final String POSSIDE_KEY = "posSide";
    public static List<TradeRequestParam> handleEvent(JSONObject response, RedisUtils redisUtils, String accountName) {

//        log.info("开始执行OrderInfoWs......");
        log.info("开始执行OrderInfoWs......");
        try {
            JSONArray dataArray = response.getJSONArray(DATA_KEY);
            if (dataArray == null || dataArray.isEmpty()) {
                log.warn("订单频道数据为空");
                return;
                return  null;
            }

            for (int i = 0; i < dataArray.size(); i++) {
@@ -90,36 +96,44 @@
                String accFillSz = detail.getString(ACCFILLSZ_KEY);
                String avgPx = detail.getString(AVGPX_KEY);
                String state = detail.getString(STATE_KEY);
                String fillFee = detail.getString(FILLFEE_KEY);
                String posSide = detail.getString(POSSIDE_KEY);

                log.info(
                        "{}: 订单详情-币种: {}, 系统编号: {}, 自定义编号: {}, 订单方向: {}, 交易模式: {}," +
                                " 累计成交数量: {}, 成交均价: {}, 订单状态: {}",
                                " 累计成交数量: {}, 成交均价: {}, 订单状态: {}, 手续费: {}, 持仓方向: {}",
                        accountName, instId, ordId, clOrdId, side, tdMode,
                        accFillSz, avgPx,state
                        accFillSz, avgPx,state, fillFee,posSide
                );

                String clOrdIdStr = TradeOrderWs.getAccountMap(accountName).get("clOrdId");

                Map<String, String> accountMap = getAccountMap(accountName);
                String stateStr = TradeOrderWs.getAccountMap(accountName).get("state");
                boolean longSell = CoinEnums.POSSIDE_LONG.getCode().equals(posSide) && CoinEnums.SIDE_SELL.getCode().equals(side);
                boolean shortBuy = CoinEnums.POSSIDE_SHORT.getCode().equals(posSide) && CoinEnums.SIDE_BUY.getCode().equals(side);
                if (
                        CoinEnums.ORDER_FILLED.getCode().equals(state)
                            && (longSell || shortBuy)
                ){
                    WsMapBuild.saveStringToMap(accountMap, "orderPrice",avgPx);
                }

                String clOrdIdStr = TradeOrderWs.getAccountMap(accountName).get("clOrdId");
                if (
                        StrUtil.isNotBlank(clOrdIdStr)
                                && clOrdId.equals(clOrdIdStr)
                                && StrUtil.isNotBlank(stateStr)
                                && state.equals(stateStr)
                ){
                    Map<String, String> accountMap = getAccountMap(accountName);
                    //记录成交均价
                    if (accountMap.get("orderPrice") == null){
                        log.info("成交均价: {}", avgPx);
                        WsMapBuild.saveStringToMap(accountMap, "orderPrice",avgPx);
                    }
                    WsMapBuild.saveStringToMap(TradeOrderWs.getAccountMap(accountName), "state", CoinEnums.ORDER_LIVE.getCode());

                    //保存上一个网格信息
                    WangGeListEnum gridByPrice = WangGeListEnum.getGridByPrice(new BigDecimal(avgPx));
                    Map<String, String> instrumentsMap = InstrumentsWs.getAccountMap(accountName);
                    WsMapBuild.saveStringToMap(instrumentsMap, CoinEnums.WANG_GE_OLD.name(), gridByPrice.name());

                    // 使用账号特定的Map
                    String positionAccountName = PositionsWs.initAccountName(accountName, side);
                    String positionAccountName = PositionsWs.initAccountName(accountName, posSide);
                    Map<String, BigDecimal> positionsMap = PositionsWs.getAccountMap(positionAccountName);
                    WsMapBuild.saveBigDecimalToMap(positionsMap, CoinEnums.READY_STATE.name(), WsMapBuild.parseBigDecimalSafe(CoinEnums.READY_STATE_NO.getCode()));

@@ -127,11 +141,129 @@
                    WsMapBuild.saveStringToMap(accountWsMap, CoinEnums.READY_STATE.name(), CoinEnums.READY_STATE_NO.getCode());

                    log.info("{}: 订单详情已完成: {}, 自定义编号: {}", accountName, CoinEnums.HE_YUE.getCode(), clOrdId);

                    List<TradeRequestParam> tradeRequestParamList = new ArrayList<>();

                    TradeRequestParam tradeRequestParam = new TradeRequestParam();
                    tradeRequestParam.setAccountName(accountName);
                    BigDecimal zhiYingPx = getZhiYingPx(
                            accountName,
                            posSide,
                            fillFee,
                            WsMapBuild.parseBigDecimalSafe(InstrumentsWs.getAccountMap(accountName).get(CoinEnums.CTVAL.name())),
                            WsMapBuild.parseBigDecimalSafe(accFillSz),
                            WsMapBuild.parseBigDecimalSafe(InstrumentsWs.getAccountMap(accountName).get(CoinEnums.CONTRACTMULTIPLIER.name())),
                            WsMapBuild.parseBigDecimalSafe(avgPx),
                            WsMapBuild.parseBigDecimalSafe(CoinEnums.LEVERAGE.getCode())
                    );
                    tradeRequestParam.setMarkPx(String.valueOf(zhiYingPx));
                    tradeRequestParam.setInstId(CoinEnums.HE_YUE.getCode());
                    tradeRequestParam.setTdMode(CoinEnums.CROSS.getCode());
                    tradeRequestParam.setPosSide(posSide);
                    tradeRequestParam.setOrdType(CoinEnums.ORDTYPE_LIMIT.getCode());
                    // 获取平均持仓价格
                    // 在获取数据时提供默认值
//                    BigDecimal avgPxOld = positionsMap.get("avgPx") != null ? positionsMap.get("avgPx") : BigDecimal.ZERO;
//                    log.info("持仓方向{}，当前持仓价格{}，止盈价格{}",posSide,avgPxOld,zhiYingPx);
//                    //根据持仓方向，判断是否需要设置限价止盈
//                    if (CoinEnums.POSSIDE_LONG.getCode().equals(posSide) && zhiYingPx.compareTo(avgPxOld) > 0){
//                        tradeRequestParam.setTradeType(OrderParamEnums.TRADE_NO.getValue());
//                    }else if (CoinEnums.POSSIDE_SHORT.getCode().equals(posSide) && zhiYingPx.compareTo(avgPxOld) < 0){
//                        tradeRequestParam.setTradeType(OrderParamEnums.TRADE_NO.getValue());
//                    }else{
//                        tradeRequestParam.setTradeType(OrderParamEnums.TRADE_YES.getValue());
//                    }

                    tradeRequestParam.setTradeType(OrderParamEnums.TRADE_YES.getValue());
                    tradeRequestParam.setSide(CoinEnums.POSSIDE_LONG.getCode().equals(posSide) ? CoinEnums.SIDE_SELL.getCode() : CoinEnums.SIDE_BUY.getCode());
                    tradeRequestParam.setClOrdId(WsParamBuild.getOrderNum(side));
                    tradeRequestParam.setSz(accFillSz);
                    tradeRequestParamList.add(tradeRequestParam);

                    // 1. 判断当前价格属于哪个网格去限价止损
                    WangGeListEnum gridByPriceNew = WangGeListEnum.getGridByPrice(new BigDecimal(avgPx));
                    if (gridByPriceNew != null) {
                        TradeRequestParam tradeRequestParamZhiSun = new TradeRequestParam();
                        tradeRequestParamZhiSun.setAccountName(accountName);
                        tradeRequestParamZhiSun.setMarkPx(String.valueOf(gridByPriceNew.getZhi_sun_dian()));
                        tradeRequestParamZhiSun.setInstId(CoinEnums.HE_YUE.getCode());
                        tradeRequestParamZhiSun.setTdMode(CoinEnums.CROSS.getCode());
                        tradeRequestParamZhiSun.setPosSide(posSide);
                        tradeRequestParamZhiSun.setOrdType(CoinEnums.ORDTYPE_LIMIT.getCode());
                        tradeRequestParamZhiSun.setTradeType(OrderParamEnums.TRADE_YES.getValue());
                        tradeRequestParamZhiSun.setSide(CoinEnums.POSSIDE_LONG.getCode().equals(posSide) ? CoinEnums.SIDE_SELL.getCode() : CoinEnums.SIDE_BUY.getCode());
                        tradeRequestParamZhiSun.setClOrdId(WsParamBuild.getOrderNum(side));
                        tradeRequestParamZhiSun.setSz(accFillSz);
                        tradeRequestParamList.add(tradeRequestParamZhiSun);
                    }
                    return tradeRequestParamList;

                }
                return null;
            }
        } catch (Exception e) {
            log.error("处理订单频道推送数据失败", e);
        }
        return null;
    }

    public static void main(String[] args) {
        System.out.println(
                getZhiYingPx(
                        "eth",
                        CoinEnums.POSSIDE_LONG.getCode(),
                        "0.0001",
                        new BigDecimal("0.1"),
                        new BigDecimal("0.05"),
                        new BigDecimal("1"),
                        new BigDecimal("2950"),
                        new BigDecimal("100"))
        );
    }
    /**
     * 计算预期收益
     */
    public static BigDecimal getZhiYingPx(
            String accountName, String posSide, String fillFee, BigDecimal coinValue, BigDecimal coinNum,
            BigDecimal contractMultiplier, BigDecimal avgPx, BigDecimal leverage
    ) {
        BigDecimal initMargin = getInitMargin(coinValue, coinNum, contractMultiplier, avgPx, leverage);
        String pingCangImr = StrUtil.isEmpty(InstrumentsWs.getAccountMap(accountName).get(CoinEnums.PING_CANG_SHOUYI.name())) ? "0.2" : InstrumentsWs.getAccountMap(accountName).get(CoinEnums.PING_CANG_SHOUYI.name());
        BigDecimal expectProfit = (initMargin).multiply(new BigDecimal(pingCangImr)).add(new BigDecimal(fillFee).abs()).setScale(4, RoundingMode.DOWN);
        log.info("{}: 订单详情-预期收益: {}", accountName, expectProfit);
        return getMarkPrice(expectProfit,posSide, coinValue, coinNum, contractMultiplier, avgPx, leverage);
    }

    /**
     * 计算初始保证金
     * 面值 * 张数 * 合约乘数 * 标记价格 / 杠杆倍数
     */
    public static BigDecimal getInitMargin(BigDecimal coinValue, BigDecimal coinNum, BigDecimal contractMultiplier, BigDecimal avgPx, BigDecimal leverage) {
        BigDecimal initMargin = coinValue.multiply(coinNum).multiply(contractMultiplier).multiply(avgPx).divide(leverage, 4, RoundingMode.DOWN);
        log.info("订单详情-初始保证金: {}", initMargin);
        return initMargin;
    }
    /**
     * USDT保证金合约
     * 多仓收益 = 面值 * |张数| * 合约乘数 *（标记价格 - 开仓均价）
     *      （标记价格 - 开仓均价） = 多仓收益 /(面值 * |张数| * 合约乘数)
     *      标记价格 = 多仓收益 /(面值 * |张数| * 合约乘数) + 开仓均价
     * 空仓收益 = 面值 * |张数| * 合约乘数 *（开仓均价 - 标记价格）
     *      （开仓均价 - 标记价格） = 空仓收益 /(面值 * |张数| * 合约乘数)
     *      标记价格 = 开仓均价 - 空仓收益 /(面值 * |张数| * 合约乘数)
     */
    public static BigDecimal getMarkPrice(BigDecimal expectProfit,String posSide,BigDecimal coinValue, BigDecimal sz, BigDecimal contractMultiplier, BigDecimal openPrice, BigDecimal leverage) {
        BigDecimal markPrice = BigDecimal.ZERO;
        BigDecimal multiply = coinValue.multiply(sz.abs()).multiply(contractMultiplier);
        BigDecimal bigDecimal = expectProfit.divide(multiply, 2, RoundingMode.DOWN);
        if (CoinEnums.POSSIDE_LONG.getCode().equals(posSide)){
            markPrice = openPrice.add(bigDecimal).setScale(2, RoundingMode.DOWN);
        }
        if (CoinEnums.POSSIDE_SHORT.getCode().equals(posSide)){
            markPrice = openPrice.subtract(bigDecimal).setScale(2, RoundingMode.DOWN);
        }
        log.info("订单详情-止盈标记价格: {}", markPrice);
        return markPrice;
    }

}