refactor(indicator): 移除MACD策略中的波动率计算和过滤逻辑

Administrator

8 days ago 2968d8cf5bf5437728467e010e6f3292f495a9ed

 src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java

@@ -1,6 +1,7 @@
package com.xcong.excoin.modules.okxNewPrice;

import cn.hutool.core.collection.CollUtil;
import cn.hutool.core.util.ObjectUtil;
import cn.hutool.json.JSONException;
import com.alibaba.fastjson.JSON;
import com.alibaba.fastjson.JSONArray;
@@ -56,8 +57,8 @@
    private final AtomicBoolean isConnecting = new AtomicBoolean(false);
    private final AtomicBoolean isInitialized = new AtomicBoolean(false);

//    private static final String CHANNEL = "mark-price";
    private static final String CHANNEL = "candle1m";
//    private static final String CHANNEL = "candle5m";
//    private static final String CHANNEL = "candle15m";

    // 心跳超时时间(秒)，小于30秒
@@ -122,7 +123,7 @@

    private static final String WS_URL_MONIPAN = "wss://wspap.okx.com:8443/ws/v5/business";
    private static final String WS_URL_SHIPAN = "wss://ws.okx.com:8443/ws/v5/business";
    private static final boolean isAccountType = true;
    private static final boolean isAccountType = false;

    /**
     * 建立与 OKX WebSocket 服务器的连接。
@@ -246,6 +247,11 @@
     */
    private void handleWebSocketMessage(String message) {
        try {
            if ("pong".equals(message)) {
                log.debug("{}: 收到心跳响应");
                cancelPongTimeout();
                return;
            }
            JSONObject response = JSON.parseObject(message);
            String event = response.getString("event");

@@ -338,191 +344,33 @@
                    MacdMaStrategy strategy = new MacdMaStrategy();

                    // 生成100个15分钟价格数据点
                    List<Kline> kline15MinuteData = getKlineDataByInstIdAndBar(instId, "1m");
                    List<BigDecimal> historicalPrices = kline15MinuteData.stream()
                    List<Kline> kline1MinuteData = getKlineDataByInstIdAndBar(instId, "1m");
                    List<BigDecimal> historicalPrices1M = kline1MinuteData.stream()
                            .map(Kline::getC)
                            .collect(Collectors.toList());
                    log.info("生成100个15分钟价格数据点成功！");
                    // 使用策略分析最新价格数据
                    MacdMaStrategy.TradingOrder tradingOrder = strategy.generateTradingOrder(historicalPrices);
                    if (tradingOrder == null){
                    MacdMaStrategy.TradingOrder tradingOrderOpen1M = strategy.generateTradingOrder(historicalPrices1M,MacdMaStrategy.OperationType.open.name());
                    if (tradingOrderOpen1M == null ){
                        return;
                    }
                    Collection<OkxQuantWebSocketClient> allClients = clientManager.getAllClients();
                    //如果为空，则直接返回
                    if (allClients.isEmpty()) {
                        return;
                    }
                    // 获取所有OkxQuantWebSocketClient实例
                    for (OkxQuantWebSocketClient client : clientManager.getAllClients()) {
                        String accountName = client.getAccountName();
                        if (accountName != null) {
                            // 根据信号执行交易操作
                            TradeRequestParam tradeRequestParam = new TradeRequestParam();

                            String posSide = tradingOrder.getPosSide();
                            tradeRequestParam.setPosSide(posSide);
                            String currentPrice = String.valueOf(closePx);
                            tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, currentPrice, posSide);

                            String side = tradingOrder.getSide();
                            tradeRequestParam.setSide(side);

                            String clOrdId = WsParamBuild.getOrderNum(side);
                            tradeRequestParam.setClOrdId(clOrdId);

                            String sz = null;
                            if (
                                    (posSide == CoinEnums.POSSIDE_LONG.getCode() && side == CoinEnums.SIDE_BUY.getCode())
                                            ||
                                            (posSide == CoinEnums.POSSIDE_SHORT.getCode() && side == CoinEnums.SIDE_SELL.getCode())
                            ){
                                sz = InstrumentsWs.getAccountMap(accountName).get(CoinEnums.BUY_CNT_INIT.name());
                            }else if (
                                    (posSide == CoinEnums.POSSIDE_LONG.getCode() && side == CoinEnums.SIDE_SELL.getCode())
                                            ||
                                            (posSide == CoinEnums.POSSIDE_SHORT.getCode() && side == CoinEnums.SIDE_BUY.getCode())
                            ){
                                BigDecimal pos = PositionsWs.getAccountMap(PositionsWs.initAccountName(accountName, posSide)).get("pos");

                                sz = String.valueOf(pos);
                            }
                            tradeRequestParam.setSz(sz);
                            TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParam);
                        }
                    }
                }
            }
        } catch (Exception e) {
            log.error("处理 K线频道推送数据失败", e);
        }
    }

    /**
     * 解析并处理价格推送数据。
     * 将最新的标记价格存入 Redis 并触发后续业务逻辑比较处理。
     * 当价格变化时，调用CaoZuoService的caoZuo方法，触发所有账号的量化操作
     *
     * @param response 包含价格数据的 JSON 对象
     */
    private void processPushData(JSONObject response) {
        try {
            /**
             * {
             *   "arg": {
             *     "channel": "candle1D",
             *     "instId": "BTC-USDT"
             *   },
             *   "data": [
             *     [
             *       "1629993600000",
             *       "42500",
             *       "48199.9",
             *       "41006.1",
             *       "41006.1",
             *       "3587.41204591",
             *       "166741046.22583129",
             *       "166741046.22583129",
             *       "0"
             *     ]
             *   ]
             * }
             */
            JSONObject arg = response.getJSONObject("arg");
            if (arg == null) {
                log.warn("{}: 无效的推送数据，缺少 'arg' 字段", response);
                return;
            }

            String channel = arg.getString("channel");
            if (channel == null) {
                log.warn("{}: 无效的推送数据，缺少 'channel' 字段", response);
                return;
            }

            String instId = arg.getString("instId");
            if (instId == null) {
                log.warn("{}: 无效的推送数据，缺少 'instId' 字段", response);
                return;
            }

            if (CHANNEL.equals(channel) && CoinEnums.HE_YUE.getCode().equals(instId)) {
                JSONArray dataArray = response.getJSONArray("data");
                if (dataArray == null || dataArray.isEmpty()) {
                    log.warn("K线频道数据为空");
                    return;
                }
                JSONArray data = dataArray.getJSONArray(0);
                BigDecimal openPx = new BigDecimal(data.getString(1));
                BigDecimal highPx = new BigDecimal(data.getString(2));
                BigDecimal lowPx = new BigDecimal(data.getString(3));
                BigDecimal closePx = new BigDecimal(data.getString(4));
                BigDecimal vol = new BigDecimal(data.getString(5));
                /**
                 * K线状态
                 * 0：K线未完结
                 * 1：K线已完结
                 */
                String confirm = data.getString(8);
                if ("1".equals(confirm)){
                    //调用策略
                    // 创建交易策略
                    TradingStrategy tradingStrategy = new TradingStrategy();

                    // 生成100个15分钟价格数据点
                    List<Kline> kline15MinuteData = getKlineDataByInstIdAndBar(instId, "15m");
                    //stream流获取kline15MinuteData中的o数据的集合
                    List<BigDecimal> prices = kline15MinuteData.stream()
                            .map(Kline::getC)
                            .collect(Collectors.toList());

                    // 生成对应的高、低、收盘价数据
                    List<BigDecimal> high = kline15MinuteData.stream()
                            .map(Kline::getH)
                            .collect(Collectors.toList());
                    List<BigDecimal> low = kline15MinuteData.stream()
                            .map(Kline::getL)
                            .collect(Collectors.toList());
                    List<BigDecimal> close = prices;

                    // 生成成交量数据
                    List<BigDecimal> volume = kline15MinuteData.stream()
                            .map(Kline::getVol)
                            .collect(Collectors.toList());

                    // 获取最新价格
                    BigDecimal currentPrice = closePx;

                    // 生成多周期价格数据（5分钟、1小时、4小时）
                    List<Kline> kline5MinuteData = getKlineDataByInstIdAndBar(instId, "5m");
                    List<BigDecimal> fiveMinPrices = kline5MinuteData.stream()
                            .map(Kline::getC)
                            .collect(Collectors.toList());
                    List<Kline> kline60MinuteData = getKlineDataByInstIdAndBar(instId, "1H");
                    List<BigDecimal> oneHourPrices = kline60MinuteData.stream()
                            .map(Kline::getC)
                            .collect(Collectors.toList());
                    List<Kline> kline240MinuteData = getKlineDataByInstIdAndBar(instId, "4H");
                    List<BigDecimal> fourHourPrices = kline240MinuteData.stream()
                            .map(Kline::getC)
                            .collect(Collectors.toList());

                    // 其他参数
                    BigDecimal fundingRate = new BigDecimal("0.001"); // 正常资金费率
                    boolean hasLargeTransfer = false; // 无大额转账
                    boolean hasUpcomingEvent = false; // 无即将到来的重大事件
                    // 确定市场方向
                    TradingStrategy.Direction direction = tradingStrategy.getDirection(prices, high, low, close, currentPrice);
                    log.info("市场方向（15分钟）: {}", direction);
//                    if (direction == TradingStrategy.Direction.RANGING){
//                    List<Kline> kline15MinuteData = getKlineDataByInstIdAndBar(instId, "15m");
//                    List<BigDecimal> historicalPrices15M = kline15MinuteData.stream()
//                            .map(Kline::getC)
//                            .collect(Collectors.toList());
//                    // 使用策略分析最新价格数据
//                    MacdMaStrategy.TradingOrder tradingOrderOpen15M = strategy.generateTradingOrder(historicalPrices15M,MacdMaStrategy.OperationType.open.name());
//                    if (tradingOrderOpen15M == null ){
//                        return;
//                    }
//
//                    if (!tradingOrderOpen1M.getPosSide().equals(tradingOrderOpen15M.getPosSide())){
//                        return;
//                    }

                    /**
                     * 获取当前网格信息
                     *      根据当前网格的持仓方向获取反方向是否存在持仓
                     *      如果持有，直接止损
                     */
//                    log.info("1分钟和15分钟K线方向一致，开始执行交易操作！");


                    Collection<OkxQuantWebSocketClient> allClients = clientManager.getAllClients();
                    //如果为空，则直接返回
                    if (allClients.isEmpty()) {
@@ -532,70 +380,23 @@
                    for (OkxQuantWebSocketClient client : clientManager.getAllClients()) {
                        String accountName = client.getAccountName();
                        if (accountName != null) {
                            TradingStrategy.SignalType signal = TradingStrategy.SignalType.NONE;
                            TradeRequestParam tradeRequestParam = new TradeRequestParam();
                            // 检查当前持仓状态
                            boolean hasLongPosition = false;  // 示例：无当前做多持仓
                            boolean hasShortPosition = false; // 示例：无当前做空持仓
                            //先判断账户是否有持多仓
                            String positionLongAccountName = PositionsWs.initAccountName(accountName, CoinEnums.POSSIDE_LONG.getCode());
                            BigDecimal imrLong = PositionsWs.getAccountMap(positionLongAccountName).get("imr");
                            if (imrLong != null && imrLong.compareTo(BigDecimal.ZERO) > 0){
                                log.info("账户{}有持多仓", accountName);
                                hasLongPosition = true;
                            if (ObjectUtil.isNotEmpty(tradingOrderOpen1M)){
                                // 根据信号执行交易操作
                                TradeRequestParam tradeRequestParam = new TradeRequestParam();

                            }
                            //先判断账户是否有持空仓
                            String positionShortAccountName = PositionsWs.initAccountName(accountName, CoinEnums.POSSIDE_SHORT.getCode());
                            BigDecimal imrShort = PositionsWs.getAccountMap(positionShortAccountName).get("imr");
                            if (imrShort != null && imrShort.compareTo(BigDecimal.ZERO) > 0){
                                log.info("账户{}有持空仓", accountName);
                                hasShortPosition = true;
                            }
                            signal = tradingStrategy.generateSignal(prices, high, low, close, volume, currentPrice,
                                    hasLongPosition, hasShortPosition,
                                    fiveMinPrices, oneHourPrices, fourHourPrices,
                                    fundingRate, hasLargeTransfer, hasUpcomingEvent);
                            log.info("账户{}交易信号: " + signal, accountName);
                            if (TradingStrategy.SignalType.NONE == signal) {
                                continue;
                            }else if (TradingStrategy.SignalType.BUY == signal){
                                tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, String.valueOf(currentPrice), CoinEnums.POSSIDE_LONG.getCode());
                                tradeRequestParam.setSide(CoinEnums.SIDE_BUY.getCode());
                                String clOrdId = WsParamBuild.getOrderNum(CoinEnums.SIDE_BUY.getCode());
                                String posSide = tradingOrderOpen1M.getPosSide();
                                tradeRequestParam.setPosSide(posSide);
                                String currentPrice = String.valueOf(closePx);
                                tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, currentPrice, posSide);

                                String side = tradingOrderOpen1M.getSide();
                                tradeRequestParam.setSide(side);

                                String clOrdId = WsParamBuild.getOrderNum(side);
                                tradeRequestParam.setClOrdId(clOrdId);

                                String sz = InstrumentsWs.getAccountMap(accountName).get(CoinEnums.BUY_CNT_INIT.name());
                                tradeRequestParam.setSz(sz);
                                TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParam);
                            }else if (TradingStrategy.SignalType.SELL == signal){
                                tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, String.valueOf(currentPrice), CoinEnums.POSSIDE_SHORT.getCode());
                                tradeRequestParam.setSide(CoinEnums.SIDE_SELL.getCode());
                                String clOrdId = WsParamBuild.getOrderNum(CoinEnums.SIDE_SELL.getCode());
                                tradeRequestParam.setClOrdId(clOrdId);
                                String sz = InstrumentsWs.getAccountMap(accountName).get(CoinEnums.BUY_CNT_INIT.name());
                                tradeRequestParam.setSz(sz);
                                TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParam);
                            }else if (TradingStrategy.SignalType.CLOSE_BUY == signal){
                                tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, String.valueOf(currentPrice), CoinEnums.POSSIDE_LONG.getCode());
                                tradeRequestParam.setSide(CoinEnums.SIDE_SELL.getCode());
                                String clOrdId = WsParamBuild.getOrderNum(CoinEnums.SIDE_SELL.getCode());
                                tradeRequestParam.setClOrdId(clOrdId);
                                BigDecimal pos = PositionsWs.getAccountMap(PositionsWs.initAccountName(accountName, CoinEnums.POSSIDE_LONG.getCode())).get("pos");
                                if (BigDecimal.ZERO.compareTo( pos) >= 0) {
                                    tradeRequestParam.setTradeType(OrderParamEnums.TRADE_NO.getValue());
                                }
                                tradeRequestParam.setSz(String.valueOf( pos));
                                TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParam);
                            }else if (TradingStrategy.SignalType.CLOSE_SELL == signal){
                                tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, String.valueOf(currentPrice), CoinEnums.POSSIDE_SHORT.getCode());
                                tradeRequestParam.setSide(CoinEnums.SIDE_BUY.getCode());
                                String clOrdId = WsParamBuild.getOrderNum(CoinEnums.SIDE_BUY.getCode());
                                tradeRequestParam.setClOrdId(clOrdId);
                                BigDecimal pos = PositionsWs.getAccountMap(PositionsWs.initAccountName(accountName, CoinEnums.POSSIDE_SHORT.getCode())).get("pos");
                                if (BigDecimal.ZERO.compareTo( pos) >= 0) {
                                    tradeRequestParam.setTradeType(OrderParamEnums.TRADE_NO.getValue());
                                }
                                tradeRequestParam.setSz(String.valueOf( pos));
                                TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParam);
                            }
                        }
@@ -604,26 +405,6 @@
            }
        } catch (Exception e) {
            log.error("处理 K线频道推送数据失败", e);
        }
    }



    /**
     * 触发所有账号的量化操作
     * @param markPx 当前标记价格
     */
    private void triggerQuantOperations(String markPx) {
        try {
            // 1. 判断当前价格属于哪个网格
            WangGeListEnum gridByPriceNew = WangGeListEnum.getGridByPrice(new BigDecimal(markPx));
            if (gridByPriceNew == null) {
                log.error("当前 K线频道{}不在任何网格范围内，无法触发量化操作", markPx);
                return;
            }

        } catch (Exception e) {
            log.error("触发量化操作失败", e);
        }
    }

@@ -635,8 +416,6 @@
            requestParam.put("bar", bar);
            requestParam.put("limit", "200");
            String result = ExchangeLoginService.getInstance(ExchangeInfoEnum.OKX_UAT.name()).lineHistory(requestParam);
            log.info("加载OKX-KLINE，{}", result);
            
            JSONObject json = JSON.parseObject(result);
            String data = json.getString("data");
            
@@ -738,9 +517,7 @@
    private void sendPing() {
        try {
            if (webSocketClient != null && webSocketClient.isOpen()) {
                JSONObject ping = new JSONObject();
                ping.put("op", "ping");
                webSocketClient.send(ping.toJSONString());
                webSocketClient.send("ping");
                log.debug("发送ping请求");
            }
        } catch (Exception e) {