feat(okxNewPrice): 添加MACD和EMA组合交易策略实现

Administrator

6 days ago 7903e78b53a98e4ff0670a41476f2d1c16ac19fb

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

@@ -1,11 +1,17 @@
package com.xcong.excoin.modules.okxNewPrice;

import cn.hutool.core.collection.CollUtil;
import cn.hutool.core.util.ObjectUtil;
import cn.hutool.json.JSONException;
import cn.hutool.json.JSONUtil;
import com.alibaba.fastjson.JSON;
import com.alibaba.fastjson.JSONArray;
import com.alibaba.fastjson.JSONObject;
import com.xcong.excoin.modules.blackchain.service.DateUtil;
import com.xcong.excoin.modules.okxNewPrice.celue.CaoZuoService;
import com.xcong.excoin.modules.okxNewPrice.indicator.TradingStrategy;
import com.xcong.excoin.modules.okxNewPrice.indicator.macdAndMatrategy.MacdEmaStrategy;
import com.xcong.excoin.modules.okxNewPrice.indicator.macdAndMatrategy.MacdMaStrategy;
import com.xcong.excoin.modules.okxNewPrice.okxWs.*;
import com.xcong.excoin.modules.okxNewPrice.okxWs.enums.CoinEnums;
import com.xcong.excoin.modules.okxNewPrice.okxWs.enums.OrderParamEnums;
@@ -25,10 +31,7 @@
import java.math.BigDecimal;
import java.net.URI;
import java.net.URISyntaxException;
import java.util.ArrayList;
import java.util.Collection;
import java.util.LinkedHashMap;
import java.util.List;
import java.util.*;
import java.util.concurrent.*;
import java.util.concurrent.atomic.AtomicBoolean;
import java.util.concurrent.atomic.AtomicReference;
@@ -57,7 +60,8 @@
    private final AtomicBoolean isConnecting = new AtomicBoolean(false);
    private final AtomicBoolean isInitialized = new AtomicBoolean(false);

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

    // 心跳超时时间(秒)，小于30秒
@@ -122,7 +126,7 @@

    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 +250,11 @@
     */
    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");

@@ -258,7 +267,8 @@
                log.debug("收到pong响应");
                cancelPongTimeout();
            } else {
                processPushData(response);
//                processPushData(response);
                processPushDataV2(response);
            }
        } catch (Exception e) {
            log.error("处理WebSocket消息失败: {}", message, e);
@@ -272,7 +282,7 @@
     *
     * @param response 包含价格数据的 JSON 对象
     */
    private void processPushData(JSONObject response) {
    private void processPushDataV2(JSONObject response) {
        try {
            /**
             * {
@@ -325,6 +335,8 @@
                BigDecimal lowPx = new BigDecimal(data.getString(3));
                BigDecimal closePx = new BigDecimal(data.getString(4));
                BigDecimal vol = new BigDecimal(data.getString(5));
                //ts   String   开始时间，Unix时间戳的毫秒数格式，如 1597026383085 转日期：2020-08-07 15:13:03.085
                String time = DateUtil.TimeStampToDateTime(Long.parseLong(data.getString(0)));
                /**
                 * K线状态
                 * 0：K线未完结
@@ -332,64 +344,31 @@
                 */
                String confirm = data.getString(8);
                if ("1".equals(confirm)){
                    log.info("{}开仓{}:{}",time,closePx,instId);
                    //调用策略
                    // 创建交易策略
                    TradingStrategy tradingStrategy = new TradingStrategy();
                    // 创建策略实例
//                    MacdMaStrategy strategy = new MacdMaStrategy();
                    MacdEmaStrategy strategy = new MacdEmaStrategy();

                    // 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()
                    // 生成200个1m价格数据点
                    List<Kline> kline1MinuteData = getKlineDataByInstIdAndBar(instId, "1m");
                    List<BigDecimal> historicalPrices1M = kline1MinuteData.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200个1D价格数据点
//                    List<Kline> kline1DayData = getKlineDataByInstIdAndBar(instId, "1D");
//                    List<BigDecimal> historicalPrices1D = kline1DayData.stream()
//                            .map(Kline::getC)
//                            .collect(Collectors.toList());
//                    log.info("1D:{}", JSONUtil.parse( historicalPrices1D));
                    // 使用策略分析最新价格数据
//                    MacdMaStrategy.TradingOrder tradingOrderOpenOpen = strategy.generateTradingOrder(historicalPrices1M,historicalPrices1D,MacdMaStrategy.OperationType.open.name());
                    MacdEmaStrategy.TradingOrder tradingOrderOpenOpen = strategy.generateTradingOrder(historicalPrices1M, MacdMaStrategy.OperationType.open.name());
                    if (tradingOrderOpenOpen == null){
                        return;
                    }

                    // 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);
                    System.out.println("市场方向（15分钟）: " + direction);
//                    if (direction == TradingStrategy.Direction.RANGING){
//                        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
                     */
                    Collection<OkxQuantWebSocketClient> allClients = clientManager.getAllClients();
                    //如果为空，则直接返回
                    if (allClients.isEmpty()) {
@@ -399,71 +378,81 @@
                    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(tradingOrderOpenOpen)){
                                // 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_LONG.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 = tradingOrderOpenOpen.getPosSide();
                                tradeRequestParam.setPosSide(posSide);
                                String currentPrice = String.valueOf(closePx);
                                tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, currentPrice, posSide);

                                String side = tradingOrderOpenOpen.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());
                            }
                        }
                    }
                }else{
                    log.info("{}平仓{}:{}",time,closePx,instId);
                    //调用策略
                    // 创建策略实例
                    MacdMaStrategy strategy = new MacdMaStrategy();

                    // 生成200个1m价格数据点
                    List<Kline> kline1MinuteData = getKlineDataByInstIdAndBar(instId, "1m");
                    List<BigDecimal> historicalPrices1M = kline1MinuteData.stream()
                            .map(Kline::getC)
                            .collect(Collectors.toList());


                    // 生成200个1D价格数据点
                    List<Kline> kline1DayData = getKlineDataByInstIdAndBar(instId, "1D");
                    List<BigDecimal> historicalPrices1D = kline1DayData.stream()
                            .map(Kline::getC)
                            .collect(Collectors.toList());
                    // 使用策略分析最新价格数据
                    MacdMaStrategy.TradingOrder tradingOrderOpenClose = strategy.generateTradingOrder(historicalPrices1M,historicalPrices1D,MacdMaStrategy.OperationType.close.name());
                    if (tradingOrderOpenClose == 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) {
                            if (ObjectUtil.isNotEmpty(tradingOrderOpenClose)){
                                // 根据信号执行交易操作
                                TradeRequestParam tradeRequestParam = new TradeRequestParam();
                                tradeRequestParam.setAccountName(accountName);
                                tradeRequestParam.setMarkPx(String.valueOf(closePx));
                                tradeRequestParam.setInstId(CoinEnums.HE_YUE.getCode());
                                tradeRequestParam.setTdMode(CoinEnums.CROSS.getCode());
                                tradeRequestParam.setOrdType(CoinEnums.ORDTYPE_MARKET.getCode());
                                String posSide = tradingOrderOpenClose.getPosSide();
                                tradeRequestParam.setPosSide(posSide);

                                String side = tradingOrderOpenClose.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.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);

                                String positionAccountName = PositionsWs.initAccountName(accountName, posSide);
                                BigDecimal pos = PositionsWs.getAccountMap(positionAccountName).get("pos");
                                tradeRequestParam.setSz(String.valueOf(pos));
                                TradeOrderWs.orderZhiYingZhiSunEventNoState(client.getWebSocketClient(), tradeRequestParam);
                            }
                        }
                    }
@@ -474,54 +463,53 @@
        }
    }



    /**
     * 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);
        }
    }

    private List<Kline> getKlineDataByInstIdAndBar(String instId, String bar) {


        LinkedHashMap<String, Object> requestParam = new LinkedHashMap<>();
        requestParam.put("instId",instId);
        requestParam.put("bar",bar);
        requestParam.put("limit","100");
        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");
        List<String[]> klinesList = JSON.parseArray(data, String[].class);
        if(CollUtil.isEmpty(klinesList)){
            return  null;
        List<Kline> klineList = new ArrayList<>();
        try {
            LinkedHashMap<String, Object> requestParam = new LinkedHashMap<>();
            requestParam.put("instId", instId);
            requestParam.put("bar", bar);
            requestParam.put("limit", "200");
            String result = ExchangeLoginService.getInstance(ExchangeInfoEnum.OKX_UAT.name()).lineHistory(requestParam);
            JSONObject json = JSON.parseObject(result);
            String data = json.getString("data");
            
            if (data != null) {
                List<String[]> klinesList = JSON.parseArray(data, String[].class);
                if (!CollUtil.isEmpty(klinesList)) {
                    for (String[] s : klinesList) {
                        // 确保数组有足够的元素
                        if (s != null && s.length >= 9) {
                            String s1 = s[8];
                            try {
                                if ("1".equals(s1)){
                                    Kline kline = new Kline();
                                    kline.setTs(s[0]);
                                    kline.setO(new BigDecimal(s[1]));
                                    kline.setH(new BigDecimal(s[2]));
                                    kline.setL(new BigDecimal(s[3]));
                                    kline.setC(new BigDecimal(s[4]));
                                    kline.setVol(new BigDecimal(s[5]));
                                    kline.setConfirm(s[8]);
                                    klineList.add(kline);
                                }
                            } catch (NumberFormatException e) {
                                log.error("K线数据转换为BigDecimal失败: {}", Arrays.toString(s), e);
                            }
                        } else {
                            log.warn("K线数据数组长度不足: {}", Arrays.toString(s));
                        }
                    }
                }
            } else {
                log.warn("K线数据为空");
            }
        } catch (JSONException e) {
            log.error("K线数据解析失败", e);
        } catch (Exception e) {
            log.error("获取K线数据异常", e);
        }
        ArrayList<Kline> objects = new ArrayList<>();
        for(String[] s : klinesList) {
            Kline kline = new Kline();
            kline.setTs(s[0]);
            kline.setO(new BigDecimal(s[1]));
            kline.setH(new BigDecimal(s[2]));
            kline.setL(new BigDecimal(s[3]));
            kline.setC(new BigDecimal(s[4]));
            kline.setVol(new BigDecimal(s[5]));
            kline.setConfirm(s[8]);
            objects.add(kline);
        }
        return objects;
        return klineList;
    }

    /**
@@ -587,9 +575,7 @@
    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) {