feat(trading): 优化MACD策略算法适配欧意平台

Administrator

7 days ago 9ff43c07c9ce3fe76ba4a21e28885097b2b721e3

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

@@ -1,20 +1,19 @@
package com.xcong.excoin.modules.okxNewPrice.okxWs;

import cn.hutool.core.util.StrUtil;
import com.alibaba.fastjson.JSONArray;
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.okxpi.MallUtils;
import com.xcong.excoin.modules.okxNewPrice.utils.WsMapBuild;
import com.xcong.excoin.modules.okxNewPrice.utils.WsParamBuild;
import com.xcong.excoin.utils.RedisUtils;
import lombok.extern.slf4j.Slf4j;
import org.java_websocket.client.WebSocketClient;
import org.springframework.beans.factory.annotation.Autowired;
import org.springframework.stereotype.Component;

import java.math.BigDecimal;
import java.util.Optional;
import java.math.RoundingMode;
import java.util.Map;
import java.util.concurrent.ConcurrentHashMap;

/**
 * @author Administrator
@@ -22,8 +21,15 @@
@Slf4j
public class PositionsWs {

    // 使用双层Map，第一层key为账号名称，第二层key为数据key
    public static final Map<String, Map<String, BigDecimal>> POSITIONSWSMAP = new ConcurrentHashMap<>();
    
    // 获取指定账号的Map，如果不存在则创建
    public static Map<String, BigDecimal> getAccountMap(String accountName) {
        return POSITIONSWSMAP.computeIfAbsent(accountName, k -> new ConcurrentHashMap<>());
    }

    public static final String POSITIONSWS_CHANNEL = "positions";
    private static final String REDIS_KEY_PREFIX = POSITIONSWS_CHANNEL + ":" + CoinEnums.HE_YUE.getCode();

    public static void subscribePositionChannel(WebSocketClient webSocketClient, String option) {
        try {
@@ -43,153 +49,93 @@
        }
    }

    public static void handleEvent(JSONObject response, RedisUtils redisUtils) {
    public static String initAccountName(String accountName, String posSide) {
        return accountName+"_"+ posSide;
    }

    public static void initEvent(JSONObject response, String accountName) {
        log.info("订阅成功,数据初始化: {}", response.getJSONObject("arg"));
        JSONObject arg = response.getJSONObject("arg");
        initParam(arg, accountName,CoinEnums.POSSIDE_LONG.getCode());
        initParam(arg, accountName,CoinEnums.POSSIDE_SHORT.getCode());
    }

    public static void handleEvent(JSONObject response, String accountName) {


//        log.info("开始执行PositionsWs......");
        try {
            JSONArray dataArray = response.getJSONArray("data");
            if (dataArray == null || dataArray.isEmpty()) {
                log.info("账户持仓频道数据为空,已当前价买入，并且初始化网格");
                log.info("账户持仓频道数据为空,等待更新");
                return;
            }

            for (int i = 0; i < dataArray.size(); i++) {
                JSONObject posData = dataArray.getJSONObject(i);
                String instId = posData.getString("instId");

                if (!CoinEnums.HE_YUE.getCode().equals(instId)) {
                    continue;
                if (CoinEnums.HE_YUE.getCode().equals(instId)) {
//                    log.info("查询到账户{}持仓数据",CoinEnums.HE_YUE.getCode());
                    String mgnMode = posData.getString("mgnMode");
                    String posSide = posData.getString("posSide");
                    String pos = posData.getString("pos");
                    String avgPx = posData.getString("avgPx");
                    String upl = posData.getString("upl");
                    String uplRatio = posData.getString("uplRatio");
                    String lever = posData.getString("lever");
                    String liqPx = posData.getString("liqPx");
                    String markPx = posData.getString("markPx");
                    String imr = posData.getString("imr");
                    String mgnRatio = posData.getString("mgnRatio");
                    String mmr = posData.getString("mmr");
                    String notionalUsd = posData.getString("notionalUsd");
                    String ccy = posData.getString("ccy");
                    String last = posData.getString("last");
                    String idxPx = posData.getString("idxPx");
                    String bePx = posData.getString("bePx");
                    String realizedPnl = posData.getString("realizedPnl");
                    String settledPnl = posData.getString("settledPnl");
                    String fee = posData.getString("fee");
                    String fundingFee = posData.getString("fundingFee");
//                    log.info(
//                            "{}: 账户持仓频道-产品类型: {}, 保证金模式: {}, 持仓方向: {}, 持仓数量: {}, 开仓平均价: {}, "
//                                    + "未实现收益: {}, 未实现收益率: {}, 杠杆倍数: {}, 预估强平价: {}, 初始保证金: {}, "
//                                    + "维持保证金率: {}, 维持保证金: {}, 以美金价值为单位的持仓数量: {}, 占用保证金的币种: {}, "
//                                    + "最新成交价: {}, 最新指数价格: {}, 盈亏平衡价: {}, 已实现收益: {}, 累计已结算收益: {}"
//                                    + "最新标记价格: {},累计手续费: {},累计持仓费: {},",
//                            initAccountName(accountName, posSide), instId, mgnMode, posSide, pos, avgPx,
//                            upl, uplRatio, lever, liqPx, imr,
//                            mgnRatio, mmr, notionalUsd, ccy,
//                            last, idxPx, bePx, realizedPnl, settledPnl,
//                            markPx,fee,fundingFee
//                    );
                    initParam(posData, accountName,posSide);
                }
                String mgnMode = posData.getString("mgnMode");
                String posSide = posData.getString("posSide");
                String pos = posData.getString("pos");
                String avgPx = posData.getString("avgPx");
                String upl = posData.getString("upl");
                String uplRatio = posData.getString("uplRatio");
                String lever = posData.getString("lever");
                String liqPx = posData.getString("liqPx");
                String markPx = posData.getString("markPx");
                String imr = posData.getString("imr");
                String mgnRatio = posData.getString("mgnRatio");
                String mmr = posData.getString("mmr");
                String notionalUsd = posData.getString("notionalUsd");
                String ccy = posData.getString("ccy");
                String last = posData.getString("last");
                String idxPx = posData.getString("idxPx");
                String bePx = posData.getString("bePx");
                String realizedPnl = posData.getString("realizedPnl");
                String settledPnl = posData.getString("settledPnl");
                log.info(
                        "账户持仓频道-产品类型: {}, 保证金模式: {}, 持仓方向: {}, 持仓数量: {}, 开仓平均价: {}, "
                                + "未实现收益: {}, 未实现收益率: {}, 杠杆倍数: {}, 预估强平价: {}, 初始保证金: {}, "
                                + "维持保证金率: {}, 维持保证金: {}, 以美金价值为单位的持仓数量: {}, 占用保证金的币种: {}, "
                                + "最新成交价: {}, 最新指数价格: {}, 盈亏平衡价: {}, 已实现收益: {}, 累计已结算收益: {}"
                                + "最新标记价格: {}",
                        instId, mgnMode, posSide, pos, avgPx,
                        upl, uplRatio, lever, liqPx, imr,
                        mgnRatio, mmr, notionalUsd, ccy,
                        last, idxPx, bePx, realizedPnl, settledPnl,
                        markPx
                );

                processPositionData(posData, redisUtils);
            }
        } catch (Exception e) {
            log.error("处理持仓频道推送数据失败", e);
        }
    }

    private static void processPositionData(JSONObject posData, RedisUtils redisUtils) {
        try {
            String avgPx = safeGetString(posData, "avgPx");
            String pos = safeGetString(posData, "pos");
            String upl = safeGetString(posData, "upl");
            String imr = safeGetString(posData, "imr");
            String mgnRatio = safeGetString(posData, "mgnRatio");
            String markPx = safeGetString(posData, "markPx");
            String bePx = safeGetString(posData, "bePx");
    private static void initParam(JSONObject posData, String accountName,String posSide) {
        String accountNamePositons = initAccountName(accountName, posSide);
        Map<String, BigDecimal> accountMap = getAccountMap(accountNamePositons);
        WsMapBuild.saveBigDecimalToMap(accountMap, "avgPx", WsMapBuild.parseBigDecimalSafe(posData.getString("avgPx")));
        WsMapBuild.saveBigDecimalToMap(accountMap, "pos", WsMapBuild.parseBigDecimalSafe(posData.getString("pos")));
        WsMapBuild.saveBigDecimalToMap(accountMap, "upl", WsMapBuild.parseBigDecimalSafe(posData.getString("upl")));
        WsMapBuild.saveBigDecimalToMap(accountMap, "imr", WsMapBuild.parseBigDecimalSafe(posData.getString("imr")));
        WsMapBuild.saveBigDecimalToMap(accountMap, "mgnRatio", WsMapBuild.parseBigDecimalSafe(posData.getString("mgnRatio")));
        WsMapBuild.saveBigDecimalToMap(accountMap, "markPx", WsMapBuild.parseBigDecimalSafe(posData.getString("markPx")));
        WsMapBuild.saveBigDecimalToMap(accountMap, "bePx", WsMapBuild.parseBigDecimalSafe(posData.getString("bePx")));
        WsMapBuild.saveBigDecimalToMap(accountMap, "realizedPnl", WsMapBuild.parseBigDecimalSafe(posData.getString("realizedPnl")));
        WsMapBuild.saveBigDecimalToMap(accountMap, "fee", WsMapBuild.parseBigDecimalSafe(posData.getString("fee")));
        WsMapBuild.saveBigDecimalToMap(accountMap, "fundingFee", WsMapBuild.parseBigDecimalSafe(posData.getString("fundingFee")));

            boolean setResult = saveToRedis(redisUtils, avgPx, pos, upl, imr, mgnRatio, markPx, bePx);

            if (setResult) {
                calculateAndSaveBuyCount(redisUtils);
            } else {
                log.warn("Redis操作失败");
            }
        } catch (Exception e) {
            log.error("Redis操作异常", e);
        BigDecimal ordFrozImr = PositionsWs.getAccountMap(accountNamePositons).get("imr");
        BigDecimal totalOrderUsdt = WsMapBuild.parseBigDecimalSafe(AccountWs.getAccountMap(accountName).get(CoinEnums.TOTAL_ORDER_USDT.name()))
                .divide(new BigDecimal("2"), RoundingMode.DOWN);
        if (ordFrozImr.compareTo(totalOrderUsdt) <= 0){
            WsMapBuild.saveBigDecimalToMap(accountMap, CoinEnums.READY_STATE.name(), WsMapBuild.parseBigDecimalSafe(CoinEnums.READY_STATE_YES.getCode()));
        }
    }

    private static boolean saveToRedis(RedisUtils redisUtils,
                                       String avgPx, String pos, String upl,
                                       String imr, String mgnRatio, String markPx, String bePx) {
        return redisUtils.set(REDIS_KEY_PREFIX + ":avgPx", avgPx, 0)
                && redisUtils.set(REDIS_KEY_PREFIX + ":pos", pos, 0)
                && redisUtils.set(REDIS_KEY_PREFIX + ":upl", upl, 0)
                && redisUtils.set(REDIS_KEY_PREFIX + ":imr", imr, 0)
                && redisUtils.set(REDIS_KEY_PREFIX + ":mgnRatio", mgnRatio, 0)
                && redisUtils.set(REDIS_KEY_PREFIX + ":markPx", markPx, 0)
                && redisUtils.set(REDIS_KEY_PREFIX + ":bePx", bePx, 0);
    }

    private static void calculateAndSaveBuyCount(RedisUtils redisUtils) {
        try {
            String ctValStr = (String) redisUtils.get(InstrumentsWs.INSTRUMENTSWS_CHANNEL + ":" + CoinEnums.HE_YUE.getCode() + ":ctVal");
            String markPxStr = (String) redisUtils.get(REDIS_KEY_PREFIX + ":markPx");
            String minSzStr = (String) redisUtils.get(InstrumentsWs.INSTRUMENTSWS_CHANNEL + ":" + CoinEnums.HE_YUE.getCode() + ":minSz");
            String everyTimeUsdt = (String) redisUtils.get(AccountWs.ACCOUNTWS_CHANNEL + ":" + CoinEnums.USDT.getCode() + ":everyTimeUsdt");

            BigDecimal margin = parseBigDecimal(everyTimeUsdt, "0");
            BigDecimal leverage = parseBigDecimal(OrderParamEnums.LEVERAGE.getValue(), "1");
            BigDecimal faceValue = parseBigDecimal(ctValStr, "0");
            BigDecimal markPrice = parseBigDecimal(markPxStr, "0"); // 默认值需谨慎对待
            int minLotSz = parseInt(minSzStr, 0);

            BigDecimal buyCnt = buyCnt(margin, leverage, faceValue, markPrice, minLotSz);
            redisUtils.set(REDIS_KEY_PREFIX + ":buyCnt", buyCnt.toString(), 0);
        } catch (NumberFormatException | ArithmeticException e) {
            log.error("计算购买数量时发生数字转换错误", e);
        }
    }

    private static String safeGetString(JSONObject obj, String key) {
        return Optional.ofNullable(obj.getString(key)).orElse("");
    }

    private static BigDecimal parseBigDecimal(String value, String defaultValue) {
        return new BigDecimal(Optional.ofNullable(value).filter(s -> !s.isEmpty()).orElse(defaultValue));
    }

    private static int parseInt(String value, int defaultValue) {
        try {
            return Integer.parseInt(value);
        } catch (NumberFormatException e) {
            return defaultValue;
        }
    }

    /**
     * 计算购买合约的数量
     *
     * USDT 币本位合约
     * 公式：张数 = 保证金 / (面值 * 标记价格 / 杠杆倍数)
     *
     * @param margin 用户的保证金金额
     * @param leverage 杠杆倍数
     * @param faceValue 合约面值
     * @param markPrice 标记价格
     * @param minLotSz 最小下单精度
     * @return 返回用户可以购买的合约数量
     */
    public static BigDecimal buyCnt(BigDecimal margin, BigDecimal leverage, BigDecimal faceValue, BigDecimal markPrice, int minLotSz) {
        if (margin.compareTo(BigDecimal.ZERO) <= 0 ||
            leverage.compareTo(BigDecimal.ZERO) <= 0 ||
            faceValue.compareTo(BigDecimal.ZERO) <= 0 ||
            markPrice.compareTo(BigDecimal.ZERO) <= 0) {
            throw new IllegalArgumentException("所有参数必须大于零");
        }

        BigDecimal divisor = markPrice.divide(leverage, 10, BigDecimal.ROUND_DOWN);
        BigDecimal denominator = faceValue.multiply(divisor);
        return margin.divide(denominator, minLotSz, BigDecimal.ROUND_DOWN);
    }
}