From 24bd0399d73a2d48e50233326fca7d9526f06259 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Mon, 29 Dec 2025 14:15:59 +0800
Subject: [PATCH] refactor(trading): 重构MACD策略交易信号生成逻辑
---
/dev/null | 217 -------------------------------
src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java | 59 ++++----
src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategy.java | 94 +++++++-----
src/main/java/com/xcong/excoin/modules/okxNewPrice/okxWs/TradeOrderWs.java | 25 ++-
4 files changed, 100 insertions(+), 295 deletions(-)
diff --git a/src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java b/src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java
index 341c619..439290d 100644
--- a/src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java
+++ b/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;
@@ -344,8 +345,9 @@
.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 tradingOrderOpen = strategy.generateTradingOrder(historicalPrices,MacdMaStrategy.OperationType.open.name());
+ MacdMaStrategy.TradingOrder tradingOrderClose = strategy.generateTradingOrder(historicalPrices,MacdMaStrategy.OperationType.close.name());
+ if (tradingOrderOpen == null && tradingOrderClose == null){
return;
}
Collection<OkxQuantWebSocketClient> allClients = clientManager.getAllClients();
@@ -357,38 +359,37 @@
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();
+ if (ObjectUtil.isNotEmpty(tradingOrderOpen)){
+ // 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 posSide = tradingOrderOpen.getPosSide();
+ tradeRequestParam.setPosSide(posSide);
+ String currentPrice = String.valueOf(closePx);
+ tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, currentPrice, posSide);
- String side = tradingOrder.getSide();
- tradeRequestParam.setSide(side);
+ String side = tradingOrderOpen.getSide();
+ tradeRequestParam.setSide(side);
- String clOrdId = WsParamBuild.getOrderNum(side);
- tradeRequestParam.setClOrdId(clOrdId);
+ 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);
+ String sz = InstrumentsWs.getAccountMap(accountName).get(CoinEnums.BUY_CNT_INIT.name());
+ tradeRequestParam.setSz(sz);
+ TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParam);
}
- tradeRequestParam.setSz(sz);
- TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParam);
+ if (ObjectUtil.isNotEmpty(tradingOrderClose)){
+ // 根据信号执行交易操作
+ TradeRequestParam tradeRequestParam = new TradeRequestParam();
+
+ String posSide = tradingOrderClose.getPosSide();
+ tradeRequestParam.setPosSide(posSide);
+ String currentPrice = String.valueOf(closePx);
+ tradeRequestParam = caoZuoService.caoZuoZhiSunEvent(accountName, currentPrice, posSide);
+
+ TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParam);
+ }
+
}
}
}
diff --git a/src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategy.java b/src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategy.java
index 078c0ad..2490c43 100644
--- a/src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategy.java
+++ b/src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategy.java
@@ -22,6 +22,13 @@
public class MacdMaStrategy {
/** 持仓状态枚举 */
+ public enum OperationType {
+ /** 开仓平仓 */
+ open,
+ close
+ }
+
+ /** 持仓状态枚举 */
public enum PositionType {
/** 多头持仓 */
LONG_BUY,
@@ -40,10 +47,6 @@
private int volatilityPeriod; // 波动率计算周期
private BigDecimal stopLossRatio; // 止损比例
private BigDecimal takeProfitRatio; // 止盈比例
-
- // 持仓信息
- private BigDecimal entryPrice; // 开仓价格
- private long entryTime; // 开仓时间戳
/**
* 默认构造函数，使用标准MACD参数
@@ -73,9 +76,6 @@
this.stopLossRatio = stopLossRatio;
this.takeProfitRatio = takeProfitRatio;
- // 初始化持仓状态为空仓
- this.entryPrice = BigDecimal.ZERO;
- this.entryTime = 0;
}
/**
@@ -84,7 +84,7 @@
* @param closePrices 收盘价序列
* @return 生成的交易信号（LONG、SHORT或NONE）
*/
- public PositionType analyze(List<BigDecimal> closePrices) {
+ public PositionType analyzeOpen(List<BigDecimal> closePrices) {
// 数据检查：确保有足够的数据点进行计算
if (closePrices == null || closePrices.size() < 34) {
return PositionType.NONE; // 数据不足，无法生成信号
@@ -109,24 +109,49 @@
// 多头开仓条件检查
if (isLongEntryCondition(macdResult, closePrices, volatility.getValue())) {
// 执行开多
- this.entryPrice = latestPrice;
- this.entryTime = System.currentTimeMillis();
+ log.info( "多头开仓信号，价格：{}", latestPrice);
return PositionType.LONG_BUY;
}
// 空头开仓条件检查
if (isShortEntryCondition(macdResult, closePrices, volatility.getValue())) {
// 执行开空
- this.entryPrice = latestPrice;
- this.entryTime = System.currentTimeMillis();
+ log.info( "空头开仓信号，价格：{}", latestPrice);
return PositionType.SHORT_SELL;
}
- if (isLongExitCondition(macdResult, latestPrice)) {
- // 执行平多
- return PositionType.LONG_SELL;
+ // 无信号
+ return PositionType.NONE;
+
+ }
+
+ /**
+ * 分析最新价格数据并生成交易信号
+ *
+ * @param closePrices 收盘价序列
+ * @return 生成的交易信号（LONG、SHORT或NONE）
+ */
+ public PositionType analyzeClose(List<BigDecimal> closePrices) {
+ // 数据检查：确保有足够的数据点进行计算
+ if (closePrices == null || closePrices.size() < 34) {
+ return PositionType.NONE; // 数据不足，无法生成信号
}
- if (isShortExitCondition(macdResult, latestPrice)) {
- return PositionType.SHORT_BUY;
+
+ // 1. 计算MACD指标
+ MACDResult macdResult = MACDCalculator.calculateMACD(
+ closePrices, shortPeriod, longPeriod, signalPeriod);
+
+ // 最新收盘价
+ BigDecimal latestPrice = closePrices.get(closePrices.size() - 1);
+
+ if (isLongExitCondition(macdResult, latestPrice)) {
+ // 执行平多
+ log.info( "多头平仓信号，价格：{}", latestPrice);
+ return PositionType.LONG_SELL;
+ }
+ if (isShortExitCondition(macdResult, latestPrice)) {
+ // 执行平空
+ log.info( "空头平仓信号，价格：{}", latestPrice);
+ return PositionType.SHORT_BUY;
}
// 无信号
@@ -166,9 +191,18 @@
* @param historicalPrices 历史价格序列
* @return 交易指令（包含side和posSide），如果没有交易信号则返回null
*/
- public TradingOrder generateTradingOrder(List<BigDecimal> historicalPrices) {
- PositionType signal = analyze(historicalPrices);
+ public TradingOrder generateTradingOrder(List<BigDecimal> historicalPrices,String operation) {
+ PositionType signal = null;
+ if ( operation == OperationType.open.name()){
+
+ signal = analyzeOpen(historicalPrices);
+
+ }else if ( operation == OperationType.close.name()){
+
+ analyzeClose(historicalPrices);
+
+ }
// 根据信号和当前持仓状态生成交易指令
if (signal == PositionType.LONG_BUY) {
// 开多：买入开多（side 填写 buy； posSide 填写 long ）
@@ -319,7 +353,7 @@
previous.getMacdHist().abs().compareTo(latest.getMacdHist().abs()) < 0;
// 金叉或柱状线扩张任一满足即可
- return isGoldenCross || isExpanding;
+ return isGoldenCross && isExpanding;
}
/**
@@ -373,7 +407,7 @@
previous.getMacdHist().abs().compareTo(latest.getMacdHist().abs()) > 0;
// 死叉或柱状线收缩任一满足即可
- return isDeathCross || isContracting;
+ return isDeathCross && isContracting;
}
/**
@@ -439,22 +473,4 @@
volatility.compareTo(maxVolatility) <= 0;
}
-
- /**
- * 获取开仓价格
- *
- * @return 开仓价格
- */
- public BigDecimal getEntryPrice() {
- return entryPrice;
- }
-
- /**
- * 获取开仓时间戳
- *
- * @return 开仓时间戳
- */
- public long getEntryTime() {
- return entryTime;
- }
}
\ No newline at end of file
diff --git a/src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategyTest.java b/src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategyTest.java
deleted file mode 100644
index a085307..0000000
--- a/src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategyTest.java
+++ /dev/null
@@ -1,217 +0,0 @@
-/**
- * MACD和MA组合交易策略测试类
- * 用于验证策略在不同市场条件下的表现
- */
-package com.xcong.excoin.modules.okxNewPrice.indicator.macdAndMatrategy;
-
-import java.math.BigDecimal;
-import java.util.ArrayList;
-import java.util.List;
-
-/**
- * 策略测试类，提供多种测试场景验证策略功能
- */
-public class MacdMaStrategyTest {
-
- public static void main(String[] args) {
- // 测试场景1：简单上涨趋势
- testSimpleUptrend();
-
- // 测试场景2：简单下跌趋势
- testSimpleDowntrend();
-
- // 测试场景3：震荡市场
- testSidewaysMarket();
-
- // 测试场景4：波动率过滤
- testVolatilityFilter();
- }
-
- /**
- * 测试简单上涨趋势场景
- */
- private static void testSimpleUptrend() {
- System.out.println("\n===== 测试场景1：简单上涨趋势 =====");
-
- MacdMaStrategy strategy = new MacdMaStrategy();
- List<BigDecimal> prices = new ArrayList<>();
-
- // 生成初始价格数据
- for (int i = 0; i < 50; i++) {
- prices.add(new BigDecimal("100.00").add(new BigDecimal(i)));
- }
-
- // 模拟上涨趋势
-// for (int i = 0; i < 50; i++) {
-// BigDecimal newPrice = new BigDecimal("125.00").subtract(new BigDecimal(i));
-// prices.add(newPrice);
-//
-// MacdMaStrategy.TradingOrder order = strategy.generateTradingOrder(prices);
-//
-// System.out.printf("价格: %.2f, 交易指令: %s\n",
-// newPrice.doubleValue(),
-// order != null ? order.toString() : "无交易指令");
-// }
-
- // 模拟上涨趋势
- for (int i = 0; i < 50; i++) {
- BigDecimal newPrice = new BigDecimal("125.00").add(new BigDecimal(i));
- prices.add(newPrice);
-
- MacdMaStrategy.TradingOrder order = strategy.generateTradingOrder(prices);
-
- System.out.printf("价格: %.2f, 交易指令: %s\n",
- newPrice.doubleValue(),
- order != null ? order.toString() : "无交易指令");
- }
-
- // 模拟上涨趋势
- for (int i = 0; i < 50; i++) {
- BigDecimal newPrice = new BigDecimal("175.00").subtract(new BigDecimal(i));
- prices.add(newPrice);
-
- MacdMaStrategy.TradingOrder order = strategy.generateTradingOrder(prices);
-
- System.out.printf("价格: %.2f, 交易指令: %s\n",
- newPrice.doubleValue(),
- order != null ? order.toString() : "无交易指令");
- }
- }
-
- /**
- * 测试简单下跌趋势场景
- */
- private static void testSimpleDowntrend() {
- System.out.println("\n===== 测试场景2：简单下跌趋势 =====");
-
- MacdMaStrategy strategy = new MacdMaStrategy();
- List<BigDecimal> prices = new ArrayList<>();
-
- // 生成初始价格数据
- for (int i = 0; i < 50; i++) {
- prices.add(new BigDecimal("150.00").subtract(new BigDecimal(i)));
- }
-
- // 模拟下跌趋势
- for (int i = 0; i < 30; i++) {
- BigDecimal newPrice = new BigDecimal("125.00").subtract(new BigDecimal(i ));
- prices.add(newPrice);
-
- MacdMaStrategy.TradingOrder order = strategy.generateTradingOrder(prices);
-
- System.out.printf("价格: %.2f, 交易指令: %s\n",
- newPrice.doubleValue(),
- order != null ? order.toString() : "无交易指令");
- }
- }
-
- /**
- * 测试震荡市场场景
- */
- private static void testSidewaysMarket() {
- System.out.println("\n===== 测试场景3：震荡市场 =====");
-
- MacdMaStrategy strategy = new MacdMaStrategy();
- List<BigDecimal> prices = new ArrayList<>();
-
- // 生成初始价格数据
- for (int i = 0; i < 50; i++) {
- prices.add(new BigDecimal("120.00"));
- }
-
- // 模拟震荡市场
- for (int i = 0; i < 30; i++) {
- // 生成上下波动的价格
- double price = 120.0 + Math.sin(i * 0.5) * 5.0;
- BigDecimal newPrice = new BigDecimal(price).setScale(2, BigDecimal.ROUND_HALF_UP);
- prices.add(newPrice);
-
- MacdMaStrategy.TradingOrder order = strategy.generateTradingOrder(prices);
-
- System.out.printf("价格: %.2f, 交易指令: %s\n",
- newPrice.doubleValue(),
- order != null ? order.toString() : "无交易指令");
- }
- }
-
- /**
- * 测试波动率过滤功能
- */
- private static void testVolatilityFilter() {
- System.out.println("\n===== 测试场景4：波动率过滤 =====");
-
- MacdMaStrategy strategy = new MacdMaStrategy();
- List<BigDecimal> prices = new ArrayList<>();
-
- // 生成初始价格数据
- for (int i = 0; i < 50; i++) {
- prices.add(new BigDecimal("100.00"));
- }
-
- // 模拟低波动率市场
- System.out.println("\n--- 低波动率市场测试 ---");
- for (int i = 0; i < 10; i++) {
- BigDecimal newPrice = new BigDecimal("100.00").add(new BigDecimal(i * 0.1));
- prices.add(newPrice);
-
- MacdMaStrategy.TradingOrder order = strategy.generateTradingOrder(prices);
-
- System.out.printf("价格: %.2f, 交易指令: %s\n",
- newPrice.doubleValue(),
- order != null ? order.toString() : "无交易指令");
- }
-
- // 模拟高波动率市场
- System.out.println("\n--- 高波动率市场测试 ---");
- for (int i = 0; i < 10; i++) {
- double price = 100.0 + Math.random() * 10.0;
- BigDecimal newPrice = new BigDecimal(price).setScale(2, BigDecimal.ROUND_HALF_UP);
- prices.add(newPrice);
-
- MacdMaStrategy.TradingOrder order = strategy.generateTradingOrder(prices);
-
- System.out.printf("价格: %.2f, 交易指令: %s\n",
- newPrice.doubleValue(),
- order != null ? order.toString() : "无交易指令");
- }
- }
-
- /**
- * 测试止损和止盈功能
- */
- private static void testStopLossAndTakeProfit() {
- System.out.println("\n===== 测试场景5：止损和止盈 =====");
-
- // 创建策略实例，设置1%止损和2%止盈
- MacdMaStrategy strategy = new MacdMaStrategy(12, 26, 9, 20,
- new BigDecimal("0.01"), new BigDecimal("0.02"));
-
- List<BigDecimal> prices = new ArrayList<>();
-
- // 生成初始价格数据
- for (int i = 0; i < 50; i++) {
- prices.add(new BigDecimal("100.00").add(new BigDecimal(i * 0.5)));
- }
-
- // 开多仓
- strategy.generateTradingOrder(prices);
- System.out.printf("开仓价格: %.2f, 止损价格: %.2f, 止盈价格: %.2f\n",
- strategy.getEntryPrice().doubleValue(),
- strategy.getEntryPrice().multiply(new BigDecimal("0.99")).doubleValue(),
- strategy.getEntryPrice().multiply(new BigDecimal("1.02")).doubleValue());
-
- // 测试止损触发
- System.out.println("\n--- 测试止损触发 ---");
- for (int i = 0; i < 5; i++) {
- BigDecimal newPrice = strategy.getEntryPrice().subtract(new BigDecimal(i * 0.5));
- prices.add(newPrice);
-
- MacdMaStrategy.TradingOrder order = strategy.generateTradingOrder(prices);
-
- System.out.printf("价格: %.2f, 交易指令: %s\n",
- newPrice.doubleValue(),
- order != null ? order.toString() : "无交易指令");
-
- }
- }
-}
\ No newline at end of file
diff --git a/src/main/java/com/xcong/excoin/modules/okxNewPrice/okxWs/TradeOrderWs.java b/src/main/java/com/xcong/excoin/modules/okxNewPrice/okxWs/TradeOrderWs.java
index 6c3ad94..3ece3b7 100644
--- a/src/main/java/com/xcong/excoin/modules/okxNewPrice/okxWs/TradeOrderWs.java
+++ b/src/main/java/com/xcong/excoin/modules/okxNewPrice/okxWs/TradeOrderWs.java
@@ -86,18 +86,23 @@
* 平多：卖出平多（side 填写 sell；posSide 填写 long ）
* 平空：买入平空（side 填写 buy； posSide 填写 short ） 需要检验仓位通道是否准备就绪
*/
+ //买入开多、卖出开空则验证仓位通道是否准备就绪
String positionAccountName = PositionsWs.initAccountName(accountName, posSide);
- BigDecimal positionsReadyState = PositionsWs.getAccountMap(positionAccountName).get(CoinEnums.READY_STATE.name()) == null
- ? BigDecimal.ZERO : PositionsWs.getAccountMap(positionAccountName).get(CoinEnums.READY_STATE.name());
- if (WsMapBuild.parseBigDecimalSafe(CoinEnums.READY_STATE_YES.getCode()).compareTo(positionsReadyState) != 0) {
- log.info("仓位{}通道未就绪，取消发送",positionAccountName);
- return;
- }
- String accountReadyState = AccountWs.getAccountMap(accountName).get(CoinEnums.READY_STATE.name());
- if (!CoinEnums.READY_STATE_YES.getCode().equals(accountReadyState)) {
- log.info("账户通道未就绪，取消发送");
- return;
+ boolean b = posSide.equals(CoinEnums.POSSIDE_LONG.getCode()) && side.equals(CoinEnums.SIDE_BUY.getCode());
+ boolean c = posSide.equals(CoinEnums.POSSIDE_SHORT.getCode()) && side.equals(CoinEnums.SIDE_SELL.getCode());
+ if ( b || c ){
+ BigDecimal positionsReadyState = PositionsWs.getAccountMap(positionAccountName).get(CoinEnums.READY_STATE.name()) == null
+ ? BigDecimal.ZERO : PositionsWs.getAccountMap(positionAccountName).get(CoinEnums.READY_STATE.name());
+ if (WsMapBuild.parseBigDecimalSafe(CoinEnums.READY_STATE_YES.getCode()).compareTo(positionsReadyState) != 0) {
+ log.info("仓位{}通道未就绪，取消发送",positionAccountName);
+ return;
+ }
+ String accountReadyState = AccountWs.getAccountMap(accountName).get(CoinEnums.READY_STATE.name());
+ if (!CoinEnums.READY_STATE_YES.getCode().equals(accountReadyState)) {
+ log.info("账户通道未就绪，取消发送");
+ return;
+ }
}
try {
--
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