From 5516e36f3ec2fa09803c427051e3887701032843 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Wed, 13 May 2026 16:46:14 +0800
Subject: [PATCH] refactor(okxNewPrice): 账户配置
---
src/main/java/com/xcong/excoin/modules/okxApi/OkxGridTradeService.java | 292 ++++++++++++++++++++++++++++++----------------------------
1 files changed, 151 insertions(+), 141 deletions(-)
diff --git a/src/main/java/com/xcong/excoin/modules/okxApi/OkxGridTradeService.java b/src/main/java/com/xcong/excoin/modules/okxApi/OkxGridTradeService.java
index 75b1296..9655c89 100644
--- a/src/main/java/com/xcong/excoin/modules/okxApi/OkxGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/okxApi/OkxGridTradeService.java
@@ -8,6 +8,7 @@
import java.math.RoundingMode;
import java.util.ArrayList;
import java.util.Collections;
+import java.util.Comparator;
import java.util.List;
@Slf4j
@@ -17,9 +18,7 @@
WAITING_KLINE, OPENING, ACTIVE, STOPPED
}
- private static final String ORDER_TYPE_CLOSE_LONG = "plan-close-long-position";
- private static final String ORDER_TYPE_CLOSE_SHORT = "plan-close-short-position";
-
+ private final String accountName;
private final OkxConfig config;
private final OkxTradeExecutor executor;
@@ -38,6 +37,8 @@
private volatile BigDecimal lastKlinePrice;
private volatile BigDecimal cumulativePnl = BigDecimal.ZERO;
private volatile BigDecimal unrealizedPnl = BigDecimal.ZERO;
+ private volatile BigDecimal longRealizedPnl = BigDecimal.ZERO;
+ private volatile BigDecimal shortRealizedPnl = BigDecimal.ZERO;
private volatile BigDecimal longEntryPrice = BigDecimal.ZERO;
private volatile BigDecimal shortEntryPrice = BigDecimal.ZERO;
private volatile BigDecimal longPositionSize = BigDecimal.ZERO;
@@ -45,6 +46,7 @@
public OkxGridTradeService(OkxConfig config, String accountName) {
this.config = config;
+ this.accountName = accountName;
this.executor = new OkxTradeExecutor(config.getContract(), config.getMarginMode(), accountName);
}
@@ -60,6 +62,8 @@
state = StrategyState.WAITING_KLINE;
cumulativePnl = BigDecimal.ZERO;
unrealizedPnl = BigDecimal.ZERO;
+ longRealizedPnl = BigDecimal.ZERO;
+ shortRealizedPnl = BigDecimal.ZERO;
longEntryPrice = BigDecimal.ZERO;
shortEntryPrice = BigDecimal.ZERO;
longPositionSize = BigDecimal.ZERO;
@@ -70,6 +74,7 @@
shortActive = false;
shortPriceQueue.clear();
longPriceQueue.clear();
+ config.setStep(null);
log.info("[{}] 网格策略已启动", config.getContract());
}
@@ -106,74 +111,44 @@
processLongGrid(closePrice);
}
- public void onPositionUpdate(String posSide, BigDecimal size, BigDecimal entryPrice) {
- if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) {
+ public void onPositionUpdate(String posSide, BigDecimal size, BigDecimal entryPrice, BigDecimal realizedPnl) {
+ if (state == StrategyState.STOPPED) {
return;
}
boolean hasPosition = size.compareTo(BigDecimal.ZERO) > 0;
if (OkxEnums.POSSIDE_LONG.equals(posSide)) {
+ longRealizedPnl = realizedPnl;
if (hasPosition) {
longActive = true;
longEntryPrice = entryPrice;
- if (!baseLongOpened) {
- longPositionSize = size;
- longBaseEntryPrice = entryPrice;
- baseLongOpened = true;
- log.info("[{}] 基底多成交价: {}", config.getContract(), longBaseEntryPrice);
- tryGenerateQueues();
- } else if (size.compareTo(longPositionSize) > 0) {
- longPositionSize = size;
- if (longPriceQueue.isEmpty()) {
- log.warn("[{}] 多仓队列为空，无法设止盈", config.getContract());
- } else {
- BigDecimal tpPrice = longPriceQueue.get(0);
- executor.placeTakeProfit(tpPrice, ORDER_TYPE_CLOSE_LONG, config.getQuantity());
- log.info("[{}] 多单止盈已设, entry:{}, tp:{}, size:{}", config.getContract(), entryPrice, tpPrice, config.getQuantity());
- }
- } else {
- longPositionSize = size;
- }
+ longPositionSize = size;
} else {
longActive = false;
longPositionSize = BigDecimal.ZERO;
+ longRealizedPnl = BigDecimal.ZERO;
}
} else if (OkxEnums.POSSIDE_SHORT.equals(posSide)) {
+ shortRealizedPnl = realizedPnl;
if (hasPosition) {
shortActive = true;
shortEntryPrice = entryPrice;
- if (!baseShortOpened) {
- shortPositionSize = size;
- shortBaseEntryPrice = entryPrice;
- baseShortOpened = true;
- log.info("[{}] 基底空成交价: {}", config.getContract(), shortBaseEntryPrice);
- tryGenerateQueues();
- } else if (size.compareTo(shortPositionSize) > 0) {
- shortPositionSize = size;
- if (shortPriceQueue.isEmpty()) {
- log.warn("[{}] 空仓队列为空，无法设止盈", config.getContract());
- } else {
- BigDecimal tpPrice = shortPriceQueue.get(0);
- executor.placeTakeProfit(tpPrice, ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
- log.info("[{}] 空单止盈已设, entry:{}, tp:{}, size:{}", config.getContract(), entryPrice, tpPrice, config.getQuantity());
- }
- } else {
- shortPositionSize = size;
- }
+ shortPositionSize = size;
} else {
shortActive = false;
shortPositionSize = BigDecimal.ZERO;
+ shortRealizedPnl = BigDecimal.ZERO;
}
}
- }
- public void onOrderFilled(String posSide, BigDecimal fillSz, BigDecimal pnl) {
- if (state == StrategyState.STOPPED) {
+ cumulativePnl = longRealizedPnl.add(shortRealizedPnl);
+ log.info("[{}] 持仓更新, 多已实现盈亏:{}, 空已实现盈亏:{}, 累计:{}",
+ config.getContract(), longRealizedPnl, shortRealizedPnl, cumulativePnl);
+
+ if (state == StrategyState.WAITING_KLINE) {
return;
}
- cumulativePnl = cumulativePnl.add(pnl);
- log.info("[{}] 订单成交盈亏: {}, 方向:{}, 累计:{}", config.getContract(), pnl, posSide, cumulativePnl);
if (cumulativePnl.compareTo(config.getOverallTp()) >= 0) {
log.info("[{}] 已达止盈目标 {}→已停止", config.getContract(), cumulativePnl);
@@ -184,13 +159,58 @@
}
}
+ public void onOrderFilled(String posSide, BigDecimal fillSz, BigDecimal avgPx, BigDecimal pnl) {
+ if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) {
+ return;
+ }
+
+ log.info("[{}] 订单成交, 方向:{}, 数量:{}, 成交价:{}, 盈亏:{}",
+ config.getContract(), posSide, fillSz, avgPx, pnl);
+
+ if (OkxEnums.POSSIDE_LONG.equals(posSide)) {
+ if (!baseLongOpened) {
+ longBaseEntryPrice = avgPx;
+ baseLongOpened = true;
+ log.info("[{}] 基底多成交价: {}", config.getContract(), longBaseEntryPrice);
+ tryGenerateQueues();
+ } else if (fillSz.compareTo(BigDecimal.ZERO) > 0) {
+ if (longPriceQueue.isEmpty()) {
+ log.warn("[{}] 多仓队列为空，无法设止盈", config.getContract());
+ } else {
+ BigDecimal tpPrice = longPriceQueue.get(0);
+ executor.placeTakeProfit(tpPrice, OkxEnums.ORDER_TYPE_CLOSE_LONG, config.getQuantity());
+ log.info("[{}] 多单止盈已设, 成交价:{}, tp:{}, size:{}",
+ config.getContract(), avgPx, tpPrice, config.getQuantity());
+ }
+ }
+ } else if (OkxEnums.POSSIDE_SHORT.equals(posSide)) {
+ if (!baseShortOpened) {
+ shortBaseEntryPrice = avgPx;
+ baseShortOpened = true;
+ log.info("[{}] 基底空成交价: {}", config.getContract(), shortBaseEntryPrice);
+ tryGenerateQueues();
+ } else if (fillSz.compareTo(BigDecimal.ZERO) > 0) {
+ if (shortPriceQueue.isEmpty()) {
+ log.warn("[{}] 空仓队列为空，无法设止盈", config.getContract());
+ } else {
+ BigDecimal tpPrice = shortPriceQueue.get(0);
+ executor.placeTakeProfit(tpPrice, OkxEnums.ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
+ log.info("[{}] 空单止盈已设, 成交价:{}, tp:{}, size:{}",
+ config.getContract(), avgPx, tpPrice, config.getQuantity());
+ }
+ }
+ }
+ }
+
private void tryGenerateQueues() {
if (baseLongOpened && baseShortOpened) {
+ BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
+ config.setStep(step);
generateShortQueue();
generateLongQueue();
state = StrategyState.ACTIVE;
- log.info("[{}] 网格队列已生成, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, 已激活",
- config.getContract(),
+ log.info("[{}] 网格队列已生成, 步长:{}, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, 已激活",
+ config.getContract(), step,
shortPriceQueue.isEmpty() ? "N/A" : shortPriceQueue.get(0),
shortPriceQueue.isEmpty() ? "N/A" : shortPriceQueue.get(shortPriceQueue.size() - 1),
longPriceQueue.isEmpty() ? "N/A" : longPriceQueue.get(0),
@@ -200,22 +220,26 @@
private void generateShortQueue() {
shortPriceQueue.clear();
- BigDecimal step = config.getGridRate();
- for (int i = 1; i <= config.getGridQueueSize(); i++) {
- shortPriceQueue.add(shortBaseEntryPrice.multiply(BigDecimal.ONE.subtract(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP));
+ BigDecimal step = config.getStep();
+ BigDecimal prev = shortBaseEntryPrice;
+ for (int i = 0; i < config.getGridQueueSize(); i++) {
+ prev = prev.subtract(step).setScale(1, RoundingMode.HALF_UP);
+ shortPriceQueue.add(prev);
}
shortPriceQueue.sort((a, b) -> b.compareTo(a));
- log.info("[{}] 空队列:{}", config.getContract(), shortPriceQueue);
+ log.info("[{}] 空队列:{} 步长:{}", config.getContract(), shortPriceQueue, step);
}
private void generateLongQueue() {
longPriceQueue.clear();
- BigDecimal step = config.getGridRate();
- for (int i = 1; i <= config.getGridQueueSize(); i++) {
- longPriceQueue.add(longBaseEntryPrice.multiply(BigDecimal.ONE.add(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP));
+ BigDecimal step = config.getStep();
+ BigDecimal prev = longBaseEntryPrice;
+ for (int i = 0; i < config.getGridQueueSize(); i++) {
+ prev = prev.add(step).setScale(1, RoundingMode.HALF_UP);
+ longPriceQueue.add(prev);
}
- longPriceQueue.sort(BigDecimal::compareTo);
- log.info("[{}] 多队列:{}", config.getContract(), longPriceQueue);
+ Collections.sort(longPriceQueue);
+ log.info("[{}] 多队列:{} 步长:{}", config.getContract(), longPriceQueue, step);
}
/**
@@ -228,8 +252,8 @@
* <h3>执行流程</h3>
* <ol>
* <li>匹配队列元素 → 为空则直接返回</li>
- * <li>空仓队列：移除 matched 元素，尾部补充新元素（尾价 × (1 − gridRate) 循环递减）</li>
- * <li>多仓队列：以多仓队列首元素（最小价）为种子，生成 matched.size() 个递减元素加入</li>
+ * <li>空仓队列：移除 matched 元素，尾部以固定步长(shortBasePrice × gridRate)递减补充新元素</li>
+ * <li>多仓队列：以多仓队列首元素（最小价）为种子，以多仓固定步长递减加入新元素</li>
* <li>保证金检查 → 安全则开空一次</li>
* <li>额外反向开多：若多仓均价 > 空仓均价 且 当前价夹在中间且远离多仓均价</li>
* </ol>
@@ -255,48 +279,21 @@
}
log.info("[{}] 空仓队列触发, 匹配{}个元素, 当前价:{}", config.getContract(), matched.size(), currentPrice);
- synchronized (shortPriceQueue) {
- shortPriceQueue.removeAll(matched);
- BigDecimal min = shortPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : shortPriceQueue.get(shortPriceQueue.size() - 1);
- BigDecimal step = config.getGridRate();
- for (int i = 0; i < matched.size(); i++) {
- min = min.multiply(BigDecimal.ONE.subtract(step)).setScale(1, RoundingMode.HALF_UP);
- shortPriceQueue.add(min);
- log.info("[{}] 空队列增加:{}", config.getContract(), min);
- }
- shortPriceQueue.sort((a, b) -> b.compareTo(a));
- log.info("[{}] 现空队列:{}", config.getContract(), shortPriceQueue);
- }
+ BigDecimal step = config.getStep();
+ replenishOwnQueue(shortPriceQueue, matched, step, true, "空");
- synchronized (longPriceQueue) {
- BigDecimal first = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(0);
- BigDecimal step = config.getGridRate();
- for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.multiply(BigDecimal.ONE.subtract(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP);
- if (longEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && currentPrice.subtract(longEntryPrice).abs().compareTo(longEntryPrice.multiply(step)) < 0) {
- log.info("[{}] 多队列跳过(price≈longEntry):{}", config.getContract(), elem);
- continue;
- }
- longPriceQueue.add(elem);
- log.info("[{}] 多队列增加:{}", config.getContract(), elem);
- }
- longPriceQueue.sort(BigDecimal::compareTo);
- while (longPriceQueue.size() > config.getGridQueueSize()) {
- longPriceQueue.remove(longPriceQueue.size() - 1);
- }
- log.info("[{}] 现多队列:{}", config.getContract(), longPriceQueue);
- }
+ transferBetweenQueues(longPriceQueue, matched, matched.get(matched.size() - 1),
+ step, false, longEntryPrice, BigDecimal::compareTo, "多", currentPrice);
if (!isMarginSafe()) {
log.warn("[{}] 保证金超限，跳过空单开仓", config.getContract());
} else {
- executor.openShort(config.getQuantity(), null, null);
- if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && longEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && longEntryPrice.compareTo(shortEntryPrice) > 0
- && currentPrice.compareTo(shortEntryPrice) > 0
- && currentPrice.compareTo(longEntryPrice.multiply(BigDecimal.ONE.subtract(config.getGridRate()))) < 0) {
+ if (shortPositionSize.compareTo(config.getMaxPosSize()) < 0){
+ executor.openShort(config.getQuantity(), null, null);
+ }
+ if (currentPrice.compareTo(shortEntryPrice) > 0
+ && currentPrice.compareTo(longEntryPrice) < 0
+ && shortPositionSize.compareTo(config.getMaxPosSize()) < 0) {
executor.openLong(config.getQuantity(), null, null);
log.info("[{}] 触发价在多/空持仓价之间且多>空且远离多仓均价, 额外开多一次, 当前价:{}", config.getContract(), currentPrice);
}
@@ -313,8 +310,8 @@
* <h3>执行流程</h3>
* <ol>
* <li>匹配队列元素 → 为空则直接返回</li>
- * <li>多仓队列：移除 matched 元素，尾部补充新元素（尾价 × (1 + gridRate) 循环递增）</li>
- * <li>空仓队列：以空仓队列首元素（最高价）为种子，生成 matched.size() 个递增元素加入</li>
+ * <li>多仓队列：移除 matched 元素，尾部以固定步长(longBasePrice × gridRate)递增补充新元素</li>
+ * <li>空仓队列：以空仓队列首元素（最高价）为种子，以空仓固定步长递增加入新元素</li>
* <li>保证金检查 → 安全则开多一次</li>
* <li>额外反向开空：若多仓均价 > 空仓均价 且 当前价夹在中间且远离空仓均价</li>
* </ol>
@@ -340,62 +337,75 @@
}
log.info("[{}] 多仓队列触发, 匹配{}个元素, 当前价:{}", config.getContract(), matched.size(), currentPrice);
- synchronized (longPriceQueue) {
- longPriceQueue.removeAll(matched);
- BigDecimal max = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(longPriceQueue.size() - 1);
- BigDecimal step = config.getGridRate();
- for (int i = 0; i < matched.size(); i++) {
- max = max.multiply(BigDecimal.ONE.add(step)).setScale(1, RoundingMode.HALF_UP);
- longPriceQueue.add(max);
- log.info("[{}] 多队列增加:{}", config.getContract(), max);
- }
- longPriceQueue.sort(BigDecimal::compareTo);
- log.info("[{}] 现多队列:{}", config.getContract(), longPriceQueue);
- }
+ BigDecimal step = config.getStep();
+ replenishOwnQueue(longPriceQueue, matched, step, false, "多");
- synchronized (shortPriceQueue) {
- BigDecimal first = shortPriceQueue.isEmpty() ? matched.get(0) : shortPriceQueue.get(0);
- BigDecimal step = config.getGridRate();
- for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.multiply(BigDecimal.ONE.add(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP);
- if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && currentPrice.subtract(shortEntryPrice).abs().compareTo(shortEntryPrice.multiply(step)) < 0) {
- log.info("[{}] 空队列跳过(price≈shortEntry):{}", config.getContract(), elem);
- continue;
- }
- shortPriceQueue.add(elem);
- log.info("[{}] 空队列增加:{}", config.getContract(), elem);
- }
- shortPriceQueue.sort((a, b) -> b.compareTo(a));
- while (shortPriceQueue.size() > config.getGridQueueSize()) {
- shortPriceQueue.remove(shortPriceQueue.size() - 1);
- }
- log.info("[{}] 现空队列:{}", config.getContract(), shortPriceQueue);
- }
+ transferBetweenQueues(shortPriceQueue, matched, matched.get(0),
+ step, true, shortEntryPrice, (a, b) -> b.compareTo(a), "空", currentPrice);
if (!isMarginSafe()) {
log.warn("[{}] 保证金超限，跳过多单开仓", config.getContract());
} else {
- executor.openLong(config.getQuantity(), null, null);
+ if (longPositionSize.compareTo(config.getMaxPosSize()) < 0) {
+ executor.openLong(config.getQuantity(), null, null);
+ }
if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
&& longEntryPrice.compareTo(BigDecimal.ZERO) > 0
&& longEntryPrice.compareTo(shortEntryPrice) > 0
- && currentPrice.compareTo(shortEntryPrice.multiply(BigDecimal.ONE.add(config.getGridRate()))) > 0
- && currentPrice.compareTo(longEntryPrice) < 0) {
+ && currentPrice.compareTo(shortEntryPrice.add(step)) > 0
+ && currentPrice.compareTo(longEntryPrice) < 0
+ && shortPositionSize.compareTo(config.getMaxPosSize()) < 0) {
executor.openShort(config.getQuantity(), null, null);
log.info("[{}] 触发价在多/空持仓价之间且多>空且远离空仓均价, 额外开空一次, 当前价:{}", config.getContract(), currentPrice);
}
}
}
- /**
- * 保证金安全阀检查。
- *
- * <p>当前版本通过 wsHandler 推送的账户/持仓数据间接判断保证金状态。
- * 后续可通过 OKX REST API 实时查询保证金占用比例，超 marginRatioLimit 时拒绝开仓。
- *
- * @return true=安全可开仓 / false=保证金超限跳过开仓
- */
+ private void replenishOwnQueue(List<BigDecimal> queue, List<BigDecimal> matched, BigDecimal fixedStep,
+ boolean isShort, String label) {
+ synchronized (queue) {
+ queue.removeAll(matched);
+ BigDecimal tail = queue.isEmpty() ? matched.get(matched.size() - 1) : queue.get(queue.size() - 1);
+ Comparator<BigDecimal> comparator = isShort ? (a, b) -> b.compareTo(a) : BigDecimal::compareTo;
+ for (int i = 0; i < matched.size(); i++) {
+ tail = isShort
+ ? tail.subtract(fixedStep).setScale(1, RoundingMode.HALF_UP)
+ : tail.add(fixedStep).setScale(1, RoundingMode.HALF_UP);
+ queue.add(tail);
+ log.info("[{}] {}队列增加:{}", config.getContract(), label, tail);
+ }
+ queue.sort(comparator);
+ log.info("[{}] 现{}队列:{}", config.getContract(), label, queue);
+ }
+ }
+
+ private void transferBetweenQueues(List<BigDecimal> targetQueue, List<BigDecimal> matched,
+ BigDecimal firstFallback, BigDecimal fixedStep, boolean isShort,
+ BigDecimal filterEntryPrice, Comparator<BigDecimal> comparator,
+ String label, BigDecimal currentPrice) {
+ synchronized (targetQueue) {
+ BigDecimal first = targetQueue.isEmpty() ? firstFallback : targetQueue.get(0);
+ for (int i = 1; i <= matched.size(); i++) {
+ BigDecimal offset = fixedStep.multiply(BigDecimal.valueOf(i));
+ BigDecimal elem = isShort
+ ? first.add(offset).setScale(1, RoundingMode.HALF_UP)
+ : first.subtract(offset).setScale(1, RoundingMode.HALF_UP);
+ if (filterEntryPrice.compareTo(BigDecimal.ZERO) > 0
+ && currentPrice.subtract(filterEntryPrice).abs().compareTo(filterEntryPrice.multiply(config.getGridRate())) < 0) {
+ log.info("[{}] {}队列跳过(price≈entry):{}", config.getContract(), label, elem);
+ continue;
+ }
+ targetQueue.add(elem);
+ log.info("[{}] {}队列增加:{}", config.getContract(), label, elem);
+ }
+ targetQueue.sort(comparator);
+ while (targetQueue.size() > config.getGridQueueSize()) {
+ targetQueue.remove(targetQueue.size() - 1);
+ }
+ log.info("[{}] 现{}队列:{}", config.getContract(), label, targetQueue);
+ }
+ }
+
private boolean isMarginSafe() {
return true;
}
@@ -423,5 +433,5 @@
public BigDecimal getCumulativePnl() { return cumulativePnl; }
public BigDecimal getUnrealizedPnl() { return unrealizedPnl; }
public StrategyState getState() { return state; }
- public String getAccountName() { return config.getContract(); }
+ public String getAccountName() { return accountName; }
}
--
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