From 9ff43c07c9ce3fe76ba4a21e28885097b2b721e3 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Mon, 05 Jan 2026 14:08:47 +0800
Subject: [PATCH] feat(trading): 优化MACD策略算法适配欧意平台
---
src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java | 302 ++++++--------------------------------------------
1 files changed, 36 insertions(+), 266 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 62cbf7d..b6190a0 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;
@@ -56,7 +57,8 @@
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
@@ -121,7 +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。
@@ -245,6 +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");
@@ -336,17 +343,26 @@
// 创建策略实例
MacdMaStrategy strategy = new MacdMaStrategy();
- // 生成100个15分钟价格数据点
- List<Kline> kline15MinuteData = getKlineDataByInstIdAndBar(instId, "15m");
- List<BigDecimal> historicalPrices = 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());
- log.info("生成100个15分钟价格数据点成功！");
+
+ // 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 tradingOrder = strategy.generateTradingOrder(historicalPrices);
- if (tradingOrder == null){
+ MacdMaStrategy.TradingOrder tradingOrderOpen1M = strategy.generateTradingOrder(historicalPrices1M,historicalPrices1D,MacdMaStrategy.OperationType.open.name());
+ if (tradingOrderOpen1M == null ){
return;
}
+ if (historicalPrices1D == null ){
+ return;
+ }
+
Collection<OkxQuantWebSocketClient> allClients = clientManager.getAllClients();
//如果为空，则直接返回
if (allClients.isEmpty()) {
@@ -356,245 +372,23 @@
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();
- String side = tradingOrder.getSide();
- tradeRequestParam.setPosSide(posSide);
- tradeRequestParam.setSide(side);
- String currentPrice = String.valueOf(closePx);
- tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, currentPrice, posSide);
- String clOrdId = WsParamBuild.getOrderNum(side);
- tradeRequestParam.setClOrdId(clOrdId);
- String sz = null;
- if (posSide == CoinEnums.POSSIDE_LONG.getCode() && side == CoinEnums.SIDE_BUY.getCode()){
- sz = InstrumentsWs.getAccountMap(accountName).get(CoinEnums.BUY_CNT_INIT.name());
- tradeRequestParam.setSz(sz);
- TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParam);
+ if (ObjectUtil.isNotEmpty(tradingOrderOpen1M)){
+ // 根据信号执行交易操作
+ TradeRequestParam tradeRequestParam = new TradeRequestParam();
- BigDecimal pos = PositionsWs.getAccountMap(PositionsWs.initAccountName(accountName, CoinEnums.POSSIDE_SHORT.getCode())).get("pos");
- if (BigDecimal.ZERO.compareTo( pos) >= 0) {
- TradeRequestParam tradeRequestParamOld = caoZuoService.caoZuoZhiSunEvent(accountName, String.valueOf(closePx), CoinEnums.POSSIDE_SHORT.getCode());
- TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParamOld);
- }
- }else if (posSide == CoinEnums.POSSIDE_SHORT.getCode() && side == CoinEnums.SIDE_SELL.getCode()){
- sz = InstrumentsWs.getAccountMap(accountName).get(CoinEnums.BUY_CNT_INIT.name());
- tradeRequestParam.setSz(sz);
- TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParam);
+ String posSide = tradingOrderOpen1M.getPosSide();
+ tradeRequestParam.setPosSide(posSide);
+ String currentPrice = String.valueOf(closePx);
+ tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, currentPrice, posSide);
- BigDecimal pos = PositionsWs.getAccountMap(PositionsWs.initAccountName(accountName, CoinEnums.POSSIDE_LONG.getCode())).get("pos");
- if (BigDecimal.ZERO.compareTo( pos) >= 0) {
- TradeRequestParam tradeRequestParamOld = caoZuoService.caoZuoZhiSunEvent(accountName, String.valueOf(closePx), CoinEnums.POSSIDE_LONG.getCode());
- TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParamOld);
- }
- }
- }
- }
- }
- }
- } catch (Exception e) {
- log.error("处理 K线频道推送数据失败", e);
- }
- }
+ String side = tradingOrderOpen1M.getSide();
+ tradeRequestParam.setSide(side);
- /**
- * 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){
-// 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()) {
- return;
- }
- // 获取所有OkxQuantWebSocketClient实例
- 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;
-
- }
- //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 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);
}
}
@@ -603,26 +397,6 @@
}
} 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);
}
}
@@ -634,8 +408,6 @@
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");
@@ -737,9 +509,7 @@
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) {
--
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