From fe4d5467b8431ef1461bc93e4eba4f9153125da9 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Tue, 06 Jan 2026 17:24:42 +0800
Subject: [PATCH] refactor(okxWs): 优化下单参数构建逻辑
---
src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java | 331 ++++++++----------------------------------------------
1 files changed, 53 insertions(+), 278 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 6ad0cb8..cf5c9fd 100644
--- a/src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java
+++ b/src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java
@@ -1,12 +1,16 @@
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;
@@ -18,6 +22,7 @@
import com.xcong.excoin.modules.okxNewPrice.okxpi.config.ExchangeInfoEnum;
import com.xcong.excoin.modules.okxNewPrice.okxpi.config.ExchangeLoginService;
import com.xcong.excoin.modules.okxNewPrice.utils.SSLConfig;
+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;
@@ -56,8 +61,8 @@
private final AtomicBoolean isConnecting = new AtomicBoolean(false);
private final AtomicBoolean isInitialized = new AtomicBoolean(false);
+// private static final String CHANNEL = "mark-price";
private static final String CHANNEL = "candle1m";
-// private static final String CHANNEL = "candle5m";
// private static final String CHANNEL = "candle15m";
// 心跳超时时间(秒)，小于30秒
@@ -122,7 +127,7 @@
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 +251,11 @@
*/
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");
@@ -326,6 +336,8 @@
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
@@ -335,19 +347,20 @@
if ("1".equals(confirm)){
//调用策略
// 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");
- 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！");
+
// 使用策略分析最新价格数据
- MacdMaStrategy.TradingOrder tradingOrder = strategy.generateTradingOrder(historicalPrices);
- if (tradingOrder == null){
+ MacdEmaStrategy.TradingOrder tradingOrderOpenOpen = strategy.generateTradingOrder(historicalPrices1M, MacdMaStrategy.OperationType.open.name());
+ if (tradingOrderOpenOpen == null){
return;
}
+
Collection<OkxQuantWebSocketClient> allClients = clientManager.getAllClients();
//如果为空，则直接返回
if (allClients.isEmpty()) {
@@ -357,246 +370,9 @@
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();
- tradeRequestParam.setPosSide(posSide);
- String currentPrice = String.valueOf(closePx);
- tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, currentPrice, posSide);
-
- String side = tradingOrder.getSide();
- tradeRequestParam.setSide(side);
-
- 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);
- }
- tradeRequestParam.setSz(sz);
- TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParam);
- }
- }
- }
- }
- } catch (Exception e) {
- log.error("处理 K线频道推送数据失败", e);
- }
- }
-
- /**
- * 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());
- 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);
+ if (ObjectUtil.isNotEmpty(tradingOrderOpenOpen)){
+ log.info("{}开仓{}:{}",instId,tradingOrderOpenOpen.getPosSide(),tradingOrderOpenOpen.getSide());
+ doOpen(client.getWebSocketClient(),accountName, tradingOrderOpenOpen, closePx);
}
}
}
@@ -607,24 +383,24 @@
}
}
+ private void doOpen(WebSocketClient webSocketClient, String accountName, MacdEmaStrategy.TradingOrder tradingOrderOpenOpen, BigDecimal closePx) {
+ // 根据信号执行交易操作
+ TradeRequestParam tradeRequestParam = new TradeRequestParam();
+ String posSide = tradingOrderOpenOpen.getPosSide();
+ tradeRequestParam.setPosSide(posSide);
+ String currentPrice = String.valueOf(closePx);
+ tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, currentPrice, posSide);
- /**
- * 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;
- }
+ String side = tradingOrderOpenOpen.getSide();
+ tradeRequestParam.setSide(side);
- } catch (Exception e) {
- log.error("触发量化操作失败", e);
- }
+ String clOrdId = WsParamBuild.getOrderNum(side);
+ tradeRequestParam.setClOrdId(clOrdId);
+
+ String sz = InstrumentsWs.getAccountMap(accountName).get(CoinEnums.BUY_CNT_INIT.name());
+ tradeRequestParam.setSz(sz);
+ TradeOrderWs.orderEvent(webSocketClient, tradeRequestParam);
}
private List<Kline> getKlineDataByInstIdAndBar(String instId, String bar) {
@@ -635,8 +411,6 @@
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");
@@ -646,16 +420,19 @@
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 {
- 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);
+ 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);
}
@@ -738,9 +515,7 @@
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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