package com.xcong.excoin.modules.okxApi; import com.xcong.excoin.modules.okxApi.enums.OkxEnums; import lombok.extern.slf4j.Slf4j; import org.java_websocket.client.WebSocketClient; import java.math.BigDecimal; import java.math.RoundingMode; import java.util.ArrayList; import java.util.Collections; import java.util.Comparator; import java.util.List; @Slf4j public class OkxGridTradeService { public enum StrategyState { WAITING_KLINE, OPENING, ACTIVE, STOPPED } private final String accountName; private final OkxConfig config; private final OkxTradeExecutor executor; private volatile StrategyState state = StrategyState.WAITING_KLINE; private final List shortPriceQueue = Collections.synchronizedList(new ArrayList<>()); private final List longPriceQueue = Collections.synchronizedList(new ArrayList<>()); private BigDecimal shortBaseEntryPrice; private BigDecimal longBaseEntryPrice; private volatile boolean baseLongOpened = false; private volatile boolean baseShortOpened = false; private volatile boolean shortActive = false; private volatile boolean longActive = false; private volatile BigDecimal lastKlinePrice; private volatile BigDecimal cumulativePnl = BigDecimal.ZERO; private volatile BigDecimal unrealizedPnl = BigDecimal.ZERO; private volatile BigDecimal longEntryPrice = BigDecimal.ZERO; private volatile BigDecimal shortEntryPrice = BigDecimal.ZERO; private volatile BigDecimal longPositionSize = BigDecimal.ZERO; private volatile BigDecimal shortPositionSize = BigDecimal.ZERO; public OkxGridTradeService(OkxConfig config, String accountName) { this.config = config; this.accountName = accountName; this.executor = new OkxTradeExecutor(config.getContract(), config.getMarginMode(), accountName); } public void setWebSocketClient(WebSocketClient wsClient) { this.executor.setWebSocketClient(wsClient); } public void startGrid() { if (state != StrategyState.WAITING_KLINE && state != StrategyState.STOPPED) { log.warn("[{}] 策略已在运行中, state:{}", config.getContract(), state); return; } state = StrategyState.WAITING_KLINE; cumulativePnl = BigDecimal.ZERO; unrealizedPnl = BigDecimal.ZERO; longEntryPrice = BigDecimal.ZERO; shortEntryPrice = BigDecimal.ZERO; longPositionSize = BigDecimal.ZERO; shortPositionSize = BigDecimal.ZERO; baseLongOpened = false; baseShortOpened = false; longActive = false; shortActive = false; shortPriceQueue.clear(); longPriceQueue.clear(); log.info("[{}] 网格策略已启动", config.getContract()); } public void stopGrid() { state = StrategyState.STOPPED; executor.cancelAllPriceTriggeredOrders(); executor.shutdown(); log.info("[{}] 策略已停止, 累计盈亏: {}", config.getContract(), cumulativePnl); } public void onKline(BigDecimal closePrice) { lastKlinePrice = closePrice; updateUnrealizedPnl(); if (state == StrategyState.STOPPED) { return; } if (state == StrategyState.WAITING_KLINE) { state = StrategyState.OPENING; log.info("[{}] 首根K线到达,开基底仓位...", config.getContract()); executor.openLong(config.getQuantity(), () -> { log.info("[{}] 基底多单已提交", config.getContract()); }, null); executor.openShort(config.getQuantity(), () -> { log.info("[{}] 基底空单已提交", config.getContract()); }, null); return; } if (state != StrategyState.ACTIVE) { return; } processShortGrid(closePrice); processLongGrid(closePrice); } public void onPositionUpdate(String posSide, BigDecimal size, BigDecimal entryPrice) { if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) { return; } boolean hasPosition = size.compareTo(BigDecimal.ZERO) > 0; if (OkxEnums.POSSIDE_LONG.equals(posSide)) { 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, OkxEnums.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; } } else { longActive = false; longPositionSize = BigDecimal.ZERO; } } else if (OkxEnums.POSSIDE_SHORT.equals(posSide)) { 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, OkxEnums.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; } } else { shortActive = false; shortPositionSize = BigDecimal.ZERO; } } } public void onOrderFilled(String posSide, BigDecimal fillSz, BigDecimal pnl) { if (state == StrategyState.STOPPED) { 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); state = StrategyState.STOPPED; } else if (cumulativePnl.compareTo(config.getMaxLoss().negate()) <= 0) { log.info("[{}] 已达亏损上限 {}→已停止", config.getContract(), cumulativePnl); state = StrategyState.STOPPED; } } private void tryGenerateQueues() { if (baseLongOpened && baseShortOpened) { 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(), shortPriceQueue.isEmpty() ? "N/A" : shortPriceQueue.get(0), shortPriceQueue.isEmpty() ? "N/A" : shortPriceQueue.get(shortPriceQueue.size() - 1), longPriceQueue.isEmpty() ? "N/A" : longPriceQueue.get(0), longPriceQueue.isEmpty() ? "N/A" : longPriceQueue.get(longPriceQueue.size() - 1)); } } private void generateShortQueue() { shortPriceQueue.clear(); BigDecimal fixedStep = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP); BigDecimal prev = shortBaseEntryPrice; for (int i = 0; i < config.getGridQueueSize(); i++) { prev = prev.subtract(fixedStep).setScale(1, RoundingMode.HALF_UP); shortPriceQueue.add(prev); } shortPriceQueue.sort((a, b) -> b.compareTo(a)); log.info("[{}] 空队列:{} 步长:{}", config.getContract(), shortPriceQueue, fixedStep); } private void generateLongQueue() { longPriceQueue.clear(); BigDecimal fixedStep = longBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP); BigDecimal prev = longBaseEntryPrice; for (int i = 0; i < config.getGridQueueSize(); i++) { prev = prev.add(fixedStep).setScale(1, RoundingMode.HALF_UP); longPriceQueue.add(prev); } Collections.sort(longPriceQueue); log.info("[{}] 多队列:{} 步长:{}", config.getContract(), longPriceQueue, fixedStep); } /** * 空仓网格处理(价格跌破空仓队列中的高价)。 * *

匹配规则

* 遍历空仓队列(降序),收集所有大于当前价的元素为 matched。 * 队列为降序排列,一旦遇 price ≤ currentPrice 即停止遍历。 * *

执行流程

*
    *
  1. 匹配队列元素 → 为空则直接返回
  2. *
  3. 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
  4. *
  5. 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
  6. *
  7. 保证金检查 → 安全则开空一次
  8. *
  9. 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
  10. *
* *

多仓队列转移过滤

* 新增元素若与多仓持仓均价差距小于 gridRate,则跳过该元素(避免在持仓成本附近生成无效网格线)。 */ private void processShortGrid(BigDecimal currentPrice) { List matched = new ArrayList<>(); synchronized (shortPriceQueue) { for (BigDecimal p : shortPriceQueue) { if (p.compareTo(currentPrice) > 0) { matched.add(p); } else { break; } } } log.info("[{}] 原空队列:{}", config.getContract(), shortPriceQueue); if (matched.isEmpty()) { log.info("[{}] 空仓队列未触发, 当前价:{}", config.getContract(), currentPrice); return; } log.info("[{}] 空仓队列触发, 匹配{}个元素, 当前价:{}", config.getContract(), matched.size(), currentPrice); BigDecimal shortFixedStep = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP); BigDecimal longFixedStep = longBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP); replenishOwnQueue(shortPriceQueue, matched, shortFixedStep, true, "空"); transferBetweenQueues(longPriceQueue, matched, matched.get(matched.size() - 1), longFixedStep, 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.subtract(longFixedStep)) < 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); } } } /** * 多仓网格处理(价格涨破多仓队列中的低价)。 * *

匹配规则

* 遍历多仓队列(升序),收集所有小于当前价的元素为 matched。 * 队列为升序排列,一旦遇 price ≥ currentPrice 即停止遍历。 * *

执行流程

*
    *
  1. 匹配队列元素 → 为空则直接返回
  2. *
  3. 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
  4. *
  5. 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
  6. *
  7. 保证金检查 → 安全则开多一次
  8. *
  9. 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
  10. *
* *

空仓队列转移过滤

* 新增元素若与空仓持仓均价差距小于 gridRate,则跳过该元素(避免在持仓成本附近生成无效网格线)。 */ private void processLongGrid(BigDecimal currentPrice) { List matched = new ArrayList<>(); synchronized (longPriceQueue) { for (BigDecimal p : longPriceQueue) { if (p.compareTo(currentPrice) < 0) { matched.add(p); } else { break; } } } log.info("[{}] 原多队列:{}", config.getContract(), longPriceQueue); if (matched.isEmpty()) { log.info("[{}] 多仓队列未触发, 当前价:{}", config.getContract(), currentPrice); return; } log.info("[{}] 多仓队列触发, 匹配{}个元素, 当前价:{}", config.getContract(), matched.size(), currentPrice); BigDecimal longFixedStep = longBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP); BigDecimal shortFixedStep = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP); replenishOwnQueue(longPriceQueue, matched, longFixedStep, false, "多"); transferBetweenQueues(shortPriceQueue, matched, matched.get(0), shortFixedStep, 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 (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0 && longEntryPrice.compareTo(BigDecimal.ZERO) > 0 && longEntryPrice.compareTo(shortEntryPrice) > 0 && currentPrice.compareTo(shortEntryPrice.add(shortFixedStep)) > 0 && currentPrice.compareTo(longEntryPrice) < 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); } } } private void replenishOwnQueue(List queue, List 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 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 targetQueue, List matched, BigDecimal firstFallback, BigDecimal fixedStep, boolean isShort, BigDecimal filterEntryPrice, Comparator 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; } private void updateUnrealizedPnl() { BigDecimal price = lastKlinePrice; if (price == null || price.compareTo(BigDecimal.ZERO) == 0) { return; } BigDecimal multiplier = config.getContractMultiplier(); BigDecimal longPnl = BigDecimal.ZERO; BigDecimal shortPnl = BigDecimal.ZERO; if (longPositionSize.compareTo(BigDecimal.ZERO) > 0 && longEntryPrice.compareTo(BigDecimal.ZERO) > 0) { longPnl = longPositionSize.multiply(multiplier).multiply(price.subtract(longEntryPrice)); } if (shortPositionSize.compareTo(BigDecimal.ZERO) > 0 && shortEntryPrice.compareTo(BigDecimal.ZERO) > 0) { shortPnl = shortPositionSize.multiply(multiplier).multiply(shortEntryPrice.subtract(price)); } unrealizedPnl = longPnl.add(shortPnl); log.info("[{}] 未实现盈亏: {}", config.getContract(), unrealizedPnl); } public BigDecimal getLastKlinePrice() { return lastKlinePrice; } public boolean isStrategyActive() { return state != StrategyState.STOPPED && state != StrategyState.WAITING_KLINE; } public BigDecimal getCumulativePnl() { return cumulativePnl; } public BigDecimal getUnrealizedPnl() { return unrealizedPnl; } public StrategyState getState() { return state; } public String getAccountName() { return accountName; } }