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.List; @Slf4j public class OkxGridTradeService { public enum StrategyState { WAITING_KLINE, OPENING, ACTIVE, STOPPED } private final OkxConfig config; private final OkxTradeExecutor executor; private final String accountName; 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; private volatile WebSocketClient wsClient; public OkxGridTradeService(OkxConfig config, String accountName) { this.config = config; this.accountName = accountName; this.executor = new OkxTradeExecutor(config, accountName); } public void setWebSocketClient(WebSocketClient wsClient) { this.wsClient = wsClient; } public void startGrid() { if (state != StrategyState.WAITING_KLINE && state != StrategyState.STOPPED) { log.warn("[{}] 策略已在运行中, state:{}", accountName, 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", accountName); } public void stopGrid() { state = StrategyState.STOPPED; executor.shutdown(); log.info("[{}] 策略已停止, 累计盈亏: {}", accountName, cumulativePnl); } public void onKline(BigDecimal closePrice) { if (wsClient == null || !wsClient.isOpen()) { return; } 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...", accountName); executor.openLong(wsClient, () -> log.info("[{}] 基底多单已发送", accountName)); executor.openShort(wsClient, () -> log.info("[{}] 基底空单已发送", accountName)); 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: {}", accountName, longBaseEntryPrice); tryGenerateQueues(); } else if (size.compareTo(longPositionSize) > 0) { longPositionSize = size; BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.add(config.getGridRate())).setScale(1, RoundingMode.HALF_UP); executor.placeTakeProfit(wsClient, OkxEnums.POSSIDE_LONG, tpPrice, config.getQuantity()); log.info("[{}] 多单止盈已设, entry:{}, tp:{}", accountName, entryPrice, tpPrice); } 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: {}", accountName, shortBaseEntryPrice); tryGenerateQueues(); } else if (size.compareTo(shortPositionSize) > 0) { shortPositionSize = size; BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.subtract(config.getGridRate())).setScale(1, RoundingMode.HALF_UP); executor.placeTakeProfit(wsClient, OkxEnums.POSSIDE_SHORT, tpPrice, config.getQuantity()); log.info("[{}] 空单止盈已设, entry:{}, tp:{}", accountName, entryPrice, tpPrice); } 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:{}", accountName, pnl, posSide, cumulativePnl); if (cumulativePnl.compareTo(config.getOverallTp()) >= 0) { log.info("[{}] 已达止盈目标 {}→已停止", accountName, cumulativePnl); state = StrategyState.STOPPED; } else if (cumulativePnl.compareTo(config.getMaxLoss().negate()) <= 0) { log.info("[{}] 已达亏损上限 {}→已停止", accountName, 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", accountName, 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 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)); } shortPriceQueue.sort((a, b) -> b.compareTo(a)); log.info("[{}] 空队列:{}", accountName, shortPriceQueue); } 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)); } longPriceQueue.sort(BigDecimal::compareTo); log.info("[{}] 多队列:{}", accountName, longPriceQueue); } /** * 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. 保证金检查 → 安全则开空一次
  4. *
  5. 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
  6. *
  7. 空仓队列:移除 matched 元素,尾部补充新元素(尾价 × (1 − gridRate) 循环递减)
  8. *
  9. 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
  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; } } } if (matched.isEmpty()) { return; } log.info("[{}] 空仓队列触发, 匹配{}个元素, 当前价:{}", accountName, matched.size(), currentPrice); if (!isMarginSafe()) { log.warn("[{}] 保证金超限,跳过空单开仓", accountName); } else { executor.openShort(wsClient, 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) { executor.openLong(wsClient, 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:{}", accountName, 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); } shortPriceQueue.sort((a, b) -> b.compareTo(a)); } 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) { continue; } longPriceQueue.add(elem); } longPriceQueue.sort(BigDecimal::compareTo); while (longPriceQueue.size() > config.getGridQueueSize()) { longPriceQueue.remove(longPriceQueue.size() - 1); } } } /** * 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. 保证金检查 → 安全则开多一次
  4. *
  5. 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
  6. *
  7. 多仓队列:移除 matched 元素,尾部补充新元素(尾价 × (1 + gridRate) 循环递增)
  8. *
  9. 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
  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; } } } if (matched.isEmpty()) { return; } log.info("[{}] 多仓队列触发, 匹配{}个元素, 当前价:{}", accountName, matched.size(), currentPrice); if (!isMarginSafe()) { log.warn("[{}] 保证金超限,跳过多单开仓", accountName); } else { executor.openLong(wsClient, 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) { executor.openShort(wsClient, 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:{}", accountName, 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); } longPriceQueue.sort(BigDecimal::compareTo); } 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) { continue; } shortPriceQueue.add(elem); } shortPriceQueue.sort((a, b) -> b.compareTo(a)); while (shortPriceQueue.size() > config.getGridQueueSize()) { shortPriceQueue.remove(shortPriceQueue.size() - 1); } } } /** * 保证金安全阀检查。 * *

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 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); } 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; } }