ScriptUtil脚本实现

pom.xml

@@ -5,12 +5,13 @@
 
     <groupId>com.sample</groupId>
     <artifactId>trend-grid-strategy</artifactId>
-    <version>1.0.2-SNAPSHOT</version>
+    <version>1.0.3-SNAPSHOT</version>
     <name>trend-grid-strategy</name>
     <description>趋势网格策略</description>
 
     <properties>
         <trade.version>5.0.0-SNAPSHOT</trade.version>
+        <graalvm.version>24.1.2</graalvm.version>
     </properties>
     <dependencies>
         <dependency>
@@ -24,6 +25,18 @@
             <artifactId>uuquant-exchange-api</artifactId>
             <version>20260619.0130</version>
         </dependency>
+
+        <dependency>
+            <groupId>org.graalvm.polyglot</groupId>
+            <artifactId>polyglot</artifactId>
+            <version>${graalvm.version}</version>
+        </dependency>
+        <dependency>
+            <groupId>org.graalvm.polyglot</groupId>
+            <artifactId>js</artifactId>
+            <version>${graalvm.version}</version>
+            <type>pom</type>
+        </dependency>
     </dependencies>
 
     <build>

src/main/java/com/sample/trend/StrategyApplication.java

@@ -2,21 +2,31 @@ package com.sample.trend;
 
 
 import com.sample.trend.strategy.AutoGridStrategy;
+import com.sample.trend.strategy.util.ScriptUtil;
 import vip.uuquant.tradesystem.runner.core.StrategyRunner;
 import vip.uuquant.tradesystem.runner.vo.DebugConfig;
 
+import java.math.BigDecimal;
+import java.util.HashMap;
+import java.util.Map;
+
 public class StrategyApplication {
 
     public static void main(String[] args) {
         // 调试模式
-        DebugConfig debugConfig = new DebugConfig();
+//        DebugConfig debugConfig = new DebugConfig();
-        debugConfig.setAgentHost("192.168.0.105");
+//        debugConfig.setAgentHost("192.168.0.105");
-        debugConfig.setRobotId(2074501096701927426L);
+//        debugConfig.setRobotId(2074501096701927426L);
-        debugConfig.setRobotApiKey("be7520970034b54cb7f2bccab0d546ca");
+//        debugConfig.setRobotApiKey("be7520970034b54cb7f2bccab0d546ca");
+//
+//        StrategyRunner strategyRunner = StrategyRunner.getInstance();
+//        strategyRunner.setDebugConfig(debugConfig);
+//        strategyRunner.init(AutoGridStrategy.class);
 
-        StrategyRunner strategyRunner = StrategyRunner.getInstance();
+        Map<String, Object> map = new HashMap<>();
-        strategyRunner.setDebugConfig(debugConfig);
+        map.put("atr", 1);
-        strategyRunner.init(AutoGridStrategy.class);
+        BigDecimal a = ScriptUtil.evalBigDecimal("atr > 1 ? 2 : 5", map);
+        System.out.println(a);
 
     }
 

src/main/java/com/sample/trend/strategy/AutoGridStrategy.java

@@ -5,6 +5,7 @@ import com.alibaba.fastjson2.JSONObject;
 import com.hengyi.xbaseweb.common.result.ApiResult;
 import com.sample.trend.config.CommonConstant;
 import com.sample.trend.strategy.util.AtrCalculator;
+import com.sample.trend.strategy.util.ScriptUtil;
 import okhttp3.Response;
 import org.slf4j.Logger;
 import org.slf4j.LoggerFactory;
@@ -52,6 +53,7 @@ public class AutoGridStrategy extends BaseStrategy {
     // 运行参数
     private BigDecimal baseQuantity;
     private BigDecimal atrMultiplier;
+    private String gridGrpScript;
     private String klineInterval;
     private int klinePeriod;
     private int gridAdjustIntervalMinutes;
@@ -259,12 +261,13 @@ public class AutoGridStrategy extends BaseStrategy {
         super.init(context);
         logger.info("ATR 动态网格策略初始化");
 
-        tryParams("base_quantity", "atr_multiplier", "kline_interval", "kline_period",
+        tryParams("base_quantity", "atr_multiplier", "grid_grp_script", "kline_interval", "kline_period",
                 "grid_adjust_interval", "min_gap", "max_gap", "upper_bound", "lower_bound",
                 "grid_count", "test_mode");
 
         baseQuantity = getRunParams().getBigDecimal("base_quantity");
         atrMultiplier = getRunParams().getBigDecimal("atr_multiplier");
+        gridGrpScript = getRunParams().getString("grid_grp_script");
         klineInterval = getRunParams().getString("kline_interval");
         klinePeriod = getRunParams().getInteger("kline_period");
         gridAdjustIntervalMinutes = getRunParams().getInteger("grid_adjust_interval");
@@ -388,7 +391,17 @@ public class AutoGridStrategy extends BaseStrategy {
                 return;
             }
 
-            BigDecimal rawGap = atr.multiply(atrMultiplier);
+            Map<String, Object> scriptVariables = buildGridScriptVariables(atr);
+            BigDecimal rawGap;
+            try {
+                rawGap = ScriptUtil.evalBigDecimal(gridGrpScript, scriptVariables);
+            } catch (Exception scriptException) {
+                logger.warn("网格表达式执行失败，回退默认公式：{}", scriptException.getMessage());
+                rawGap = null;
+            }
+            if (rawGap == null) {
+                rawGap = atr.multiply(atrMultiplier);
+            }
             BigDecimal gap = rawGap.max(minGap).min(maxGap).setScale(pricePrecision, RoundingMode.HALF_UP);
 
             BigDecimal oldGap = currentGridGap;
@@ -408,6 +421,26 @@ public class AutoGridStrategy extends BaseStrategy {
         }
     }
 
+    private Map<String, Object> buildGridScriptVariables(BigDecimal atr) {
+        Map<String, Object> variables = new java.util.HashMap<>();
+        variables.put("atr", atr == null ? null : atr.doubleValue());
+        variables.put("atrMultiplier", atrMultiplier == null ? null : atrMultiplier.doubleValue());
+        variables.put("baseQuantity", baseQuantity == null ? null : baseQuantity.doubleValue());
+        variables.put("minGap", minGap == null ? null : minGap.doubleValue());
+        variables.put("maxGap", maxGap == null ? null : maxGap.doubleValue());
+        variables.put("upperBound", upperBound == null ? null : upperBound.doubleValue());
+        variables.put("lowerBound", lowerBound == null ? null : lowerBound.doubleValue());
+        variables.put("gridCount", gridCount);
+        variables.put("leverage", leverage);
+        variables.put("pricePrecision", pricePrecision);
+        variables.put("quantityPrecision", quantityPrecision);
+        variables.put("klinePeriod", klinePeriod);
+        variables.put("gridAdjustIntervalMinutes", gridAdjustIntervalMinutes);
+        variables.put("testMode", testMode);
+        variables.put("currentPrice", currentPrice == null ? null : currentPrice.doubleValue());
+        return variables;
+    }
+
     private BigDecimal fetchAtr() throws Exception {
         JSONObject params = new JSONObject();
         params.put("symbol", getPlainSymbol());
@@ -478,10 +511,8 @@ public class AutoGridStrategy extends BaseStrategy {
                 return;
             }
 
-            BigDecimal nextBuyPrice = calcBuyPriceBelowCurrent();
+            BigDecimal nextBuyPrice = findNextAvailableBuyPrice(calcBuyPriceBelowCurrent());
-            if (nextBuyPrice != null
+            if (nextBuyPrice != null) {
-                    && nextBuyPrice.compareTo(lowerBound) >= 0
-                    && !hasBuyOrderAt(nextBuyPrice)) {
                 placeLimitBuyOrder(nextBuyPrice);
             }
         }
@@ -509,10 +540,8 @@ public class AutoGridStrategy extends BaseStrategy {
                 return;
             }
 
-            BigDecimal newPrice = calcBuyPriceBelowCurrent();
+            BigDecimal newPrice = findNextAvailableBuyPrice(calcBuyPriceBelowCurrent());
-            if (newPrice == null
+            if (newPrice == null || newPrice.compareTo(pending.buyPrice) == 0) {
-                    || newPrice.compareTo(lowerBound) < 0
-                    || newPrice.compareTo(pending.buyPrice) == 0) {
                 return;
             }
 
@@ -564,8 +593,9 @@ public class AutoGridStrategy extends BaseStrategy {
                 return;
             }
 
-            BigDecimal nextBuyPrice = normalizePrice(filledPrice.subtract(currentGridGap));
+            BigDecimal nextBuyPrice = findNextAvailableBuyPrice(
-            if (nextBuyPrice.compareTo(lowerBound) >= 0 && !hasBuyOrderAt(nextBuyPrice)) {
+                    normalizePrice(filledPrice.subtract(currentGridGap)));
+            if (nextBuyPrice != null) {
                 placeLimitBuyOrder(nextBuyPrice);
             }
         }
@@ -579,7 +609,7 @@ public class AutoGridStrategy extends BaseStrategy {
         if (normalizedPrice.compareTo(lowerBound) < 0 || normalizedPrice.compareTo(upperBound) > 0) {
             return;
         }
-        if (hasBuyOrderAt(normalizedPrice)) {
+        if (hasBuyOrderAt(normalizedPrice) || hasOpenPositionAtPrice(normalizedPrice)) {
             return;
         }
 
@@ -769,6 +799,17 @@ public class AutoGridStrategy extends BaseStrategy {
 
         synchronized (tradeLock) {
             BigDecimal gridPrice = pending.buyPrice;
+            if (hasOpenPositionAtPrice(gridPrice)) {
+                if (orderId != null) {
+                    processedBuyFillOrderIds.remove(orderId);
+                }
+                logger.warn("该价位已有持仓，忽略重复买单成交，gridPrice={}，orderId={}", gridPrice, orderId);
+                submitAlarm("重复开仓拦截",
+                        String.format("价位 %s 已有持仓，忽略 orderId=%s", formatPrice(gridPrice), orderId),
+                        AlarmLevel.WARNING);
+                return;
+            }
+
             String clientPositionId = "POS_" + gridPrice.toPlainString();
             if (currentGridGap == null) {
                 if (orderId != null) {
@@ -1263,6 +1304,36 @@ public class AutoGridStrategy extends BaseStrategy {
         return pendingBuyOrders.containsKey(priceKey(normalizePrice(price)));
     }
 
+    private boolean hasOpenPositionAtPrice(BigDecimal price) {
+        if (price == null) {
+            return false;
+        }
+        String key = priceKey(price);
+        for (GridPosition position : openPositions) {
+            if (priceKey(position.entryPrice).equals(key)) {
+                return true;
+            }
+        }
+        return false;
+    }
+
+    /**
+     * 从 startPrice 起向下逐格查找：无持仓且无待成交买单的价位。
+     */
+    private BigDecimal findNextAvailableBuyPrice(BigDecimal startPrice) {
+        if (startPrice == null || currentGridGap == null) {
+            return null;
+        }
+        BigDecimal candidate = normalizePrice(startPrice);
+        while (candidate.compareTo(lowerBound) >= 0) {
+            if (!hasOpenPositionAtPrice(candidate) && !hasBuyOrderAt(candidate)) {
+                return candidate;
+            }
+            candidate = normalizePrice(candidate.subtract(currentGridGap));
+        }
+        return null;
+    }
+
     private BigDecimal alignPriceDown(BigDecimal price, BigDecimal gap) {
         if (gap == null || gap.compareTo(BigDecimal.ZERO) <= 0) {
             return normalizePrice(price);

src/main/java/com/sample/trend/strategy/util/ScriptUtil.java

@@ -0,0 +1,45 @@
+package com.sample.trend.strategy.util;
+
+import org.graalvm.polyglot.Context;
+import org.graalvm.polyglot.HostAccess;
+import org.graalvm.polyglot.Value;
+
+import java.math.BigDecimal;
+import java.util.Map;
+
+public final class ScriptUtil {
+
+    private ScriptUtil() {
+    }
+
+    public static BigDecimal evalBigDecimal(String expression, Map<String, Object> variables) {
+        if (expression == null || expression.trim().isEmpty()) {
+            return null;
+        }
+
+        try (Context context = Context.newBuilder("js")
+                .allowHostAccess(HostAccess.NONE)
+                .allowHostClassLookup(className -> false)
+                .build()) {
+            if (variables != null) {
+                for (Map.Entry<String, Object> entry : variables.entrySet()) {
+                    context.getBindings("js").putMember(entry.getKey(), entry.getValue());
+                }
+            }
+
+            Value result = context.eval("js", expression);
+            if (result == null || result.isNull()) {
+                return null;
+            }
+            if (result.fitsInLong()) {
+                return BigDecimal.valueOf(result.asLong());
+            }
+            if (result.fitsInDouble()) {
+                return BigDecimal.valueOf(result.asDouble());
+            }
+            return new BigDecimal(result.toString());
+        } catch (Exception e) {
+            throw new IllegalArgumentException("网格脚本执行失败", e);
+        }
+    }
+}