From a448fe6a0aee475341628b5a842afa82f7eea159 Mon Sep 17 00:00:00 2001 From: dongzp_book <90fanhua@gmail.com> Date: Wed, 8 Jul 2026 23:34:24 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BC=98=E5=8C=96?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../trend/strategy/AutoGridStrategy.java | 243 ++++++++++++++---- 1 file changed, 191 insertions(+), 52 deletions(-) diff --git a/src/main/java/com/sample/trend/strategy/AutoGridStrategy.java b/src/main/java/com/sample/trend/strategy/AutoGridStrategy.java index f433e84..a028324 100644 --- a/src/main/java/com/sample/trend/strategy/AutoGridStrategy.java +++ b/src/main/java/com/sample/trend/strategy/AutoGridStrategy.java @@ -23,8 +23,10 @@ import java.math.RoundingMode; import java.time.LocalDateTime; import java.util.ArrayList; import java.util.Comparator; +import java.util.Iterator; import java.util.List; import java.util.Map; +import java.util.Set; import java.util.concurrent.ConcurrentHashMap; import java.util.concurrent.CopyOnWriteArrayList; @@ -86,6 +88,14 @@ public class AutoGridStrategy extends BaseStrategy { * 正在平仓中的仓位，防止重复触发 */ private final Map closingPositions = new ConcurrentHashMap<>(); + /** + * 已处理过的买单成交 orderId，避免 fill / orders 双推重复开仓补单 + */ + private final Set processedBuyFillOrderIds = ConcurrentHashMap.newKeySet(); + /** + * 已处理过的卖单成交 orderId + */ + private final Set processedSellFillOrderIds = ConcurrentHashMap.newKeySet(); private final Object tradeLock = new Object(); @@ -134,19 +144,39 @@ public class AutoGridStrategy extends BaseStrategy { if (connectionId.equals(bitGetClient.getPublicConnectionId())) { bitGetClient.subscribeTicker(getSymbol()); } else { + // 私有频道必须等 login 成功回调后再订阅，否则会报 30004 bitGetClient.login(); - bitGetClient.subscribeFill(); - bitGetClient.subscribeOrders(); } } @Override public void onMessage(String connectionId, String message) { + logger.debug("WebSocket 收到消息：{}", message); if ("pong".equals(message)) { return; } try { JSONObject json = JSONObject.parseObject(message); + + // 登录成功后再订阅 fill / orders + if ("login".equals(json.getString("event"))) { + Integer code = json.getInteger("code"); + if (code != null && code == 0) { + logger.info("私有 WebSocket 登录成功，开始订阅成交与订单"); + bitGetClient.subscribeFill(); + bitGetClient.subscribeOrders(); + } else { + logger.error("私有 WebSocket 登录失败：{}", message); + submitAlarm("WebSocket 登录失败", message, AlarmLevel.ERROR); + } + return; + } + + if ("error".equals(json.getString("event"))) { + logger.error("WebSocket 返回错误：{}", message); + return; + } + if (!json.containsKey("action")) { return; } @@ -165,10 +195,14 @@ public class AutoGridStrategy extends BaseStrategy { handleTicker(data.getJSONObject(0)); } else if ("fill".equals(channel) && ("snapshot".equals(action) || "update".equals(action))) { - handleFill(data.getJSONObject(0)); + for (int i = 0; i < data.size(); i++) { + handleFill(data.getJSONObject(i)); + } } else if ("orders".equals(channel) && ("snapshot".equals(action) || "update".equals(action))) { - handleOrderUpdate(data.getJSONObject(0)); + for (int i = 0; i < data.size(); i++) { + handleOrderUpdate(data.getJSONObject(i)); + } } } catch (Exception e) { logger.error("WebSocket 消息处理异常", e); @@ -302,11 +336,6 @@ public class AutoGridStrategy extends BaseStrategy { AccountVO account = getAccount(); bitGetClient.init(account.getApiKey(), account.getSecretKey(), account.getPassphrase(), CommonConstant.httpClient, CommonConstant.webSocketManager); -// try { -// bitGetClient.setLeverage(getSymbol(), leverage); -// } catch (Exception e) { -// logger.warn("设置杠杆失败：{}", e.getMessage()); -// } try { bitGetClient.createPublicWebsocket(webSocketMessageHandler); bitGetClient.createPrivateWebsocket(webSocketMessageHandler); @@ -369,17 +398,6 @@ public class AutoGridStrategy extends BaseStrategy { return AtrCalculator.calculate(klines, klinePeriod); } - private String normalizeKlineInterval(String interval) { - if (interval == null) { - return "5m"; - } - String normalized = interval.trim(); - if (normalized.endsWith("m") || normalized.endsWith("H") || normalized.endsWith("D")) { - return normalized; - } - return normalized + "m"; - } - // ======================== 价格边界 ======================== private void checkPriceBounds() { @@ -555,21 +573,22 @@ public class AutoGridStrategy extends BaseStrategy { // ======================== WebSocket 事件处理 ======================== private void handleTicker(JSONObject ticker) { - String symbol = ticker.getString("symbol"); + String symbol = resolveSymbol(ticker); if (!getPlainSymbol().equals(symbol)) { return; } - BigDecimal lastPrice = ticker.getBigDecimal("lastPr"); - if (lastPrice == null) { - lastPrice = ticker.getBigDecimal("last"); - } + // BitGet ticker：优先 lastPr，兼容 last + BigDecimal lastPrice = firstPositive( + ticker.getBigDecimal("lastPr"), + ticker.getBigDecimal("last"), + ticker.getBigDecimal("markPrice")); if (lastPrice != null) { currentPrice = lastPrice; } } private void handleFill(JSONObject fill) { - String symbol = fill.getString("symbol"); + String symbol = resolveSymbol(fill); if (!getPlainSymbol().equals(symbol)) { return; } @@ -579,60 +598,108 @@ public class AutoGridStrategy extends BaseStrategy { BigDecimal price = fill.getBigDecimal("price"); BigDecimal volume = fill.getBigDecimal("baseVolume"); String orderId = fill.getString("orderId"); + String clientOid = fill.getString("clientOid"); - if ("buy".equals(side) && "open".equals(tradeSide)) { - onBuyFilled(price, volume, orderId); - } else if ("sell".equals(side) && "close".equals(tradeSide)) { + if (isOpenBuy(side, tradeSide)) { + onBuyFilled(price, volume, orderId, clientOid, price); + } else if (isCloseSell(side, tradeSide)) { onSellFilled(price, volume, orderId); } } + /** + * BitGet orders 推送用 instId，fill 推送用 symbol。 + * 成交以 status=filled 为可靠信号（fill 频道可能收不到）。 + */ private void handleOrderUpdate(JSONObject order) { - String symbol = order.getString("symbol"); + String symbol = resolveSymbol(order); if (!getPlainSymbol().equals(symbol)) { return; } + String status = order.getString("status"); - if (!"cancelled".equals(status) && !"canceled".equals(status)) { - return; - } - String side = order.getString("side"); - if (!"buy".equals(side)) { + String tradeSide = order.getString("tradeSide"); + String orderId = order.getString("orderId"); + String clientOid = order.getString("clientOid"); + BigDecimal orderPrice = order.getBigDecimal("price"); + + if ("cancelled".equals(status) || "canceled".equals(status)) { + if ("buy".equals(side)) { + removePendingBuy(orderId, clientOid, orderPrice); + } return; } - BigDecimal price = order.getBigDecimal("price"); - if (price != null) { - pendingBuyOrders.remove(priceKey(normalizePrice(price))); + if (!"filled".equals(status)) { + return; + } + + BigDecimal fillPrice = firstPositive( + order.getBigDecimal("priceAvg"), + order.getBigDecimal("fillPrice"), + orderPrice); + BigDecimal volume = firstPositive( + order.getBigDecimal("accBaseVolume"), + order.getBigDecimal("baseVolume"), + order.getBigDecimal("size")); + + if (isOpenBuy(side, tradeSide)) { + onBuyFilled(fillPrice, volume, orderId, clientOid, orderPrice); + } else if (isCloseSell(side, tradeSide)) { + onSellFilled(fillPrice, volume, orderId); } } - private void onBuyFilled(BigDecimal price, BigDecimal volume, String orderId) { - BigDecimal normalizedPrice = normalizePrice(price); - pendingBuyOrders.remove(priceKey(normalizedPrice)); + private void onBuyFilled(BigDecimal fillPrice, BigDecimal volume, String orderId, + String clientOid, BigDecimal orderPrice) { + if (orderId != null && !processedBuyFillOrderIds.add(orderId)) { + return; + } + if (volume == null || volume.compareTo(BigDecimal.ZERO) <= 0) { + if (orderId != null) { + processedBuyFillOrderIds.remove(orderId); + } + logger.warn("买单成交数量无效，orderId={}，volume={}", orderId, volume); + return; + } - String clientPositionId = "POS_" + normalizedPrice.toPlainString(); - GridPosition position = new GridPosition(clientPositionId, normalizedPrice, volume); + GridBuyOrder pending = removePendingBuy(orderId, clientOid, orderPrice); + if (pending == null) { + if (orderId != null) { + processedBuyFillOrderIds.remove(orderId); + } + logger.debug("忽略非本策略买单成交，orderId={}，clientOid={}", orderId, clientOid); + return; + } + + BigDecimal gridPrice = pending.buyPrice; + String clientPositionId = "POS_" + gridPrice.toPlainString(); + GridPosition position = new GridPosition(clientPositionId, gridPrice, volume); openPositions.add(position); - BigDecimal tpPrice = position.takeProfitPrice(currentGridGap); - logger.info("买单成交：价格={}，数量={}，止盈目标={}", normalizedPrice, volume, tpPrice); + BigDecimal tpPrice = currentGridGap != null ? position.takeProfitPrice(currentGridGap) : null; + logger.info("买单成交：网格价={}，成交价={}，数量={}，止盈目标={}，orderId={}", + gridPrice, fillPrice, volume, tpPrice, orderId); submitAlarm("网格买入成交", String.format("买入价 %s，数量 %s，止盈目标 %s（间距 %s）", - formatPrice(normalizedPrice), volume.toPlainString(), + formatPrice(gridPrice), volume.toPlainString(), formatPrice(tpPrice), formatPrice(currentGridGap)), AlarmLevel.INFO); - submitOrderSync(orderId, clientPositionId, normalizedPrice, volume, OrderSide.BUY, OrderStatus.FILLED); - submitPositionSync(clientPositionId, normalizedPrice, volume, true); + submitOrderSync(orderId, clientPositionId, gridPrice, volume, OrderSide.BUY, OrderStatus.FILLED); + submitPositionSync(clientPositionId, gridPrice, volume, true); // 成交后再挂下方一格，保证永远只有一笔待成交买单 - placeNextBuyBelow(normalizedPrice); + placeNextBuyBelow(gridPrice); } private void onSellFilled(BigDecimal price, BigDecimal volume, String orderId) { + if (orderId != null && !processedSellFillOrderIds.add(orderId)) { + return; + } + GridPosition matched = null; for (String closingId : closingPositions.keySet()) { for (GridPosition position : openPositions) { @@ -645,7 +712,7 @@ public class AutoGridStrategy extends BaseStrategy { break; } } - if (matched == null) { + if (matched == null && volume != null) { for (GridPosition position : openPositions) { if (position.quantity.compareTo(volume) == 0) { matched = position; @@ -663,9 +730,10 @@ public class AutoGridStrategy extends BaseStrategy { submitPositionSync(matched.clientPositionId, price, matched.quantity, false); } - logger.info("卖单成交（止盈）：价格={}，数量={}", price, volume); + logger.info("卖单成交（止盈）：价格={}，数量={}，orderId={}", price, volume, orderId); submitAlarm("网格止盈成交", - String.format("卖出价 %s，数量 %s", formatPrice(price), volume.toPlainString()), + String.format("卖出价 %s，数量 %s", formatPrice(price), + volume != null ? volume.toPlainString() : "-"), AlarmLevel.INFO); submitOrderSync(orderId, matched != null ? matched.clientPositionId : "CLOSE", price, volume, OrderSide.SELL, OrderStatus.FILLED); @@ -674,6 +742,77 @@ public class AutoGridStrategy extends BaseStrategy { replenishBuyGrids(); } + private String resolveSymbol(JSONObject payload) { + String symbol = payload.getString("symbol"); + if (symbol == null || symbol.isEmpty()) { + symbol = payload.getString("instId"); + } + return symbol; + } + + private boolean isOpenBuy(String side, String tradeSide) { + if (!"buy".equals(side)) { + return false; + } + return tradeSide == null + || "open".equals(tradeSide) + || "buy_single".equals(tradeSide); + } + + private boolean isCloseSell(String side, String tradeSide) { + if (!"sell".equals(side)) { + return false; + } + return tradeSide == null + || "close".equals(tradeSide) + || "sell_single".equals(tradeSide) + || "reduce_sell_single".equals(tradeSide); + } + + private BigDecimal firstPositive(BigDecimal... values) { + if (values == null) { + return null; + } + for (BigDecimal value : values) { + if (value != null && value.compareTo(BigDecimal.ZERO) > 0) { + return value; + } + } + return null; + } + + /** + * 优先按 exchangeOrderId / clientOid 移除，避免成交价与挂单价不一致导致残留。 + */ + private GridBuyOrder removePendingBuy(String orderId, String clientOid, BigDecimal price) { + if (orderId != null) { + for (Iterator> it = pendingBuyOrders.entrySet().iterator(); + it.hasNext(); ) { + Map.Entry entry = it.next(); + GridBuyOrder order = entry.getValue(); + if (orderId.equals(order.exchangeOrderId)) { + it.remove(); + return order; + } + } + } + if (clientOid != null) { + for (Iterator> it = pendingBuyOrders.entrySet().iterator(); + it.hasNext(); ) { + Map.Entry entry = it.next(); + GridBuyOrder order = entry.getValue(); + if (clientOid.equals(order.clientOrderId)) { + it.remove(); + return order; + } + } + } + if (price != null) { + return pendingBuyOrders.remove(priceKey(normalizePrice(price))); + } + return null; + } + // ======================== 交易所同步 ======================== private void syncOpenOrdersFromExchange() {