优化
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c6f90843f5
commit
a448fe6a0a
@ -23,8 +23,10 @@ import java.math.RoundingMode;
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import java.time.LocalDateTime;
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import java.util.ArrayList;
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import java.util.Comparator;
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import java.util.Iterator;
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import java.util.List;
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import java.util.Map;
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import java.util.Set;
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import java.util.concurrent.ConcurrentHashMap;
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import java.util.concurrent.CopyOnWriteArrayList;
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@ -86,6 +88,14 @@ public class AutoGridStrategy extends BaseStrategy {
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* 正在平仓中的仓位，防止重复触发
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*/
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private final Map<String, Boolean> closingPositions = new ConcurrentHashMap<>();
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/**
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* 已处理过的买单成交 orderId，避免 fill / orders 双推重复开仓补单
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*/
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private final Set<String> processedBuyFillOrderIds = ConcurrentHashMap.newKeySet();
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/**
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* 已处理过的卖单成交 orderId
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*/
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private final Set<String> processedSellFillOrderIds = ConcurrentHashMap.newKeySet();
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private final Object tradeLock = new Object();
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@ -134,19 +144,39 @@ public class AutoGridStrategy extends BaseStrategy {
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if (connectionId.equals(bitGetClient.getPublicConnectionId())) {
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bitGetClient.subscribeTicker(getSymbol());
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} else {
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// 私有频道必须等 login 成功回调后再订阅，否则会报 30004
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bitGetClient.login();
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bitGetClient.subscribeFill();
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bitGetClient.subscribeOrders();
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}
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}
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@Override
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public void onMessage(String connectionId, String message) {
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logger.debug("WebSocket 收到消息：{}", message);
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if ("pong".equals(message)) {
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return;
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}
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try {
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JSONObject json = JSONObject.parseObject(message);
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// 登录成功后再订阅 fill / orders
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if ("login".equals(json.getString("event"))) {
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Integer code = json.getInteger("code");
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if (code != null && code == 0) {
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logger.info("私有 WebSocket 登录成功，开始订阅成交与订单");
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bitGetClient.subscribeFill();
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bitGetClient.subscribeOrders();
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} else {
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logger.error("私有 WebSocket 登录失败：{}", message);
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submitAlarm("WebSocket 登录失败", message, AlarmLevel.ERROR);
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}
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return;
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}
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if ("error".equals(json.getString("event"))) {
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logger.error("WebSocket 返回错误：{}", message);
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return;
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}
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if (!json.containsKey("action")) {
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return;
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}
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@ -165,10 +195,14 @@ public class AutoGridStrategy extends BaseStrategy {
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handleTicker(data.getJSONObject(0));
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} else if ("fill".equals(channel)
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&& ("snapshot".equals(action) || "update".equals(action))) {
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handleFill(data.getJSONObject(0));
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for (int i = 0; i < data.size(); i++) {
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handleFill(data.getJSONObject(i));
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}
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} else if ("orders".equals(channel)
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&& ("snapshot".equals(action) || "update".equals(action))) {
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handleOrderUpdate(data.getJSONObject(0));
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for (int i = 0; i < data.size(); i++) {
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handleOrderUpdate(data.getJSONObject(i));
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}
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}
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} catch (Exception e) {
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logger.error("WebSocket 消息处理异常", e);
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@ -302,11 +336,6 @@ public class AutoGridStrategy extends BaseStrategy {
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AccountVO account = getAccount();
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bitGetClient.init(account.getApiKey(), account.getSecretKey(), account.getPassphrase(),
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CommonConstant.httpClient, CommonConstant.webSocketManager);
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// try {
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// bitGetClient.setLeverage(getSymbol(), leverage);
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// } catch (Exception e) {
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// logger.warn("设置杠杆失败：{}", e.getMessage());
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// }
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try {
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bitGetClient.createPublicWebsocket(webSocketMessageHandler);
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bitGetClient.createPrivateWebsocket(webSocketMessageHandler);
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@ -369,17 +398,6 @@ public class AutoGridStrategy extends BaseStrategy {
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return AtrCalculator.calculate(klines, klinePeriod);
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}
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private String normalizeKlineInterval(String interval) {
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if (interval == null) {
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return "5m";
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}
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String normalized = interval.trim();
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if (normalized.endsWith("m") || normalized.endsWith("H") || normalized.endsWith("D")) {
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return normalized;
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}
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return normalized + "m";
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}
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// ======================== 价格边界 ========================
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private void checkPriceBounds() {
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@ -555,21 +573,22 @@ public class AutoGridStrategy extends BaseStrategy {
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// ======================== WebSocket 事件处理 ========================
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private void handleTicker(JSONObject ticker) {
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String symbol = ticker.getString("symbol");
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String symbol = resolveSymbol(ticker);
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if (!getPlainSymbol().equals(symbol)) {
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return;
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}
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BigDecimal lastPrice = ticker.getBigDecimal("lastPr");
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if (lastPrice == null) {
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lastPrice = ticker.getBigDecimal("last");
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}
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// BitGet ticker：优先 lastPr，兼容 last
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BigDecimal lastPrice = firstPositive(
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ticker.getBigDecimal("lastPr"),
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ticker.getBigDecimal("last"),
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ticker.getBigDecimal("markPrice"));
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if (lastPrice != null) {
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currentPrice = lastPrice;
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}
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}
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private void handleFill(JSONObject fill) {
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String symbol = fill.getString("symbol");
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String symbol = resolveSymbol(fill);
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if (!getPlainSymbol().equals(symbol)) {
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return;
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}
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@ -579,60 +598,108 @@ public class AutoGridStrategy extends BaseStrategy {
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BigDecimal price = fill.getBigDecimal("price");
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BigDecimal volume = fill.getBigDecimal("baseVolume");
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String orderId = fill.getString("orderId");
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String clientOid = fill.getString("clientOid");
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if ("buy".equals(side) && "open".equals(tradeSide)) {
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onBuyFilled(price, volume, orderId);
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} else if ("sell".equals(side) && "close".equals(tradeSide)) {
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if (isOpenBuy(side, tradeSide)) {
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onBuyFilled(price, volume, orderId, clientOid, price);
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} else if (isCloseSell(side, tradeSide)) {
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onSellFilled(price, volume, orderId);
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}
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}
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/**
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* BitGet orders 推送用 instId，fill 推送用 symbol。
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* 成交以 status=filled 为可靠信号（fill 频道可能收不到）。
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*/
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private void handleOrderUpdate(JSONObject order) {
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String symbol = order.getString("symbol");
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String symbol = resolveSymbol(order);
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if (!getPlainSymbol().equals(symbol)) {
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return;
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}
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String status = order.getString("status");
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if (!"cancelled".equals(status) && !"canceled".equals(status)) {
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return;
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}
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String side = order.getString("side");
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if (!"buy".equals(side)) {
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String tradeSide = order.getString("tradeSide");
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String orderId = order.getString("orderId");
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String clientOid = order.getString("clientOid");
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BigDecimal orderPrice = order.getBigDecimal("price");
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if ("cancelled".equals(status) || "canceled".equals(status)) {
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if ("buy".equals(side)) {
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removePendingBuy(orderId, clientOid, orderPrice);
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}
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return;
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}
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BigDecimal price = order.getBigDecimal("price");
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if (price != null) {
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pendingBuyOrders.remove(priceKey(normalizePrice(price)));
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if (!"filled".equals(status)) {
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return;
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}
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BigDecimal fillPrice = firstPositive(
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order.getBigDecimal("priceAvg"),
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order.getBigDecimal("fillPrice"),
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orderPrice);
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BigDecimal volume = firstPositive(
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order.getBigDecimal("accBaseVolume"),
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order.getBigDecimal("baseVolume"),
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order.getBigDecimal("size"));
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if (isOpenBuy(side, tradeSide)) {
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onBuyFilled(fillPrice, volume, orderId, clientOid, orderPrice);
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} else if (isCloseSell(side, tradeSide)) {
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onSellFilled(fillPrice, volume, orderId);
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}
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}
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private void onBuyFilled(BigDecimal price, BigDecimal volume, String orderId) {
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BigDecimal normalizedPrice = normalizePrice(price);
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pendingBuyOrders.remove(priceKey(normalizedPrice));
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private void onBuyFilled(BigDecimal fillPrice, BigDecimal volume, String orderId,
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String clientOid, BigDecimal orderPrice) {
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if (orderId != null && !processedBuyFillOrderIds.add(orderId)) {
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return;
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}
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if (volume == null || volume.compareTo(BigDecimal.ZERO) <= 0) {
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if (orderId != null) {
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processedBuyFillOrderIds.remove(orderId);
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}
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logger.warn("买单成交数量无效，orderId={}，volume={}", orderId, volume);
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return;
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}
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String clientPositionId = "POS_" + normalizedPrice.toPlainString();
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GridPosition position = new GridPosition(clientPositionId, normalizedPrice, volume);
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GridBuyOrder pending = removePendingBuy(orderId, clientOid, orderPrice);
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if (pending == null) {
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if (orderId != null) {
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processedBuyFillOrderIds.remove(orderId);
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}
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logger.debug("忽略非本策略买单成交，orderId={}，clientOid={}", orderId, clientOid);
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return;
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}
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BigDecimal gridPrice = pending.buyPrice;
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String clientPositionId = "POS_" + gridPrice.toPlainString();
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GridPosition position = new GridPosition(clientPositionId, gridPrice, volume);
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openPositions.add(position);
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BigDecimal tpPrice = position.takeProfitPrice(currentGridGap);
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logger.info("买单成交：价格={}，数量={}，止盈目标={}", normalizedPrice, volume, tpPrice);
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BigDecimal tpPrice = currentGridGap != null ? position.takeProfitPrice(currentGridGap) : null;
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logger.info("买单成交：网格价={}，成交价={}，数量={}，止盈目标={}，orderId={}",
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gridPrice, fillPrice, volume, tpPrice, orderId);
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submitAlarm("网格买入成交",
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String.format("买入价 %s，数量 %s，止盈目标 %s（间距 %s）",
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formatPrice(normalizedPrice), volume.toPlainString(),
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formatPrice(gridPrice), volume.toPlainString(),
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formatPrice(tpPrice), formatPrice(currentGridGap)),
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AlarmLevel.INFO);
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submitOrderSync(orderId, clientPositionId, normalizedPrice, volume, OrderSide.BUY, OrderStatus.FILLED);
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submitPositionSync(clientPositionId, normalizedPrice, volume, true);
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submitOrderSync(orderId, clientPositionId, gridPrice, volume, OrderSide.BUY, OrderStatus.FILLED);
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submitPositionSync(clientPositionId, gridPrice, volume, true);
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// 成交后再挂下方一格，保证永远只有一笔待成交买单
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placeNextBuyBelow(normalizedPrice);
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placeNextBuyBelow(gridPrice);
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}
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private void onSellFilled(BigDecimal price, BigDecimal volume, String orderId) {
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if (orderId != null && !processedSellFillOrderIds.add(orderId)) {
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return;
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}
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GridPosition matched = null;
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for (String closingId : closingPositions.keySet()) {
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for (GridPosition position : openPositions) {
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@ -645,7 +712,7 @@ public class AutoGridStrategy extends BaseStrategy {
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break;
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}
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}
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if (matched == null) {
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if (matched == null && volume != null) {
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for (GridPosition position : openPositions) {
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if (position.quantity.compareTo(volume) == 0) {
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matched = position;
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@ -663,9 +730,10 @@ public class AutoGridStrategy extends BaseStrategy {
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submitPositionSync(matched.clientPositionId, price, matched.quantity, false);
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}
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logger.info("卖单成交（止盈）：价格={}，数量={}", price, volume);
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logger.info("卖单成交（止盈）：价格={}，数量={}，orderId={}", price, volume, orderId);
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submitAlarm("网格止盈成交",
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String.format("卖出价 %s，数量 %s", formatPrice(price), volume.toPlainString()),
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String.format("卖出价 %s，数量 %s", formatPrice(price),
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volume != null ? volume.toPlainString() : "-"),
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AlarmLevel.INFO);
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submitOrderSync(orderId, matched != null ? matched.clientPositionId : "CLOSE", price, volume,
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OrderSide.SELL, OrderStatus.FILLED);
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@ -674,6 +742,77 @@ public class AutoGridStrategy extends BaseStrategy {
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replenishBuyGrids();
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}
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private String resolveSymbol(JSONObject payload) {
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String symbol = payload.getString("symbol");
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if (symbol == null || symbol.isEmpty()) {
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symbol = payload.getString("instId");
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}
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return symbol;
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}
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private boolean isOpenBuy(String side, String tradeSide) {
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if (!"buy".equals(side)) {
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return false;
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}
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return tradeSide == null
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|| "open".equals(tradeSide)
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|| "buy_single".equals(tradeSide);
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}
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private boolean isCloseSell(String side, String tradeSide) {
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if (!"sell".equals(side)) {
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return false;
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}
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return tradeSide == null
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|| "close".equals(tradeSide)
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|| "sell_single".equals(tradeSide)
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|| "reduce_sell_single".equals(tradeSide);
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}
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private BigDecimal firstPositive(BigDecimal... values) {
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if (values == null) {
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return null;
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}
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for (BigDecimal value : values) {
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if (value != null && value.compareTo(BigDecimal.ZERO) > 0) {
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return value;
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}
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}
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return null;
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}
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/**
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* 优先按 exchangeOrderId / clientOid 移除，避免成交价与挂单价不一致导致残留。
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*/
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private GridBuyOrder removePendingBuy(String orderId, String clientOid, BigDecimal price) {
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if (orderId != null) {
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for (Iterator<Map.Entry<String, GridBuyOrder>> it = pendingBuyOrders.entrySet().iterator();
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it.hasNext(); ) {
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Map.Entry<String, GridBuyOrder> entry = it.next();
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GridBuyOrder order = entry.getValue();
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if (orderId.equals(order.exchangeOrderId)) {
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it.remove();
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return order;
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}
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}
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}
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if (clientOid != null) {
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for (Iterator<Map.Entry<String, GridBuyOrder>> it = pendingBuyOrders.entrySet().iterator();
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it.hasNext(); ) {
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Map.Entry<String, GridBuyOrder> entry = it.next();
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GridBuyOrder order = entry.getValue();
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if (clientOid.equals(order.clientOrderId)) {
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it.remove();
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return order;
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}
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}
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}
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if (price != null) {
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return pendingBuyOrders.remove(priceKey(normalizePrice(price)));
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}
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return null;
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}
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// ======================== 交易所同步 ========================
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private void syncOpenOrdersFromExchange() {
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