package com.sample.trend.strategy;
import com.alibaba.fastjson2.JSONArray;
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;
import vip.uuquant.exhangeapi.core.WebSocketConnectionStatus;
import vip.uuquant.exhangeapi.core.WebSocketMessageHandler;
import vip.uuquant.exhangeapi.enums.*;
import vip.uuquant.exhangeapi.impl.bitget.BitGetClient;
import vip.uuquant.tradesystem.runner.enums.AlarmLevel;
import vip.uuquant.tradesystem.runner.enums.RobotChartType;
import vip.uuquant.tradesystem.runner.strategy.BaseStrategy;
import vip.uuquant.tradesystem.runner.vo.AccountVO;
import vip.uuquant.tradesystem.runner.vo.SymbolVO;
import java.math.BigDecimal;
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;
/**
* 基于 ATR 的动态网格策略(只做多)。
*
* 网格间距 = atr_multiplier × ATR,并限制在 [min_gap, max_gap] 区间。
* 下方买单始终最多挂 1 笔:成交后再挂下一格,不会批量铺满网格。
* 若现价相对挂单价上行超过间距 × 1.5,撤单并按现价重新挂靠下一格,避免买单悬空。
* 采用限价挂单买入,买单成交后在「入场价 + 间距」挂限价卖单止盈。
* 网格间距变化时不撤销已有挂单,已挂卖单价格保持不变。
*/
public class AutoGridStrategy extends BaseStrategy {
private static final String MARGIN_MODE = "crossed";
/**
* 现价高于挂单价超过「间距 × 该倍数」时,撤单重挂
*/
private static final BigDecimal BUY_REBASE_MULTIPLIER = new BigDecimal("1.5");
private final Logger logger = LoggerFactory.getLogger(AutoGridStrategy.class);
// 运行参数
private BigDecimal baseQuantity;
private BigDecimal atrMultiplier;
private String gridGrpScript;
private String klineInterval;
private int klinePeriod;
private int gridAdjustIntervalMinutes;
private BigDecimal minGap;
private BigDecimal maxGap;
private BigDecimal upperBound;
private BigDecimal lowerBound;
private boolean testMode;
private int leverage;
/**
* 最大持仓层数;达到后不再新建买单。待成交买单始终最多 1 笔。
*/
private int gridCount;
// 精度
private int pricePrecision = 2;
private int quantityPrecision = 4;
// 交易所
private BitGetClient bitGetClient;
// 网格状态
private volatile BigDecimal currentPrice;
private volatile BigDecimal currentAtr;
private volatile BigDecimal currentGridGap;
private volatile long lastGridAdjustTime;
private volatile boolean upperBoundPaused;
private volatile boolean lowerBoundPaused;
/**
* 待成交买单:key = 网格价格字符串
*/
private final Map pendingBuyOrders = new ConcurrentHashMap<>();
/**
* 待成交卖单:key = clientPositionId
*/
private final Map pendingSellOrders = new ConcurrentHashMap<>();
/**
* 已成交待止盈的多头仓位
*/
private final List openPositions = new CopyOnWriteArrayList<>();
/**
* 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();
// 图表
private Integer statusChart;
private Integer gridTableChart;
private Long robotId;
// ======================== 内部模型 ========================
private static class GridBuyOrder {
private final String clientOrderId;
private volatile String exchangeOrderId;
private final BigDecimal buyPrice;
GridBuyOrder(String clientOrderId, BigDecimal buyPrice) {
this.clientOrderId = clientOrderId;
this.buyPrice = buyPrice;
}
}
private static class GridSellOrder {
private final String clientOrderId;
private volatile String exchangeOrderId;
private final String clientPositionId;
private final BigDecimal sellPrice;
private final BigDecimal quantity;
GridSellOrder(String clientOrderId, String clientPositionId,
BigDecimal sellPrice, BigDecimal quantity) {
this.clientOrderId = clientOrderId;
this.clientPositionId = clientPositionId;
this.sellPrice = sellPrice;
this.quantity = quantity;
}
}
private static class GridPosition {
private final String clientPositionId;
private final BigDecimal entryPrice;
private final BigDecimal quantity;
/** 开仓时锁定的止盈价,不随 gridGap 变化 */
private final BigDecimal takeProfitPrice;
GridPosition(String clientPositionId, BigDecimal entryPrice, BigDecimal quantity,
BigDecimal takeProfitPrice) {
this.clientPositionId = clientPositionId;
this.entryPrice = entryPrice;
this.quantity = quantity;
this.takeProfitPrice = takeProfitPrice;
}
}
// ======================== WebSocket ========================
private final WebSocketMessageHandler webSocketMessageHandler = new WebSocketMessageHandler() {
@Override
public void onOpen(String connectionId, Response response) {
logger.info("WebSocket 连接成功:{}", connectionId);
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();
}
}
@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;
}
String action = json.getString("action");
JSONObject arg = json.getJSONObject("arg");
if (arg == null) {
return;
}
String channel = arg.getString("channel");
JSONArray data = json.getJSONArray("data");
if (data == null || data.isEmpty()) {
return;
}
if ("ticker".equals(channel)) {
handleTicker(data.getJSONObject(0));
} else if ("fill".equals(channel)
&& ("snapshot".equals(action) || "update".equals(action))) {
for (int i = 0; i < data.size(); i++) {
handleFill(data.getJSONObject(i));
}
} else if ("orders".equals(channel)
&& ("snapshot".equals(action) || "update".equals(action))) {
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);
}
}
@Override
public void onClosing(String connectionId, int code, String reason) {
logger.warn("WebSocket 关闭中:{} {} {}", connectionId, code, reason);
}
@Override
public void onClosed(String connectionId, int code, String reason) {
logger.warn("WebSocket 已关闭:{} {} {}", connectionId, code, reason);
}
@Override
public void onFailure(String connectionId, Throwable throwable, Response response) {
logger.error("WebSocket 异常:{}", connectionId, throwable);
}
@Override
public void onStatusChange(String connectionId, WebSocketConnectionStatus oldStatus,
WebSocketConnectionStatus newStatus) {
logger.info("WebSocket 状态变化:{} {} -> {}", connectionId, oldStatus, newStatus);
}
};
// ======================== 生命周期 ========================
@Override
public void init(JSONObject context) {
super.init(context);
logger.info("ATR 动态网格策略初始化");
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");
minGap = getRunParams().getBigDecimal("min_gap");
maxGap = getRunParams().getBigDecimal("max_gap");
upperBound = getRunParams().getBigDecimal("upper_bound");
lowerBound = getRunParams().getBigDecimal("lower_bound");
testMode = getRunParams().getBooleanValue("test_mode");
leverage = getRunParams().getIntValue("leverage");
if (leverage <= 0) {
leverage = 10;
}
gridCount = getRunParams().getInteger("grid_count");
if (gridCount <= 0) {
throw new IllegalArgumentException("grid_count 必须大于 0");
}
if (lowerBound.compareTo(upperBound) >= 0) {
throw new IllegalArgumentException("lower_bound 必须小于 upper_bound");
}
SymbolVO symbolInfo = getSymbolInfo();
if (symbolInfo != null) {
if (symbolInfo.getPricePrecision() != null) {
pricePrecision = symbolInfo.getPricePrecision();
}
if (symbolInfo.getQuantityPrecision() != null) {
quantityPrecision = symbolInfo.getQuantityPrecision();
}
}
robotId = getRobotConfig().getRobotId();
initBitGetClient();
initCharts();
refreshGridGap(true);
syncOpenOrdersFromExchange();
pruneExcessPendingBuys();
replenishMissingSellOrders();
placeInitialBuyGrids();
createTask(this::syncAccount, 5, 600);
submitAlarm("策略初始化", String.format("ATR 动态网格策略启动,交易对:%s,初始网格间距:%s",
getSymbol(), formatPrice(currentGridGap)), AlarmLevel.INFO);
logger.info("策略初始化完成,网格间距:{},ATR:{}", currentGridGap, currentAtr);
}
@Override
public void run() {
if (currentPrice == null) {
fetchCurrentPriceFromRest();
}
if (currentPrice == null || currentGridGap == null) {
return;
}
try {
checkPriceBounds();
refreshGridGap(false);
replenishMissingSellOrders();
rebaseStalePendingBuy();
replenishBuyGrids();
updateDashboard();
} catch (Exception e) {
logger.error("策略运行异常", e);
}
}
@Override
public void notify(JSONObject data) {
logger.info("收到平台通知:{}", data);
}
@Override
public void destroy() {
logger.info("策略销毁");
try {
removeChart(null);
removeAllTask();
CommonConstant.webSocketManager.closeAll();
submitAlarm("策略销毁", "ATR 动态网格策略已停止", AlarmLevel.WARNING);
} catch (Exception e) {
logger.error("策略销毁异常", e);
}
}
// ======================== 初始化 ========================
private void initBitGetClient() {
bitGetClient = CommonConstant.exchangeFactory.createExchange(ExchangeType.BITGET);
bitGetClient.changeTestMode(testMode);
AccountVO account = getAccount();
bitGetClient.init(account.getApiKey(), account.getSecretKey(), account.getPassphrase(),
CommonConstant.httpClient, CommonConstant.webSocketManager);
try {
bitGetClient.createPublicWebsocket(webSocketMessageHandler);
bitGetClient.createPrivateWebsocket(webSocketMessageHandler);
} catch (Exception e) {
throw new RuntimeException("BitGet WebSocket 连接失败", e);
}
}
private void initCharts() {
statusChart = createChart(RobotChartType.TEXT, "网格状态", 1, 1, 24);
gridTableChart = createChart(RobotChartType.TABLE, "网格明细", 2, 2, 24);
}
// ======================== ATR 与网格间距 ========================
private void refreshGridGap(boolean force) {
long now = System.currentTimeMillis();
long intervalMs = gridAdjustIntervalMinutes * 60_000L;
if (!force && lastGridAdjustTime > 0 && now - lastGridAdjustTime < intervalMs) {
return;
}
try {
BigDecimal atr = fetchAtr();
if (atr == null) {
logger.warn("ATR 计算失败,数据不足");
return;
}
Map 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;
currentAtr = atr;
currentGridGap = gap;
lastGridAdjustTime = now;
if (oldGap != null && oldGap.compareTo(gap) != 0) {
logger.info("网格间距调整:{} -> {}(ATR={})", oldGap, gap, atr);
submitAlarm("网格间距调整",
String.format("间距 %s -> %s,ATR=%s,已有挂单及卖单价格保持不变",
formatPrice(oldGap), formatPrice(gap), formatPrice(atr)),
AlarmLevel.INFO);
}
} catch (Exception e) {
logger.error("刷新网格间距失败", e);
}
}
private Map buildGridScriptVariables(BigDecimal atr) {
Map 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());
params.put("granularity", klineInterval);
params.put("limit", String.valueOf(klinePeriod + 2));
JSONArray klines = bitGetClient.getKLines(params);
if (klines == null || klines.isEmpty()) {
return null;
}
return AtrCalculator.calculate(klines, klinePeriod);
}
// ======================== 价格边界 ========================
private void checkPriceBounds() {
if (currentPrice == null) {
return;
}
if (!upperBoundPaused && currentPrice.compareTo(upperBound) > 0) {
upperBoundPaused = true;
submitAlarm("价格超上限",
String.format("当前价 %s 突破上限 %s,暂停新建买单", formatPrice(currentPrice), formatPrice(upperBound)),
AlarmLevel.WARNING);
} else if (upperBoundPaused && currentPrice.compareTo(upperBound) <= 0) {
upperBoundPaused = false;
submitAlarm("恢复交易", "价格回到上限以内,恢复新建买单", AlarmLevel.INFO);
}
if (!lowerBoundPaused && currentPrice.compareTo(lowerBound) < 0) {
lowerBoundPaused = true;
submitAlarm("价格破下限",
String.format("当前价 %s 跌破下限 %s,暂停新建买单", formatPrice(currentPrice), formatPrice(lowerBound)),
AlarmLevel.ERROR);
} else if (lowerBoundPaused && currentPrice.compareTo(lowerBound) >= 0) {
lowerBoundPaused = false;
submitAlarm("恢复交易", "价格回到下限以上,恢复新建买单", AlarmLevel.INFO);
}
}
private boolean canPlaceBuyOrders() {
return !upperBoundPaused && !lowerBoundPaused;
}
// ======================== 网格挂单 ========================
/**
* 初始化仅挂下方一格买单,与运行中补单逻辑一致。
*/
private void placeInitialBuyGrids() {
if (currentPrice == null || currentGridGap == null) {
fetchCurrentPriceFromRest();
}
replenishBuyGrids();
}
/**
* 无待成交买单时,在现价下方挂一格;已有挂单则不补,保证始终只有 1 笔买单。
*/
private void replenishBuyGrids() {
if (!canPlaceBuyOrders() || currentGridGap == null || currentPrice == null) {
return;
}
synchronized (tradeLock) {
if (!pendingBuyOrders.isEmpty() || openPositions.size() >= gridCount) {
return;
}
BigDecimal nextBuyPrice = findNextAvailableBuyPrice(calcBuyPriceBelowCurrent());
if (nextBuyPrice != null) {
placeLimitBuyOrder(nextBuyPrice);
}
}
}
/**
* 价格单边上行时,下方买单会悬空永远不成交。
* 当 现价 - 挂单价 > 间距 × 1.5 时,撤单并按现价重新对齐挂单(例:1532 / 间距 5 → 1530)。
*/
private void rebaseStalePendingBuy() {
if (!canPlaceBuyOrders() || currentPrice == null || currentGridGap == null
|| currentGridGap.compareTo(BigDecimal.ZERO) <= 0) {
return;
}
synchronized (tradeLock) {
if (pendingBuyOrders.isEmpty()) {
return;
}
GridBuyOrder pending = pendingBuyOrders.values().iterator().next();
BigDecimal distance = currentPrice.subtract(pending.buyPrice);
BigDecimal threshold = currentGridGap.multiply(BUY_REBASE_MULTIPLIER);
if (distance.compareTo(threshold) <= 0) {
return;
}
BigDecimal newPrice = findNextAvailableBuyPrice(calcBuyPriceBelowCurrent());
if (newPrice == null || newPrice.compareTo(pending.buyPrice) == 0) {
return;
}
try {
bitGetClient.cancelOrder(getSymbol(), pending.exchangeOrderId, pending.clientOrderId, null);
pendingBuyOrders.remove(priceKey(pending.buyPrice));
logger.info("买单距现价过远,撤单重挂:旧价={},现价={},间距={},阈值={},新价={}",
pending.buyPrice, currentPrice, currentGridGap, threshold, newPrice);
submitAlarm("买单追价重挂",
String.format("旧挂单价 %s,现价 %s,超过间距×1.5(%s),重挂至 %s",
formatPrice(pending.buyPrice), formatPrice(currentPrice),
formatPrice(threshold), formatPrice(newPrice)),
AlarmLevel.INFO);
placeLimitBuyOrder(newPrice);
} catch (Exception e) {
logger.error("买单追价重挂失败,旧价={}", pending.buyPrice, e);
submitAlarm("买单追价重挂失败",
String.format("旧价 %s:%s", formatPrice(pending.buyPrice), e.getMessage()),
AlarmLevel.ERROR);
}
}
}
/**
* 现价向下对齐到网格,确保严格低于现价。
*/
private BigDecimal calcBuyPriceBelowCurrent() {
if (currentPrice == null || currentGridGap == null
|| currentGridGap.compareTo(BigDecimal.ZERO) <= 0) {
return null;
}
BigDecimal nextBuyPrice = alignPriceDown(currentPrice, currentGridGap);
if (nextBuyPrice.compareTo(currentPrice) >= 0) {
nextBuyPrice = nextBuyPrice.subtract(currentGridGap);
}
return normalizePrice(nextBuyPrice);
}
/**
* 买单成交后,挂「成交价再下一格」的限价买单。
*/
private void placeNextBuyBelow(BigDecimal filledPrice) {
if (!canPlaceBuyOrders() || currentGridGap == null || filledPrice == null) {
return;
}
synchronized (tradeLock) {
if (!pendingBuyOrders.isEmpty() || openPositions.size() >= gridCount) {
return;
}
BigDecimal nextBuyPrice = findNextAvailableBuyPrice(
normalizePrice(filledPrice.subtract(currentGridGap)));
if (nextBuyPrice != null) {
placeLimitBuyOrder(nextBuyPrice);
}
}
}
private void placeLimitBuyOrder(BigDecimal price) {
if (!pendingBuyOrders.isEmpty() || openPositions.size() >= gridCount) {
return;
}
BigDecimal normalizedPrice = normalizePrice(price);
if (normalizedPrice.compareTo(lowerBound) < 0 || normalizedPrice.compareTo(upperBound) > 0) {
return;
}
if (hasBuyOrderAt(normalizedPrice) || hasOpenPositionAtPrice(normalizedPrice)) {
return;
}
String clientOrderId = buildClientOrderId("BUY", normalizedPrice);
try {
JSONObject orderInfo = buildOrderRequest("buy", "open", "limit", normalizedPrice, baseQuantity);
orderInfo.put("clientOid", clientOrderId);
JSONObject result = bitGetClient.placeOrder(orderInfo);
String exchangeOrderId = result.getString("orderId");
GridBuyOrder gridBuyOrder = new GridBuyOrder(clientOrderId, normalizedPrice);
gridBuyOrder.exchangeOrderId = exchangeOrderId;
pendingBuyOrders.put(priceKey(normalizedPrice), gridBuyOrder);
logger.info("挂买单成功:价格={},订单号={}", normalizedPrice, exchangeOrderId);
submitOrderSync(exchangeOrderId, clientOrderId, normalizedPrice, baseQuantity,
OrderSide.BUY, OrderStatus.NEW);
} catch (Exception e) {
logger.error("挂买单失败,价格={}", normalizedPrice, e);
submitAlarm("挂买单失败",
String.format("价格 %s:%s", formatPrice(normalizedPrice), e.getMessage()),
AlarmLevel.ERROR);
}
}
// ======================== 限价卖单止盈 ========================
/**
* 为缺少卖单的持仓补挂限价止盈单(启动恢复或卖单被撤时)。
*/
private void replenishMissingSellOrders() {
synchronized (tradeLock) {
for (GridPosition position : openPositions) {
if (!hasSellOrderFor(position.clientPositionId)) {
placeLimitSellOrder(position);
}
}
}
}
private void placeLimitSellOrder(GridPosition position) {
if (hasSellOrderFor(position.clientPositionId)) {
return;
}
BigDecimal sellPrice = position.takeProfitPrice;
if (sellPrice.compareTo(upperBound) > 0) {
logger.warn("止盈价 {} 超过上限 {},跳过挂卖单", sellPrice, upperBound);
return;
}
String clientOrderId = buildClientOrderId("SELL", position.entryPrice);
try {
JSONObject orderInfo = buildOrderRequest("buy", "close", "limit", sellPrice,
position.quantity);
orderInfo.put("clientOid", clientOrderId);
JSONObject result = bitGetClient.placeOrder(orderInfo);
String exchangeOrderId = result.getString("orderId");
GridSellOrder sellOrder = new GridSellOrder(clientOrderId, position.clientPositionId,
sellPrice, position.quantity);
sellOrder.exchangeOrderId = exchangeOrderId;
pendingSellOrders.put(position.clientPositionId, sellOrder);
logger.info("挂卖单成功:入场={},止盈价={},数量={},订单号={}",
position.entryPrice, sellPrice, position.quantity, exchangeOrderId);
submitOrderSync(exchangeOrderId, clientOrderId, sellPrice, position.quantity,
OrderSide.SELL, OrderStatus.NEW);
} catch (Exception e) {
logger.error("挂卖单失败,入场价={},止盈价={}", position.entryPrice, sellPrice, e);
submitAlarm("挂卖单失败",
String.format("入场 %s,止盈 %s:%s",
formatPrice(position.entryPrice), formatPrice(sellPrice), e.getMessage()),
AlarmLevel.ERROR);
}
}
private boolean hasSellOrderFor(String clientPositionId) {
return pendingSellOrders.containsKey(clientPositionId);
}
// ======================== WebSocket 事件处理 ========================
private void handleTicker(JSONObject ticker) {
String symbol = resolveSymbol(ticker);
if (!getPlainSymbol().equals(symbol)) {
return;
}
// 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 = resolveSymbol(fill);
if (!getPlainSymbol().equals(symbol)) {
return;
}
String side = fill.getString("side");
String tradeSide = fill.getString("tradeSide");
BigDecimal price = fill.getBigDecimal("price");
BigDecimal volume = fill.getBigDecimal("baseVolume");
String orderId = fill.getString("orderId");
String clientOid = fill.getString("clientOid");
if (isOpenBuy(side, tradeSide)) {
onBuyFilled(price, volume, orderId, clientOid, price);
} else if (isCloseBuy(side, tradeSide)) {
onSellFilled(price, volume, orderId, clientOid);
}
}
/**
* 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 = resolveSymbol(order);
if (!getPlainSymbol().equals(symbol)) {
return;
}
String status = order.getString("status");
String side = order.getString("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 (isOpenBuy(side, tradeSide)) {
removePendingBuy(orderId, clientOid, orderPrice);
} else if (isCloseBuy(side, tradeSide)) {
removePendingSell(orderId, clientOid, orderPrice);
}
return;
}
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 (isCloseBuy(side, tradeSide)) {
onSellFilled(fillPrice, volume, orderId, clientOid);
}
}
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;
}
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;
}
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) {
processedBuyFillOrderIds.remove(orderId);
}
logger.warn("网格间距未就绪,无法处理买单成交,orderId={}", orderId);
return;
}
BigDecimal tpPrice = normalizePrice(gridPrice.add(currentGridGap));
GridPosition position = new GridPosition(clientPositionId, gridPrice, volume, tpPrice);
openPositions.add(position);
logger.info("买单成交:网格价={},成交价={},数量={},止盈价={},orderId={}",
gridPrice, fillPrice, volume, tpPrice, orderId);
submitAlarm("网格买入成交",
String.format("买入价 %s,数量 %s,挂卖单止盈 %s(间距 %s)",
formatPrice(gridPrice), volume.toPlainString(),
formatPrice(tpPrice), formatPrice(currentGridGap)),
AlarmLevel.INFO);
submitOrderSync(orderId, clientPositionId, gridPrice, volume, OrderSide.BUY, OrderStatus.FILLED);
submitPositionSync(clientPositionId, gridPrice, volume, true);
placeLimitSellOrder(position);
placeNextBuyBelow(gridPrice);
}
}
private void onSellFilled(BigDecimal price, BigDecimal volume, String orderId, String clientOid) {
if (orderId != null && !processedSellFillOrderIds.add(orderId)) {
return;
}
synchronized (tradeLock) {
GridSellOrder pendingSell = removePendingSell(orderId, clientOid, null);
GridPosition matched = null;
if (pendingSell != null) {
for (GridPosition position : openPositions) {
if (position.clientPositionId.equals(pendingSell.clientPositionId)) {
matched = position;
break;
}
}
}
if (matched == null && clientOid != null) {
BigDecimal entryPrice = parseEntryPriceFromClientOid(clientOid);
if (entryPrice != null) {
String posId = "POS_" + entryPrice.toPlainString();
for (GridPosition position : openPositions) {
if (position.clientPositionId.equals(posId)) {
matched = position;
break;
}
}
}
}
if (matched != null) {
openPositions.remove(matched);
pendingSellOrders.remove(matched.clientPositionId);
submitPositionSync(matched.clientPositionId, price, matched.quantity, false);
}
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 != null ? volume.toPlainString() : "-"),
AlarmLevel.INFO);
submitOrderSync(orderId, matched != null ? matched.clientPositionId : "CLOSE", price, volume,
OrderSide.SELL, OrderStatus.FILLED);
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 isCloseBuy(String side, String tradeSide) {
return "buy".equals(side) && "close".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;
}
private GridSellOrder removePendingSell(String orderId, String clientOid, BigDecimal price) {
if (orderId != null) {
for (Iterator> it = pendingSellOrders.entrySet().iterator();
it.hasNext(); ) {
Map.Entry entry = it.next();
GridSellOrder order = entry.getValue();
if (orderId.equals(order.exchangeOrderId)) {
it.remove();
return order;
}
}
}
if (clientOid != null) {
for (Iterator> it = pendingSellOrders.entrySet().iterator();
it.hasNext(); ) {
Map.Entry entry = it.next();
GridSellOrder order = entry.getValue();
if (clientOid.equals(order.clientOrderId)) {
it.remove();
return order;
}
}
}
if (price != null) {
BigDecimal normalized = normalizePrice(price);
for (Iterator> it = pendingSellOrders.entrySet().iterator();
it.hasNext(); ) {
Map.Entry entry = it.next();
GridSellOrder order = entry.getValue();
if (normalized.compareTo(order.sellPrice) == 0) {
it.remove();
return order;
}
}
}
return null;
}
/**
* 从 clientOid(SELL_{symbol}_{entryPrice}_{ts})解析入场价。
*/
private BigDecimal parseEntryPriceFromClientOid(String clientOid) {
if (clientOid == null || !clientOid.startsWith("SELL_")) {
return null;
}
String plainSymbol = getPlainSymbol();
String prefix = "SELL_" + plainSymbol + "_";
if (!clientOid.startsWith(prefix)) {
return null;
}
String remainder = clientOid.substring(prefix.length());
int lastUnderscore = remainder.lastIndexOf('_');
if (lastUnderscore <= 0) {
return null;
}
try {
return normalizePrice(new BigDecimal(remainder.substring(0, lastUnderscore)));
} catch (NumberFormatException e) {
return null;
}
}
// ======================== 交易所同步 ========================
private void syncOpenOrdersFromExchange() {
try {
JSONArray openOrders = bitGetClient.getOpenOrders(getSymbol());
if (openOrders == null) {
return;
}
int buyCount = 0;
int sellCount = 0;
for (int i = 0; i < openOrders.size(); i++) {
JSONObject order = openOrders.getJSONObject(i);
String side = order.getString("side");
String tradeSide = order.getString("tradeSide");
BigDecimal price = normalizePrice(order.getBigDecimal("price"));
String clientOid = order.getString("clientOid");
String exchangeOrderId = order.getString("orderId");
BigDecimal quantity = firstPositive(
order.getBigDecimal("size"),
order.getBigDecimal("baseVolume"));
if ("buy".equals(side) && "open".equals(tradeSide)) {
if (clientOid == null) {
clientOid = "SYNC_BUY_" + price.toPlainString();
}
GridBuyOrder gridBuyOrder = new GridBuyOrder(clientOid, price);
gridBuyOrder.exchangeOrderId = exchangeOrderId;
pendingBuyOrders.put(priceKey(price), gridBuyOrder);
buyCount++;
} else if ("buy".equals(side) && "close".equals(tradeSide)) {
if (clientOid == null) {
clientOid = "SYNC_SELL_" + price.toPlainString();
}
BigDecimal entryPrice = parseEntryPriceFromClientOid(clientOid);
String clientPositionId = entryPrice != null
? "POS_" + entryPrice.toPlainString()
: "SYNC_POS_" + price.toPlainString();
if (quantity == null) {
quantity = baseQuantity;
}
GridSellOrder sellOrder = new GridSellOrder(clientOid, clientPositionId, price, quantity);
sellOrder.exchangeOrderId = exchangeOrderId;
pendingSellOrders.put(clientPositionId, sellOrder);
sellCount++;
if (entryPrice != null && !hasOpenPosition(clientPositionId)) {
openPositions.add(new GridPosition(clientPositionId, entryPrice, quantity, price));
}
}
}
logger.info("同步挂单:买单 {} 笔,卖单 {} 笔", buyCount, sellCount);
} catch (Exception e) {
logger.warn("同步挂单失败:{}", e.getMessage());
}
}
private boolean hasOpenPosition(String clientPositionId) {
for (GridPosition position : openPositions) {
if (position.clientPositionId.equals(clientPositionId)) {
return true;
}
}
return false;
}
/**
* 若交易所上残留多笔买单,只保留最靠近现价(价格最高)的一笔,撤销其余。
*/
private void pruneExcessPendingBuys() {
if (pendingBuyOrders.size() <= 1) {
return;
}
synchronized (tradeLock) {
GridBuyOrder keep = pendingBuyOrders.values().stream()
.max(Comparator.comparing(o -> o.buyPrice))
.orElse(null);
if (keep == null) {
return;
}
List extras = new ArrayList<>();
for (GridBuyOrder order : pendingBuyOrders.values()) {
if (order.buyPrice.compareTo(keep.buyPrice) != 0) {
extras.add(order);
}
}
for (GridBuyOrder order : extras) {
try {
bitGetClient.cancelOrder(getSymbol(), order.exchangeOrderId, order.clientOrderId, null);
pendingBuyOrders.remove(priceKey(order.buyPrice));
logger.info("撤销多余买单:价格={},订单号={}", order.buyPrice, order.exchangeOrderId);
} catch (Exception e) {
logger.error("撤销多余买单失败,价格={}", order.buyPrice, e);
}
}
if (!extras.isEmpty()) {
submitAlarm("清理多余挂单",
String.format("仅保留最靠近现价的买单 %s,已撤销 %d 笔",
formatPrice(keep.buyPrice), extras.size()),
AlarmLevel.INFO);
}
}
}
private void fetchCurrentPriceFromRest() {
try {
JSONObject ticker = bitGetClient.getTicker(getSymbol());
if (ticker != null) {
BigDecimal last = ticker.getBigDecimal("lastPr");
if (last == null) {
last = ticker.getBigDecimal("last");
}
currentPrice = last;
}
} catch (Exception e) {
logger.warn("获取 ticker 失败:{}", e.getMessage());
}
}
private void syncAccount() {
try {
JSONArray balance = bitGetClient.getBalance();
for (int i = 0; i < balance.size(); i++) {
JSONObject item = balance.getJSONObject(i);
if ("USDT".equals(item.getString("marginCoin"))) {
updateAccountBalance(
item.getBigDecimal("accountEquity"),
item.getBigDecimal("available"),
item.getBigDecimal("locked"));
}
}
} catch (Exception e) {
logger.error("同步账户失败", e);
}
}
// ======================== 平台数据同步 ========================
private void submitOrderSync(String orderId, String clientOrderId, BigDecimal price,
BigDecimal qty, OrderSide side, OrderStatus status) {
if (robotId == null) {
return;
}
JSONObject orderInfo = new JSONObject();
orderInfo.put("robotId", robotId);
orderInfo.put("clientOrderId", clientOrderId);
orderInfo.put("orderId", orderId);
orderInfo.put("price", price);
orderInfo.put("origQty", qty);
orderInfo.put("symbol", getSymbol());
orderInfo.put("leverage", leverage);
orderInfo.put("side", side);
orderInfo.put("positionSide", PositionSide.LONG);
orderInfo.put("orderStatus", status);
submitOrder(orderInfo);
}
private void submitPositionSync(String clientPositionId, BigDecimal price,
BigDecimal qty, boolean open) {
if (robotId == null) {
return;
}
JSONObject positionInfo = new JSONObject();
positionInfo.put("robotId", robotId);
positionInfo.put("clientPositionId", clientPositionId);
positionInfo.put("symbol", getSymbol());
positionInfo.put("leverage", leverage);
positionInfo.put("positionSide", PositionSide.LONG);
positionInfo.put("marginType", MarginType.CROSSED);
positionInfo.put("openAvgPrice", price);
positionInfo.put("qty", qty);
positionInfo.put("qtyUnit", QtyUnitType.COIN);
positionInfo.put("positionStatus", open ? PositionStatus.POSITION : PositionStatus.CLOSED);
submitPosition(positionInfo);
}
// ======================== 仪表盘 ========================
private void updateDashboard() {
if (statusChart == null) {
return;
}
StringBuilder sb = new StringBuilder();
sb.append("时间:").append(LocalDateTime.now()).append("
");
sb.append("当前价:").append(formatPrice(currentPrice)).append("
");
sb.append("ATR:").append(formatPrice(currentAtr)).append("
");
sb.append("网格间距:").append(formatPrice(currentGridGap)).append("
");
sb.append("待成交买单:").append(pendingBuyOrders.size()).append(" / 1 笔
");
sb.append("待成交卖单:").append(pendingSellOrders.size()).append(" 笔
");
sb.append("持仓待止盈:").append(openPositions.size())
.append(" / ").append(gridCount).append(" 层
");
sb.append("上限暂停:").append(upperBoundPaused ? "是" : "否").append("
");
sb.append("下限暂停:").append(lowerBoundPaused ? "是" : "否").append("
");
JSONObject style = new JSONObject();
style.put("fontSize", "14px");
updateText(statusChart, sb.toString(), style);
updateGridTable();
}
private void updateGridTable() {
if (gridTableChart == null || currentGridGap == null) {
return;
}
JSONArray rows = new JSONArray();
List pending = new ArrayList<>(pendingBuyOrders.values());
pending.sort(Comparator.comparing(o -> o.buyPrice, Comparator.reverseOrder()));
for (GridBuyOrder order : pending) {
JSONObject row = new JSONObject();
row.put("type", "待成交买单");
row.put("price", formatPrice(order.buyPrice));
row.put("quantity", baseQuantity.toPlainString());
row.put("takeProfit", "-");
rows.add(row);
}
List pendingSells = new ArrayList<>(pendingSellOrders.values());
pendingSells.sort(Comparator.comparing(o -> o.sellPrice, Comparator.reverseOrder()));
for (GridSellOrder order : pendingSells) {
JSONObject row = new JSONObject();
row.put("type", "待成交卖单");
row.put("price", formatPrice(order.sellPrice));
row.put("quantity", order.quantity.toPlainString());
row.put("takeProfit", formatPrice(order.sellPrice));
rows.add(row);
}
List positions = new ArrayList<>(openPositions);
positions.sort(Comparator.comparing(p -> p.entryPrice, Comparator.reverseOrder()));
for (GridPosition position : positions) {
JSONObject row = new JSONObject();
row.put("type", "持仓");
row.put("price", formatPrice(position.entryPrice));
row.put("quantity", position.quantity.toPlainString());
row.put("takeProfit", formatPrice(position.takeProfitPrice));
rows.add(row);
}
JSONObject option = new JSONObject();
option.put("height", 400);
JSONArray columns = new JSONArray();
columns.add(buildColumn("类型", "type", 120));
columns.add(buildColumn("价格", "price", 150));
columns.add(buildColumn("数量", "quantity", 150));
columns.add(buildColumn("止盈价", "takeProfit", 150));
option.put("column", columns);
ApiResult result = updateTable(gridTableChart, rows, option);
if (result.getCode() != 200) {
logger.debug("更新表格失败:{}", result.getMsg());
}
}
private JSONObject buildColumn(String label, String prop, int width) {
JSONObject col = new JSONObject();
col.put("label", label);
col.put("prop", prop);
col.put("width", width);
return col;
}
// ======================== 工具方法 ========================
private JSONObject buildOrderRequest(String side, String tradeSide, String orderType,
BigDecimal price, BigDecimal size) {
JSONObject orderInfo = new JSONObject();
orderInfo.put("symbol", getPlainSymbol());
orderInfo.put("marginMode", MARGIN_MODE);
orderInfo.put("size", normalizeQuantity(size).toPlainString());
orderInfo.put("side", side);
orderInfo.put("tradeSide", tradeSide);
orderInfo.put("orderType", orderType);
if (price != null) {
orderInfo.put("price", normalizePrice(price).toPlainString());
}
return orderInfo;
}
private boolean hasBuyOrderAt(BigDecimal price) {
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);
}
BigDecimal steps = price.divide(gap, 0, RoundingMode.DOWN);
return normalizePrice(steps.multiply(gap));
}
private BigDecimal normalizePrice(BigDecimal price) {
return price.setScale(pricePrecision, RoundingMode.HALF_UP);
}
private BigDecimal normalizeQuantity(BigDecimal qty) {
return qty.setScale(quantityPrecision, RoundingMode.DOWN);
}
private String priceKey(BigDecimal price) {
return normalizePrice(price).toPlainString();
}
private String formatPrice(BigDecimal price) {
if (price == null) {
return "-";
}
return normalizePrice(price).toPlainString();
}
private String buildClientOrderId(String prefix, BigDecimal price) {
return prefix + "_" + getPlainSymbol() + "_" + price.toPlainString() + "_" + System.currentTimeMillis();
}
}