220 lines
7.4 KiB
Go
220 lines
7.4 KiB
Go
package trade
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import (
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"errors"
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"fmt"
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"log"
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"math"
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"git.apinb.com/bsm-sdk/core/utils"
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"git.apinb.com/quant/strategy/internal/models"
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)
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func (bg *BitgetClient) OpenOrder_market(symbol, side, size string) error {
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// 上涨计算
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// 判断：开仓锁，开仓信号
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if IsLock(symbol, "OPEN."+side) {
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log.Println("103", "判断：开仓锁，开仓信号")
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return errors.New("开仓锁")
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}
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args := map[string]string{
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"productType": "USDT-FUTURES",
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"symbol": symbol,
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"marginMode": "crossed",
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"marginCoin": "USDT",
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"orderType": "market", // 订单类型,limit: 限价单，market: 市价单
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"size": size,
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"side": GetSide(side), // 下单方向: buy,long,多仓，买；sell,short,卖
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"tradeSide": "open", // 开仓
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"force": "fok", // ioc: 无法立即成交的部分就撤销,fok: 无法全部立即成交就撤销,gtc: 普通订单, 订单会一直有效，直到被成交或者取消,限价单limit时必填，若省略则默认为gtc
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"clientOid": GenClientId(),
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}
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resp, err := bg.OrderClient.PlaceOrder(args)
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if err != nil {
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log.Println("[ERROR] #001 OpenOrder", err)
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return err
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}
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log.Println("[INFO] OpenOrder", resp)
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// 加锁
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SetLock(symbol, "OPEN."+side, 5)
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return nil
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}
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func (bg *BitgetClient) OpenOrder_limit(symbol, side, size, price string) error {
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// 上涨计算
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// 判断：开仓锁，开仓信号
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if IsLock(symbol, "OPEN."+side) {
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log.Println("103", "判断：开仓锁，开仓信号")
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return errors.New("开仓锁")
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}
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args := map[string]string{
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"productType": "USDT-FUTURES",
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"symbol": symbol,
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"marginMode": "crossed",
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"marginCoin": "USDT",
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"orderType": "limit", // 订单类型,limit: 限价单，market: 市价单
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"size": size,
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"side": GetSide(side), // 下单方向: buy,long,多仓，买；sell,short,卖
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"tradeSide": "open", // 开仓
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"force": "fok", // ioc: 无法立即成交的部分就撤销,fok: 无法全部立即成交就撤销,gtc: 普通订单, 订单会一直有效，直到被成交或者取消,限价单limit时必填，若省略则默认为gtc
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"price": price,
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"clientOid": GenClientId(),
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}
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resp, err := bg.OrderClient.PlaceOrder(args)
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if err != nil {
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log.Println("[ERROR] #001 OpenOrder", err)
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return err
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}
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log.Println("[INFO] OpenOrder", resp)
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// 加锁
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SetLock(symbol, "OPEN."+side, 5)
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return nil
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}
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func (bg *BitgetClient) CloseOrder(symbol, side, size string) error {
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args := map[string]string{
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"productType": "USDT-FUTURES",
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"symbol": symbol,
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"size": size,
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"side": GetSide(side), // 下单方向: buy,long,多仓，买；sell,short,卖
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"tradeSide": "close", // 平仓
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"marginMode": "crossed",
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"marginCoin": "USDT",
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"orderType": "market",
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}
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_, err := bg.OrderClient.PlaceOrder(args)
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if err != nil {
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log.Println("[ERROR] #004 CloseOrder", err)
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return err
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}
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return nil
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}
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// 网格动态平仓
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func (bg *BitgetClient) Dynamic(scfg *models.StrategyConf, symbol string, qty, currentPrice float64, orders []*models.QuantOrders, closeingProfitRate float64) {
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// 利润率 <= 0时，亏损并没有达到加仓的百分比时，或是超过最大仓位的投入时,返回不做处理
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newMaxMargin := AccountsAssets.Get("USDT").AccountEquity * 0.015
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newMaxMargin = utils.FloatRound(newMaxMargin, 2)
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// 设置止盈率
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for _, row := range orders {
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// 计算利润，计算回报率
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profit, profitRate := bg.calProfitRate_V2(symbol, row.Side, float64(scfg.Leverage), row.OpenPrice, currentPrice, row.Volume)
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// 得到持仓与开仓数量的倍数
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multiple := math.Round(row.Volume / qty)
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if multiple < 1 {
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multiple = 1
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}
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// 根据倍数计算补仓百分比。
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maxAddThreshold := scfg.AddThreshold * multiple * 1.2
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if multiple > 3 {
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maxAddThreshold = scfg.AddThreshold * multiple * 1.6
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}
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// cache key.
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CacheKey := fmt.Sprintf("%s_%s", row.Symbol, row.Side)
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// 网格计算
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NewProfitCell := profitRate / scfg.DefCloseingGridPrice
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NewProfitCell = math.Ceil(NewProfitCell)
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// 打印日志
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log.Println("Dynamic", row.Symbol, row.Side, "Volume:", row.Volume, "OpenPrice:", row.OpenPrice, "Profit:", profit, "ProfitRate", profitRate, "NewProfitCell", NewProfitCell, "closeingProfitRate", closeingProfitRate, "newMaxMargin", newMaxMargin, "maxAddThreshold", maxAddThreshold)
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// 止损处理
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if scfg.StopLossOn && profitRate <= scfg.StopThreshold {
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log.Println("!!! Stop", CacheKey, "StopThreshold", scfg.StopThreshold, "profitRate", profitRate)
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// 平仓
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bg.CloseOrder(row.Symbol, row.Side, utils.Float64ToString(row.Volume))
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continue
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}
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if scfg.AddPositionOn && profitRate <= maxAddThreshold && row.MarginSize < newMaxMargin {
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if !IsLock(symbol, "OPEN."+row.Side) {
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qtyStr := utils.Float64ToString(qty)
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bg.OpenOrder_market(symbol, row.Side, qtyStr)
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SetLock(symbol, "OPEN."+row.Side, 5)
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continue
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}
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}
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// 读取缓存
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lastProfitCell, exists := bg.LastUPL[CacheKey]
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if !exists {
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// 缓存处理: 缓存不存在
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// 收益处理: 收益率达到默认收益率
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if profitRate >= closeingProfitRate {
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log.Println("###", CacheKey, "profit", profit, "profitRate", profitRate, ">=", "closeingProfitRate", closeingProfitRate, "NewProfitCell", NewProfitCell, "newMaxMargin", newMaxMargin)
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bg.LastUPL[CacheKey] = NewProfitCell
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}
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} else {
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log.Println("$$$", CacheKey, "profit", profit, "profitRate", profitRate, ">", "closeingProfitRate", closeingProfitRate, "NewProfitCell", NewProfitCell, "lastProfitCell", lastProfitCell, "newMaxMargin", newMaxMargin)
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if profitRate >= closeingProfitRate {
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// 缓存处理: 存在缓存
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// 判断: NewProfitCell < lastProfitCell 当前最新网格值 < 缓存的上一次网格值
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if NewProfitCell < lastProfitCell {
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// 缓存的收益低于当前的CELL，则平仓。
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log.Println("~~~", CacheKey, "profit:", profit, "ProfitRate", profitRate, " > CloseProfitRate", closeingProfitRate, "LastProfitCell", lastProfitCell, "< NewProfitCell", NewProfitCell)
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// 平仓
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bg.CloseOrder(symbol, row.Side, utils.Float64ToString(row.Volume))
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delete(bg.LastUPL, CacheKey)
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// 更新帐号资金
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_, ac, err := bg.GetFuturesAccountBalance()
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if err != nil {
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log.Println("bg.GetFuturesAccountBalance", err.Error())
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} else {
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AccountsAssets.SetData(ac)
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}
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} else {
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// 高于上次盈利CELL，更新缓存
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log.Println("^^^ Up", CacheKey, "profit:", profit, "ProfitRate", profitRate, " > CloseProfitRate", closeingProfitRate, "ProfitCell", NewProfitCell)
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// 更新缓存
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bg.LastUPL[CacheKey] = NewProfitCell
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}
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}
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}
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}
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}
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func (bg *BitgetClient) calProfitRate_V2(symbol, side string, leverage, avgPrice, currentPrice, volume float64) (profit, profitRate float64) {
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// 计算利润
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switch side {
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case "LONG":
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profit = (currentPrice - avgPrice) * volume
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//Debug("CalculateProfit_Long", symbol, side, "AvgPrice:", avgPrice.String(), "CurrentPrice:", currentPrice.String(), "volume:", volume.String())
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case "SHORT":
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//Debug("CalculateProfit_Short", symbol, side, "AvgPrice:", avgPrice.String(), "CurrentPrice:", currentPrice.String(), "volume:", volume.String())
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profit = (avgPrice - currentPrice) * volume
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}
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// 计算回报率
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if profit == 0 {
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return profit, profitRate
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}
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cost := avgPrice * volume
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actualInvestment := cost / leverage
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profitRate = profit / actualInvestment
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profitRate = utils.FloatRound(profitRate, 3)
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return profit, profitRate
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}
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