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384 lines
19 KiB
384 lines
19 KiB
using Binance.TradeRobot.Business.Extensions;
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using Binance.TradeRobot.Common.DI;
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using Binance.TradeRobot.Common.Extensions;
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using Binance.TradeRobot.Model.Base;
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using Binance.TradeRobot.Model.Db;
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using Binance.TradeRobot.Model.Dto;
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using Binance.TradeRobot.Model.RuningInfo;
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using Microsoft.Extensions.Caching.Memory;
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using Microsoft.Extensions.DependencyInjection;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Threading;
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using Yitter.IdGenerator;
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namespace Binance.TradeRobot.Business
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{
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[BatchRegistration(ServiceLifetime.Singleton, RegistrationType.Interface)]
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public class D21TradeBusiness : BaseTradeBusiness, ITradeBusiness
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{
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public Enums.TradePolicy TradePolicy => Enums.TradePolicy.D21;
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public D21TradeBusiness(IFreeSql fsql, NLogManager logManager, IIdGenerator idGenerator, IMemoryCache memoryCache, DingBusiness dingBusiness, GlobalContext globalContext) : base(fsql, logManager, idGenerator, memoryCache, dingBusiness, globalContext)
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{
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}
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public void TrendChanged<T, T1>(T singalRequest, T1 robot, SymbolInfoResponse symbolInfo) where T : BaseSingalRequest where T1 : RobotResponse
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{
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var logList = new List<ExecutionLog>();
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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RobotId = robot.Id,
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CreateTime = DateTime.Now,
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SourceSingal = singalRequest.SingalType,
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Content = $"收到信号{singalRequest.SingalType}"
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});
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try
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{
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fsql.Insert(logList).ExecuteAffrows();
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var d21RuningInfo = RedisHelper.Get<D21RuningInfo>(robot.Id.ToString()) ?? new D21RuningInfo() { RobotId = robot.Id };
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d21RuningInfo.RecentSmallTrendSingal = singalRequest.SingalType;
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RedisHelper.Set(robot.Id.ToString(), d21RuningInfo);
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}
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catch (Exception ex)
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{
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HandleError(ex, singalRequest.SingalType, logList, robot, string.Empty);
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}
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}
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public void LongCross<T, T1>(T singalRequest, T1 robot, bool isRemedy, SymbolInfoResponse symbolInfo) where T : BaseSingalRequest where T1 : RobotResponse
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{
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string step = string.Empty;
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var logList = new List<ExecutionLog>();
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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SourceSingal = singalRequest.SingalType,
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RobotId = robot.Id,
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CreateTime = DateTime.Now,
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Content = $"收到信号{singalRequest.SingalType}{(isRemedy ? "(补救)" : string.Empty)}"
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});
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try
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{
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var d21RuningInfo = RedisHelper.Get<D21RuningInfo>(robot.Id.ToString()) ?? new D21RuningInfo() { RobotId = robot.Id };
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#region 验证信号
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step = "验证信号";
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if (!isRemedy)
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{
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if (d21RuningInfo.ErrorCrossSingal != null)
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{
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d21RuningInfo.ErrorCrossSingal = null;
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d21RuningInfo.ErrorCrossSingalTime = 0;
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RedisHelper.Set(robot.Id.ToString(), d21RuningInfo);
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throw new BusinessException("前一个信号错误,终止多交叉信号执行");
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}
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if (d21RuningInfo.RecentSmallTrendSingal == null)
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throw new BusinessException("缺少小趋势,终止多交叉信号执行");
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if (d21RuningInfo.RecentSmallTrendSingal == Enums.SingalType.小趋势看空)
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{
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var errorTimeStamp = DateTime.Now.GetKID(singalRequest.KLinePeriodic, false);
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Thread.Sleep(5000); //防止多交叉和小趋势看多同时接收造成误判
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d21RuningInfo = RedisHelper.Get<D21RuningInfo>(robot.Id.ToString()) ?? new D21RuningInfo() { RobotId = robot.Id };
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if (d21RuningInfo.RecentSmallTrendSingal == Enums.SingalType.小趋势看空)
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{
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d21RuningInfo.ErrorCrossSingal = singalRequest.SingalType;
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d21RuningInfo.ErrorCrossSingalTime = errorTimeStamp;
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RedisHelper.Set(robot.Id.ToString(), d21RuningInfo);
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throw new BusinessException("小趋势看空,终止多交叉信号执行");
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}
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}
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}
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#endregion
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#region 限制追高
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var d21Robot = robot as D21PolicyRobotResponse;
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var newestPrice = globalContext.GetSpotNewestPrice(robot.KLineKey) ?? singalRequest.ClosePrice;
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step = "限制追高";
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if (d21RuningInfo.RecentShortCrossSignalTradePrice != null && newestPrice > d21RuningInfo.RecentShortCrossSignalTradePrice)
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{
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var diffRatio = Math.Round((newestPrice / d21RuningInfo.RecentShortCrossSignalTradePrice.Value - 1) * 100, 2);
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if (diffRatio > d21Robot.D21Policy.MaxFollowPurchaseRatio)
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{
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throw new BusinessException($"触发追高限制,最近空交叉成交价{d21RuningInfo.RecentShortCrossSignalTradePrice},当前价格{newestPrice},最大追高比例{d21Robot.D21Policy.MaxFollowPurchaseRatio}%,当前追高比例{diffRatio}%,终止多交叉信号执行");
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}
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}
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#endregion
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#region 获取账户余额
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step = "获取账户余额";
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var apiClient = GetBaseAPIClient(robot.ExchangeId, robot.ExchangeAPIKey.AccountId, robot.ExchangeAPIKey.APIKey, robot.ExchangeAPIKey.SecretKey);
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//逐仓杠杆账户余额
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var balance = apiClient.GetIsolatedMarginAccountAssets().FirstOrDefault(m => m.Symbol == robot.Symbol)?.QuoteFree ?? 0M;
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if (balance == 0M)
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throw new BusinessException("可用资产为0");
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#endregion
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#region 计算下单数量
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step = "计算下单数量";
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var diffAmount = 0M; //下单缺口金额
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var accountLoanAmount = robot.RobotAccount.LoanAmount; //账户借币金额
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var previewTradeAmount = d21Robot.D21Policy.Position; //预估交易额
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if (balance < previewTradeAmount)
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{
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#region 验证借币
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step = "验证借币";
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diffAmount = previewTradeAmount - balance;
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var diffRatio = Math.Round(diffAmount / balance * 100, 2); //借币比例
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#region 验证策略中的最大借币比例
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if (diffRatio > d21Robot.D21Policy.MaxExchangeLoanRatio)
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{
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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SourceSingal = Enums.SingalType.多交叉,
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RobotId = robot.Id,
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CreateTime = DateTime.Now,
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Content = $"触发策略中交易所最大借币比例限制,交易所最大借币比例{d21Robot.D21Policy.MaxExchangeLoanRatio}%,当前借币比例{diffRatio}%,下单仓位:{previewTradeAmount},账户余额:{balance},按交易所最大借币比例借币"
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});
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//diffAmount = previewTradeAmount * (d21Robot.D21Policy.MaxExchangeLoanRatio / 100M);
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diffAmount = balance * (d21Robot.D21Policy.MaxExchangeLoanRatio / 100M);
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//previewTradeAmount = balance + diffAmount; //在策略允许的借币比例范围内的最大下单金额
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}
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#endregion
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#region 验证交易所的最大可借额度
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try
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{
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step = "验证交易所的最大可借额度";
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var exchangeMaxLoanAmount = apiClient.QueryMaxLoanAmount(robot.Symbol);
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if (exchangeMaxLoanAmount < diffAmount)
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{
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if (exchangeMaxLoanAmount == 0M)
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throw new Exception("可借额度为0");
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diffAmount = exchangeMaxLoanAmount;
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}
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previewTradeAmount = balance + diffAmount;
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}
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catch (Exception borrowex)
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{
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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SourceSingal = Enums.SingalType.多交叉,
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RobotId = robot.Id,
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CreateTime = DateTime.Now,
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Content = $"验证交易所的最大可借额度失败 {borrowex.Message}"
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});
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previewTradeAmount = balance; //无法借币,使用余额下单
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diffAmount = 0M;
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}
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#endregion
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#endregion
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}
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#endregion
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#region 借币
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if (diffAmount > 0M)
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{
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step = "借币";
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try
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{
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var loanResponse = apiClient.IsolatedMarginLoan(robot.Symbol, diffAmount);
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diffAmount = loanResponse.CurrentLoanAmount;
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accountLoanAmount = loanResponse.AccountLoanAmount;
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}
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catch (Exception borrowex)
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{
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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SourceSingal = Enums.SingalType.多交叉,
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RobotId = robot.Id,
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CreateTime = DateTime.Now,
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Content = $"借币失败 {borrowex.Message}"
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});
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previewTradeAmount = balance; //无法借币,使用余额下单
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diffAmount = 0M;
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}
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}
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#endregion
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#region 下单
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step = "下单";
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var clientOrderId = CreateClientOrderId(robot.Id, robot.TradePolicy);
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var orderId = apiClient.IsolatedMarginPlaceOrder(robot.Symbol,
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Enums.TradeDirection.Buy,
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Enums.OrderType.MARKET,
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quoteAmount: previewTradeAmount,
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newClientOrderId: clientOrderId);
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var buyOrder = new SpotOrder()
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{
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Id = orderId,
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ClientOrderId = clientOrderId,
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CreateTime = DateTime.Now,
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ExchangeId = robot.ExchangeId,
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LoanAmount = diffAmount,
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OrderType = Enums.OrderType.MARKET,
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PolicyType = Enums.TradePolicy.D21,
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RobotId = robot.Id,
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State = Enums.SpotOrderState.Created,
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Symbol = robot.Symbol,
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TradeDirection = Enums.TradeDirection.Buy
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};
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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SourceSingal = singalRequest.SingalType,
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RobotId = robot.Id,
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OrderId = orderId,
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CreateTime = DateTime.Now,
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Content = $"市价买单挂单成功,订单号:{orderId},挂单金额:{previewTradeAmount},借币金额:{diffAmount}"
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});
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fsql.Transaction(() =>
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{
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fsql.Insert(logList).ExecuteAffrows();
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fsql.Insert(buyOrder).ExecuteAffrows();
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if (diffAmount > 0M)
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fsql.Update<RobotAccount>(robot.RobotAccount.Id).Set(ra => ra.LoanAmount, accountLoanAmount).ExecuteAffrows();
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if (previewTradeAmount != d21Robot.D21Policy.Position) //借币失败 仓位减少
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fsql.Update<D21Policy>(d21Robot.D21Policy.Id).Set(d => d.Position, previewTradeAmount).ExecuteAffrows();
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});
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#endregion
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}
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catch (Exception ex)
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{
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HandleError(ex, singalRequest.SingalType, logList, robot, step);
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}
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}
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public void ShortCross<T, T1>(T singalRequest, T1 robot, bool isRemedy, SymbolInfoResponse symbolInfo) where T : BaseSingalRequest where T1 : RobotResponse
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{
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string step = string.Empty;
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var logList = new List<ExecutionLog>();
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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SourceSingal = singalRequest.SingalType,
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RobotId = robot.Id,
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CreateTime = DateTime.Now,
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Content = $"收到信号{singalRequest.SingalType}{(isRemedy ? "(补救)" : string.Empty)}"
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});
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try
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{
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var d21RuningInfo = RedisHelper.Get<D21RuningInfo>(robot.Id.ToString()) ?? new D21RuningInfo() { RobotId = robot.Id };
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#region 验证信号
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step = "验证信号";
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if (!isRemedy)
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{
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if (d21RuningInfo.ErrorCrossSingal != null)
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{
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d21RuningInfo.ErrorCrossSingal = null;
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d21RuningInfo.ErrorCrossSingalTime = 0;
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RedisHelper.Set(robot.Id.ToString(), d21RuningInfo);
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throw new BusinessException("前一个信号错误,终止空交叉信号执行");
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}
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if (d21RuningInfo.RecentSmallTrendSingal == null)
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throw new BusinessException("缺少小趋势,终止空交叉信号执行");
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if (d21RuningInfo.RecentSmallTrendSingal == Enums.SingalType.小趋势看多)
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{
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var errorTimeStamp = DateTime.Now.GetKID(singalRequest.KLinePeriodic, false);
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Thread.Sleep(5000); //防止空交叉和小趋势看空同时接收造成误判
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d21RuningInfo = RedisHelper.Get<D21RuningInfo>(robot.Id.ToString()) ?? new D21RuningInfo() { RobotId = robot.Id };
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if (d21RuningInfo.RecentSmallTrendSingal == Enums.SingalType.小趋势看多)
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{
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d21RuningInfo.ErrorCrossSingal = singalRequest.SingalType;
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d21RuningInfo.ErrorCrossSingalTime = errorTimeStamp;
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RedisHelper.Set(robot.Id.ToString(), d21RuningInfo);
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throw new BusinessException("小趋势看多,终止空交叉信号执行");
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}
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}
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}
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#endregion
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#region 取消止损限价单
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step = "取消止损限价单";
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CancelStopLossOrder(robot);
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#endregion
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#region 查询卖币数量
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step = "查询卖币数量";
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Thread.Sleep(1000);
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var apiClient = GetBaseAPIClient(robot.ExchangeId, robot.ExchangeAPIKey.AccountId, robot.ExchangeAPIKey.APIKey, robot.ExchangeAPIKey.SecretKey);
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var isolatedMarginAccountAssetList = apiClient.GetIsolatedMarginAccountAssets();
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var currentAsset = isolatedMarginAccountAssetList.FirstOrDefault(x => x.Symbol == robot.Symbol);
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var saleQuantity = currentAsset.BaseFree.CutDecimal(symbolInfo.SaleQuantityAccuracy);
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if (saleQuantity == 0M)
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throw new BusinessException("没有足够的卖币数量");
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//var saleQuantity = robot.RobotAccount.SpotCurrencyQuantity.CutDecimal(symbolInfo.SaleQuantityAccuracy);
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//if (saleQuantity == 0M)
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// throw new BusinessException("没有足够的卖币数量");
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#endregion
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#region 下单
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step = "下单";
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var newestPrice = globalContext.GetSpotNewestPrice(robot.KLineKey) ?? singalRequest.ClosePrice;
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var clientOrderId = CreateClientOrderId(robot.Id, robot.TradePolicy);
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var orderId = apiClient.IsolatedMarginPlaceOrder(robot.Symbol,
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Enums.TradeDirection.Sell,
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Enums.OrderType.MARKET,
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quantity: saleQuantity,
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newClientOrderId: clientOrderId);
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var sellOrder = new SpotOrder()
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{
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Id = orderId,
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ClientOrderId = clientOrderId,
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CreateTime = DateTime.Now,
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ExchangeId = robot.ExchangeId,
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OrderType = Enums.OrderType.MARKET,
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PolicyType = Enums.TradePolicy.D21,
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RobotId = robot.Id,
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State = Enums.SpotOrderState.Created,
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Symbol = robot.Symbol,
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TradeDirection = Enums.TradeDirection.Sell
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};
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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SourceSingal = singalRequest.SingalType,
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RobotId = robot.Id,
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OrderId = orderId,
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CreateTime = DateTime.Now,
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Content = $"市价卖单挂单成功,订单号:{orderId},挂单数量:{saleQuantity}"
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});
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fsql.Transaction(() =>
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{
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fsql.Insert(logList).ExecuteAffrows();
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fsql.Insert(sellOrder).ExecuteAffrows();
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});
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#endregion
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#region 更新空交叉卖出成功时的成交价
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d21RuningInfo.RecentShortCrossSignalTradePrice = newestPrice;
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RedisHelper.Set(robot.Id.ToString(), d21RuningInfo);
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#endregion
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}
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catch (Exception ex)
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{
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HandleError(ex, singalRequest.SingalType, logList, robot, step);
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}
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}
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}
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}
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