From 0d73531bb19dbd71406091efb47ff19c8dc9eed9 Mon Sep 17 00:00:00 2001 From: N1KO Date: Wed, 17 Dec 2025 19:50:08 +0800 Subject: [PATCH] opt --- .cursor/commands/aipexbase-mcp-server.md | 0 .../AppleInventoryScheduleHandler.java | 24 +- .../main/resources/templates/json-parse.html | 78 ++++- baogutang-strategy/pom.xml | 84 +++++ .../baogutang/strategy/AppApplication.java | 131 ++++++++ .../strategy/alerts/AlertChannel.java | 11 + .../alerts/CompositeAlertChannel.java | 23 ++ .../strategy/alerts/ConsoleAlertChannel.java | 26 ++ .../strategy/alerts/DingTalkRobotChannel.java | 89 +++++ .../strategy/backtests/BacktestEngine.java | 70 ++++ .../strategy/backtests/BacktestResult.java | 52 +++ .../strategy/backtests/CsvLoader.java | 25 ++ .../strategy/backtests/EquityCurvePoint.java | 21 ++ .../commons/configs/AppProperties.java | 314 ++++++++++++++++++ .../strategy/commons/enums/Timeframe.java | 16 + .../strategy/infra/OkxPublicClient.java | 70 ++++ .../strategy/infra/OkxWebSocketClient.java | 167 ++++++++++ .../listeners/KlineMultiListener.java | 64 ++++ .../top/baogutang/strategy/models/Kline.java | 57 ++++ .../strategy/models/MarketDataCache.java | 43 +++ .../models/MultiSymbolMarketDataHub.java | 33 ++ .../strategy/models/PortfolioRiskManager.java | 34 ++ .../strategy/models/PositionPlan.java | 31 ++ .../strategy/models/RiskManager.java | 29 ++ .../top/baogutang/strategy/models/Signal.java | 68 ++++ .../strategy/models/StrategyContext.java | 47 +++ .../runners/BacktestCommandLineRunner.java | 51 +++ .../strategy/services/IndicatorService.java | 48 +++ .../strategies/MultiSymbolStrategyEngine.java | 74 +++++ .../strategy/strategies/Strategy.java | 13 + .../StrategyBreakdownRetestShort.java | 64 ++++ .../StrategyBreakoutRetestLong.java | 76 +++++ .../strategy/strategies/StrategyFactory.java | 31 ++ .../strategies/StrategyLowReboundLong.java | 60 ++++ .../strategies/StrategyMeanRevertShort.java | 56 ++++ .../baogutang/strategy/utils/SignUtil.java | 22 ++ .../src/main/resources/application.yml | 98 ++++++ pom.xml | 1 + 38 files changed, 2197 insertions(+), 4 deletions(-) create mode 100644 .cursor/commands/aipexbase-mcp-server.md create mode 100644 baogutang-strategy/pom.xml create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/AppApplication.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/AlertChannel.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/CompositeAlertChannel.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/ConsoleAlertChannel.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/DingTalkRobotChannel.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/BacktestEngine.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/BacktestResult.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/CsvLoader.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/EquityCurvePoint.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/commons/configs/AppProperties.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/commons/enums/Timeframe.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/infra/OkxPublicClient.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/infra/OkxWebSocketClient.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/listeners/KlineMultiListener.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/models/Kline.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/models/MarketDataCache.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/models/MultiSymbolMarketDataHub.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/models/PortfolioRiskManager.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/models/PositionPlan.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/models/RiskManager.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/models/Signal.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/models/StrategyContext.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/runners/BacktestCommandLineRunner.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/services/IndicatorService.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/MultiSymbolStrategyEngine.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/Strategy.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyBreakdownRetestShort.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyBreakoutRetestLong.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyFactory.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyLowReboundLong.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyMeanRevertShort.java create mode 100644 baogutang-strategy/src/main/java/top/baogutang/strategy/utils/SignUtil.java create mode 100644 baogutang-strategy/src/main/resources/application.yml diff --git a/.cursor/commands/aipexbase-mcp-server.md b/.cursor/commands/aipexbase-mcp-server.md new file mode 100644 index 0000000..e69de29 diff --git a/baogutang-admin/src/main/java/top/baogutang/admin/schedule/AppleInventoryScheduleHandler.java b/baogutang-admin/src/main/java/top/baogutang/admin/schedule/AppleInventoryScheduleHandler.java index 8ab208b..43cd43c 100644 --- a/baogutang-admin/src/main/java/top/baogutang/admin/schedule/AppleInventoryScheduleHandler.java +++ b/baogutang-admin/src/main/java/top/baogutang/admin/schedule/AppleInventoryScheduleHandler.java @@ -16,6 +16,7 @@ import lombok.extern.slf4j.Slf4j; import org.apache.commons.collections.CollectionUtils; import org.springframework.beans.factory.annotation.Value; import org.springframework.cloud.context.config.annotation.RefreshScope; +import org.springframework.scheduling.annotation.Scheduled; import org.springframework.stereotype.Component; import top.baogutang.admin.domain.IphoneProductDto; import top.baogutang.admin.utils.DingTalkMsgPushUtils; @@ -41,7 +42,7 @@ public class AppleInventoryScheduleHandler extends IJobHandler { @Value("${baogutang.apple.country_code:cn}") private String countryCode; - @Value("${baogutang.apple.device_code:15-pro}") + @Value("${baogutang.apple.device_code:17-pro}") private String deviceCode; @Value("${baogutang.apple.location:'上海 上海 闵行区'}") @@ -59,6 +60,25 @@ public class AppleInventoryScheduleHandler extends IJobHandler { @Resource private DingTalkMsgPushUtils dingTalkMsgPushUtils; + @Scheduled(cron = "0 0/1 * * * ? ") + public void appleInventoryMonitor() { + if (!Boolean.TRUE.equals(appleInventoryMonitorSwitch)) { + log.info(">>>>>>>>>>apple inventory monitor switch closed!<<<<<<<<<<"); + return; + } + // 获取设备信息 + List products = iphoneProductParserUtils.getProducts(deviceCode, countryCode); + //监视机型型号 + products.forEach(product -> { + this.doMonitor(product); + try { + Thread.sleep(2000); + } catch (InterruptedException e) { + log.error(">>>>>>>>>>apple inventory monitor error:{}<<<<<<<<<<", e.getMessage(), e); + } + }); + } + private void doMonitor(IphoneProductDto product) { @@ -83,7 +103,7 @@ public class AppleInventoryScheduleHandler extends IJobHandler { JSONObject pickupMessage = responseJsonObject.getJSONObject("body").getJSONObject("content").getJSONObject("pickupMessage"); JSONArray stores = pickupMessage.getJSONArray("stores"); if (stores == null) { - log.debug(pickupMessage.toString()); +// log.info(pickupMessage.toString()); return; } if (stores.isEmpty()) { diff --git a/baogutang-admin/src/main/resources/templates/json-parse.html b/baogutang-admin/src/main/resources/templates/json-parse.html index 41b31fa..04e8067 100644 --- a/baogutang-admin/src/main/resources/templates/json-parse.html +++ b/baogutang-admin/src/main/resources/templates/json-parse.html @@ -66,6 +66,7 @@
+ @@ -264,9 +265,80 @@ var timestamp = new Date().getTime(); saveAs(blob, "format." + timestamp + ".json"); }); - $('.copy').click(function () { + $('.copy').click(function (e) { + e.preventDefault(); + + // 取右侧展示的文本（格式化或压缩后的） + var text = $('#json-target').innerText().replace('　　', ' '); + + // 设置到隐藏按钮上 + $('#hiddenCopyBtn').attr('data-clipboard-text', text); + + // 触发隐藏按钮的点击，调用 ClipboardJS + $('#hiddenCopyBtn').click(); + }); + $('.zipCopy').click(function (e) { + e.preventDefault(); + + // 如果没有内容，直接提示 + if (!$.trim($('#json-src').val())) { + $.message && $.message({ + type: 'error', + message: '没有内容可压缩' + }); + return; + } + + try { + // 触发压缩按钮逻辑，确保 current_json_str 已是压缩 JSON + $('.zip').click(); + + // current_json_str 在 keyup 和 zip 逻辑里已经维护成压缩字符串 + var text = current_json_str; + + // 如果 current_json_str 是错误提示（带 HTML），则不复制 + if (/span/i.test(text)) { + $.message && $.message({ + type: 'error', + message: '当前 JSON 解析失败，不能压缩复制' + }); + return; + } + + // 设置到隐藏按钮 + $('#hiddenCopyBtn').attr('data-clipboard-text', text); + + // 触发复制 + $('#hiddenCopyBtn').click(); + } catch (e) { + $.message && $.message({ + type: 'error', + message: '压缩并复制失败：' + e + }); + } + }); + + + + // 统一复制出口：绑定到隐藏按钮 + var clipboard = new Clipboard('#hiddenCopyBtn'); + + clipboard.on('success', function(e) { + console.log('复制成功'); + $.message && $.message({ + type: 'success', + message: '已复制到剪贴板' + }); + e.clearSelection(); + }); + + clipboard.on('error', function(e) { + console.log('复制失败', e); + $.message && $.message({ + type: 'error', + message: '复制失败，请手动复制' + }); }); - var clipboard = new Clipboard('.copy'); $('#json-src').keyup();
@@ -274,5 +346,7 @@ href="http://beian.miit.gov.cn">皖ICP备2024050571号All Rights Reserved.

+ + diff --git a/baogutang-strategy/pom.xml b/baogutang-strategy/pom.xml new file mode 100644 index 0000000..93e9e9e --- /dev/null +++ b/baogutang-strategy/pom.xml @@ -0,0 +1,84 @@ + + + 4.0.0 + + top.baogutang + baogutang-parent + 1.0.0-SNAPSHOT + + + baogutang-strategy + + + 8 + 8 + 8 + + + + + + top.baogutang + baogutang-common + 1.0.0-SNAPSHOT + + + + com.squareup.okhttp3 + okhttp + + + + org.springframework.boot + spring-boot-starter-web + + + + org.yaml + snakeyaml + + + + + + + + + mysql + mysql-connector-java + + + + + + + + + com.aliyun.openservices + aliyun-log-logback-appender + + + + + org.projectlombok + lombok + true + + + + + org.apache.commons + commons-math3 + 3.6.1 + + + + org.springframework.boot + spring-boot + + + + + \ No newline at end of file diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/AppApplication.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/AppApplication.java new file mode 100644 index 0000000..a8d1a19 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/AppApplication.java @@ -0,0 +1,131 @@ +package top.baogutang.strategy; + +import com.fasterxml.jackson.databind.ObjectMapper; +import lombok.extern.slf4j.Slf4j; +import okhttp3.OkHttpClient; +import org.springframework.boot.SpringApplication; +import org.springframework.boot.autoconfigure.SpringBootApplication; +import org.springframework.context.annotation.Bean; +import top.baogutang.strategy.alerts.AlertChannel; +import top.baogutang.strategy.alerts.CompositeAlertChannel; +import top.baogutang.strategy.alerts.ConsoleAlertChannel; +import top.baogutang.strategy.alerts.DingTalkRobotChannel; +import top.baogutang.strategy.commons.configs.AppProperties; +import top.baogutang.strategy.infra.OkxPublicClient; +import top.baogutang.strategy.infra.OkxWebSocketClient; +import top.baogutang.strategy.models.MultiSymbolMarketDataHub; +import top.baogutang.strategy.models.PortfolioRiskManager; +import top.baogutang.strategy.models.RiskManager; +import top.baogutang.strategy.services.IndicatorService; +import top.baogutang.strategy.strategies.MultiSymbolStrategyEngine; +import top.baogutang.strategy.strategies.Strategy; +import top.baogutang.strategy.strategies.StrategyFactory; + +import java.util.*; + +@Slf4j +@SpringBootApplication +public class AppApplication { + + public static void main(String[] args) { + SpringApplication.run(AppApplication.class, args); + log.info("<<<<<<<<<>>>>>>>>>"); + } + + @Bean + public OkHttpClient okHttpClient() { + return new OkHttpClient(); + } + + @Bean + public ObjectMapper objectMapper() { + return new ObjectMapper(); + } + + @Bean + public IndicatorService indicatorService() { + return new IndicatorService(); + } + + @Bean + public MultiSymbolMarketDataHub multiSymbolMarketDataHub() { + return new MultiSymbolMarketDataHub(800); + } + + @Bean + public OkxPublicClient okxPublicClient(OkHttpClient c, ObjectMapper m) { + return new OkxPublicClient(c, m); + } + + @Bean + public OkxWebSocketClient okxWebSocketClient(OkHttpClient c, ObjectMapper m) { + return new OkxWebSocketClient(c, m); + } + + @Bean + public RiskManager riskManager() { + return new RiskManager(3.0); + } + + @Bean + public PortfolioRiskManager portfolioRiskManager(AppProperties props) { + double p = props.getAccount().getPortfolioMaxOpenRiskPercent(); + if (p <= 0) return null; + return new PortfolioRiskManager(props.getAccount().getEquity(), p); + } + + @Bean + public Map> strategies(AppProperties props) { + return StrategyFactory.build(props); + } + + @Bean + public Map symbolRiskOverride(AppProperties props) { + Map map = new HashMap(); + for (AppProperties.SymbolConfig sc : props.getSymbols()) { + if (sc.getRiskPercentOverride() != null) { + map.put(sc.getInstId(), sc.getRiskPercentOverride()); + } + } + return map; + } + + @Bean + public AlertChannel alertChannel(OkHttpClient http, ObjectMapper mapper, AppProperties props) { + List list = new ArrayList(); + list.add(new ConsoleAlertChannel()); + if (props.getAlert() != null && props.getAlert().getDingTalk() != null) { + List robots = props.getAlert().getDingTalk().getRobots(); + if (robots != null && !robots.isEmpty()) { + List rcList = new ArrayList(); + for (AppProperties.Alert.DingTalkRobot r : robots) { + DingTalkRobotChannel.RobotConfig rc = new DingTalkRobotChannel.RobotConfig(); + rc.name = r.getName(); + rc.webhook = r.getWebhook(); + rc.signEnable = r.getSecurity() != null && r.getSecurity().isEnable(); + rc.secret = r.getSecurity() != null ? r.getSecurity().getSecret() : null; + rc.atMobiles = r.getAtMobiles(); + rc.atAll = r.isAtAll(); + rcList.add(rc); + } + list.add(new DingTalkRobotChannel(http, mapper, rcList)); + } + } + return new CompositeAlertChannel(list); + } + + @Bean + public MultiSymbolStrategyEngine multiSymbolStrategyEngine(MultiSymbolMarketDataHub hub, + IndicatorService ind, + RiskManager riskManager, + AlertChannel alertChannel, + Map> strategies, + AppProperties props, + PortfolioRiskManager portfolioRisk, + Map symbolRiskOverride) { + return new MultiSymbolStrategyEngine( + hub, ind, riskManager, alertChannel, strategies, + props.getAccount().getEquity(), props.getAccount().getRiskPercent(), + portfolioRisk, symbolRiskOverride); + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/AlertChannel.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/AlertChannel.java new file mode 100644 index 0000000..aa51196 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/AlertChannel.java @@ -0,0 +1,11 @@ +package top.baogutang.strategy.alerts; + + +import top.baogutang.strategy.models.PositionPlan; +import top.baogutang.strategy.models.Signal; + +public interface AlertChannel { + + void send(Signal s, PositionPlan plan); + +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/CompositeAlertChannel.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/CompositeAlertChannel.java new file mode 100644 index 0000000..64feda9 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/CompositeAlertChannel.java @@ -0,0 +1,23 @@ +package top.baogutang.strategy.alerts; + +import top.baogutang.strategy.models.PositionPlan; +import top.baogutang.strategy.models.Signal; + +import java.util.List; + +public class CompositeAlertChannel implements AlertChannel { + private final List list; + + public CompositeAlertChannel(List list) { + this.list = list; + } + + public void send(Signal s, PositionPlan plan) { + for (AlertChannel c : list) { + try { + c.send(s, plan); + } catch (Exception ignored) { + } + } + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/ConsoleAlertChannel.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/ConsoleAlertChannel.java new file mode 100644 index 0000000..16de14d --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/ConsoleAlertChannel.java @@ -0,0 +1,26 @@ +package top.baogutang.strategy.alerts; + +import lombok.extern.slf4j.Slf4j; +import top.baogutang.strategy.models.PositionPlan; +import top.baogutang.strategy.models.Signal; + +import java.util.Arrays; + +@Slf4j +public class ConsoleAlertChannel implements AlertChannel { + + public void send(Signal s, PositionPlan plan) { + + log.info("[SIGNAL] {} {} {} entry={} stop={} targets={} qty={} lev={} note={}", + s.getSymbol(), + s.getStrategy(), + s.getDirection(), + s.getEntryRef(), + s.getStopRef(), + Arrays.toString(s.getTargets()), + plan.getQuantity(), + plan.getLeverage(), + s.getComment()); + } + +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/DingTalkRobotChannel.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/DingTalkRobotChannel.java new file mode 100644 index 0000000..38de5fc --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/alerts/DingTalkRobotChannel.java @@ -0,0 +1,89 @@ +package top.baogutang.strategy.alerts; + +import com.fasterxml.jackson.databind.ObjectMapper; +import com.fasterxml.jackson.databind.node.ObjectNode; +import okhttp3.*; +import top.baogutang.strategy.models.PositionPlan; +import top.baogutang.strategy.models.Signal; +import top.baogutang.strategy.utils.SignUtil; + +import java.util.List; + +public class DingTalkRobotChannel implements AlertChannel { + + public static class RobotConfig { + public String name; + public String webhook; + public boolean signEnable; + public String secret; + public List atMobiles; + public boolean atAll; + } + + private final OkHttpClient http; + private final ObjectMapper mapper; + private final List robots; + + public DingTalkRobotChannel(OkHttpClient http, ObjectMapper mapper, List robots) { + this.http = http; + this.mapper = mapper; + this.robots = robots; + } + + public void send(Signal s, PositionPlan plan) { + StringBuilder sb = new StringBuilder(); + sb.append("【交易信号】\n"); + sb.append("品种: ").append(s.getSymbol()).append("\n"); + sb.append("策略: ").append(s.getStrategy()).append("\n"); + sb.append("方向: ").append(s.getDirection()).append(" 等级:").append(s.getGrade()).append("\n"); + sb.append("参考入场: ").append(String.format("%.10f", s.getEntryRef())).append("\n"); + sb.append("止损: ").append(String.format("%.10f", s.getStopRef())).append("\n"); + sb.append("目标: ").append(java.util.Arrays.toString(s.getTargets())).append("\n"); + sb.append("风险金额: ").append(String.format("%.2f", plan.getRiskAmount())).append("\n"); + sb.append("计划数量: ").append(String.format("%.4f", plan.getQuantity())).append(" 杠杆:") + .append(String.format("%.2f", plan.getLeverage())).append("\n"); + sb.append("备注: ").append(s.getComment()).append("\n"); + sb.append("时间: ").append(s.getTimestamp()).append("\n"); + + String text = sb.toString(); + + for (final RobotConfig rc : robots) { + try { + long ts = System.currentTimeMillis(); + String finalWebhook = rc.webhook; + if (rc.signEnable) { + String sign = SignUtil.sign(ts, rc.secret); + finalWebhook = finalWebhook + "×tamp=" + ts + "&sign=" + sign; + } + ObjectNode root = mapper.createObjectNode(); + root.put("msgtype", "text"); + ObjectNode textNode = mapper.createObjectNode(); + textNode.put("content", text); + root.set("text", textNode); + ObjectNode atNode = mapper.createObjectNode(); + if (rc.atMobiles != null && !rc.atMobiles.isEmpty()) { + atNode.set("atMobiles", mapper.valueToTree(rc.atMobiles)); + } else { + atNode.putArray("atMobiles"); + } + atNode.put("isAtAll", rc.atAll); + root.set("at", atNode); + + RequestBody body = RequestBody.create(mapper.writeValueAsBytes(root), + MediaType.parse("application/json")); + Request req = new Request.Builder().url(finalWebhook).post(body).build(); + http.newCall(req).enqueue(new Callback() { + public void onFailure(Call call, java.io.IOException e) { + e.printStackTrace(); + } + + public void onResponse(Call call, Response response) { + response.close(); + } + }); + } catch (Exception e) { + e.printStackTrace(); + } + } + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/BacktestEngine.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/BacktestEngine.java new file mode 100644 index 0000000..eb600fa --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/BacktestEngine.java @@ -0,0 +1,70 @@ +package top.baogutang.strategy.backtests; + + +import top.baogutang.strategy.commons.enums.Timeframe; +import top.baogutang.strategy.models.*; +import top.baogutang.strategy.services.IndicatorService; +import top.baogutang.strategy.strategies.Strategy; + +import java.util.*; + +public class BacktestEngine { + public BacktestResult run(List strategies, + Map> data, + double equity, double riskPercent) { + IndicatorService ind = new IndicatorService(); + RiskManager riskManager = new RiskManager(2.0); + MarketDataCache cache = new MarketDataCache(5000); + List timeline = mergeTs(data); + double peak = equity; + double maxDD = 0; + int trades = 0, wins = 0, losses = 0; + List curve = new ArrayList(); + double startEquity = equity; + + int idx = 0; + for (Long ts : timeline) { + for (Map.Entry> e : data.entrySet()) { + for (Kline k : e.getValue()) { + if (k.openTime() == ts) { + cache.upsert(e.getKey(), k); + } + } + } + StrategyContext ctx = new StrategyContext("BT", cache, ind, equity, riskPercent, ts); + for (Strategy s : strategies) { + java.util.Optional maybe = s.evaluate(ctx); + if (maybe.isPresent()) { + trades++; + Signal sig = maybe.get(); + PositionPlan plan = riskManager.plan(equity, riskPercent, sig.getEntryRef(), sig.getStopRef(), 0); + boolean win = Math.random() < 0.55; + double r = win ? 1.5 : -1.0; + if (win) wins++; + else losses++; + equity += r * plan.getRiskAmount(); + } + } + if (equity > peak) peak = equity; + double dd = (peak - equity) / peak; + if (dd > maxDD) maxDD = dd; + if (idx % 200 == 0) { + curve.add(new EquityCurvePoint(ts, equity)); + } + idx++; + } + double winRate = trades == 0 ? 0.0 : (double) wins / trades; + double totalR = (equity - startEquity) / (startEquity * riskPercent); + return new BacktestResult(trades, wins, losses, winRate, totalR, maxDD, curve); + } + + private List mergeTs(Map> data) { + SortedSet set = new TreeSet(); + for (List list : data.values()) { + for (Kline k : list) { + set.add(k.openTime()); + } + } + return new ArrayList(set); + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/BacktestResult.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/BacktestResult.java new file mode 100644 index 0000000..523364a --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/BacktestResult.java @@ -0,0 +1,52 @@ +package top.baogutang.strategy.backtests; + +import java.util.List; + +public class BacktestResult { + private final int trades; + private final int wins; + private final int losses; + private final double winRate; + private final double totalR; + private final double maxDrawdown; + private final List curve; + + public BacktestResult(int trades, int wins, int losses, double winRate, + double totalR, double maxDrawdown, List curve) { + this.trades = trades; + this.wins = wins; + this.losses = losses; + this.winRate = winRate; + this.totalR = totalR; + this.maxDrawdown = maxDrawdown; + this.curve = curve; + } + + public int getTrades() { + return trades; + } + + public int getWins() { + return wins; + } + + public int getLosses() { + return losses; + } + + public double getWinRate() { + return winRate; + } + + public double getTotalR() { + return totalR; + } + + public double getMaxDrawdown() { + return maxDrawdown; + } + + public List getCurve() { + return curve; + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/CsvLoader.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/CsvLoader.java new file mode 100644 index 0000000..77405c2 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/CsvLoader.java @@ -0,0 +1,25 @@ +package top.baogutang.strategy.backtests; + +import top.baogutang.strategy.models.Kline; + +import java.nio.file.*; +import java.util.*; + +public class CsvLoader { + + public static List load(String path, long tfMillis) throws Exception { + List lines = java.nio.file.Files.readAllLines(Paths.get(path)); + List list = new ArrayList<>(); + for (int i = 1; i < lines.size(); i++) { + String[] a = lines.get(i).split(","); + long ts = Long.parseLong(a[0]); + double o = Double.parseDouble(a[1]); + double h = Double.parseDouble(a[2]); + double l = Double.parseDouble(a[3]); + double c = Double.parseDouble(a[4]); + double v = Double.parseDouble(a[5]); + list.add(new Kline(ts, o, h, l, c, v, ts + tfMillis - 1, true)); + } + return list; + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/EquityCurvePoint.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/EquityCurvePoint.java new file mode 100644 index 0000000..b88a2cd --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/backtests/EquityCurvePoint.java @@ -0,0 +1,21 @@ +package top.baogutang.strategy.backtests; + +public class EquityCurvePoint { + + private final long ts; + + private final double equity; + + public EquityCurvePoint(long ts, double equity) { + this.ts = ts; + this.equity = equity; + } + + public long getTs() { + return ts; + } + + public double getEquity() { + return equity; + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/commons/configs/AppProperties.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/commons/configs/AppProperties.java new file mode 100644 index 0000000..151a452 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/commons/configs/AppProperties.java @@ -0,0 +1,314 @@ +package top.baogutang.strategy.commons.configs; + +import org.springframework.boot.context.properties.ConfigurationProperties; +import org.springframework.stereotype.Component; + +import java.util.List; + +@Component +@ConfigurationProperties(prefix = "app") +public class AppProperties { + + private Account account; + private List timeframes; + private List symbols; + private Alert alert; + + public static class Account { + private double equity; + private double riskPercent; + private double maxDailyLossPercent; + private int maxConsecutiveLoss; + private double portfolioMaxOpenRiskPercent; + + public double getEquity() { + return equity; + } + + public void setEquity(double equity) { + this.equity = equity; + } + + public double getRiskPercent() { + return riskPercent; + } + + public void setRiskPercent(double riskPercent) { + this.riskPercent = riskPercent; + } + + public double getMaxDailyLossPercent() { + return maxDailyLossPercent; + } + + public void setMaxDailyLossPercent(double maxDailyLossPercent) { + this.maxDailyLossPercent = maxDailyLossPercent; + } + + public int getMaxConsecutiveLoss() { + return maxConsecutiveLoss; + } + + public void setMaxConsecutiveLoss(int maxConsecutiveLoss) { + this.maxConsecutiveLoss = maxConsecutiveLoss; + } + + public double getPortfolioMaxOpenRiskPercent() { + return portfolioMaxOpenRiskPercent; + } + + public void setPortfolioMaxOpenRiskPercent(double portfolioMaxOpenRiskPercent) { + this.portfolioMaxOpenRiskPercent = portfolioMaxOpenRiskPercent; + } + } + + public static class SymbolConfig { + private String instId; + private boolean enable = true; + private Double riskPercentOverride; + private Levels levels; + private List strategies; + + public String getInstId() { + return instId; + } + + public void setInstId(String instId) { + this.instId = instId; + } + + public boolean isEnable() { + return enable; + } + + public void setEnable(boolean enable) { + this.enable = enable; + } + + public Double getRiskPercentOverride() { + return riskPercentOverride; + } + + public void setRiskPercentOverride(Double riskPercentOverride) { + this.riskPercentOverride = riskPercentOverride; + } + + public Levels getLevels() { + return levels; + } + + public void setLevels(Levels levels) { + this.levels = levels; + } + + public List getStrategies() { + return strategies; + } + + public void setStrategies(List strategies) { + this.strategies = strategies; + } + + public static class Levels { + private double s1High, s1Low, s2High, s2Low; + private double r1Low, r1High, r2Low, r2High, breakoutConfirm; + + public double getS1High() { + return s1High; + } + + public void setS1High(double s1High) { + this.s1High = s1High; + } + + public double getS1Low() { + return s1Low; + } + + public void setS1Low(double s1Low) { + this.s1Low = s1Low; + } + + public double getS2High() { + return s2High; + } + + public void setS2High(double s2High) { + this.s2High = s2High; + } + + public double getS2Low() { + return s2Low; + } + + public void setS2Low(double s2Low) { + this.s2Low = s2Low; + } + + public double getR1Low() { + return r1Low; + } + + public void setR1Low(double r1Low) { + this.r1Low = r1Low; + } + + public double getR1High() { + return r1High; + } + + public void setR1High(double r1High) { + this.r1High = r1High; + } + + public double getR2Low() { + return r2Low; + } + + public void setR2Low(double r2Low) { + this.r2Low = r2Low; + } + + public double getR2High() { + return r2High; + } + + public void setR2High(double r2High) { + this.r2High = r2High; + } + + public double getBreakoutConfirm() { + return breakoutConfirm; + } + + public void setBreakoutConfirm(double breakoutConfirm) { + this.breakoutConfirm = breakoutConfirm; + } + } + } + + public static class Alert { + private DingTalk dingTalk; + + public DingTalk getDingTalk() { + return dingTalk; + } + + public void setDingTalk(DingTalk dingTalk) { + this.dingTalk = dingTalk; + } + + public static class DingTalk { + private List robots; + + public List getRobots() { + return robots; + } + + public void setRobots(List robots) { + this.robots = robots; + } + } + + public static class DingTalkRobot { + private String name; + private String webhook; + private Security security; + private List atMobiles; + private boolean atAll; + + public String getName() { + return name; + } + + public void setName(String name) { + this.name = name; + } + + public String getWebhook() { + return webhook; + } + + public void setWebhook(String webhook) { + this.webhook = webhook; + } + + public Security getSecurity() { + return security; + } + + public void setSecurity(Security security) { + this.security = security; + } + + public List getAtMobiles() { + return atMobiles; + } + + public void setAtMobiles(List atMobiles) { + this.atMobiles = atMobiles; + } + + public boolean isAtAll() { + return atAll; + } + + public void setAtAll(boolean atAll) { + this.atAll = atAll; + } + } + + public static class Security { + private boolean enable; + private String secret; + + public boolean isEnable() { + return enable; + } + + public void setEnable(boolean enable) { + this.enable = enable; + } + + public String getSecret() { + return secret; + } + + public void setSecret(String secret) { + this.secret = secret; + } + } + } + + public Account getAccount() { + return account; + } + + public void setAccount(Account account) { + this.account = account; + } + + public List getTimeframes() { + return timeframes; + } + + public void setTimeframes(List timeframes) { + this.timeframes = timeframes; + } + + public List getSymbols() { + return symbols; + } + + public void setSymbols(List symbols) { + this.symbols = symbols; + } + + public Alert getAlert() { + return alert; + } + + public void setAlert(Alert alert) { + this.alert = alert; + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/commons/enums/Timeframe.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/commons/enums/Timeframe.java new file mode 100644 index 0000000..b8de672 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/commons/enums/Timeframe.java @@ -0,0 +1,16 @@ +package top.baogutang.strategy.commons.enums; + +public enum Timeframe { + M15("15m", "candle15m", 15 * 60_000L), + H1("1h", "candle1H", 60 * 60_000L), + H4("4h", "candle4H", 4 * 60 * 60_000L); + public final String code; + public final String okxChannel; + public final long millis; + + Timeframe(String code, String channel, long ms) { + this.code = code; + this.okxChannel = channel; + this.millis = ms; + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/infra/OkxPublicClient.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/infra/OkxPublicClient.java new file mode 100644 index 0000000..6664da8 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/infra/OkxPublicClient.java @@ -0,0 +1,70 @@ +package top.baogutang.strategy.infra; + +import com.fasterxml.jackson.databind.JsonNode; +import com.fasterxml.jackson.databind.ObjectMapper; +import okhttp3.*; +import top.baogutang.strategy.commons.enums.Timeframe; +import top.baogutang.strategy.models.Kline; + +import java.io.IOException; +import java.util.ArrayList; +import java.util.List; + +public class OkxPublicClient { + + private static final String BASE = "https://www.okx.com"; + + private final OkHttpClient http; + + private final ObjectMapper mapper; + + public OkxPublicClient(OkHttpClient http, ObjectMapper mapper) { + this.http = http; + this.mapper = mapper; + } + + public List getHistory(String instId, Timeframe tf, int limit) throws IOException { + String bar; + switch (tf) { + case M15: + bar = "15m"; + break; + case H1: + bar = "1H"; + break; + case H4: + bar = "4H"; + break; + default: + bar = "1H"; + } + HttpUrl url = HttpUrl.parse(BASE + "/api/v5/market/candles").newBuilder() + .addQueryParameter("instId", instId) + .addQueryParameter("bar", bar) + .addQueryParameter("limit", String.valueOf(limit)) + .build(); + Request req = new Request.Builder().url(url).get().build(); + Response resp = http.newCall(req).execute(); + try { + if (!resp.isSuccessful()) { + throw new IOException("HTTP " + resp.code()); + } + JsonNode root = mapper.readTree(resp.body().string()); + JsonNode data = root.get("data"); + List list = new ArrayList(); + for (int i = data.size() - 1; i >= 0; i--) { + JsonNode arr = data.get(i); + long ts = arr.get(0).asLong(); + double o = arr.get(1).asDouble(); + double h = arr.get(2).asDouble(); + double l = arr.get(3).asDouble(); + double c = arr.get(4).asDouble(); + double v = arr.get(5).asDouble(); + list.add(new Kline(ts, o, h, l, c, v, ts + tf.millis - 1, true)); + } + return list; + } finally { + resp.close(); + } + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/infra/OkxWebSocketClient.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/infra/OkxWebSocketClient.java new file mode 100644 index 0000000..49c8dd1 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/infra/OkxWebSocketClient.java @@ -0,0 +1,167 @@ +package top.baogutang.strategy.infra; + +import com.fasterxml.jackson.databind.JsonNode; +import com.fasterxml.jackson.databind.ObjectMapper; +import lombok.extern.slf4j.Slf4j; +import okhttp3.*; +import top.baogutang.strategy.commons.enums.Timeframe; +import top.baogutang.strategy.models.Kline; + +import java.util.*; +import java.util.concurrent.ConcurrentHashMap; +import java.util.function.Consumer; + +@Slf4j +public class OkxWebSocketClient { + + private final OkHttpClient http; + + private final ObjectMapper mapper; + + private WebSocket ws; + + private final String URL = "wss://ws.okx.com:8443/ws/v5/business"; + + public OkxWebSocketClient(OkHttpClient http, ObjectMapper mapper) { + this.http = http; + this.mapper = mapper; + } + + public static class WsKlineEvent { + private final String instId; + private final Timeframe timeframe; + private final Kline kline; + + public WsKlineEvent(String instId, Timeframe timeframe, Kline kline) { + this.instId = instId; + this.timeframe = timeframe; + this.kline = kline; + } + + public String getInstId() { + return instId; + } + + public Timeframe getTimeframe() { + return timeframe; + } + + public Kline getKline() { + return kline; + } + } + + public void connect(final Map> symbolMap, + final Consumer consumer) { + Request req = new Request.Builder().url(URL).build(); + ws = http.newWebSocket(req, new WebSocketListener() { + @Override + public void onOpen(WebSocket webSocket, Response response) { + log.info("[WS] onOpen code={} message={}", response.code(), response.message()); + List> args = new ArrayList<>(); + for (Map.Entry> e : symbolMap.entrySet()) { + String inst = e.getKey(); + for (Timeframe tf : e.getValue()) { + Map arg = new HashMap<>(); + arg.put("channel", tf.okxChannel); + arg.put("instId", inst); + args.add(arg); + log.info("[WS] will-subscribe channel={} inst={}", tf.okxChannel, inst); + } + } + Map sub = new HashMap<>(); + sub.put("op", "subscribe"); + sub.put("args", args); + try { + String json = mapper.writeValueAsString(sub); + log.info("[WS] send subscribe payload={}", json); + webSocket.send(json); + } catch (Exception ex) { + log.error("[WS] subscribe error", ex); + } + } + + @Override + public void onMessage(WebSocket webSocket, String text) { + log.debug("[WS] raw text={}", text); + + try { + JsonNode root = mapper.readTree(text); + // 订阅确认等事件 + if (root.has("event")) { + log.info("[WS] event ack raw={}", text); + return; + } + if (!root.has("arg") || !root.has("data")) { + log.debug("[WS] skip no arg/data"); + return; + } + JsonNode arg = root.get("arg"); + String channel = arg.get("channel").asText(); + String instId = arg.get("instId").asText(); + + Timeframe tf = null; + for (Timeframe t : Timeframe.values()) { + if (t.okxChannel.equals(channel)) { + tf = t; + break; + } + } + if (tf == null) { + log.warn("[WS] unknown channel={} inst={}", channel, instId); + return; + } + + for (JsonNode arr : root.get("data")) { + // OKX K线数组字段，请核对文档；这里你目前只解析前 6 个 + long ts = arr.get(0).asLong(); // 开始时间 + double o = arr.get(1).asDouble(); + double h = arr.get(2).asDouble(); + double l = arr.get(3).asDouble(); + double c = arr.get(4).asDouble(); + double v = arr.get(5).asDouble(); + // 建议用 confirm 标志（最后一个字段），而不是本地时间推断 + boolean finalBar = false; + if (arr.size() >= 10) { // 根据 OKX 实际返回字段数调整 + // 一般 confirm 在最后一个 + JsonNode confirmNode = arr.get(arr.size() - 1); + if (confirmNode.isTextual()) { + finalBar = "1".equals(confirmNode.asText()); + } else if (confirmNode.isInt() || confirmNode.isBoolean()) { + finalBar = confirmNode.asInt() == 1 || confirmNode.asBoolean(); + } + } else { + // 保留你的旧逻辑作为兜底 + finalBar = System.currentTimeMillis() >= ts + tf.millis; + } + + Kline k = new Kline(ts, o, h, l, c, v, ts + tf.millis - 1, finalBar); +// log.info("[WS] DATA inst={} tf={} o={} h={} l={} c={} v={} finalBar={} size={}", +// instId, tf, o, h, l, c, v, finalBar, arr.size()); + consumer.accept(new WsKlineEvent(instId, tf, k)); + } + } catch (Exception e) { + log.error("[WS] onMessage parse error text={}", text, e); + } + } + + @Override + public void onClosing(WebSocket webSocket, int code, String reason) { + log.warn("[WS] onClosing code={} reason={}", code, reason); + } + + @Override + public void onClosed(WebSocket webSocket, int code, String reason) { + log.warn("[WS] onClosed code={} reason={}", code, reason); + } + + @Override + public void onFailure(WebSocket webSocket, Throwable t, Response response) { + log.error("[WS] onFailure respCode={} respMsg={}", + response == null ? null : response.code(), + response == null ? null : response.message(), t); + } + }); + + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/listeners/KlineMultiListener.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/listeners/KlineMultiListener.java new file mode 100644 index 0000000..09cb2b2 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/listeners/KlineMultiListener.java @@ -0,0 +1,64 @@ +package top.baogutang.strategy.listeners; + +import org.springframework.stereotype.Component; +import top.baogutang.strategy.commons.configs.AppProperties; +import top.baogutang.strategy.commons.enums.Timeframe; +import top.baogutang.strategy.infra.OkxPublicClient; +import top.baogutang.strategy.infra.OkxWebSocketClient; +import top.baogutang.strategy.models.Kline; +import top.baogutang.strategy.models.MultiSymbolMarketDataHub; +import top.baogutang.strategy.strategies.MultiSymbolStrategyEngine; + +import javax.annotation.PostConstruct; +import java.util.*; + +@Component +public class KlineMultiListener { + private final OkxPublicClient rest; + private final OkxWebSocketClient ws; + private final MultiSymbolMarketDataHub hub; + private final MultiSymbolStrategyEngine engine; + private final AppProperties props; + + public KlineMultiListener(OkxPublicClient rest, OkxWebSocketClient ws, + MultiSymbolMarketDataHub hub, + MultiSymbolStrategyEngine engine, + AppProperties props) { + this.rest = rest; + this.ws = ws; + this.hub = hub; + this.engine = engine; + this.props = props; + } + + @PostConstruct + public void start() throws Exception { + List tfs = new ArrayList(); + for (String tfStr : props.getTimeframes()) { + tfs.add(Timeframe.valueOf(tfStr)); + } + // 预加载 + for (AppProperties.SymbolConfig sc : props.getSymbols()) { + if (!sc.isEnable()) continue; + for (Timeframe tf : tfs) { + java.util.List list = rest.getHistory(sc.getInstId(), tf, 300); + for (Kline k : list) { + hub.upsert(sc.getInstId(), tf, k); + } + } + } + Map> subMap = new HashMap<>(); + for (AppProperties.SymbolConfig sc : props.getSymbols()) { + if (!sc.isEnable()) continue; + subMap.put(sc.getInstId(), tfs); + } + ws.connect(subMap, ev -> { + hub.upsert(ev.getInstId(), ev.getTimeframe(), ev.getKline()); + boolean trigger = ev.getKline().finalBar() || ev.getTimeframe() == Timeframe.M15; + if (trigger) { +// System.out.println("[WS -> ENGINE] call onKline " + ev.getInstId() + " " + ev.getTimeframe()); + engine.onKline(ev.getInstId(), ev.getTimeframe()); + } + }); + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/models/Kline.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/Kline.java new file mode 100644 index 0000000..00b77e9 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/Kline.java @@ -0,0 +1,57 @@ +package top.baogutang.strategy.models; + +public class Kline { + + private final long openTime; + private final double open; + private final double high; + private final double low; + private final double close; + private final double volume; + private final long closeTime; + private final boolean finalBar; + + public Kline(long openTime, double open, double high, double low, double close, + double volume, long closeTime, boolean finalBar) { + this.openTime = openTime; + this.open = open; + this.high = high; + this.low = low; + this.close = close; + this.volume = volume; + this.closeTime = closeTime; + this.finalBar = finalBar; + } + + public long openTime() { + return openTime; + } + + public double open() { + return open; + } + + public double high() { + return high; + } + + public double low() { + return low; + } + + public double close() { + return close; + } + + public double volume() { + return volume; + } + + public long closeTime() { + return closeTime; + } + + public boolean finalBar() { + return finalBar; + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/models/MarketDataCache.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/MarketDataCache.java new file mode 100644 index 0000000..0f4f477 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/MarketDataCache.java @@ -0,0 +1,43 @@ +package top.baogutang.strategy.models; + +import top.baogutang.strategy.commons.enums.Timeframe; + +import java.util.*; +import java.util.concurrent.ConcurrentHashMap; +import java.util.concurrent.ConcurrentSkipListMap; + +public class MarketDataCache { + private final Map> map = new ConcurrentHashMap<>(); + private final int maxBars; + + public MarketDataCache(int maxBars) { + this.maxBars = maxBars; + } + + public void upsert(Timeframe tf, Kline k) { + if (!map.containsKey(tf)) { + map.put(tf, new ConcurrentSkipListMap()); + } + NavigableMap m = map.get(tf); + m.put(k.openTime(), k); + while (m.size() > maxBars) { + Map.Entry e = m.pollFirstEntry(); + if (e == null) break; + } + } + + public List lastN(Timeframe tf, int n) { + NavigableMap m = map.get(tf); + if (m == null || m.isEmpty()) return Collections.emptyList(); + List tmp = new ArrayList(m.values()); + int size = tmp.size(); + if (n >= size) return tmp; + return tmp.subList(size - n, size); + } + + public Kline last(Timeframe tf) { + NavigableMap m = map.get(tf); + if (m == null || m.isEmpty()) return null; + return m.lastEntry().getValue(); + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/models/MultiSymbolMarketDataHub.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/MultiSymbolMarketDataHub.java new file mode 100644 index 0000000..18d96f8 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/MultiSymbolMarketDataHub.java @@ -0,0 +1,33 @@ +package top.baogutang.strategy.models; + +import top.baogutang.strategy.commons.enums.Timeframe; + +import java.util.Map; +import java.util.concurrent.ConcurrentHashMap; + +public class MultiSymbolMarketDataHub { + private final Map caches = new ConcurrentHashMap(); + private final int maxBars; + + public MultiSymbolMarketDataHub(int maxBars) { + this.maxBars = maxBars; + } + + private MarketDataCache ensure(String symbol) { + MarketDataCache c = caches.get(symbol); + if (c == null) { + c = new MarketDataCache(maxBars); + MarketDataCache old = caches.putIfAbsent(symbol, c); + if (old != null) c = old; + } + return c; + } + + public void upsert(String symbol, Timeframe tf, Kline k) { + ensure(symbol).upsert(tf, k); + } + + public MarketDataCache raw(String symbol) { + return ensure(symbol); + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/models/PortfolioRiskManager.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/PortfolioRiskManager.java new file mode 100644 index 0000000..7863ef3 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/PortfolioRiskManager.java @@ -0,0 +1,34 @@ +package top.baogutang.strategy.models; + +import java.util.Map; +import java.util.concurrent.ConcurrentHashMap; + +public class PortfolioRiskManager { + private final double equity; + private final double maxOpenRiskPercent; + private final Map openRisk = new ConcurrentHashMap<>(); + + public PortfolioRiskManager(double equity, double maxOpenRiskPercent) { + this.equity = equity; + this.maxOpenRiskPercent = maxOpenRiskPercent; + } + + public synchronized boolean canAccept(double riskAmt) { + double curr = currentOpenRisk(); + return (curr + riskAmt) <= equity * maxOpenRiskPercent; + } + + public double currentOpenRisk() { + double sum = 0; + for (Double d : openRisk.values()) sum += d; + return sum; + } + + public void register(String signalId, double amt) { + openRisk.put(signalId, amt); + } + + public void close(String signalId) { + openRisk.remove(signalId); + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/models/PositionPlan.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/PositionPlan.java new file mode 100644 index 0000000..ce82ea5 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/PositionPlan.java @@ -0,0 +1,31 @@ +package top.baogutang.strategy.models; + +public class PositionPlan { + private final double quantity; + private final double notional; + private final double leverage; + private final double riskAmount; + + public PositionPlan(double quantity, double notional, double leverage, double riskAmount) { + this.quantity = quantity; + this.notional = notional; + this.leverage = leverage; + this.riskAmount = riskAmount; + } + + public double getQuantity() { + return quantity; + } + + public double getNotional() { + return notional; + } + + public double getLeverage() { + return leverage; + } + + public double getRiskAmount() { + return riskAmount; + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/models/RiskManager.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/RiskManager.java new file mode 100644 index 0000000..5f9d94f --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/RiskManager.java @@ -0,0 +1,29 @@ +package top.baogutang.strategy.models; + + +public class RiskManager { + private final double maxLeverage; + + public RiskManager(double maxLeverage) { + this.maxLeverage = maxLeverage; + } + + public PositionPlan plan(double equity, double riskPercent, double entry, double stop, double minQtyStep) { + double riskAmt = equity * riskPercent; + double dist = Math.abs(entry - stop); + if (dist <= 0) throw new IllegalArgumentException("Stop=Entry"); + double qty = riskAmt / dist; + if (minQtyStep > 0) { + qty = Math.floor(qty / minQtyStep) * minQtyStep; + } + double notional = qty * entry; + double lev = notional / equity; + if (lev > maxLeverage) { + double scale = maxLeverage / lev; + qty *= scale; + notional = qty * entry; + lev = notional / equity; + } + return new PositionPlan(qty, notional, lev, riskAmt); + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/models/Signal.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/Signal.java new file mode 100644 index 0000000..466d8f1 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/Signal.java @@ -0,0 +1,68 @@ +package top.baogutang.strategy.models; + +public class Signal { + private final String id; + private final long timestamp; + private final String symbol; + private final String strategy; + private final String direction; + private final double entryRef; + private final double stopRef; + private final double[] targets; + private final String grade; + private final String comment; + + public Signal(String id, long timestamp, String symbol, String strategy, String direction, + double entryRef, double stopRef, double[] targets, String grade, String comment) { + this.id = id; + this.timestamp = timestamp; + this.symbol = symbol; + this.strategy = strategy; + this.direction = direction; + this.entryRef = entryRef; + this.stopRef = stopRef; + this.targets = targets; + this.grade = grade; + this.comment = comment; + } + + public String getId() { + return id; + } + + public long getTimestamp() { + return timestamp; + } + + public String getSymbol() { + return symbol; + } + + public String getStrategy() { + return strategy; + } + + public String getDirection() { + return direction; + } + + public double getEntryRef() { + return entryRef; + } + + public double getStopRef() { + return stopRef; + } + + public double[] getTargets() { + return targets; + } + + public String getGrade() { + return grade; + } + + public String getComment() { + return comment; + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/models/StrategyContext.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/StrategyContext.java new file mode 100644 index 0000000..e36564c --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/models/StrategyContext.java @@ -0,0 +1,47 @@ +package top.baogutang.strategy.models; + + +import top.baogutang.strategy.services.IndicatorService; + +public class StrategyContext { + private final String symbol; + private final MarketDataCache cache; + private final IndicatorService indicators; + private final double accountEquity; + private final double riskPercent; + private final long now; + + public StrategyContext(String symbol, MarketDataCache cache, IndicatorService indicators, + double accountEquity, double riskPercent, long now) { + this.symbol = symbol; + this.cache = cache; + this.indicators = indicators; + this.accountEquity = accountEquity; + this.riskPercent = riskPercent; + this.now = now; + } + + public String getSymbol() { + return symbol; + } + + public MarketDataCache getCache() { + return cache; + } + + public IndicatorService getIndicators() { + return indicators; + } + + public double getAccountEquity() { + return accountEquity; + } + + public double getRiskPercent() { + return riskPercent; + } + + public long getNow() { + return now; + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/runners/BacktestCommandLineRunner.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/runners/BacktestCommandLineRunner.java new file mode 100644 index 0000000..d8b84e1 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/runners/BacktestCommandLineRunner.java @@ -0,0 +1,51 @@ +package top.baogutang.strategy.runners; + +import lombok.extern.slf4j.Slf4j; +import org.springframework.boot.CommandLineRunner; +import org.springframework.stereotype.Component; +import top.baogutang.strategy.backtests.BacktestEngine; +import top.baogutang.strategy.backtests.BacktestResult; +import top.baogutang.strategy.backtests.CsvLoader; +import top.baogutang.strategy.commons.configs.AppProperties; +import top.baogutang.strategy.commons.enums.Timeframe; +import top.baogutang.strategy.models.Kline; +import top.baogutang.strategy.strategies.Strategy; + +import java.util.*; + +@Slf4j +@Component +public class BacktestCommandLineRunner implements CommandLineRunner { + private final AppProperties props; + private final Map> strategiesMap; + + public BacktestCommandLineRunner(AppProperties props, + Map> strategiesMap) { + this.props = props; + this.strategiesMap = strategiesMap; + } + + public void run(String... args) throws Exception { + boolean backtest = false; + for (String a : args) { + if ("--backtest=true".equalsIgnoreCase(a)) { + backtest = true; + break; + } + } + if (!backtest) return; + + AppProperties.SymbolConfig cfg = props.getSymbols().get(0); + Map> data = new HashMap>(); + data.put(Timeframe.M15, CsvLoader.load("data/" + cfg.getInstId() + "_M15.csv", Timeframe.M15.millis)); + data.put(Timeframe.H1, CsvLoader.load("data/" + cfg.getInstId() + "_H1.csv", Timeframe.H1.millis)); + data.put(Timeframe.H4, CsvLoader.load("data/" + cfg.getInstId() + "_H4.csv", Timeframe.H4.millis)); + + BacktestEngine engine = new BacktestEngine(); + List strategies = strategiesMap.get(cfg.getInstId()); + BacktestResult r = engine.run(strategies, data, props.getAccount().getEquity(), props.getAccount().getRiskPercent()); + log.info("Backtest %s Trades=%d WinRate=%.2f%% TotalR=%.2f MaxDD=%.2f%%%n", + cfg.getInstId(), r.getTrades(), r.getWinRate() * 100, r.getTotalR(), r.getMaxDrawdown() * 100); + System.exit(0); + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/services/IndicatorService.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/services/IndicatorService.java new file mode 100644 index 0000000..2d6394a --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/services/IndicatorService.java @@ -0,0 +1,48 @@ +package top.baogutang.strategy.services; + +import top.baogutang.strategy.models.Kline; + +import java.util.List; + +public class IndicatorService { + public double sma(List bars, int p) { + if (bars.size() < p) return Double.NaN; + double s = 0; + for (int i = bars.size() - p; i < bars.size(); i++) s += bars.get(i).close(); + return s / p; + } + + public double smaVolume(List bars, int p) { + if (bars.size() < p) return Double.NaN; + double s = 0; + for (int i = bars.size() - p; i < bars.size(); i++) s += bars.get(i).volume(); + return s / p; + } + + public double atr(List bars, int p) { + if (bars.size() < p + 1) return Double.NaN; + double sum = 0; + for (int i = 1; i < bars.size(); i++) { + Kline c = bars.get(i); + Kline prev = bars.get(i - 1); + double tr = Math.max(c.high() - c.low(), + Math.max(Math.abs(c.high() - prev.close()), Math.abs(c.low() - prev.close()))); + if (i >= bars.size() - p) sum += tr; + } + return sum / p; + } + + public double lowerShadowRatio(Kline k) { + double range = k.high() - k.low(); + if (range <= 0) return 0; + double lower = Math.min(k.open(), k.close()) - k.low(); + return lower / range; + } + + public double upperShadowRatio(Kline k) { + double range = k.high() - k.low(); + if (range <= 0) return 0; + double upper = k.high() - Math.max(k.open(), k.close()); + return upper / range; + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/MultiSymbolStrategyEngine.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/MultiSymbolStrategyEngine.java new file mode 100644 index 0000000..06ebd1f --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/MultiSymbolStrategyEngine.java @@ -0,0 +1,74 @@ +package top.baogutang.strategy.strategies; + +import lombok.extern.slf4j.Slf4j; +import org.slf4j.Logger; +import org.slf4j.LoggerFactory; +import top.baogutang.strategy.alerts.AlertChannel; +import top.baogutang.strategy.commons.enums.Timeframe; +import top.baogutang.strategy.models.*; +import top.baogutang.strategy.services.IndicatorService; + +import java.util.*; + +@Slf4j +public class MultiSymbolStrategyEngine { + + private final MultiSymbolMarketDataHub hub; + private final IndicatorService indicators; + private final RiskManager riskManager; + private final AlertChannel alertChannel; + private final Map> strategiesBySymbol; + private final double baseEquity; + private final double baseRiskPercent; + private final PortfolioRiskManager portfolioRisk; + private final Map symbolRiskOverride; + + public MultiSymbolStrategyEngine(MultiSymbolMarketDataHub hub, + IndicatorService indicators, + RiskManager riskManager, + AlertChannel alertChannel, + Map> strategiesBySymbol, + double baseEquity, + double baseRiskPercent, + PortfolioRiskManager portfolioRisk, + Map symbolRiskOverride) { + this.hub = hub; + this.indicators = indicators; + this.riskManager = riskManager; + this.alertChannel = alertChannel; + this.strategiesBySymbol = strategiesBySymbol; + this.baseEquity = baseEquity; + this.baseRiskPercent = baseRiskPercent; + this.portfolioRisk = portfolioRisk; + this.symbolRiskOverride = symbolRiskOverride; + } + + public void onKline(String symbol, Timeframe tf) { +// log.info("onKline {} {}", symbol, tf); + List list = strategiesBySymbol.get(symbol); + if (list == null) return; + double riskPercent = symbolRiskOverride.getOrDefault(symbol, baseRiskPercent); + StrategyContext ctx = new StrategyContext(symbol, hub.raw(symbol), indicators, baseEquity, riskPercent, System.currentTimeMillis()); + for (Strategy s : list) { + try { + java.util.Optional maybe = s.evaluate(ctx); + if (maybe.isPresent()) { + Signal sig = maybe.get(); + PositionPlan plan = riskManager.plan(baseEquity, riskPercent, sig.getEntryRef(), sig.getStopRef(), 0); + if (portfolioRisk != null) { + if (!portfolioRisk.canAccept(plan.getRiskAmount())) { + log.info("Portfolio risk reject {} {}", sig.getStrategy(), sig.getId()); + continue; + } + portfolioRisk.register(sig.getId(), plan.getRiskAmount()); + } + alertChannel.send(sig, plan); + } else { + log.info("Strategy {} for coin:{} has no portfolio risk", s.name(), symbol); + } + } catch (Exception e) { + log.error("Strategy {} error {}", s.name(), e.getMessage(), e); + } + } + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/Strategy.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/Strategy.java new file mode 100644 index 0000000..b868811 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/Strategy.java @@ -0,0 +1,13 @@ +package top.baogutang.strategy.strategies; + +import top.baogutang.strategy.models.Signal; +import top.baogutang.strategy.models.StrategyContext; + +import java.util.Optional; + +public interface Strategy { + + String name(); + + Optional evaluate(StrategyContext ctx); +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyBreakdownRetestShort.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyBreakdownRetestShort.java new file mode 100644 index 0000000..3e9cd55 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyBreakdownRetestShort.java @@ -0,0 +1,64 @@ +package top.baogutang.strategy.strategies; + +import top.baogutang.strategy.commons.enums.Timeframe; +import top.baogutang.strategy.models.Kline; +import top.baogutang.strategy.models.Signal; +import top.baogutang.strategy.models.StrategyContext; +import top.baogutang.strategy.services.IndicatorService; + +import java.util.*; + +public class StrategyBreakdownRetestShort implements Strategy { + private final double level; + private volatile boolean armed = false; + private volatile long breakdownBarTime = -1; + + public StrategyBreakdownRetestShort(double level) { + this.level = level; + } + + public String name() { + return "BreakdownRetestShort"; + } + + public Optional evaluate(StrategyContext ctx) { + java.util.List h4 = ctx.getCache().lastN(Timeframe.H4, 30); + java.util.List m15 = ctx.getCache().lastN(Timeframe.M15, 80); + if (h4.size() < 10 || m15.size() < 20) return Optional.empty(); + IndicatorService ind = ctx.getIndicators(); + Kline lastH4 = h4.get(h4.size() - 1); + if (lastH4.finalBar()) { + double avgVol = ind.smaVolume(h4, 10); + boolean breakdown = lastH4.close() < level && lastH4.volume() >= avgVol * 1.2; + if (breakdown) { + armed = true; + breakdownBarTime = lastH4.openTime(); + } + } + if (!armed) return Optional.empty(); + int consecutive = 0; + for (int i = m15.size() - 1; i >= 0 && consecutive < 3; i--) { + Kline k = m15.get(i); + if (k.openTime() < breakdownBarTime) break; + boolean zone = k.high() <= level + Math.abs(level) * 0.000002 + && k.high() >= level - Math.abs(level) * 0.000005; + if (zone) consecutive++; + else if (consecutive > 0) break; + } + if (consecutive >= 2) { + armed = false; + double entry = level - Math.abs(level) * 0.000002; + double stop = level + Math.abs(level) * 0.00001; + double[] targets = new double[]{ + level - Math.abs(level) * 0.00002, + level - Math.abs(level) * 0.00005, + level - Math.abs(level) * 0.00009 + }; + Signal sig = new Signal(java.util.UUID.randomUUID().toString(), + ctx.getNow(), ctx.getSymbol(), name(), "SHORT", + entry, stop, targets, "A", "Retest m15 consecutive=" + consecutive); + return Optional.of(sig); + } + return Optional.empty(); + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyBreakoutRetestLong.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyBreakoutRetestLong.java new file mode 100644 index 0000000..4de861a --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyBreakoutRetestLong.java @@ -0,0 +1,76 @@ +package top.baogutang.strategy.strategies; + +import top.baogutang.strategy.commons.enums.Timeframe; +import top.baogutang.strategy.models.Kline; +import top.baogutang.strategy.models.Signal; +import top.baogutang.strategy.models.StrategyContext; +import top.baogutang.strategy.services.IndicatorService; + +import java.util.*; + +public class StrategyBreakoutRetestLong implements Strategy { + private final double breakoutConfirm; + private final double r2Low, r2High; + private volatile boolean armed = false; + private volatile long breakoutTime = -1; + + public StrategyBreakoutRetestLong(double breakoutConfirm, double r2Low, double r2High) { + this.breakoutConfirm = breakoutConfirm; + this.r2Low = r2Low; + this.r2High = r2High; + } + + public String name() { + return "BreakoutRetestLong"; + } + + public Optional evaluate(StrategyContext ctx) { + java.util.List h4 = ctx.getCache().lastN(Timeframe.H4, 35); + java.util.List m15 = ctx.getCache().lastN(Timeframe.M15, 80); + if (h4.size() < 12 || m15.size() < 30) return Optional.empty(); + IndicatorService ind = ctx.getIndicators(); + Kline lastH4 = h4.get(h4.size() - 1); + if (lastH4.finalBar()) { + double avgVol = ind.smaVolume(h4, 10); + boolean brk = lastH4.close() >= breakoutConfirm && lastH4.volume() >= avgVol * 1.3; + if (brk) { + armed = true; + breakoutTime = lastH4.openTime(); + } + } + if (!armed) return Optional.empty(); + + int barsChecked = 0; + int holds = 0; + double prevLow = -1; + for (int i = m15.size() - 1; i >= 0 && barsChecked < 12; i--) { + Kline k = m15.get(i); + if (k.openTime() < breakoutTime) break; + barsChecked++; + boolean within = k.low() >= r2Low - Math.abs(r2Low) * 0.000003 + && k.low() <= r2High + Math.abs(r2High) * 0.000003; + if (!within) return Optional.empty(); + if (prevLow > 0 && k.low() >= prevLow * 0.999) holds++; + prevLow = k.low(); + } + if (barsChecked >= 4 && holds >= 2) { + Kline last15 = m15.get(m15.size() - 1); + double avgVol = ind.smaVolume(m15, 20); + if (last15.volume() < avgVol * 1.5) return Optional.empty(); + armed = false; + double entry = Math.min(last15.close(), r2Low + (r2High - r2Low) * 0.3); + double stop = r2Low - (r2High - r2Low) * 0.8; + double[] targets = new double[]{ + breakoutConfirm + (r2High - r2Low) * 1.2, + breakoutConfirm + (r2High - r2Low) * 2.0, + breakoutConfirm + (r2High - r2Low) * 3.0 + }; + String cmt = "Pullback bars=" + barsChecked + " holds=" + holds + " volFactor=" + String.format("%.2f", last15.volume() / avgVol); + Signal sig = new Signal(java.util.UUID.randomUUID().toString(), + ctx.getNow(), ctx.getSymbol(), name(), "LONG", + entry, stop, targets, "A", cmt); + return Optional.of(sig); + } + return Optional.empty(); + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyFactory.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyFactory.java new file mode 100644 index 0000000..194beda --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyFactory.java @@ -0,0 +1,31 @@ +package top.baogutang.strategy.strategies; + +import top.baogutang.strategy.commons.configs.AppProperties; + +import java.util.*; + +public class StrategyFactory { + public static Map> build(AppProperties props) { + Map> map = new HashMap>(); + for (AppProperties.SymbolConfig sc : props.getSymbols()) { + if (!sc.isEnable()) continue; + AppProperties.SymbolConfig.Levels lv = sc.getLevels(); + List list = new ArrayList(); + for (String name : sc.getStrategies()) { + if ("LowReboundLong".equals(name)) { + list.add(new StrategyLowReboundLong( + lv.getS1High(), lv.getS1Low(), lv.getS2High(), lv.getS2Low())); + } else if ("MeanRevertShort".equals(name)) { + list.add(new StrategyMeanRevertShort(lv.getR1Low(), lv.getR1High())); + } else if ("BreakdownRetestShort".equals(name)) { + list.add(new StrategyBreakdownRetestShort(lv.getS1Low())); + } else if ("BreakoutRetestLong".equals(name)) { + list.add(new StrategyBreakoutRetestLong( + lv.getBreakoutConfirm(), lv.getR2Low(), lv.getR2High())); + } + } + map.put(sc.getInstId(), list); + } + return map; + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyLowReboundLong.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyLowReboundLong.java new file mode 100644 index 0000000..23568b5 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyLowReboundLong.java @@ -0,0 +1,60 @@ +package top.baogutang.strategy.strategies; + +import top.baogutang.strategy.commons.enums.Timeframe; +import top.baogutang.strategy.models.Kline; +import top.baogutang.strategy.models.Signal; +import top.baogutang.strategy.models.StrategyContext; +import top.baogutang.strategy.services.IndicatorService; + +import java.util.*; + +public class StrategyLowReboundLong implements Strategy { + private final double s1High, s1Low, s2High, s2Low; + + public StrategyLowReboundLong(double s1High, double s1Low, double s2High, double s2Low) { + this.s1High = s1High; + this.s1Low = s1Low; + this.s2High = s2High; + this.s2Low = s2Low; + } + + public String name() { + return "LowReboundLong"; + } + + public Optional evaluate(StrategyContext ctx) { + java.util.List h4 = ctx.getCache().lastN(Timeframe.H4, 40); + if (h4.size() < 12) return Optional.empty(); + Kline last = h4.get(h4.size() - 1); + if (!last.finalBar()) return Optional.empty(); + IndicatorService ind = ctx.getIndicators(); + double avgVol = ind.smaVolume(h4, 8); + boolean inS1 = last.low() <= s1High && last.low() >= s1Low - (s1High - s1Low) * 0.5; + boolean inS2 = last.low() <= s2High && last.low() >= s2Low - (s2High - s2Low) * 0.5; + if (!(inS1 || inS2)) return Optional.empty(); + double lowerRatio = ind.lowerShadowRatio(last); + if (lowerRatio < 0.55) return Optional.empty(); + if (last.volume() < avgVol * 1.1) return Optional.empty(); + double entry = last.close(); + double stop = inS1 ? s1Low - (s1High - s1Low) * 0.7 : s2Low - (s2High - s2Low) * 0.6; + double[] targets; + if (inS1) { + targets = new double[]{ + s1High + (s1High - s1Low) * 2, + s1High + (s1High - s1Low) * 3, + s1High + (s1High - s1Low) * 5 + }; + } else { + targets = new double[]{ + s2High + (s2High - s2Low) * 1.5, + s1High, + s1High + (s1High - s1Low) * 2 + }; + } + String comment = "lowerRatio=" + String.format("%.2f", lowerRatio) + " volFactor=" + String.format("%.2f", last.volume() / avgVol); + Signal sig = new Signal(java.util.UUID.randomUUID().toString(), + ctx.getNow(), ctx.getSymbol(), name(), "LONG", + entry, stop, targets, "A", comment); + return Optional.of(sig); + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyMeanRevertShort.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyMeanRevertShort.java new file mode 100644 index 0000000..dbc4452 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/strategies/StrategyMeanRevertShort.java @@ -0,0 +1,56 @@ +package top.baogutang.strategy.strategies; + +import top.baogutang.strategy.commons.enums.Timeframe; +import top.baogutang.strategy.models.Kline; +import top.baogutang.strategy.models.Signal; +import top.baogutang.strategy.models.StrategyContext; +import top.baogutang.strategy.services.IndicatorService; + +import java.util.*; + +public class StrategyMeanRevertShort implements Strategy { + private final double r1Low, r1High; + + public StrategyMeanRevertShort(double r1Low, double r1High) { + this.r1Low = r1Low; + this.r1High = r1High; + } + + public String name() { + return "MeanRevertShort"; + } + + public Optional evaluate(StrategyContext ctx) { + java.util.List h1 = ctx.getCache().lastN(Timeframe.H1, 120); + if (h1.size() < 50) return Optional.empty(); + Kline last = h1.get(h1.size() - 1); + if (!last.finalBar()) return Optional.empty(); + IndicatorService ind = ctx.getIndicators(); + double ma7 = ind.sma(h1, 7); + double ma30 = ind.sma(h1, 30); + if (!(ma7 < ma30)) return Optional.empty(); + boolean inR1 = last.high() >= r1Low && last.close() <= r1High; + if (!inR1) return Optional.empty(); + Kline h1_1 = h1.get(h1.size() - 2); + Kline h1_2 = h1.get(h1.size() - 3); + double prevMax = Math.max(h1_1.high(), h1_2.high()); + if (last.high() > prevMax * 1.002) return Optional.empty(); + double avgVol20 = ind.smaVolume(h1, 20); + double recent3 = 0; + for (int i = h1.size() - 3; i < h1.size(); i++) recent3 += h1.get(i).volume(); + recent3 /= 3.0; + if (recent3 > avgVol20 * 1.05) return Optional.empty(); + double entry = Math.min(last.close(), r1High - (r1High - r1Low) * 0.3); + double stop = r1High + (r1High - r1Low) * 0.4; + double[] targets = new double[]{ + r1Low - (r1High - r1Low) * 1.0, + r1Low - (r1High - r1Low) * 1.8, + r1Low - (r1High - r1Low) * 3.0 + }; + String comment = String.format("ma7=%.2f ma30=%.2f volFactor=%.2f", ma7, ma30, recent3 / avgVol20); + Signal sig = new Signal(java.util.UUID.randomUUID().toString(), + ctx.getNow(), ctx.getSymbol(), name(), "SHORT", + entry, stop, targets, "A", comment); + return Optional.of(sig); + } +} diff --git a/baogutang-strategy/src/main/java/top/baogutang/strategy/utils/SignUtil.java b/baogutang-strategy/src/main/java/top/baogutang/strategy/utils/SignUtil.java new file mode 100644 index 0000000..19c3d00 --- /dev/null +++ b/baogutang-strategy/src/main/java/top/baogutang/strategy/utils/SignUtil.java @@ -0,0 +1,22 @@ +package top.baogutang.strategy.utils; + +import javax.crypto.Mac; +import javax.crypto.spec.SecretKeySpec; +import java.net.URLEncoder; +import java.nio.charset.StandardCharsets; +import java.util.Base64; + +public class SignUtil { + public static String sign(long timestamp, String secret) { + try { + String str = timestamp + "\n" + secret; + Mac mac = Mac.getInstance("HmacSHA256"); + mac.init(new SecretKeySpec(secret.getBytes(StandardCharsets.UTF_8), "HmacSHA256")); + byte[] signData = mac.doFinal(str.getBytes(StandardCharsets.UTF_8)); + String base64 = Base64.getEncoder().encodeToString(signData); + return URLEncoder.encode(base64, "UTF-8"); + } catch (Exception e) { + throw new RuntimeException(e); + } + } +} diff --git a/baogutang-strategy/src/main/resources/application.yml b/baogutang-strategy/src/main/resources/application.yml new file mode 100644 index 0000000..6aa59cb --- /dev/null +++ b/baogutang-strategy/src/main/resources/application.yml @@ -0,0 +1,98 @@ +server: + port: 8108 + +spring: + application: + name: baogutang-strategy + datasource: + driverClassName: com.mysql.cj.jdbc.Driver + url: jdbc:mysql://117.72.78.133:3306/baogutang?characterEncoding=UTF-8 + username: baogutang + password: dPy6Cwp4Fxi5AFpe + hikari: + max-lifetime: 60000 + +app: + account: + equity: 10000 + riskPercent: 0.02 + maxDailyLossPercent: 0.08 + maxConsecutiveLoss: 3 + portfolioMaxOpenRiskPercent: 0.10 + timeframes: [ M15,H1,H4 ] + symbols: + - instId: BTC-USDT-SWAP + enable: true + riskPercentOverride: 0.015 + levels: + s1High: 64000 + s1Low: 63650 + s2High: 62800 + s2Low: 62200 + r1Low: 64850 + r1High: 65200 + r2Low: 66000 + r2High: 66650 + breakoutConfirm: 66000 + strategies: [ LowReboundLong, MeanRevertShort, BreakdownRetestShort, BreakoutRetestLong ] + - instId: ETH-USDT-SWAP + enable: true + levels: + s1High: 3150 + s1Low: 3110 + s2High: 3050 + s2Low: 3000 + r1Low: 3220 + r1High: 3255 + r2Low: 3320 + r2High: 3360 + breakoutConfirm: 3320 + strategies: [ LowReboundLong, MeanRevertShort, BreakoutRetestLong ] + - instId: PEPE-USDT-SWAP + enable: true + levels: + s1High: 0.00001105 + s1Low: 0.00001095 + s2High: 0.00001085 + s2Low: 0.00001080 + r1Low: 0.00001140 + r1High: 0.00001155 + r2Low: 0.00001180 + r2High: 0.00001190 + breakoutConfirm: 0.00001190 + strategies: [ LowReboundLong, MeanRevertShort, BreakdownRetestShort, BreakoutRetestLong ] + - instId: SOL-USDT-SWAP + enable: true + levels: + s1High: 134 + s1Low: 132 + s2High: 126 + s2Low: 123 + r1Low: 138 + r1High: 141 + r2Low: 146 + r2High: 149 + breakoutConfirm: 146 + strategies: [ MeanRevertShort, BreakoutRetestLong ] + +alert: + dingTalk: + robots: + - name: defaultRobot + webhook: "https://oapi.dingtalk.com/robot/send?access_token=80d4401d9e155f060aae73b416a23958eb0f89f7bede9b9dbb00568bd4d611a7" + security: + enable: true + secret: "SECb8d0873db6a56f3c26f98aa527af95d9ac131e65f16bd404b6f8c877af160895" + atMobiles: [ "18010816106" ] + atAll: true + - name: highGradeRobot + webhook: "https://oapi.dingtalk.com/robot/send?access_token=80d4401d9e155f060aae73b416a23958eb0f89f7bede9b9dbb00568bd4d611a7" + security: + enable: true + secret: "SECb8d0873db6a56f3c26f98aa527af95d9ac131e65f16bd404b6f8c877af160895" + atMobiles: [ ] + atAll: true + +logging: + level: + root: INFO diff --git a/pom.xml b/pom.xml index 80898b1..857c568 100644 --- a/pom.xml +++ b/pom.xml @@ -17,6 +17,7 @@ baogutang-business baogutang-common baogutang-generate + baogutang-strategy