380 lines
11 KiB
Go
380 lines
11 KiB
Go
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// Package logic 提供 Binance 现货策略；本文件为定时轮询（非 WebSocket）的建仓、超跌加仓与冲高减仓。
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package logic
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import (
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"context"
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"errors"
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"log"
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"strconv"
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"sync"
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"time"
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"git.apinb.com/quant/coin/internal/config"
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"git.apinb.com/quant/coin/internal/impl"
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"git.apinb.com/quant/coin/internal/models"
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"github.com/adshao/go-binance/v2"
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"github.com/shopspring/decimal"
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)
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// 以下为可调参数，改数值即可调整策略行为（改后重新编译运行）。
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const (
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// pollInterval 两次完整轮询之间的间隔（拉余额、价格、判单、写库）
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pollInterval = 60 * time.Second
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// buyQuoteUSDT 每次市价买入使用的报价资产数量（USDT）
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buyQuoteUSDT = 100.0
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// dipPct 相对成本价的下跌比例，跌破则触发加仓（若本波未锁）
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dipPct = 0.10
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// profitPct 相对成本价的上涨比例，涨破则触发减仓（若本波未锁）
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profitPct = 0.10
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// sellFraction 上涨触发时，卖出当前可用基础资产的比例
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sellFraction = 0.20
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// minHoldUSDT 持仓市值低于此值（USDT）视为「无仓」，会先建首笔 100U
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minHoldUSDT = 10.0
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// minSellNotional 单笔卖出名义价值下限，低于则不下单（贴近交易所 minNotional）
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minSellNotional = 10.0
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// dipRecoverPct 超跌加仓后，现价需高于「成本×(1+本值)」才解除加仓锁，避免同一低位反复买
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dipRecoverPct = 0.03
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// rallyResetHighPct 冲高减仓后，现价需低于「成本×(1+本值)」才解除减仓锁，避免同一高位反复卖
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rallyResetHighPct = 0.06
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)
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// spotSymbol 把「账户里的资产名」和「交易对」绑在一起，避免硬编码散落各处。
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type spotSymbol struct {
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Base string // 如 BTC
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Symbol string // 如 BTCUSDT
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}
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// watchList 策略监控的标的列表；增删币种时改此处即可。
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var watchList = []spotSymbol{
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{"BTC", "BTCUSDT"},
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{"ETH", "ETHUSDT"},
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{"SOL", "SOLUSDT"},
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{"XRP", "XRPUSDT"},
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}
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var (
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portfolioMu sync.Mutex // 保护 portfolio 与数据库写入，避免并发轮询（若以后拆协程）
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portfolio = models.NewSpotPortfolioSnapshot()
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// stepSizes 各交易对 LOT_SIZE 的 stepSize，用于卖出数量按交易所步长向下取整
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stepSizes = map[string]string{}
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)
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// runBinanceSpotStrategy 入口：校验配置 → 连通性 → 死循环定时执行 spotTick。
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// 若 Key/Secret 为空或 API 失败会直接 return，不再占用协程（由 Boot 调用方决定是否在 goroutine 里跑）。
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func runBinanceSpotStrategy() {
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ctx := context.Background()
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key := config.Spec.BinanceApiKey
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secret := config.Spec.BinanceApiSecret
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if key == "" || secret == "" {
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log.Printf("logic: 未配置 BinanceApiKey 或 BinanceApiSecret，跳过现货策略")
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return
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}
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client := binance.NewClient(key, secret)
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if err := client.NewPingService().Do(ctx); err != nil {
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log.Printf("logic: Binance Ping 失败: %v", err)
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return
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}
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acct, err := client.NewGetAccountService().Do(ctx)
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if err != nil {
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log.Printf("logic: Binance 账户校验失败: %v", err)
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return
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}
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if !acct.CanTrade {
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log.Printf("logic: Binance 账户未开启现货交易权限")
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return
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}
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log.Printf("logic: Binance 已连接，CanTrade=%v", acct.CanTrade)
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if err := loadPortfolio(); err != nil {
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log.Printf("logic: 从数据库加载现货持仓失败（将使用空档）: %v", err)
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}
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if err := refreshStepSizes(ctx, client); err != nil {
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log.Printf("logic: 加载交易对精度失败: %v", err)
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}
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ticker := time.NewTicker(pollInterval)
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defer ticker.Stop()
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for {
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if err := spotTick(ctx, client); err != nil {
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log.Printf("logic: 现货策略轮询错误: %v", err)
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}
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<-ticker.C
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}
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}
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// refreshStepSizes 从 exchangeInfo 拉取各 symbol 的 LOT_SIZE.stepSize，供卖出数量格式化。
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func refreshStepSizes(ctx context.Context, client *binance.Client) error {
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syms := make([]string, 0, len(watchList))
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for _, w := range watchList {
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syms = append(syms, w.Symbol)
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}
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info, err := client.NewExchangeInfoService().Symbols(syms...).Do(ctx)
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if err != nil {
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return err
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}
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for _, s := range info.Symbols {
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lot := s.LotSizeFilter()
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if lot == nil || lot.StepSize == "" {
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continue
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}
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stepSizes[s.Symbol] = lot.StepSize
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}
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return nil
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}
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// loadPortfolio 从 GORM 读入全表 spot_positions，填充内存 map（键为 BaseAsset）。
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func loadPortfolio() error {
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portfolioMu.Lock()
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defer portfolioMu.Unlock()
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if impl.DBService == nil {
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portfolio = models.NewSpotPortfolioSnapshot()
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return nil
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}
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var rows []models.SpotPosition
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if err := impl.DBService.Find(&rows).Error; err != nil {
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return err
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}
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portfolio = models.NewSpotPortfolioSnapshot()
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for i := range rows {
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p := new(models.SpotPosition)
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*p = rows[i]
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portfolio.Positions[p.BaseAsset] = p
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}
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return nil
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}
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// savePortfolioLocked 将内存中各 SpotPosition 以 Save 写回数据库（有主键则更新，无则插入）。
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// 调用方必须已持有 portfolioMu。
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func savePortfolioLocked() error {
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if impl.DBService == nil {
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return nil
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}
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for _, st := range portfolio.Positions {
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if st == nil {
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continue
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}
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if err := impl.DBService.Save(st).Error; err != nil {
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return err
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}
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}
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return nil
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}
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// balanceFree 从账户余额列表里解析某资产的可用数量（Free 字段为字符串）。
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func balanceFree(balances []binance.Balance, asset string) (float64, error) {
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for _, b := range balances {
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if b.Asset == asset {
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return strconv.ParseFloat(b.Free, 64)
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}
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}
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return 0, nil
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}
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// spotTick 单次轮询：拉账户 + 批量现价 → 对每个 watchList 标的执行 processOne → 持久化到库。
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func spotTick(ctx context.Context, client *binance.Client) error {
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acct, err := client.NewGetAccountService().Do(ctx)
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if err != nil {
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return err
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}
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symbols := make([]string, len(watchList))
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for i, w := range watchList {
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symbols[i] = w.Symbol
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}
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prices, err := client.NewListPricesService().Symbols(symbols).Do(ctx)
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if err != nil {
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return err
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}
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priceBySymbol := make(map[string]float64, len(prices))
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for _, p := range prices {
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v, err := strconv.ParseFloat(p.Price, 64)
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if err != nil {
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continue
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}
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priceBySymbol[p.Symbol] = v
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}
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portfolioMu.Lock()
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defer portfolioMu.Unlock()
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for _, w := range watchList {
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px, ok := priceBySymbol[w.Symbol]
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if !ok {
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continue
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}
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if err := processOne(ctx, client, acct.Balances, w, px); err != nil {
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log.Printf("logic: %s 处理失败: %v", w.Symbol, err)
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}
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}
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return savePortfolioLocked()
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}
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// getOrCreateState 按基础资产取状态；不存在则新建并挂到 portfolio 上（首轮 Save 时插入表）。
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func getOrCreateState(base, symbol string) *models.SpotPosition {
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st, ok := portfolio.Positions[base]
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if !ok {
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st = &models.SpotPosition{
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BaseAsset: base,
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Symbol: symbol,
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}
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portfolio.Positions[base] = st
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}
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return st
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}
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// processOne 单标的一轮决策：无仓建仓 → 有仓则判超跌买 / 冲高卖，并维护锁与成本。
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func processOne(ctx context.Context, client *binance.Client, balances []binance.Balance, w spotSymbol, price float64) error {
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free, err := balanceFree(balances, w.Base)
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if err != nil {
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return err
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}
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st := getOrCreateState(w.Base, w.Symbol)
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positionUSDT := free * price
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// ---------- 分支一：视为空仓，首笔市价买 100 USDT ----------
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if positionUSDT < minHoldUSDT {
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st.DipLegLocked = false
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st.RallyLegLocked = false
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usdtFree, err := balanceFree(balances, "USDT")
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if err != nil {
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return err
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}
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if usdtFree < buyQuoteUSDT {
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return errors.New("USDT 余额不足，无法建仓 100U")
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}
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order, err := client.NewCreateOrderService().
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Symbol(w.Symbol).
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Side(binance.SideTypeBuy).
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Type(binance.OrderTypeMarket).
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QuoteOrderQty(strconv.FormatFloat(buyQuoteUSDT, 'f', 2, 64)).
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NewOrderRespType(binance.NewOrderRespTypeFULL).
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Do(ctx)
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if err != nil {
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return err
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}
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applyBuyFill(st, order)
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log.Printf("logic: %s 初始建仓约 %.2f USDT, 成交均价约 %.4f", w.Symbol, buyQuoteUSDT, st.AvgCostUSDT)
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return nil
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}
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// 有仓但本地从未写过成本（例如手工转入），用当前价初始化成本，便于后续比例判断
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if st.AvgCostUSDT <= 0 {
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st.AvgCostUSDT = price
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}
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st.Quantity = free
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// ---------- 分支二：相对成本下跌 dipPct，且本波未加仓过 → 再买 100 USDT ----------
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dipLine := st.AvgCostUSDT * (1 - dipPct)
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if price <= dipLine && !st.DipLegLocked {
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usdtFree, err := balanceFree(balances, "USDT")
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if err != nil {
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return err
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}
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if usdtFree < buyQuoteUSDT {
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return errors.New("USDT 余额不足，无法加仓 100U")
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}
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order, err := client.NewCreateOrderService().
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Symbol(w.Symbol).
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Side(binance.SideTypeBuy).
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Type(binance.OrderTypeMarket).
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QuoteOrderQty(strconv.FormatFloat(buyQuoteUSDT, 'f', 2, 64)).
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NewOrderRespType(binance.NewOrderRespTypeFULL).
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Do(ctx)
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if err != nil {
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return err
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}
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applyBuyFill(st, order)
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st.DipLegLocked = true
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log.Printf("logic: %s 下跌 %.0f%% 加仓 %.0f USDT, 新成本约 %.4f", w.Symbol, dipPct*100, buyQuoteUSDT, st.AvgCostUSDT)
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}
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// 价格明显站回成本上方后，允许下一次「超跌加仓」
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if st.DipLegLocked && price >= st.AvgCostUSDT*(1+dipRecoverPct) {
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st.DipLegLocked = false
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}
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// ---------- 分支三：相对成本上涨 profitPct，且本波未减仓过 → 卖出 free 的 sellFraction ----------
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profitLine := st.AvgCostUSDT * (1 + profitPct)
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if price >= profitLine && !st.RallyLegLocked {
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step := stepSizes[w.Symbol]
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if step == "" {
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step = "0.00001"
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}
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qtyStr, ok, err := formatQtyForSell(free*sellFraction, step)
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if err != nil {
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return err
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}
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if !ok || parseFloat(qtyStr)*price < minSellNotional {
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return nil
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}
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order, err := client.NewCreateOrderService().
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Symbol(w.Symbol).
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Side(binance.SideTypeSell).
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Type(binance.OrderTypeMarket).
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Quantity(qtyStr).
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NewOrderRespType(binance.NewOrderRespTypeFULL).
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Do(ctx)
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if err != nil {
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|
|
return err
|
|||
|
|
}
|
|||
|
|
sold, _ := strconv.ParseFloat(order.ExecutedQuantity, 64)
|
|||
|
|
st.Quantity = free - sold
|
|||
|
|
if st.Quantity < 0 {
|
|||
|
|
st.Quantity = 0
|
|||
|
|
}
|
|||
|
|
st.RallyLegLocked = true
|
|||
|
|
log.Printf("logic: %s 上涨 %.0f%% 减持 %.0f%%, 卖出数量 %s", w.Symbol, profitPct*100, sellFraction*100, qtyStr)
|
|||
|
|
}
|
|||
|
|
// 从高位回落靠近成本后，允许下一次「冲高减仓」
|
|||
|
|
if st.RallyLegLocked && price <= st.AvgCostUSDT*(1+rallyResetHighPct) {
|
|||
|
|
st.RallyLegLocked = false
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
return nil
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
// applyBuyFill 根据市价买单成交回报更新加权成本与数量（首笔建仓与加仓共用）。
|
|||
|
|
func applyBuyFill(st *models.SpotPosition, order *binance.CreateOrderResponse) {
|
|||
|
|
execQty, _ := strconv.ParseFloat(order.ExecutedQuantity, 64)
|
|||
|
|
quote, _ := strconv.ParseFloat(order.CummulativeQuoteQuantity, 64)
|
|||
|
|
if execQty <= 0 || quote <= 0 {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
oldQty := st.Quantity
|
|||
|
|
oldCost := st.AvgCostUSDT
|
|||
|
|
newQty := oldQty + execQty
|
|||
|
|
if newQty <= 0 {
|
|||
|
|
return
|
|||
|
|
}
|
|||
|
|
if oldQty <= 0 || oldCost <= 0 {
|
|||
|
|
st.AvgCostUSDT = quote / execQty
|
|||
|
|
} else {
|
|||
|
|
st.AvgCostUSDT = (oldQty*oldCost + quote) / newQty
|
|||
|
|
}
|
|||
|
|
st.Quantity = newQty
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
// formatQtyForSell 将「计划卖出数量」按 stepSize 向下取整，满足 Binance LOT_SIZE；过小则返回 ok=false。
|
|||
|
|
func formatQtyForSell(qty float64, stepSize string) (string, bool, error) {
|
|||
|
|
if qty <= 0 {
|
|||
|
|
return "", false, nil
|
|||
|
|
}
|
|||
|
|
step, err := decimal.NewFromString(stepSize)
|
|||
|
|
if err != nil {
|
|||
|
|
return "", false, err
|
|||
|
|
}
|
|||
|
|
q := decimal.NewFromFloat(qty)
|
|||
|
|
n := q.Div(step).Floor()
|
|||
|
|
out := n.Mul(step)
|
|||
|
|
if out.LessThanOrEqual(decimal.Zero) {
|
|||
|
|
return "", false, nil
|
|||
|
|
}
|
|||
|
|
return out.String(), true, nil
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
func parseFloat(s string) float64 {
|
|||
|
|
v, _ := strconv.ParseFloat(s, 64)
|
|||
|
|
return v
|
|||
|
|
}
|