256 lines
8.4 KiB
Go
256 lines
8.4 KiB
Go
// Package logic 提供 Binance 现货策略；本组文件为定时轮询（非 WebSocket）的建仓、超跌加仓与跟踪止盈全平。
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package logic
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import (
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"context"
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"fmt"
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"log"
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"strconv"
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"strings"
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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/models"
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"github.com/adshao/go-binance/v2"
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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 = 10 * time.Second
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// maxDipAdds 相对当前均价最多加仓次数（不含首仓）
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maxDipAdds = 4
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// profitArmPct 浮盈达到该比例后进入「跟踪高点」：继续上涨不平仓，仅从高点回撤 trailPullbackPct 时全平
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profitArmPct = 0.05
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// trailPullbackPct 从跟踪期内最高价回撤本比例则触发市价全仓卖出
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trailPullbackPct = 0.005
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// minHoldUSDT 持仓市值默认「无仓」判断的全局名义下限（USDT）；单笔 OrderQtyUsdt 接近该值时会用 spotHoldingThresholdUSDT 放宽，避免 LOT 取整后略低于本值被误判空仓。
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minHoldUSDT = 10.0
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// minOrderQtyUsdt SpotWatchList 单笔开仓/加仓配置的 USDT 名义下限（与常见 minNotional 对齐）。
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minOrderQtyUsdt = 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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// buyReboundPct 开仓/加仓前须相对阶段低点反弹超过本比例才市价买入（持续创新低则不买）
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buyReboundPct = 0.0039
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// spotImmediateInitialOpen 为 true 时，仅当策略侧从未有过持仓（成本与数量均为 0）时跳过「先锚定再等反弹」，
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// 启动后首轮即可市价开首仓；曾经建仓后又全平的标的仍须等反弹后再进，避免刚卖立刻买回。
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spotImmediateInitialOpen = true
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)
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// spotSymbol 单标的运行时视图：基础资产、交易对、每笔买入的 USDT 名义（来自配置 SpotWatchList）。
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type spotSymbol struct {
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Base string
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Symbol string // 如 BTCUSDT
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OrderQtyUsdt float64 // 开仓与加仓共用（USDT 名义）
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}
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// spotWatchesFromConfig 从 Spec.SpotWatchList 解析有效项；Symbol 空或 OrderQtyUsdt < minOrderQtyUsdt 的条目会被跳过。
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func spotWatchesFromConfig() []spotSymbol {
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items := config.Spec.SpotWatchList
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out := make([]spotSymbol, 0, len(items))
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for _, it := range items {
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sym := strings.TrimSpace(it.Symbol)
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if sym == "" || it.OrderQtyUsdt < minOrderQtyUsdt {
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continue
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}
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us := strings.ToUpper(sym)
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out = append(out, spotSymbol{
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Base: spotBaseFromSymbol(us),
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Symbol: us,
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OrderQtyUsdt: it.OrderQtyUsdt,
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})
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}
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return out
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}
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// spotBaseFromSymbol 由 USDT 现货交易对推导基础资产名（如 BTCUSDT → BTC）；非 *USDT 后缀则整体大写作为键。
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func spotBaseFromSymbol(symbolUpper string) string {
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if strings.HasSuffix(symbolUpper, "USDT") && len(symbolUpper) > 4 {
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return strings.TrimSuffix(symbolUpper, "USDT")
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}
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return symbolUpper
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}
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// dipAddDrawdowns[k] 为已完成 k 次加仓后，下一次加仓须达到的相对当前加权均价的跌幅（第 1 次 5%、第 2 次 15%…）。
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var dipAddDrawdowns = [...]float64{0.05, 0.15, 0.30, 0.50}
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var (
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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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// spotTickDirty 本轮是否发生过市价成交（首仓/加仓/全平）并改动了需持久化的字段；无成交则不写库。
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// 无成交时的 trail/反弹锚点等仅驻内存，进程异常退出可能丢失该段进度（下轮仍可从账户与价格继续推演）。
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spotTickDirty bool
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)
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func markSpotPortfolioDirty() {
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spotTickDirty = true
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}
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// spotTick 单次轮询：拉账户 + 批量现价 → 对每个配置标的执行 processOne → 持久化到库。
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func spotTick(ctx context.Context) error {
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ctx, cancel := context.WithTimeout(ctx, 45*time.Second)
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defer cancel()
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watch := spotWatchesFromConfig()
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if len(watch) == 0 {
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return nil
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}
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acct, err := BinanceClient.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(watch))
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for i, w := range watch {
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symbols[i] = w.Symbol
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}
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prices, err := BinanceClient.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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parts := make([]string, 0, len(watch))
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for _, w := range watch {
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if px, ok := priceBySymbol[w.Symbol]; ok {
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parts = append(parts, fmt.Sprintf("%s=%.8f", w.Symbol, px))
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} else {
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parts = append(parts, w.Symbol+"=?")
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}
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}
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log.Printf("logic: 现货轮询现价 %s", strings.Join(parts, ", "))
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portfolioMu.Lock()
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defer portfolioMu.Unlock()
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spotTickDirty = false
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for _, w := range watch {
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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, BinanceClient, 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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if !spotTickDirty {
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return nil
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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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// spotHoldingThresholdUSDT 判断是否视为「有仓」的名义市值下限（USDT）。
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// 若仅用固定 minHoldUSDT，而配置 OrderQtyUsdt 与 10U 接近，LOT 向下取整后实际成交名义略小于配置，
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// 会被误判为空仓并重复首仓；对在全局门槛附近的单笔配置名义降低阈值并留松弛。
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func spotHoldingThresholdUSDT(w spotSymbol, price float64) float64 {
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t := minHoldUSDT
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nominal := w.OrderQtyUsdt
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if nominal >= minHoldUSDT*0.85 && nominal <= minHoldUSDT*1.25 {
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relaxed := nominal * 0.965
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if relaxed < t {
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t = relaxed
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}
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}
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if t < 0.3 {
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t = 0.3
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}
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return t
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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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holdTh := spotHoldingThresholdUSDT(w, price)
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if positionUSDT >= holdTh {
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st.OpenReboundLow = 0
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}
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if positionUSDT < holdTh {
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st.DipAddsDone = 0
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st.DipLegLocked = false
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st.RallyLegLocked = false
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resetSpotTrail(st)
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neverEntered := st.AvgCostUSDT <= 0 && st.Quantity <= 0
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ready := (spotImmediateInitialOpen && neverEntered) || spotReboundReady(&st.OpenReboundLow, price)
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if !ready {
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log.Printf("logic: %s 空仓 现价=%.8f 阶段低=%.8f 待反弹≥%.3f%% 才首仓 (持仓≈%.2f USDT)", w.Symbol, price, st.OpenReboundLow, buyReboundPct*100, positionUSDT)
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return nil
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}
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err = trySpotInitialEntry(ctx, client, balances, w, st, price)
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if err == nil {
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st.OpenReboundLow = 0
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}
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return err
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}
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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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if err := trySpotDipAdd(ctx, client, balances, w, price, st); err != nil {
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return err
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}
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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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if err := trySpotRallySell(ctx, client, w, price, st, free); err != nil {
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return err
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}
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return nil
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}
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// resetSpotTrail 清除跟踪止盈状态（空仓、加仓后成本变化时调用）。
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func resetSpotTrail(st *models.SpotPosition) {
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st.TrailArmed = false
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st.TrailPeakUSDT = 0
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}
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// spotReboundReady 用 *latch 跟踪阶段低价：创新低则只下移 latch 不通过；现价相对 latch 反弹≥buyReboundPct 时返回 true。
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// *latch≤0 时锚定 latch=price 并返回 false（首根 K 不直接买）。
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func spotReboundReady(latch *float64, price float64) bool {
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if *latch <= 0 {
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*latch = price
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return false
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}
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if price < *latch {
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*latch = price
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return false
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}
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return price >= *latch*(1+buyReboundPct)
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}
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