static void PrepareSellForMore(List <KLineData> coinInfos, TradeItem tradeItem)
{
string quote = tradeItem.quote;
string symbol = tradeItem.symbol;
// 判断是否交易。
var needSellOldData = new BuyInfoDao().ListNeedSellOrder(quote, symbol);
foreach (var item in needSellOldData)
{
if (item.BuyStatus != "filled")
{
continue;
}
// 这里的策略真的很重要
// 如果超过20%, 则不需要考虑站稳, 只要有一丁点回调就可以
// 如果超过7%, 站稳则需要等待3个小时
if (coinInfos[0].close < item.BuyPrice * (decimal)1.09)
{
continue;
}
// 找到最大的close
var maxClose = coinInfos.Max(it => it.close);
var percent = coinInfos[0].close / item.BuyPrice; // 现在的价格/购买的价格
var huidiaoPercent = 1 + (percent - 1) / 10;
if (coinInfos[0].close * (decimal)1.03 < maxClose || coinInfos[0].close * huidiaoPercent < maxClose)
{
Console.WriteLine($"PrepareSell --> {item.Quote}--{item.Symbol}----");
// 出售， 适当的回调，可以出售
DoSellForMore(item, coinInfos[0].close);
}
}
}
public static decimal GetAvgPrice(TradeItem item, string granularity)
{
var klineDataList = OkApi.GetKLineDataAsync(item.symbol + "-" + item.quote, granularity);
if (klineDataList == null)
{
return(0);
}
var count = 0;
var totalPrice = (decimal)0;
foreach (var data in klineDataList)
{
var dataItemPrice = (data.open + data.close) / 2;
totalPrice += dataItemPrice;
count++;
}
//
var avgPrice = totalPrice / count;
avgPrice = decimal.Round(avgPrice, 8);
return(avgPrice);
}
public static void Check(TradeItem tradeItem)
{
try
{
DoCheck(tradeItem);
}
catch (Exception ex)
{
logger.Error(ex.Message, ex);
}
}
static void RunTrade(List <KLineData> coinInfos, TradeItem tradeItem)
{
// 做多购买
PrepareBuyForMore(coinInfos, tradeItem);
// 多单收割
PrepareSellForMore(coinInfos, tradeItem);
// 做空出售
PrepareSellForEmpty(coinInfos, tradeItem);
// 做空购买
PrepareBuyForEmpty(coinInfos, tradeItem);
}
static void PrepareSellForEmpty(List <KLineData> coinInfos, TradeItem tradeItem)
{
if (tradeItem.SmallSellPrice <= 0 || tradeItem.EmptySize <= 0)
{
return;
}
string quote = tradeItem.quote;
string symbol = tradeItem.symbol;
decimal nowPrice = coinInfos[0].close;
// 读取数据库 看看以前的交易
var oldData = new SellInfoDao().List5HigherSellForEmpty(quote, symbol);
// 判断是否阶梯
var bigTheSellPrice = false;
if (oldData.Count > 0)
{
var rateDecimal = (decimal)1.088;
bigTheSellPrice = nowPrice > oldData[0].SellPrice * rateDecimal;
if (oldData[0].SellTradePrice > 0 && oldData[0].SellTradePrice >= oldData[0].SellPrice)
{
bigTheSellPrice = nowPrice > oldData[0].SellTradePrice * rateDecimal;
}
}
if (oldData.Count == 0 || bigTheSellPrice)
{
// coinfInfos的最高价和最低价相差不能太大
var min = coinInfos.Min(it => it.low);
var max = coinInfos.Max(it => it.high);
if (tradeItem.SmallSellPrice > 0 && nowPrice < tradeItem.SmallSellPrice)
{
// logger.Error($"价格过低，不能售出 quote: {quote}, symbol:{symbol}");
return;
}
// 是否超过了最小售价
if (InstrumentsUtils.CheckSmallSellPrice(quote, symbol, coinInfos[0].close))
{
// 出售一单
Console.WriteLine($"PrepareSellForEmpty --> {quote}, {symbol}");
if (oldData.Count > 0)
{
logger.Error($"相差间隔 lastPrice: {oldData[0].Id} -- {oldData[0].SellTradePrice}, nowPrice:{nowPrice}, rate: {(oldData[0].SellTradePrice == 0 ? 0 : (nowPrice / oldData[0].SellTradePrice))} -- { oldData[0].SellTradePrice / nowPrice}");
}
DoSellForEmpty(tradeItem, nowPrice);
return;
}
}
}
static void PrepareBuyForEmpty(List <KLineData> coinInfos, TradeItem tradeItem)
{
string quote = tradeItem.quote;
string symbol = tradeItem.symbol;
// 判断是否交易。
var needBuyOldData = new SellInfoDao().ListNeedBuyOrder(quote, symbol);
if (needBuyOldData.Count > 0)
{
Console.WriteLine($"----------> {quote} {symbol} 空： {needBuyOldData.Count}");
}
foreach (var item in needBuyOldData)
{
if (item.SellStatus != "filled")
{
continue;
}
// 这里的策略真的很重要
// 如果超过20%, 则不需要考虑站稳, 只要有一丁点回调就可以
// 如果超过7%, 站稳则需要等待3个小时
if (coinInfos[0].close * (decimal)1.09 > item.SellPrice)
{
continue;
}
// 找到最大的close
var minClose = coinInfos.Min(it => it.close);
var percent = item.SellPrice / coinInfos[0].close; // 现在的价格/出售的价格
var huidiaoPercent = 1 + (percent - 1) / 10;
if (coinInfos[0].close > minClose * (decimal)1.03 || coinInfos[0].close > minClose * huidiaoPercent)
{
Console.WriteLine($"PrepareBuyForEmpty --> {item.Quote}--{item.Symbol}----");
// 出售， 适当的回调，可以购入
DoBuyForEmpty(item, coinInfos[0].close);
}
}
}
static void DoSellForEmpty(TradeItem tradeItem, decimal nowPrice)
{
string quote = tradeItem.quote;
string symbol = tradeItem.symbol;
if (lastSellForEmptyDate > DateTime.Now.AddSeconds(-20))
{
// 如果20秒内做空过一单， 则不能再次做空
return;
}
var sellSize = tradeItem.EmptySize;
if (sellSize <= 0)
{
return;
}
var count = new SellInfoDao().GetNotBuyCount(quote, symbol);
count = Math.Min(count, 60);
sellSize = sellSize * (1 + count / (decimal)30);
var sellPrice = nowPrice / (decimal)1.01;
var okInstrument = InstrumentsUtils.GetOkInstruments(quote, symbol);
sellPrice = decimal.Round(sellPrice, okInstrument.GetTickSizeNumber());
sellSize = decimal.Round(sellSize, okInstrument.GetSizeIncrementNumber());
var client_oid = "sell" + DateTime.Now.Ticks;
try
{
logger.Error($"");
logger.Error($"1: 准备出售(空) {quote}-{symbol}, client_oid:{client_oid}, nowPrice:{nowPrice}, sellPrice:{sellPrice.ToString()}, sellSize:{sellSize.ToString()}");
var tradeResult = OkApi.Sell(client_oid, symbol + "-" + quote, sellPrice.ToString(), sellSize.ToString());
logger.Error($"2: 下单完成 {JsonConvert.SerializeObject(tradeResult)}");
new SellInfoDao().CreateSellInfo(new SellInfo
{
SellClientOid = client_oid,
SellPrice = sellPrice,
SellQuantity = sellSize,
SellCreateAt = DateTime.Now.ToString("yyyy-MM-dd"),
SellFilledNotional = (decimal)0,
SellStatus = "prepare",
SellOrderId = tradeResult.order_id,
SellResult = tradeResult.result,
Quote = quote,
Symbol = symbol,
UserName = "******"
});
logger.Error($"3: 添加记录完成");
logger.Error($"");
lastSellForEmptyDate = DateTime.Now;
}
catch (Exception e)
{
logger.Error("做空出售异常 严重 --> " + e.Message, e);
Thread.Sleep(1000 * 60 * 10);
}
}
static void PrepareBuyForMore(List <KLineData> coinInfos, TradeItem tradeItem)
{
string quote = tradeItem.quote;
string symbol = tradeItem.symbol;
decimal nowPrice = coinInfos[0].close;
// 读取数据库 看看以前的交易
var oldData = new BuyInfoDao().List5LowerBuyForBuy(quote, symbol);
if (tradeItem.symbol.ToLower() == "egt" && tradeItem.quote.ToLower() == "okb")
{
logger.Error($"egt 数量： {oldData.Count}, {new DateTime(2019, 6, 12)}");
oldData.RemoveAll(it => DateUtils.GetDate(it.BuyCreateAt) < new DateTime(2019, 6, 12));
logger.Error($"egt 剩余数量： {oldData.Count}");
}
// 判断是否阶梯
var smallThenBuyPrice = false;
if (oldData.Count > 0)
{
var rateDecimal = (decimal)1.078;
if (tradeItem.quote.ToLower() == "okb")
{
rateDecimal = (decimal)1.05;
}
if (tradeItem.BuyLadderRatio > (decimal)1.066)
{
rateDecimal = tradeItem.BuyLadderRatio;
}
smallThenBuyPrice = nowPrice * rateDecimal < oldData[0].BuyPrice;
if (oldData[0].BuyTradePrice > 0 && oldData[0].BuyTradePrice <= oldData[0].BuyPrice)
{
smallThenBuyPrice = nowPrice * rateDecimal < oldData[0].BuyTradePrice;
}
}
if (oldData.Count == 0 || smallThenBuyPrice)
{
// coinfInfos的最高价和最低价相差不能太大
var min = coinInfos.Min(it => it.low);
var max = coinInfos.Max(it => it.high);
if (tradeItem.MaxBuyPrice > 0 && nowPrice > tradeItem.MaxBuyPrice)
{
logger.Error($"价格过高，不能购入 quote: {quote}, symbol:{symbol}");
}
else
{
// 是否超过了最大限价
if (max < 2 * min && InstrumentsUtils.CheckMaxBuyPrice(quote, symbol, coinInfos[0].close))
{
// 购买一单
Console.WriteLine($"PrepareBuy --> {quote}, {symbol}");
if (oldData.Count > 0)
{
logger.Error($"相差间隔 lastPrice: {oldData[0].Id} -- {oldData[0].BuyTradePrice}, nowPrice:{nowPrice}, rate: {(oldData[0].BuyTradePrice == 0 ? 0 : (nowPrice / oldData[0].BuyTradePrice))} -- { oldData[0].BuyTradePrice / nowPrice}");
}
DoBuyForMore(quote, symbol, nowPrice);
return;
}
}
}
}
public static void DoCheck(TradeItem tradeItem)
{
var instrument = $"{tradeItem.symbol}-{tradeItem.quote}".ToUpper();
// 核实下 最近 10个小时是否统计过，
if (lastCheckDate > DateTime.Now.AddMinutes(-1))
{
// 最近1分钟有核实过， 则不再核实
return;
}
if (lastCheckDateDic.ContainsKey(instrument) && lastCheckDateDic[instrument] > DateTime.Now.AddHours(-12))
{
// 这个交易对， 12个小时内核实过，则不再核实
return;
}
else
{
if (lastCheckDateDic.ContainsKey(instrument))
{
lastCheckDateDic[instrument] = DateTime.Now;
}
else
{
lastCheckDateDic.Add(instrument, DateTime.Now);
}
}
lastCheckDate = DateTime.Now;
var orderList = OkApi.ListFilledOrder(instrument);
Console.WriteLine($"需要核实的订单数据：{orderList.Count}");
foreach (var order in orderList)
{
if (order.side == "buy")
{
// 列出数据库里面的交易记录， 对比一下。
var orderInDb = new BuyInfoDao().GetBuyOrder(order.client_oid);
var orderInDb2 = new SellInfoDao().GetBuyOrder(order.client_oid);
if ((
orderInDb == null ||
orderInDb.BuyClientOid != order.client_oid ||
orderInDb.BuyCreateAt != order.created_at ||
orderInDb.BuyStatus != order.status ||
orderInDb.BuyOrderId != order.order_id
)
&&
(
orderInDb2 == null ||
orderInDb2.BuyClientOid != order.client_oid ||
orderInDb2.BuyCreateAt != order.created_at ||
orderInDb2.BuyStatus != order.status ||
orderInDb2.BuyOrderId != order.order_id
))
{
logger.Error($"有个订单不合理，快速查看一下 begin");
logger.Error($"{JsonConvert.SerializeObject(order)}");
logger.Error($"{JsonConvert.SerializeObject(orderInDb)}");
logger.Error($"{JsonConvert.SerializeObject(orderInDb2)}");
logger.Error($"有个订单不合理，快速查看一下 end ");
}
}
else if (order.side == "sell")
{
// 列出数据库里面的交易记录， 对比一下。
var orderInDb = new BuyInfoDao().GetSellOrder(order.client_oid);
var orderInDb2 = new SellInfoDao().GetSellOrder(order.client_oid);
if ((
orderInDb == null ||
orderInDb.SellClientOid != order.client_oid ||
orderInDb.SellCreateAt != order.created_at ||
orderInDb.SellStatus != order.status ||
orderInDb.SellOrderId != order.order_id
)
&&
(
orderInDb2 == null ||
orderInDb2.SellClientOid != order.client_oid ||
orderInDb2.SellCreateAt != order.created_at ||
orderInDb2.SellStatus != order.status ||
orderInDb2.SellOrderId != order.order_id
))
{
logger.Error($"有个订单不合理，快速查看一下 begin");
logger.Error($"{JsonConvert.SerializeObject(order)}");
logger.Error($"{JsonConvert.SerializeObject(orderInDb)}");
logger.Error($"{JsonConvert.SerializeObject(orderInDb2)}");
logger.Error($"有个订单不合理，快速查看一下 end ");
}
}
else
{
logger.Error($"数据统计不正确, 不存在的side");
Console.WriteLine($"{JsonConvert.SerializeObject(order)}");
}
}
}
