private void Timer_Elapsed(object sender, System.Timers.ElapsedEventArgs e)
{
string reportStr = "";
try
{
var account = robotTrade.CurrentAccount;
var ticker = robotMarket.GetTicker(info.Symbol);
if (DateTime.Now.Minute == 0)
{
//整点日志
reportStr = GetReport(info, account, ticker, true);
}
else
{
//分钟日志
reportStr = GetReport(info, account, ticker, false);
}
Log4NetUtility.Info("ReportDetail ", reportStr);
}
catch (Exception ex)
{
Log4NetUtility.Error("ReportTimer", Utils.Exception2String(ex));
}
}
public static List <CoinConfig> Load()
{
try
{
string conFilePath = AppDomain.CurrentDomain.BaseDirectory + "CoinConfigs.json";
if (!File.Exists(conFilePath))
{
throw (new Exception("CoinConfigs配置文件不存在"));
}
StreamReader sr = new StreamReader(conFilePath, Encoding.Default);
string jsonStr = sr.ReadToEnd();
var list = JsonConvert.DeserializeObject <List <CoinConfig> >(jsonStr);
if (list != null && list.Count > 0)
{
Log4NetUtility.Info("加载系统配置", "已成功加载系统配置CoinConfigs");
return(list);
}
else
{
throw (new Exception("CoinConfigs配置文件异常"));
}
}
catch (Exception e)
{
Log4NetUtility.Error("加载系统配置CoinConfigs", "加载配置异常：" + Utils.Exception2String(e));
throw (e);
}
}
//private void SetTradeQty(bool firststart = false)
//{
// if (firststart && config.TradeQty != null && config.TradeQty != 0)
// {
// info.TradeQty = (decimal)config.TradeQty;
// }
// else
// {
// var info = coinConfigs.FirstOrDefault(a => a.Platform == Platform && a.Symbol == Symbol);
// var ticker = GetTicker();
// var account = GetAccount();
// decimal price_now = ticker.last;
// decimal net = account.GetNet(this.info.Symbol, price_now);
// int packetNum = (this.info.OrderQty + 3) * 2;
// decimal newTradeQTY = info.FormatAmount2D(net / price_now / packetNum);
// this.info.TradeQty = newTradeQTY;
// }
//}
private void resetAccount(string side, decimal resetAmt)
{
Stopwatch stopwatch_market = new Stopwatch();
stopwatch_market.Start();
bool result_market = false;
for (int i = 0; i < 3 && !result_market; i++)
{
var ticker = GetTicker();
decimal price = side == "buy" ? ticker.sell : ticker.buy;
//Trade trade = robotTrade.Trade(Symbol, side, price, resetAmt);
Trade trade = robotTrade.MarketTrade(Symbol, side, price, resetAmt);
result_market = trade.result;
if (result_market)
{
stopwatch_market.Stop();
//UpdateMarketFee(trade.order_id);
Log4NetUtility.Info("初始资源", $"《市价{side}》，当前Price:{ticker.last.ToString("#0.00")}，Deal数量:{resetAmt.ToString("#0.0000")}，市价用时:{stopwatch_market.ElapsedMilliseconds}");
Thread.Sleep(3000);
break;
}
else
{
Thread.Sleep(1000);
if (trade.error_code.Contains("1002"))
{
Thread.Sleep(2000 * i);
//i -= 1;
}
}
}
}
private void CancelOrder(Order order)
{
CancelOrder cancel = robotTrade.CancelOrder(Symbol, order.order_id);
if (cancel.result)
{
robotSession.RemoveSessionOrder(order);
//DbHelper.DBSaveChange(doubleorder, "UpDate");
Log4NetUtility.Info("RobotHFT", "Canceled Order Success. id:" + Utils.ShortID(order.order_id) + " Price:" + order.price);
}
else
{
string errmsg = cancel.error_code + " " + cancel.msg;
if (cancel.error_code.Contains("3008"))
{
robotSession.RemoveSessionOrder(order);
//sessionOrders.Remove(doubleorder);
////DbHelper.CreateInstance().RemoveOrder(doubleorder);
errmsg = "已清除脏数据Order。id:" + Utils.ShortID(order.order_id) + " Price:" + order.price;
}
else
{
//errmsg = "撤销重复Order失败。id:" + Utils.ShortID(doubleorder.order_id) + " msg:" + cancel.error_code + cancel.msg;
}
Log4NetUtility.Info("CancelOrder", errmsg);
//DbHelper.CreateInstance().AddErrInfo("缓存单验证", errmsg);
}
}
/// <summary>
/// 全仓挂单
/// </summary>
private void HangOrders()
{
try
{
#region 新缓存列表 newSessionOrders
List <Order> newSessionOrders = new List <Order>();
decimal newFloatPrice = GetStandardPrice(GetTicker().last);
info.floatPrice = newFloatPrice;
info.buyOrderCount = info.sellOrderCount = info.OrderQty;
//info.ShockCount_tmp = info.UpCount_tmp = info.DownCount_tmp = 0;
for (int i = 1; i <= info.buyOrderCount; i++)
{
decimal orderprice = newFloatPrice - i * info.SpanPrice;
Order order = new Order()
{
price = orderprice, amount = info.TradeQty, type = "buy"
};
newSessionOrders.Add(order);
}
for (int i = 1; i <= info.sellOrderCount; i++)
{
decimal orderprice = newFloatPrice + i * info.SpanPrice;
Order order = new Order()
{
price = orderprice, amount = info.TradeQty, type = "sell"
};
newSessionOrders.Add(order);
}
#endregion
#region 挂单、缓存
Stopwatch stopwatch = new Stopwatch();
stopwatch.Start();
robotSession.ClearSessionAllOrders();
foreach (var addOrder in newSessionOrders)
{
TradeOrder(addOrder);
Thread.Sleep(250);
}
//Parallel.ForEach(newSessionOrders, addOrder =>
//{
// TradeOrder(addOrder);
//});
stopwatch.Stop();
Log4NetUtility.Info("HangOrders", robotSession.LogSring());
Log4NetUtility.Info("HangOrders", $"Order中间价:{newFloatPrice}。交易总用时(毫秒):{stopwatch.ElapsedMilliseconds}");
#endregion
}
catch (Exception e)
{
Log4NetUtility.Error("HangOrders", Utils.Exception2String(e));
DbHelper.CreateInstance().AddError("HangOrders", e);
}
}
private Trade TradeOrder(Order order)
{
if (order == null)
{
return(null);
}
Trade trade = robotTrade.Trade(Symbol, order.type, order.price, order.amount);
for (int i = 0; i < 3; i++)
{
if (trade.result && !string.IsNullOrEmpty(trade.order_id))
{
order.order_id = trade.order_id;
order.create_date = Utils.GetUtcTimeDec();
robotSession.AddUpdateSessionOrder(order);
Log4NetUtility.Debug($"New 《{order.type}》 Price:{order.price.ToString("#0.0000")} id:{Utils.ShortID(order.order_id)}");
break;
}
else
{
string type = order.type == "buy" ? "-S" : "+B";
Log4NetUtility.Info("RobotHFT", $"《{type}》委托失败，P:《{order.price.ToString("#0.00")}》A:《{order.amount.ToString("#0.0000")}》,第{i + 1}次返回:{trade.error_code} {trade.msg}");
Thread.Sleep(1000);
if (trade.error_code.Contains("1002"))
{
Thread.Sleep(2000 * i);
//i -= 1;
}
if (trade.error_code.Contains("1016"))
{
var side = order.type == "buy" ? "sell" : "buy";
var ticker = robotMarket.GetTicker(Symbol);
decimal price = side == "buy" ? ticker.sell : ticker.buy;
Trade tradeM = robotTrade.MarketTrade(Symbol, side, price, order.amount);
if (tradeM.result)
{
Log4NetUtility.Info("RobotHFT", $"《{side}》市价调整，P:《{price.ToString("#0.00")}》A:《{order.amount.ToString("#0.0000")}》 ");
}
else
{
Log4NetUtility.Info("RobotHFT", $"《{side}》市价失败，P:《{price.ToString("#0.00")}》A:《{order.amount.ToString("#0.0000")}》 {tradeM.error_code} {tradeM.msg}");
}
Thread.Sleep(2000 * i);
}
}
}
return(trade);
}
public void Run()
{
robotMarket.Run(new List <string>()
{
Symbol
});
Log4NetUtility.Info("Robot_Market", "已开始运行");
robotTrade.Run();
Log4NetUtility.Info("Robot_Trade", "已开始运行");
//RobotHFT Start
Start(true);
robotSession.Run();
Log4NetUtility.Info("Robot_Session", "已开始运行");
robotCurrent.Run();
Log4NetUtility.Info("Robot_Current", "已开始运行");
robotReport.Run();
Log4NetUtility.Info("Robot_Report", "已开始运行");
Log4NetUtility.Info("RobotHFT", "已开始运行");
}
/// <summary>
/// 撤消当前挂单
/// </summary>
/// <returns></returns>
private int ClearAllCurrentOrders(string symbol)
{
Stopwatch stopwatch_cancel = new Stopwatch();
stopwatch_cancel.Start();
int count = robotTrade.ClearCurrentOrders(symbol);
while (count == -1)
{
count = robotTrade.ClearCurrentOrders(symbol);
Thread.Sleep(1000);
}
stopwatch_cancel.Stop();
if (count > 0)
{
Thread.Sleep(2000);
}
robotSession.ClearSessionAllOrders();
Log4NetUtility.Info("ClearAllCurrentOrders", $"撤单当前委托 {count}个， 共用时:{ stopwatch_cancel.ElapsedMilliseconds}");
return(count);
}
public static Config LoadConfig()
{
try
{
Log4NetUtility.Info("加载系统配置", "开始加载系统配置");
string conFilePath = AppDomain.CurrentDomain.BaseDirectory + "config.json";
if (!File.Exists(conFilePath))
{
throw (new Exception("配置文件不存在"));
}
StreamReader sr = new StreamReader(conFilePath, Encoding.Default);
string jsonStr = sr.ReadToEnd();
Config SysConfig = JsonConvert.DeserializeObject <Config>(jsonStr);
Log4NetUtility.Info("加载系统配置", "已成功加载系统配置");
return(SysConfig);
}
catch (Exception e)
{
Log4NetUtility.Error("加载系统配置", "加载配置异常：" + Utils.Exception2String(e));
throw (e);
}
}
private int ClearCurrentOrders_FC(string symbol)
{
Orders orders = GetCurrentOrders_FC(symbol);
if (!orders.result)
{
return(-1);
}
int ClearedCount = 0;
Parallel.ForEach(orders.orders, order =>
{
decimal cancelPrice = order.price;
string ordertype = order.type == "buy" ? "+B" : "-S";
for (int i = 1; i <= 3; i++)
{
CancelOrder cancel = tradeHepler.CancelOrder_FC(order.order_id);
if (cancel.result)
{
ClearedCount++;
string msg = $"{ordertype} P:{cancelPrice.ToString("0.00")} ID:{order.order_id}";
Log4NetUtility.Info("ClearOrders", msg);
break;
}
else
{
string msg = $"{i} {ordertype} P:{cancelPrice.ToString("0.00")} ID:{order.order_id} Msg:{cancel.error_code} {cancel.msg}";
Log4NetUtility.Info("ClearOrders", msg);
Thread.Sleep(250);
}
}
});
currentOrdersDic.Remove(symbol);
return(ClearedCount);
}
private void CheckSessionOrders(long dotime)
{
#region
if (SessionOrders.Count == 0 && Running)
{
return;
}
if (CheckSessionDoTime == -1)
{
lock (objectLock)
{
if (CheckSessionDoTime == -1)
{
CheckSessionDoTime = dotime;
}
}
}
#endregion
if (CheckSessionDoTime == dotime)
{
try
{
//判断Order与缓存验证互斥操作
lock (SessionOrders)
{
if (SessionOrders.Count == 0 && Running)
{
return;
}
Running = true;
#region 撤销重复
var doubleorder = SessionOrders.FirstOrDefault(b => SessionOrders.Exists(a => a.price == b.price && a.type == b.type && a.order_id != b.order_id));
if (doubleorder != null)
{
Log4NetUtility.Info("", "存在重复缓存单 Price:" + doubleorder.price);
//string msg = "";
#region CancelOrder
CancelOrder cancel = robotTrade.CancelOrder(symbol, doubleorder.order_id);
if (cancel.result)
{
SessionOrders.Remove(doubleorder);
doubleorder.status = "3";
//DbHelper.DBSaveChange(doubleorder, "UpDate");
Log4NetUtility.Info("缓存单验证", "已撤销重复Order。id:" + Utils.ShortID(doubleorder.order_id) + " Price:" + doubleorder.price);
CheckSessionDoTime = -1;
return;
}
else
{
string errmsg = "";
if (cancel.error_code.Contains("3008"))
{
SessionOrders.Remove(doubleorder);
//DbHelper.CreateInstance().RemoveOrder(doubleorder);
errmsg = "已清除脏数据Order。id:" + Utils.ShortID(doubleorder.order_id) + " Price:" + doubleorder.price;
}
else
{
errmsg = "撤销重复Order失败。id:" + Utils.ShortID(doubleorder.order_id) + " msg:" + cancel.error_code + cancel.msg;
}
Log4NetUtility.Info("缓存单验证", errmsg);
//DbHelper.CreateInstance().AddErrInfo("缓存单验证", errmsg);
}
#endregion
}
#endregion
#region 撤销异常价格
List <Order> errPriceOrders = SessionOrders.Where(a => a.price < 50m).ToList();
if (errPriceOrders.Count > 0)
{
foreach (var order in errPriceOrders)
{
Log4NetUtility.Info("", "存在异常价格存单 Price:" + order.price);
#region CancelOrder
CancelOrder cancel = robotTrade.CancelOrder(symbol, order.order_id);
if (cancel.result)
{
SessionOrders.Remove(order);
order.status = "3";
//DbHelper.DBSaveChange(doubleorder, "UpDate");
Log4NetUtility.Info("缓存单验证", "已撤销重复Order。id:" + Utils.ShortID(order.order_id) + " Price:" + order.price);
}
else
{
string errmsg = "";
if (cancel.error_code.Contains("3008"))
{
SessionOrders.Remove(order);
//DbHelper.CreateInstance().RemoveOrder(doubleorder);
errmsg = "已清除脏数据Order。id:" + Utils.ShortID(order.order_id) + " Price:" + order.price;
}
else
{
errmsg = "撤销重复Order失败。id:" + Utils.ShortID(doubleorder.order_id) + " msg:" + cancel.error_code + cancel.msg;
}
Log4NetUtility.Info("缓存单验证", errmsg);
//DbHelper.CreateInstance().AddErrInfo("缓存单验证", errmsg);
}
#endregion
}
CheckSessionDoTime = -1;
return;
}
#endregion
#region 调整订单数量 if return
int buycount = SessionOrders.Count(a => a.type == "buy");
int sellcount = SessionOrders.Count(a => a.type == "sell");
int deff = buycount + sellcount - mainData.buyOrderCount - mainData.sellOrderCount;
#region 多单 return
if (deff > 0)
{
Log4NetUtility.Info("MoreOrder", string.Format("Order数大于初始值，现值:{0} 初始:{1}", buycount + sellcount, mainData.buyOrderCount + mainData.sellOrderCount));
Order cancelOrder;
if (buycount > sellcount)
{
cancelOrder = SessionOrders.OrderBy(a => a.price).First();
}
else
{
cancelOrder = SessionOrders.OrderBy(a => a.price).Last();
}
//string msg = "";
CancelOrder cancel = robotTrade.CancelOrder(symbol, cancelOrder.order_id);
if (cancel.result)
{
SessionOrders.Remove(cancelOrder);
cancelOrder.status = "3";
//DbHelper.DBSaveChange(cancelOrder, "UpDate");
string errmsg = string.Format("已撤 {0} id:{1}, Price:{2}", cancelOrder.type == "buy" ? "+B" : "-S", Utils.ShortID(cancelOrder.order_id), cancelOrder.price.ToString("0.00"));
//DbHelper.CreateInstance().AddErrInfo("缓存单验证", errmsg);
Log4NetUtility.Info("MoreOrder", errmsg);
}
CheckSessionDoTime = -1;
return;
}
#endregion
#region 少单 return
if (deff < 0)
{
Log4NetUtility.Info("LessOrder", string.Format("Order数小于初始值，现值{0} 初始{1}", buycount + sellcount, mainData.buyOrderCount + mainData.sellOrderCount));
account = helper.GetUserInfo(Platform);
decimal price = 0;
//string msg = "";
string errmsg = "";
string type = "";
if (account.GetFreeCoin(Symbol) * ticker.last > account.GetFreeFund())
{
price = SessionOrders.OrderBy(a => a.price).Last().price + mainData.SpanPrice;
type = "sell";
}
else
{
price = SessionOrders.OrderBy(a => a.price).First().price - mainData.SpanPrice;
type = "buy";
}
Trade trade = helper.PostTrade(Symbol, type, price, mainData.TradeQty, Platform);
//Trade trade = helper.PostTrade_FC(Symbol, type, "limit", price.ToString("0.00"), mainData.TradeQty.ToString("0.000"));
if (trade.result && !string.IsNullOrEmpty(trade.order_id))
{
var addorder = new var(trade.order_id, price, mainData.TradeQty, type);
addorder.order_time = Utils.GetDateTimeDec();
SessionOrders.Add(addorder);
//DbHelper.DBSaveChange(addorder, "Add");
errmsg = string.Format("已补充不足Order。 《{0}》Price:{1}", type == "buy" ? "+B" : "-S", price);
}
else
{
errmsg = string.Format("补充不足Order失败。《{0}》Price:{1}", type == "buy" ? "+B" : "-S", price);
}
Log4NetUtility.Info("LessOrder", errmsg);
//DbHelper.CreateInstance().AddErrInfo("缓存单验证", errmsg);
CheckSessionDoTime = -1;
return;
}
#endregion
#endregion
#region 判断补充丢单 if return
var lessorder = GetLossOrder();
if (lessorder != null)
{
string errmsg = "";
//string msg = "";
//bool deal = false;
//if (lessorder.type == "buy")
//{
// deal = TradeHelper.CreateDelegateBuy(lessorder.order_amount, lessorder.price, ref msg);
//}
//if (lessorder.type == "sell")
//{
// deal = TradeHelper.CreateDelegateSell(lessorder.order_amount, lessorder.price, ref msg);
//}
Trade trade = helper.PostTrade(Symbol, lessorder.type, lessorder.price, lessorder.order_amount, Platform);
//Trade trade = helper.PostTrade_FC(Symbol, lessorder.type, "limit", lessorder.price.ToString("0.00"), lessorder.order_amount.ToString("0.000"));
if (trade.result && !string.IsNullOrEmpty(trade.order_id))
{
lessorder.order_id = trade.order_id;
//lessorder.order_time = DateTime.Now.Ticks;
SessionOrders.Add(lessorder);
//DbHelper.DBSaveChange(lessorder, "Add");
errmsg = string.Format("AddOrder {0},ID:{1}，Price:{2}", lessorder.type == "buy" ? "《+B》" : "《-S》", Utils.ShortID(lessorder.order_id), lessorder.price.ToString("0.00"));
}
else
{
errmsg = $"AddOrder {lessorder.type} Fail! {lessorder.type } Price:{lessorder.price}，ErrMsg: {trade.error_code} {trade.msg}";
//errmsg = string.Format("AddOrder{0} Fail,ID:{1}，Price:{2}，ErrMsg: {3} {4}", lessorder.type == "buy" ? "《+B》" : "《-S》", lessorder.order_id.Remove(5, trade.order_id.Count() - 6), lessorder.price, trade.error_code, trade.msg);
}
Log4NetUtility.Info("LossOrder", errmsg);
//DbHelper.CreateInstance().AddErrInfo("判断补充丢单", errmsg);
CheckSessionDoTime = -1;
return;
}
#endregion
#region 判断单边、平仓
//if (filledSessionOrders.Count == 0)
// return;
var lastFilledOrderTime = filledSessionOrders.Max(a => a.order_time);
//if (buycount == 0 || sellcount == 0 || Utils.GetDateTimeDec(-1000) < lastFilledOrderTime )
if (buycount == 0 || sellcount == 0)
{
if (Utils.GetDateTimeDec(-180) < lastFilledOrderTime)
{
return;
}
//平仓统计
//mainData.floatPrice = order.price;
mainData.resetCount += 1;
string timeStr = DateTime.Now.ToString("yyyyMMddHHmmss");
ResetTimes.Add(double.Parse(timeStr));
try
{
ReSetOrder(buycount == 0 ? "sell" : "buy");
}
catch (Exception e)
{
////DbHelper.CreateInstance().AddErrInfo("全包平仓异常", e);
Log4NetUtility.Error("全包平仓异常", e.Message);
Log4NetUtility.Error("全包平仓异常", e.StackTrace);
}
}
#endregion
}
}
catch (Exception e)
{
//DbHelper.CreateInstance().AddErrInfo("缓存验证", e);
Log4NetUtility.Error("缓存验证", e.Source);
Log4NetUtility.Error("缓存验证", e.Message);
Log4NetUtility.Error("缓存验证", e.StackTrace);
}
finally
{
CheckSessionDoTime = -1;
Running = false;
}
}
}
/// <summary>
/// 是否调参（平仓过多）
/// </summary>
/// <param name="ResetTimes"></param>
/// <param name="ShockTimes"></param>
/// <param name="lastReStartTime"></param>
/// <returns></returns>
public void CheckTroppoReset(List <decimal> ResetTimes, List <decimal> ShockTimes, DateTime lastReStartTime)
{
try
{
#region 1 分钟内平仓大于等于2次
decimal minu = Utils.GetUtcTimeDec(-1 * 60);
////最后一次震荡1分钟内，不检测返回
if (ResetTimes.Max() > minu)
{
return;
}
int resetcount = ResetTimes.Count(a => a > minu);
//一分钟内平仓大于2次，振幅增大
if (resetcount >= 2)
{
info.SpanPrice = info.SpanPrice * 2;
Log4NetUtility.Info("判断平仓过频繁", "大包/大振幅时.1 分钟内平仓大于等于2次！ SpanPrice * 2:{info.SpanPrice}");
return;
}
#endregion
#region 2 分钟内平仓大于等于2次(调参1分钟内忽略)
if (lastReStartTime.AddMinutes(1) < DateTime.Now)
{
minu = Utils.GetUtcTimeDec(-2 * 60);
resetcount = ResetTimes.Count(a => a > minu);
if (resetcount >= 2)
{
info.SpanPrice = info.SpanPrice * 2;
Log4NetUtility.Info("判断平仓过频繁", "大包/大振幅时.2 分钟内平仓大于等于2次！ SpanPrice * 2:{info.SpanPrice}");
return;
}
}
#endregion
#region //3 分钟内平仓大于等于5次(调参2分钟内忽略)
//if (lastReStartTime.AddMinutes(2) < DateTime.Now)
//{
// minu = Utils.GetDateTimeDec(-3 * 60);
// resetcount = ResetTimes.Count(a => a > minu);
// if (resetcount >= 5)
// {
// info.SpanPrice = info.SpanPrice * 2;
// Log4NetUtility.Info("判断平仓过频繁", "大包/大振幅时.3 分钟内平仓大于等于5次！ SpanPrice * 2:{info.SpanPrice}");
// return;
// }
//}
#endregion
#region 5 分钟内平仓大于等于3次(调参2分钟内忽略)
if (lastReStartTime.AddMinutes(2) < DateTime.Now)
{
minu = Utils.GetUtcTimeDec(-5 * 60);
resetcount = ResetTimes.Count(a => a > minu);
if (resetcount >= 3)
{
info.SpanPrice = info.SpanPrice * 2;
Log4NetUtility.Info("判断平仓过频繁", "大包/大振幅时.5 分钟内平仓大于等于3次！ SpanPrice * 2:{info.SpanPrice}");
return;
}
}
#endregion
#region //7 分钟内平仓大于等于7次
//minu = Utils.GetDateTimeDec(-8 * 60);
//resetcount = ResetTimes.Count(a => a > minu);
//if (resetcount >= 7)
//{
// info.SpanPrice = info.SpanPrice * 2;
// Log4NetUtility.Info("判断平仓过频繁", "大包/大振幅时.7 分钟内平仓大于等于7次！ SpanPrice * 2:{info.SpanPrice}");
// return;
//}
#endregion
#region 10分钟内平仓大于等于4次
minu = Utils.GetUtcTimeDec(-10 * 60);
resetcount = ResetTimes.Count(a => a > minu);
if (resetcount >= 4)
{
info.SpanPrice = info.SpanPrice * 2;
Log4NetUtility.Info("判断平仓过频繁", "大包/大振幅时.10分钟内平仓大于等于4次！ SpanPrice * 2:{info.SpanPrice}");
return;
}
#endregion
#region 交易/平仓< 25
int count = ResetTimes.Count();
//if (count >= 2 && info.SpanPrice < 1)
if (count >= 2)
{
//decimal lasttime = ResetTimes.OrderBy(a => a).ToList()[count - 2];
decimal lasttime = ResetTimes.Max();
int scount = ShockTimes.Count(a => a > lasttime);
if (scount < 25)
{
info.SpanPrice = info.SpanPrice * 2;
Log4NetUtility.Info("判断平仓过频繁", $"交易/平仓:{scount}<25. SpanPrice * 2:{info.SpanPrice}");
}
}
#endregion
}
catch (Exception e)
{
Log4NetUtility.Error("CheckTroppoReset", Utils.Exception2String(e));
DbHelper.CreateInstance().AddError("CheckTroppoReset", e);
}
}
/// <summary>
/// 全量平仓
/// </summary>
private void ReSetOrder(bool isParaReset = false)
{
try
{
if (resetflag)
{
return;
}
resetflag = true;
robotSession.Stop();
robotCurrent.Stop();
Stopwatch stopwatch = new Stopwatch();
stopwatch.Start();
Log4NetUtility.Info("SessionEvent", "************************* 全量平仓<开始> ************************");
if (!isParaReset)
{
info.resetCount++;
}
info.lastReStartTime = DateTime.Now;
info.ResetTimes.Add(Utils.GetUtcTimeDec());
//CheckTroppoReset(info.ResetTimes, info.ShockTimes, info.lastReStartTime);
var coin = coinConfigs.FirstOrDefault(a => a.Symbol == Symbol);
info.SpanPrice = GetSpanPrice(coin.BasePriceWidth);
Start();
stopwatch.Stop();
#region 清除计数缓存
decimal timeDoub = Utils.GetUtcTimeDec(-60 * 30);
info.ShockTimes.RemoveAll(a => a <= timeDoub);
info.ResetTimes.RemoveAll(a => a <= timeDoub);
int scount = info.ShockTimes.Count - 800;
int rcount = info.ResetTimes.Count - 100;
if (scount > 0)
{
info.ShockTimes.RemoveRange(0, scount);
}
if (rcount > 0)
{
info.ResetTimes.RemoveRange(0, rcount);
}
#endregion
//info.ShockCount_tmp = info.UpCount_tmp = info.DownCount_tmp = 0;
Log4NetUtility.Info("SessionEvent", $"*************************全量平仓<结束>耗时:{stopwatch.ElapsedMilliseconds}******************");
}
catch (Exception e)
{
Log4NetUtility.Error("SessionEvent", Utils.Exception2String(e));
DbHelper.CreateInstance().AddError("SessionEvent", e);
}
finally
{
resetflag = false;
robotSession.Run();
robotCurrent.Run();
}
}
/// <summary>
/// 市价平衡资源
/// </summary>
/// <param name="firststart"></param>
private void ResetAccount(bool firststart = false)
{
string side = "";
decimal reset_amt = 0;
var coininfo = coinConfigs.FirstOrDefault(a => a.Platform == Platform && a.Symbol == Symbol);
var ticker = GetTicker();
var account = GetAccount();
if (firststart && config.TradeQty != null && config.TradeQty != 0)
{
info.TradeQty = (decimal)config.TradeQty;
}
else
{
decimal price_now = ticker.last;
decimal net = account.GetNet(this.info.Symbol, price_now);
int packetNum = (this.info.OrderQty + 3) * 2;
decimal newTradeQTY = coininfo.FormatAmount2D(net / price_now / packetNum);
this.info.TradeQty = newTradeQTY;
}
decimal coin = account.GetFreeCoin(Symbol);
decimal coinUSDT = account.GetFreeFund();
var needcoin = this.info.TradeQty * (this.info.OrderQty + 2);
var needfund = needcoin * ticker.sell;
coinUSDT = coininfo.FormatAmount2D(coinUSDT);
coin = coininfo.FormatAmount2D(coin);
Log4NetUtility.Info("初始资源", $"FreeFund {coininfo.CoinB}:{coinUSDT} FreeCoin {coininfo.CoinA}:{coin} ");
decimal buy_qty = needcoin - coin;
if (buy_qty > 1 / coininfo.AmountLimit)
{
reset_amt = buy_qty;
side = "buy";
}
decimal sell_qty = (needfund - coinUSDT) / ticker.sell;
if (sell_qty > 1 / coininfo.AmountLimit)
{
reset_amt = sell_qty;
side = "sell";
}
Log4NetUtility.Info("初始资源", $"Needfund {coininfo.CoinB}:{coininfo.FormatAmount2D(needfund)} Needcoin {coininfo.CoinA}:{coininfo.FormatAmount2D(needcoin)} buy_qty:{coininfo.FormatAmount2D(buy_qty)} sell_qty:{coininfo.FormatAmount2D(sell_qty)} reset_amt:{coininfo.FormatAmount2D(reset_amt)}");
if (side != "" && reset_amt != 0)
{
resetAccount(side, reset_amt);
}
if (firststart)
{
ticker = GetTicker();
account = GetAccount();
decimal Open_Price = ticker.last;
decimal net = account.GetNet(coininfo.Symbol, Open_Price);
info.Open_Price = info.Open_Price == 0 ? Open_Price : info.Open_Price;
info.Open_Fund = info.Open_Fund == 0 ? net : info.Open_Fund;
info.Open_Coin = account.GetFreeCoin(Symbol) + account.GetFreezedCoin(Symbol);
info.lastReStartTime = DateTime.Now;
info.resetCount = 0;
Log4NetUtility.Info("初始资源", $"账户信息获取完成。 可用资金 :{account.GetFreeFund().ToString("#0.0000")} 可用币:{account.GetFreeCoin(Symbol).ToString("#0.0000")},净资金:{account.GetNet(Symbol, ticker.last).ToString("#0.0000")}");
}
}
/// <summary>
/// 是否调参（交易过少）
/// </summary>
/// <param name="ResetTimes"></param>
/// <param name="ShockTimes"></param>
/// <returns></returns>
private bool CheckLittleTrade(List <decimal> ResetTimes, List <decimal> ShockTimes)
{
try
{
ResetTimes = ResetTimes ?? new List <decimal>();
ShockTimes = ShockTimes ?? new List <decimal>();
//已为最低配置，不可调0.25 10
#region 获取统计数据 resetcount、shockcount
//默认统计时间5分钟 1->0.5
int minutes = 5;
//0.5振幅时统计10钟 0.5->0.25
if (info.SpanPrice <= info.Open_SpanPrice / 2)
{
minutes = 10;
}
//小于0.5振幅统计时间15分钟 10P->5P
if (info.SpanPrice < info.Open_SpanPrice / 3)
{
minutes = 15;
}
//时间点minu
decimal minu = Utils.GetUtcTimeDec(-minutes * 60);
int resetcount = ResetTimes.Count(a => a > minu);
int shockcount = ShockTimes.Count(a => a > minu);
#endregion
//1、若有平仓。不调参
if (resetcount > 0)
{
return(false);
}
//2、刚开始运行时间不足
if (ShockTimes.Count == 0 || ShockTimes.Min() > minu)
{
return(false);
}
//3、若震荡大于阈值，不算过小。不调参
if (minutes == 5 && shockcount >= 2)
{
return(false);
}
if (minutes == 10 && shockcount >= 5)
{
return(false);
}
if (minutes == 15 && shockcount >= 7)
{
return(false);
}
#region 获取行情数据 maxPrice、minPrice、diff、pdiff
decimal diff = 0;
decimal time = Utils.GetUtcTimeDec(-minutes * 60);
List <Order> oreders = FilledSessionOrders.Where(a => a.create_date >= time).ToList();
if (oreders == null || oreders.Count == 0)
{
diff = 0;
Log4NetUtility.Info("行情平缓", $"{minutes}分钟内，{resetcount}次平仓，{shockcount}次震荡,SpanPrice:{info.SpanPrice}");
return(true);
}
else
{
decimal maxPrice = oreders.Max(a => a.price);
decimal minPrice = oreders.Min(a => a.price);
diff = maxPrice - minPrice; //价差
}
decimal pdiff = info.SpanPrice * info.OrderQty * 2; //包差
#endregion
//4、行情价差小于等于包范围的1/3时。调参
if (diff <= pdiff / 3)
{
if (info.SpanPrice >= 0.25m)//非最小振幅
{
//降振幅
//info.SpanPrice = info.SpanPrice / 2;
//if (info.SpanPrice == 0.5m)//0.5->0.25时先增加包数
//{
// result.PacketNumResult = AnalyzePropertyResultEnum.Up;
// result.TradeQTYResult = AnalyzePropertyResultEnum.Down;
//}
Log4NetUtility.Info("行情平缓", string.Format("{0}分钟内，{1}次平仓，{2}次震荡,行情价差{3}，包差{4},SpanPrice:{5}", minutes, resetcount, shockcount, diff, pdiff, info.SpanPrice));
return(true);
}
//else//最小振幅0.25.降包、增量
//{
//result.PacketNumResult = AnalyzePropertyResultEnum.Down;
//result.TradeQTYResult = AnalyzePropertyResultEnum.Up;
//}
//Log4NetUtility.Info("行情平缓", string.Format("{0}分钟内，{1}次平仓，{2}次震荡,行情价差{3}，包差{4},SpanPrice:{5}", minutes, resetcount, shockcount, diff, pdiff, info.SpanPrice));
}
}
catch (Exception e)
{
Log4NetUtility.Error("行情平缓", Utils.Exception2String(e));
DbHelper.CreateInstance().AddError("CheckLittleTrade", e);
}
return(false);
}
private void CheckSessionOrders(long dotime)
{
#region objectLock
if (SessionOrders.Count == 0 && checkRunning)
{
return;
}
if (checkSessionDoTime == -1)
{
lock (objectLock)
{
if (checkSessionDoTime == -1)
{
checkSessionDoTime = dotime;
}
}
}
#endregion
if (checkSessionDoTime == dotime)
{
try
{
//判断Order与缓存验证互斥操作
lock (sessionLock)
{
if (SessionOrders.Count == 0 || checkRunning)
{
return;
}
checkRunning = true;
#region 判断单边、平仓
if (SessionOrders.Count == 0)
{
return;
}
var lastFilledOrderTime = SessionOrders.Max(a => a.create_date);
int buycount = SessionOrders.Count(a => a.type == "buy");
int sellcount = SessionOrders.Count(a => a.type == "sell");
//if (buycount == 0 || sellcount == 0 || Utils.GetDateTimeDec(-1000) < lastFilledOrderTime )
bool Reset = false;
if (buycount == 0 || sellcount == 0)
{
if (Utils.GetUtcTimeDec(-180) > lastFilledOrderTime)
{
Reset = true;
Log4NetUtility.Info("Reset", $"单边3分钟");
}
}
if (Utils.GetUtcTimeDec(-600) > lastFilledOrderTime)
{
Reset = true;
Log4NetUtility.Info("Reset", $"缓存静止10分钟");
}
if (Reset)
{
SessionEvent?.Invoke(null, new SessionEventArgs(SessionEventType.Reset));
return;
}
#endregion
#region 撤销重复
bool flag = false;
var doubleorder = SessionOrders.FirstOrDefault(b => SessionOrders.Exists(a => a.price == b.price && a.type == b.type && a.order_id != b.order_id));
if (doubleorder != null)
{
SessionEvent?.Invoke(null, new SessionEventArgs(SessionEventType.DoubleOrder, new List <Order>()
{
doubleorder
}));
//Log4NetUtility.Info("", "存在重复缓存单 Price:" + doubleorder.price);
//string msg = "";
#region //CancelOrder
//CancelOrder cancel = robotTrade.CancelOrder(symbol, doubleorder.order_id);
//if (cancel.result)
//{
// sessionOrders.Remove(doubleorder);
// doubleorder.status = "3";
// //DbHelper.DBSaveChange(doubleorder, "UpDate");
// Log4NetUtility.Info("缓存单验证", "已撤销重复Order。id:" + Utils.ShortID(doubleorder.order_id) + " Price:" + doubleorder.price);
// CheckSessionDoTime = -1;
// return;
//}
//else
//{
// string errmsg = "";
// if (cancel.error_code.Contains("3008"))
// {
// sessionOrders.Remove(doubleorder);
// //DbHelper.CreateInstance().RemoveOrder(doubleorder);
// errmsg = "已清除脏数据Order。id:" + Utils.ShortID(doubleorder.order_id) + " Price:" + doubleorder.price;
// }
// else
// {
// errmsg = "撤销重复Order失败。id:" + Utils.ShortID(doubleorder.order_id) + " msg:" + cancel.error_code + cancel.msg;
// }
// Log4NetUtility.Info("缓存单验证", errmsg);
// //DbHelper.CreateInstance().AddErrInfo("缓存单验证", errmsg);
//}
#endregion
flag = true;
}
#endregion
#region 撤销异常价格
List <Order> errPriceOrders = SessionOrders.Where(a => a.price < 50m).ToList();
if (errPriceOrders.Count > 0)
{
SessionEvent?.Invoke(null, new SessionEventArgs(SessionEventType.ErrPrice, errPriceOrders));
foreach (var order in errPriceOrders)
{
//Log4NetUtility.Info("", "存在异常价格存单 Price:" + order.price);
#region CancelOrder
//CancelOrder cancel = robotTrade.CancelOrder(symbol, order.order_id);
//if (cancel.result)
//{
// sessionOrders.Remove(order);
// order.status = "3";
// //DbHelper.DBSaveChange(doubleorder, "UpDate");
// Log4NetUtility.Info("缓存单验证", "已撤销重复Order。id:" + Utils.ShortID(order.order_id) + " Price:" + order.price);
//}
//else
//{
// string errmsg = "";
// if (cancel.error_code.Contains("3008"))
// {
// sessionOrders.Remove(order);
// //DbHelper.CreateInstance().RemoveOrder(doubleorder);
// errmsg = "已清除脏数据Order。id:" + Utils.ShortID(order.order_id) + " Price:" + order.price;
// }
// else
// {
// errmsg = "撤销重复Order失败。id:" + Utils.ShortID(doubleorder.order_id) + " msg:" + cancel.error_code + cancel.msg;
// }
// Log4NetUtility.Info("缓存单验证", errmsg);
// //DbHelper.CreateInstance().AddErrInfo("缓存单验证", errmsg);
//}
#endregion
}
//CheckSessionDoTime = -1;
flag = true;
}
if (flag)
{
return;
}
#endregion
#region 调整订单数量 if return
int deff = buycount + sellcount - info.buyOrderCount - info.sellOrderCount;
#region 多单 return
if (deff > 1)
{
Log4NetUtility.Info("MoreOrder", string.Format("Order数大于初始值，现值:{0} 初始:{1}", buycount + sellcount, info.buyOrderCount + info.sellOrderCount));
Order cancelOrder;
if (buycount > sellcount)
{
cancelOrder = SessionOrders.OrderBy(a => a.price).First();
}
else
{
cancelOrder = SessionOrders.OrderBy(a => a.price).Last();
}
SessionEvent?.Invoke(null, new SessionEventArgs(SessionEventType.MoreOrder, new List <Order>()
{
cancelOrder
}));
return;
}
#endregion
#region 少单 return
if (deff < -1)
{
Log4NetUtility.Info("LessOrder", string.Format("Order数小于初始值，现值{0} 初始{1}", buycount + sellcount, info.buyOrderCount + info.sellOrderCount));
SessionEvent?.Invoke(null, new SessionEventArgs(SessionEventType.LessOrder));
return;
}
#endregion
#endregion
#region 判断补充丢单 if return
var lostorder = GetLostOrder(SessionOrders);
if (lostorder != null)
{
SessionEvent?.Invoke(null, new SessionEventArgs(SessionEventType.LostOrder, new List <Order>()
{
lostorder
}));
return;
}
#endregion
}
}
#region catch\finally
catch (Exception e)
{
//DbHelper.CreateInstance().AddErrInfo("缓存验证", e);
Log4NetUtility.Error("缓存验证", Utils.Exception2String(e));
DbHelper.CreateInstance().AddError("缓存验证", e);
}
finally
{
checkSessionDoTime = -1;
checkRunning = false;
}
#endregion
}
}
