多交叉信号处理

.editorconfig

@@ -8,3 +8,6 @@ dotnet_diagnostic.CS1591.severity = none
 
 # CS8625: 无法将 null 字面量转换为非 null 的引用类型。
 dotnet_diagnostic.CS8625.severity = none
+
+# CS8602: 解引用可能出现空引用。
+dotnet_diagnostic.CS8602.severity = none

Binance.TradeRobot.Business/Binance.TradeRobot.Business.xml

@@ -66,6 +66,35 @@
             现货策略
             </summary>
         </member>
+        <member name="M:Binance.TradeRobot.Business.ITradeBusiness.TrendChanged``2(``0,``1)">
+            <summary>
+            趋势变化
+            </summary>
+            <typeparam name="T"></typeparam>
+            <typeparam name="T1"></typeparam>
+            <param name="singalRequest"></param>
+            <param name="robot"></param>
+        </member>
+        <member name="M:Binance.TradeRobot.Business.ITradeBusiness.LongCross``2(``0,``1,System.Boolean)">
+            <summary>
+            多交叉
+            </summary>
+            <typeparam name="T"></typeparam>
+            <typeparam name="T1"></typeparam>
+            <param name="singalRequest"></param>
+            <param name="robot"></param>
+            <param name="isRemedy">是否为补救信号</param>
+        </member>
+        <member name="M:Binance.TradeRobot.Business.ITradeBusiness.ShortCross``2(``0,``1,System.Boolean)">
+            <summary>
+            空交叉
+            </summary>
+            <typeparam name="T"></typeparam>
+            <typeparam name="T1"></typeparam>
+            <param name="singalRequest"></param>
+            <param name="robot"></param>
+            <param name="isRemedy">是否为补救信号</param>
+        </member>
         <member name="M:Binance.TradeRobot.Business.UserBusiness.OneWayAssetChange(System.Int64,System.Decimal,System.Int64,Binance.TradeRobot.Model.Base.Enums.CapitalChangeType,System.String)">
             <summary>
             单向资产变更

Binance.TradeRobot.Business/Business/DingBusiness.cs

@@ -0,0 +1,32 @@
+using Binance.TradeRobot.Common.DI;
+using Binance.TradeRobot.Common.Http;
+using Microsoft.Extensions.DependencyInjection;
+
+namespace Binance.TradeRobot.Business
+{
+    [BatchRegistration(ServiceLifetime.Singleton, RegistrationType.Self)]
+    public class DingBusiness
+    {
+        private RestApiService restApiService;
+        public DingBusiness(RestApiService restApiService)
+        {
+            this.restApiService = restApiService;
+        }
+
+        public void Send(string content)
+        {
+            try
+            {
+                restApiService.SendRequest("https://oapi.dingtalk.com/robot/send", "?access_token=be2f574475269e83584fa3ef1a93ef68e28c15402afa1d193aa82a1a51164850", new
+                {
+                    msgtype = "text",
+                    text = new
+                    {
+                        content
+                    }
+                }, null, System.Net.Http.HttpMethod.Post);
+            }
+            catch { }
+        }
+    }
+}

Binance.TradeRobot.Business/Business/SpotPolicyBusiness.cs

@@ -5,9 +5,6 @@ using Binance.TradeRobot.Model.Db;
 using Binance.TradeRobot.Model.Dto;
 using Microsoft.Extensions.Caching.Memory;
 using Microsoft.Extensions.DependencyInjection;
-using System;
-using System.Collections.Generic;
-using System.Text;
 using Yitter.IdGenerator;
 
 namespace Binance.TradeRobot.Business

Binance.TradeRobot.Business/Business/TradeBusiness/D21TradeBusiness.cs

@@ -1,4 +1,5 @@
-using Binance.TradeRobot.Common.DI;
+using Binance.TradeRobot.Business.Extensions;
+using Binance.TradeRobot.Common.DI;
 using Binance.TradeRobot.Model.Base;
 using Binance.TradeRobot.Model.Db;
 using Binance.TradeRobot.Model.Dto;
@@ -7,7 +8,9 @@ using Microsoft.Extensions.Caching.Memory;
 using Microsoft.Extensions.DependencyInjection;
 using Newtonsoft.Json;
 using System;
+using System.Collections.Generic;
 using System.Text;
+using System.Threading;
 using Yitter.IdGenerator;
 
 namespace Binance.TradeRobot.Business
@@ -15,13 +18,22 @@ namespace Binance.TradeRobot.Business
     [BatchRegistration(ServiceLifetime.Singleton, RegistrationType.Interface)]
     public class D21TradeBusiness : BaseBusiness, ITradeBusiness
     {
-        public D21TradeBusiness(IFreeSql fsql, NLogManager logManager, IIdGenerator idGenerator, IMemoryCache memoryCache) : base(fsql, logManager, idGenerator, memoryCache)
+        private DingBusiness dingBusiness;
-        {
+        private GlobalContext globalContext;
-
-        }
 
         public Enums.TradePolicy TradePolicy => Enums.TradePolicy.D21;
 
+        public D21TradeBusiness(IFreeSql fsql,
+                                NLogManager logManager,
+                                IIdGenerator idGenerator,
+                                IMemoryCache memoryCache,
+                                DingBusiness dingBusiness,
+                                GlobalContext globalContext) : base(fsql, logManager, idGenerator, memoryCache)
+        {
+            this.dingBusiness = dingBusiness;
+            this.globalContext = globalContext;
+        }
+
         public void TrendChanged<T, T1>(T singalRequest, T1 robot) where T : BaseSingalRequest where T1 : RobotResponse
         {
             try
@@ -32,12 +44,10 @@ namespace Binance.TradeRobot.Business
                     RobotId = robot.Id,
                     CreateTime = DateTime.Now,
                     SourceSingal = singalRequest.SingalType,
-                    Content = $"收到趋势信号【{singalRequest.SingalType}】"
+                    Content = $"收到信号{singalRequest.SingalType}"
                 };
                 fsql.Insert(executionLog).ExecuteAffrows();
-                var d21RuningInfo = RedisHelper.Get<D21RuningInfo>(robot.Id.ToString());
+                var d21RuningInfo = RedisHelper.Get<D21RuningInfo>(robot.Id.ToString()) ?? new D21RuningInfo() { RobotId = robot.Id };
-                if (d21RuningInfo == null)
-                    d21RuningInfo = new D21RuningInfo() { RobotId = robot.Id };
                 d21RuningInfo.RecentSmallTrendSingal = singalRequest.SingalType;
                 RedisHelper.Set(robot.Id.ToString(), d21RuningInfo);
             }
@@ -50,18 +60,88 @@ namespace Binance.TradeRobot.Business
             }
         }
 
-        public void LongCross<T, T1>(T singalRequest, T1 robot, decimal newestPrice, bool isRemedy)
+        public void LongCross<T, T1>(T singalRequest, T1 robot, bool isRemedy) where T : BaseSingalRequest where T1 : RobotResponse
-            where T : BaseSingalRequest
-            where T1 : RobotResponse
         {
-            throw new NotImplementedException();
+            string step = string.Empty;
+            var logList = new List<ExecutionLog>();
+            logList.Add(new ExecutionLog()
+            {
+                Id = idGenerator.NewLong(),
+                SourceSingal = Enums.SingalType.多交叉,
+                RobotId = robot.Id,
+                CreateTime = DateTime.Now,
+                Content = $"收到信号{singalRequest.SingalType}{(isRemedy ? "(补救)" : string.Empty)}"
+            });
+            try
+            {
+                var d21RuningInfo = RedisHelper.Get<D21RuningInfo>(robot.Id.ToString()) ?? new D21RuningInfo() { RobotId = robot.Id };
+
+                #region 验证信号
+                step = "验证信号";
+                if (!isRemedy)
+                {
+                    if (d21RuningInfo.ErrorCrossSingal != null)
+                    {
+                        d21RuningInfo.ErrorCrossSingal = null;
+                        d21RuningInfo.ErrorCrossSingalTime = 0;
+                        RedisHelper.Set(robot.Id.ToString(), d21RuningInfo);
+                        throw new BusinessException("前一个信号错误,终止多交叉信号执行");
+                    }
+
+                    if (d21RuningInfo.RecentSmallTrendSingal == null)
+                        throw new BusinessException("缺少小趋势,终止多交叉信号执行");
+
+                    if (d21RuningInfo.RecentSmallTrendSingal == Enums.SingalType.小趋势看空)
+                    {
+                        var errorTimeStamp = DateTime.Now.GetKID(singalRequest.KLinePeriodic, false);
+                        Thread.Sleep(5000); //防止多交叉和小趋势看多同时接收造成误判
+                        d21RuningInfo = RedisHelper.Get<D21RuningInfo>(robot.Id.ToString()) ?? new D21RuningInfo() { RobotId = robot.Id };
+                        if (d21RuningInfo.RecentSmallTrendSingal == Enums.SingalType.小趋势看空)
+                        {
+                            d21RuningInfo.ErrorCrossSingal = singalRequest.SingalType;
+                            d21RuningInfo.ErrorCrossSingalTime = errorTimeStamp;
+                            RedisHelper.Set(robot.Id.ToString(), d21RuningInfo);
+                            throw new BusinessException("小趋势看空,终止多交叉信号执行");
+                        }
+                    }
+                }
+                #endregion
+
+                #region 限制追高
+                var d21Robot = robot as D21PolicyRobotResponse;
+                var newestPrice = globalContext.GetSpotNewestPrice(robot.KLineKey) ?? singalRequest.ClosePrice;
+
+                step = "限制追高";
+                if (d21RuningInfo.RecentShortCrossSignalTradePrice != null && newestPrice > d21RuningInfo.RecentShortCrossSignalTradePrice)
+                {
+                    var diffRatio = Math.Round((newestPrice / d21RuningInfo.RecentShortCrossSignalTradePrice.Value - 1) * 100, 2);
+                    if (diffRatio > d21Robot.D21Policy.MaxFollowPurchaseRatio)
+                    {
+                        throw new BusinessException($"触发限制追高,最近空交叉成交价{d21RuningInfo.RecentShortCrossSignalTradePrice},当前价格{newestPrice},追高比例{d21Robot.D21Policy.MaxFollowPurchaseRatio}%,当前比例{diffRatio}%,终止多交叉信号执行");
+                    }
+                }
+                #endregion
+            }
+            catch (Exception ex)
+            {
+                logList.Add(new ExecutionLog()
+                {
+                    Id = idGenerator.NewLong(),
+                    SourceSingal = Enums.SingalType.多交叉,
+                    RobotId = robot.Id,
+                    CreateTime = DateTime.Now,
+                    Content = ex.Message
+                });
+                try { fsql.Insert(logList).ExecuteAffrows(); } catch { }
+                var errorMsg = $"交易警报 {robot.ExecuteLogKey} {robot.Id} {step}";
+                logManager.GetLogger(robot.ExecuteLogKey).Error(ex, errorMsg);
+                dingBusiness.Send($"{errorMsg} {ex.Message}");
+            }
         }
 
-        public void ShortCross<T, T1>(T singalRequest, T1 robot, decimal newestPrice, bool isRemedy)
+        public void ShortCross<T, T1>(T singalRequest, T1 robot, bool isRemedy) where T : BaseSingalRequest where T1 : RobotResponse
-            where T : BaseSingalRequest
-            where T1 : RobotResponse
         {
-            throw new NotImplementedException();
+
         }
     }
 }

Binance.TradeRobot.Business/Business/TradeBusiness/ITradeBusiness.cs

@@ -7,10 +7,33 @@ namespace Binance.TradeRobot.Business
     {
         Enums.TradePolicy TradePolicy { get; }
 
+        /// <summary>
+        /// 趋势变化
+        /// </summary>
+        /// <typeparam name="T"></typeparam>
+        /// <typeparam name="T1"></typeparam>
+        /// <param name="singalRequest"></param>
+        /// <param name="robot"></param>
         void TrendChanged<T, T1>(T singalRequest, T1 robot) where T : BaseSingalRequest where T1 : RobotResponse;
 
-        void LongCross<T, T1>(T singalRequest, T1 robot, decimal newestPrice,bool isRemedy) where T : BaseSingalRequest where T1 : RobotResponse;
+        /// <summary>
+        /// 多交叉
+        /// </summary>
+        /// <typeparam name="T"></typeparam>
+        /// <typeparam name="T1"></typeparam>
+        /// <param name="singalRequest"></param>
+        /// <param name="robot"></param>
+        /// <param name="isRemedy">是否为补救信号</param>
+        void LongCross<T, T1>(T singalRequest, T1 robot, bool isRemedy) where T : BaseSingalRequest where T1 : RobotResponse;
 
-        void ShortCross<T, T1>(T singalRequest, T1 robot, decimal newestPrice, bool isRemedy) where T : BaseSingalRequest where T1 : RobotResponse;
+        /// <summary>
+        /// 空交叉
+        /// </summary>
+        /// <typeparam name="T"></typeparam>
+        /// <typeparam name="T1"></typeparam>
+        /// <param name="singalRequest"></param>
+        /// <param name="robot"></param>
+        /// <param name="isRemedy">是否为补救信号</param>
+        void ShortCross<T, T1>(T singalRequest, T1 robot, bool isRemedy) where T : BaseSingalRequest where T1 : RobotResponse;
     }
 }

Binance.TradeRobot.Business/Extensions/KIDExtension.cs

@@ -0,0 +1,74 @@
+using Binance.TradeRobot.Common.Extensions;
+using Binance.TradeRobot.Model.Base;
+using System;
+
+namespace Binance.TradeRobot.Business.Extensions
+{
+    public static class KIDExtension
+    {
+        public static long GetKID(this DateTime datetime, Enums.SignalPeriod kLinePeriodic, bool isPrevious)
+        {
+            DateTime dt = datetime.AddSeconds(datetime.Second * -1).AddMilliseconds(datetime.Millisecond * -1);
+            if (kLinePeriodic == Enums.SignalPeriod._1m)
+            {
+                if (isPrevious)
+                    dt = dt.AddMinutes(-1);
+            }
+            else if (kLinePeriodic == Enums.SignalPeriod._5m)
+            {
+                var fiveMinCount = dt.Minute / 5;  //5分钟的次数
+                dt = dt.AddMinutes(dt.Minute * -1).AddMinutes(fiveMinCount * 5);
+                if (isPrevious)
+                    dt = dt.AddMinutes(-5);
+            }
+            else if (kLinePeriodic == Enums.SignalPeriod._15m)
+            {
+                var fifteenMinCount = dt.Minute / 15; //15分钟次数
+                dt = dt.AddMinutes(dt.Minute * -1).AddMinutes(fifteenMinCount * 15);
+                if (isPrevious)
+                    dt = dt.AddMinutes(-15);
+            }
+            else if (kLinePeriodic == Enums.SignalPeriod._30m)
+            {
+                var fifteenMinCount = dt.Minute / 30; //30分钟次数
+                dt = dt.AddMinutes(dt.Minute * -1).AddMinutes(fifteenMinCount * 30);
+                if (isPrevious)
+                    dt = dt.AddMinutes(-30);
+            }
+            else if (kLinePeriodic == Enums.SignalPeriod._1h)
+            {
+                dt = dt.AddMinutes(dt.Minute * -1);
+                if (isPrevious)
+                    dt = dt.AddHours(-1);
+            }
+            else if (kLinePeriodic == Enums.SignalPeriod._4h)
+            {
+                var hCount = dt.Hour / 4;  //4小时的次数
+                dt = dt.AddMinutes(dt.Minute * -1).AddHours(dt.Hour * -1).AddHours(hCount * 4);
+                if (isPrevious)
+                    dt = dt.AddHours(-4);
+            }
+            else if (kLinePeriodic == Enums.SignalPeriod._1d)
+            {
+                dt = dt.AddMinutes(dt.Minute * -1).AddHours(dt.Hour * -1);
+                if (isPrevious)
+                    dt = dt.AddDays(-1);
+            }
+            else if (kLinePeriodic == Enums.SignalPeriod._1w)
+            {
+                var week = dt.DayOfWeek;
+                dt = dt.AddMinutes(dt.Minute * -1).AddHours(dt.Hour * -1).AddDays((int)week * -1);
+                if (isPrevious)
+                    dt = dt.AddDays(-7);
+            }
+            else if (kLinePeriodic == Enums.SignalPeriod._1M)
+            {
+                dt = dt.AddMinutes(dt.Minute * -1).AddHours(dt.Hour * -1).AddDays((dt.Day - 1) * -1);
+                if (isPrevious)
+                    dt = dt.AddMonths(-1);
+            }
+            Console.WriteLine(dt);
+            return dt.DateTimeToStamp(len13: false);
+        }
+    }
+}

Binance.TradeRobot.Business/GlobalContext.cs

@@ -62,5 +62,17 @@ namespace Binance.TradeRobot.Business
         {
 
         }
+
+        /// <summary>
+        /// 获取指定交易对现货最新成交价
+        /// </summary>
+        /// <param name="symbol"></param>
+        /// <returns></returns>
+        public decimal? GetSpotNewestPrice(string key)
+        {
+            if (spotMarketWebSocketClientDictionary.TryGetValue(key, out SpotMarketWebSocketClient spotMarketWebSocketClient))
+                return spotMarketWebSocketClient.NewestPrice;
+            return null;
+        }
     }
 }

Binance.TradeRobot.Model/RuningInfo/D21RuningInfo.cs

@@ -9,6 +9,21 @@ namespace Binance.TradeRobot.Model.RuningInfo
         /// <summary>
         /// 最近一次小趋势信号
         /// </summary>
-        public Enums.SingalType RecentSmallTrendSingal { get; set; }
+        public Enums.SingalType? RecentSmallTrendSingal { get; set; }
+
+        /// <summary>
+        /// 错误的交叉信号
+        /// </summary>
+        public Enums.SingalType? ErrorCrossSingal { get; set; }
+
+        /// <summary>
+        /// 错误交叉信号的K线时间戳
+        /// </summary>
+        public long ErrorCrossSingalTime { get; set; }
+
+        /// <summary>
+        /// 最近一次空交叉时的成交价
+        /// </summary>
+        public decimal? RecentShortCrossSignalTradePrice { get; set; }
     }
 }