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316 lines
19 KiB
316 lines
19 KiB
using Binance.TradeRobot.Common.DI;
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using Binance.TradeRobot.Common.Extensions;
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using Binance.TradeRobot.Model.Base;
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using Binance.TradeRobot.Model.Db;
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using Binance.TradeRobot.Model.Dto;
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using FreeSql;
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using Microsoft.Extensions.Caching.Memory;
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using Microsoft.Extensions.DependencyInjection;
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using SDKAdapter.APIClient;
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using SDKAdapter.Model;
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using System;
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using System.Collections.Concurrent;
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using System.Collections.Generic;
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using System.Linq;
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using Yitter.IdGenerator;
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namespace Binance.TradeRobot.Business
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{
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[BatchRegistration(ServiceLifetime.Singleton, RegistrationType.Interface)]
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internal class D21OrderPublishBusiness : BaseSpotOrderPublishBusiness, ISpotOrderPublishBusiness
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{
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private ConcurrentDictionary<long, decimal> spotFeeDictionary;
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public Enums.TradePolicy TradePolicy => Enums.TradePolicy.D21;
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public D21OrderPublishBusiness(IFreeSql fsql, NLogManager logManager, IIdGenerator idGenerator, IMemoryCache memoryCache, DingBusiness dingBusiness, RobotBusiness robotBusiness, UserBusiness userBusiness, ExchangeBusiness exchangeBusiness) : base(fsql, logManager, idGenerator, memoryCache, dingBusiness, robotBusiness, userBusiness, exchangeBusiness)
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{
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spotFeeDictionary = new ConcurrentDictionary<long, decimal>();
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}
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private decimal AddSpotFee(long orderId, decimal currentTradeFee, bool deleteKey)
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{
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if (!spotFeeDictionary.TryGetValue(orderId, out decimal fee))
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{
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fee = 0M;
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spotFeeDictionary.TryAdd(orderId, fee);
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}
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fee += currentTradeFee;
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spotFeeDictionary[orderId] = fee;
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if (deleteKey)
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spotFeeDictionary.TryRemove(orderId, out _);
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return fee;
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}
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public void OnSpotOrderPublish(SpotOrderPublishInfo spotOrderPublishInfo)
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{
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var step = string.Empty;
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var logList = new List<ExecutionLog>();
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try
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{
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//step = "检查订单是否入库";
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CheckOrderExists(spotOrderPublishInfo.OrderId);
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//step = "查询订单所属机器人";
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var robot = robotBusiness.GetD21PolicyRobotList(spotOrderPublishInfo.RobotId, isLoadRecentTradeProfit: false, isLoadAPIKey: true).FirstOrDefault();
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if (robot == null)
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throw new BusinessException($"未找到机器人");
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var symbolInfo = exchangeBusiness.GetSymbol(spotOrderPublishInfo.Exchange, spotOrderPublishInfo.Symbol);
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var apiClient = GetBaseAPIClient(robot.ExchangeId, robot.ExchangeAPIKey.AccountId, robot.ExchangeAPIKey.APIKey, robot.ExchangeAPIKey.SecretKey);
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IUpdate<SpotOrder> updateSpotOrder = fsql.Update<SpotOrder>(spotOrderPublishInfo.OrderId).Set(o => o.State, spotOrderPublishInfo.SpotOrderState);
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IUpdate<RobotAccount> updateRobotAccount = null;
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IList<IUpdate<User>> updateUserList = null;
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List<UserAccountProfitLossRecord> insertUserAccountProfitLossRecordList = null;
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IUpdate<D21Policy> updateD21Policy = null;
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List<SpotOrder> insertStopLossOrderList = null;
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if (spotOrderPublishInfo.SpotOrderState == Enums.SpotOrderState.Rejected ||
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spotOrderPublishInfo.SpotOrderState == Enums.SpotOrderState.Expired ||
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spotOrderPublishInfo.SpotOrderState == Enums.SpotOrderState.Canceled)
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{
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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CreateTime = DateTime.Now,
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OrderId = spotOrderPublishInfo.OrderId,
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RobotId = spotOrderPublishInfo.RobotId,
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SourceSingal = Enums.SingalType.订单推送,
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Content = $"收到订单推送,订单号:{spotOrderPublishInfo.OrderId},订单方向:{spotOrderPublishInfo.TradeDirection},订单类型:{spotOrderPublishInfo.OrderType},订单状态:{spotOrderPublishInfo.SpotOrderState}{(spotOrderPublishInfo.SpotOrderState == Enums.SpotOrderState.Rejected ? $",拒绝原因:{spotOrderPublishInfo.RejectedReason}" : string.Empty)}"
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});
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}
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if (spotOrderPublishInfo.SpotOrderState == Enums.SpotOrderState.PartiallyFilled)
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{
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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CreateTime = DateTime.Now,
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OrderId = spotOrderPublishInfo.OrderId,
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RobotId = spotOrderPublishInfo.RobotId,
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SourceSingal = Enums.SingalType.订单推送,
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Content = $"收到订单推送,订单号:{spotOrderPublishInfo.OrderId},订单方向:{spotOrderPublishInfo.TradeDirection},订单类型:{spotOrderPublishInfo.OrderType},订单状态:{spotOrderPublishInfo.SpotOrderState},成交额:{spotOrderPublishInfo.LastTradeAmount},成交量:{spotOrderPublishInfo.LastTradeQuantity},成交价:{spotOrderPublishInfo.LastTradePrice},手续费({spotOrderPublishInfo.FeeUnit}):{spotOrderPublishInfo.Fee}"
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});
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updateSpotOrder = null;
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_ = AddSpotFee(spotOrderPublishInfo.OrderId, spotOrderPublishInfo.Fee, false);
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}
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if (spotOrderPublishInfo.SpotOrderState == Enums.SpotOrderState.Filled)
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{
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var fee = AddSpotFee(spotOrderPublishInfo.OrderId, spotOrderPublishInfo.Fee, true);
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var avgTradePrice = spotOrderPublishInfo.CummulativeTradeAmount / spotOrderPublishInfo.CummulativeTradeQuantity; //计算成交均价
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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CreateTime = DateTime.Now,
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OrderId = spotOrderPublishInfo.OrderId,
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RobotId = spotOrderPublishInfo.RobotId,
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SourceSingal = Enums.SingalType.订单推送,
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Content = $"收到订单推送,订单号:{spotOrderPublishInfo.OrderId},订单方向:{spotOrderPublishInfo.TradeDirection},订单类型:{spotOrderPublishInfo.OrderType},订单状态:{spotOrderPublishInfo.SpotOrderState},成交额:{spotOrderPublishInfo.LastTradeAmount},成交量:{spotOrderPublishInfo.LastTradeQuantity},成交价:{spotOrderPublishInfo.LastTradePrice},手续费({spotOrderPublishInfo.FeeUnit}):{spotOrderPublishInfo.Fee},总手续费:{fee}"
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});
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//更新交易信息
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updateSpotOrder = updateSpotOrder.Set(o => o.TradeAmount, spotOrderPublishInfo.CummulativeTradeAmount)
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.Set(o => o.TradeQuantity, spotOrderPublishInfo.CummulativeTradeQuantity)
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.Set(o => o.TradePrice, avgTradePrice)
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.Set(o => o.TradeFee, fee)
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.Set(o => o.TradeFeeUnit, spotOrderPublishInfo.FeeUnit)
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.Set(o => o.LastTradeTime, spotOrderPublishInfo.LastTradeTime);
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//查询交易所真实资产
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var currentAsset = apiClient.GetIsolatedMarginAccountAssets().FirstOrDefault(x => x.Symbol == spotOrderPublishInfo.Symbol);
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if (spotOrderPublishInfo.TradeDirection == Enums.TradeDirection.Buy)
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{
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var quantity = spotOrderPublishInfo.CummulativeTradeQuantity - fee; //扣除基础币手续费,得到真实购买数量
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//基础币可用资产,交易所账户持币数量
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//更新机器人账户
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updateRobotAccount = fsql.Update<RobotAccount>(robot.RobotAccount.Id).Set(ra => ra.SpotCurrencyQuantity, currentAsset.BaseFree)
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.Set(ra => ra.SpotCurrencyAmount + spotOrderPublishInfo.CummulativeTradeAmount);
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//交易所账户真实持币数量
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updateSpotOrder = updateSpotOrder.Set(o => o.RobotAccountSpotCurrencyQuantity, currentAsset.BaseFree);
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if (spotOrderPublishInfo.OrderType == Enums.OrderType.MARKET)
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{
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#region 市价买单挂止损
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insertStopLossOrderList = new List<SpotOrder>();
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try
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{
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if (robot.D21Policy.Level1PositionStopLossRatio > 0 && robot.D21Policy.Level1PriceStopLossRatio > 0)
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StopLossOrderPlace(robot, symbolInfo, avgTradePrice, quantity, insertStopLossOrderList, logList, apiClient, true);
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if (robot.D21Policy.Level2PositionStopLossRatio > 0 &&
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robot.D21Policy.Level2PriceStopLossRatio > 0 &&
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robot.D21Policy.Level2PositionStopLossRatio + robot.D21Policy.Level1PositionStopLossRatio == 100)
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StopLossOrderPlace(robot, symbolInfo, avgTradePrice, quantity, insertStopLossOrderList, logList, apiClient, false);
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}
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catch (Exception ex)
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{
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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SourceSingal = Enums.SingalType.订单推送,
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RobotId = robot.Id,
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CreateTime = DateTime.Now,
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Content = $"止损单挂单失败,{ex.Message}"
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});
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}
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#endregion
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}
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}
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else if (spotOrderPublishInfo.TradeDirection == Enums.TradeDirection.Sell)
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{
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updateUserList = new List<IUpdate<User>>();
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insertUserAccountProfitLossRecordList = new List<UserAccountProfitLossRecord>();
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var interest = 0M; //借币利息
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var loanAmount = currentAsset.QuoteBorrowed; //借币金额
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if (loanAmount > 0M)
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{
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//还币
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interest = apiClient.IsolatedMarginRepay(robot.Symbol, loanAmount);
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logList[0].Content = $"{logList[0].Content},借币金额:{loanAmount},还币利息:{interest}";
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}
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var buyAmount = spotOrderPublishInfo.CummulativeTradeQuantity * robot.RobotAccount.SpotCurrencyAvgPrice; //本次卖出对应的持仓金额
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var profit = spotOrderPublishInfo.CummulativeTradeQuantity * (avgTradePrice - robot.RobotAccount.SpotCurrencyAvgPrice) - fee - interest; //计算利润
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updateRobotAccount = fsql.Update<RobotAccount>(robot.RobotAccount.Id).Set(ra => ra.SpotCurrencyQuantity, currentAsset.BaseFree)
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.Set(ra => ra.SpotCurrencyAmount - buyAmount)
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.Set(ra => ra.TotalProfit + profit)
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.Set(ra => ra.ClosePositionCount + 1)
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.SetIf(profit > 0M, ra => ra.WinCount + 1)
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.SetIf(interest > 0M, ra => ra.LoanAmount, 0M);
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updateSpotOrder = updateSpotOrder.SetIf(interest > 0M, o => o.LoanInterest, interest)
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.Set(o => o.Profit, profit)
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.Set(o => o.HistoryTotalProfit, robot.RobotAccount.TotalProfit + profit)
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.Set(o => o.RobotAccountSpotCurrencyQuantity, currentAsset.BaseFree);
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if (profit > 0) //盈利复投
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updateD21Policy = fsql.Update<D21Policy>(robot.D21Policy.Id).Set(p => p.Position + profit);
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var capitalChangeType = profit > 0M ? Enums.CapitalChangeType.Add : Enums.CapitalChangeType.Reduce;
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var userList = userBusiness.GetUserList(multiplyBy100: false);
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foreach (var user in userList)
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{
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var changeAmount = profit * user.DividendRatio; //根据用户分红比例计算本次分红或亏损
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user.ChangeAmount(capitalChangeType, Math.Abs(changeAmount), false);
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var updateUser = fsql.Update<User>(user.Id).Set(u => u.TotalAssets, user.TotalAssets);
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updateUserList.Add(updateUser);
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insertUserAccountProfitLossRecordList.Add(new UserAccountProfitLossRecord()
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{
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Id = idGenerator.NewLong(),
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BusinessType = robot.BusinessType,
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ChangeAmount = changeAmount,
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CreateTime = DateTime.Now,
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ExchangeId = robot.ExchangeId,
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OrderId = spotOrderPublishInfo.OrderId,
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OrderProfit = profit,
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UserId = user.Id,
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RobotId = robot.Id,
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DividendRatio = user.DividendRatio,
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CumulativeProfitAndLoss = user.CumulativeProfitAndLoss
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});
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}
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}
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}
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fsql.Transaction(() =>
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{
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fsql.Insert(logList).ExecuteAffrows();
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updateSpotOrder?.ExecuteAffrows();
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updateRobotAccount?.ExecuteAffrows();
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updateD21Policy?.ExecuteAffrows();
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if (insertUserAccountProfitLossRecordList != null && insertUserAccountProfitLossRecordList.Count() > 0)
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fsql.Insert(insertUserAccountProfitLossRecordList).ExecuteAffrows();
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if (updateUserList != null && updateUserList.Count() > 0)
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foreach (var u in updateUserList)
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u.ExecuteAffrows();
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if (insertStopLossOrderList != null && insertStopLossOrderList.Count() > 0)
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fsql.Insert(insertStopLossOrderList).ExecuteAffrows();
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});
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}
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catch (Exception ex)
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{
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HandleError(ex, logList, spotOrderPublishInfo.LoggerName, spotOrderPublishInfo.RobotId, spotOrderPublishInfo.OrderId, step);
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}
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}
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/// <summary>
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/// 挂止损单
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/// </summary>
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/// <param name="d21Robot"></param>
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/// <param name="symbolInfo"></param>
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/// <param name="avgTradePrice"></param>
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/// <param name="buyQuantity"></param>
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/// <param name="insertStopLossOrderList"></param>
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/// <param name="logList"></param>
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/// <param name="baseAPIClient"></param>
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/// <param name="isFirstStopLoss"></param>
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private void StopLossOrderPlace(D21PolicyRobotResponse d21Robot,
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SymbolInfo symbolInfo,
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decimal avgTradePrice,
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decimal buyQuantity,
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IList<SpotOrder> insertStopLossOrderList,
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IList<ExecutionLog> logList,
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BaseAPIClient baseAPIClient,
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bool isFirstStopLoss)
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{
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var positionStopLossRatio = (isFirstStopLoss ? d21Robot.D21Policy.Level1PositionStopLossRatio : d21Robot.D21Policy.Level2PositionStopLossRatio) / 100;
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var priceStopLossRatio = (isFirstStopLoss ? d21Robot.D21Policy.Level1PriceStopLossRatio : d21Robot.D21Policy.Level2PriceStopLossRatio) / 100;
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var stopPrice = (avgTradePrice - avgTradePrice * priceStopLossRatio).CutDecimal(symbolInfo.PriceAccuracy);
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var stopQuantity = (buyQuantity * positionStopLossRatio).CutDecimal(symbolInfo.SaleQuantityAccuracy);
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var stopLossClientOrderId = CreateClientOrderId(d21Robot.Id, d21Robot.TradePolicy);
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var stopOrderId = baseAPIClient.IsolatedMarginPlaceOrder(d21Robot.Symbol,
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Enums.TradeDirection.Sell,
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Enums.OrderType.STOP_LOSS_LIMIT,
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stopPrice: stopPrice,
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price: stopPrice,
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quantity: stopQuantity,
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newClientOrderId: stopLossClientOrderId);
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var stopLossOrder = new SpotOrder()
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{
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Id = stopOrderId,
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ClientOrderId = stopLossClientOrderId,
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CreateTime = DateTime.Now,
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ExchangeId = d21Robot.ExchangeId,
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LoanAmount = 0M,
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OrderType = Enums.OrderType.STOP_LOSS_LIMIT,
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PolicyType = Enums.TradePolicy.D21,
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RobotId = d21Robot.Id,
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State = Enums.SpotOrderState.Created,
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Symbol = d21Robot.Symbol,
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TradeDirection = Enums.TradeDirection.Sell
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};
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insertStopLossOrderList.Add(stopLossOrder);
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logList.Add(new ExecutionLog()
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{
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Id = idGenerator.NewLong(),
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SourceSingal = Enums.SingalType.订单推送,
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RobotId = d21Robot.Id,
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OrderId = stopOrderId,
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CreateTime = DateTime.Now,
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Content = $"{(isFirstStopLoss ? 1 : 2)}级止损挂单成功,订单号:{stopOrderId},挂单数量:{stopQuantity}"
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});
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}
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}
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}
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