551 lines
16 KiB
Markdown
551 lines
16 KiB
Markdown
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# 跟单买入和卖出实现方案
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## 1. 核心思路
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### 1.1 基本原理
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- **买入跟单**：当 Leader 执行 `BUY` 交易时，系统自动创建 `BUY` 订单
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- **卖出跟单**：当 Leader 执行 `SELL` 交易时，系统自动创建 `SELL` 订单
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- **方向复制**：直接复制 Leader 交易的 `side` 字段（BUY 或 SELL）
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### 1.2 数据来源
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- **方式1（优先）**：WebSocket 推送（RTDS API）
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- 实时接收 Leader 的交易推送
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- WebSocket URL: `wss://ws-live-data.polymarket.com`
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- 订阅用户交易频道，实时获取交易数据
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- **方式2（备选）**：轮询 CLOB API
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- 通过 CLOB API `/trades?user={leaderAddress}` 获取 Leader 的交易记录
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- 定期轮询（默认每 5 秒）
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**交易数据包含**：
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- `side`: "BUY" 或 "SELL"（直接复制）
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- `market`: 市场地址（直接复制）
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- `price`: 交易价格（可调整）
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- `size`: 交易数量（按比例或固定金额计算）
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## 2. 实现流程
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### 2.1 监控 Leader 交易
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#### 2.1.1 WebSocket 推送模式（优先）
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```kotlin
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/**
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* WebSocket 推送监控服务
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*/
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@Service
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class CopyTradingWebSocketService(
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private val leaderRepository: LeaderRepository,
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private val configRepository: CopyTradingConfigRepository
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) {
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private var webSocketClient: WebSocketClient? = null
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private val subscribedLeaders = mutableSetOf<String>()
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/**
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* 初始化 WebSocket 连接
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*/
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@PostConstruct
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fun initWebSocket() {
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val config = configRepository.findFirstByOrderByIdAsc() ?: getDefaultConfig()
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if (config.useWebSocket) {
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connectWebSocket()
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}
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}
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/**
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* 连接 WebSocket
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*/
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private fun connectWebSocket() {
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try {
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val wsUrl = "wss://ws-live-data.polymarket.com"
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webSocketClient = WebSocketClient(wsUrl)
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webSocketClient?.onMessage { message ->
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handleWebSocketMessage(message)
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}
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webSocketClient?.onError { error ->
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logger.error("WebSocket 连接错误", error)
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// 降级到轮询模式
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fallbackToPolling()
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}
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webSocketClient?.onClose {
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logger.warn("WebSocket 连接关闭，尝试重连")
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reconnectWebSocket()
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}
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// 订阅所有启用的 Leader
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subscribeAllLeaders()
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} catch (e: Exception) {
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logger.error("WebSocket 连接失败，降级到轮询模式", e)
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fallbackToPolling()
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}
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}
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/**
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* 订阅所有启用的 Leader
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*/
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private fun subscribeAllLeaders() {
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val enabledLeaders = leaderRepository.findByEnabledTrue()
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enabledLeaders.forEach { leader ->
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subscribeLeader(leader.leaderAddress)
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}
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}
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/**
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* 订阅单个 Leader
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*/
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fun subscribeLeader(leaderAddress: String) {
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val subscribeMessage = jsonObjectOf(
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"type" to "subscribe",
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"channel" to "user",
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"user" to leaderAddress
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)
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webSocketClient?.send(subscribeMessage.toString())
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subscribedLeaders.add(leaderAddress)
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}
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/**
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* 处理 WebSocket 消息
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*/
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private fun handleWebSocketMessage(message: String) {
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try {
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val json = JSONObject(message)
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val channel = json.optString("channel")
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val eventType = json.optString("event")
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if (channel == "user" && eventType == "trade") {
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val trade = parseTradeMessage(json)
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// 触发跟单逻辑
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processTradeFromWebSocket(trade)
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}
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} catch (e: Exception) {
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logger.error("处理 WebSocket 消息失败", e)
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}
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}
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/**
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* 重连 WebSocket
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*/
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private fun reconnectWebSocket() {
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val config = configRepository.findFirstByOrderByIdAsc() ?: getDefaultConfig()
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var retryCount = 0
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while (retryCount < config.websocketMaxRetries) {
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try {
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Thread.sleep(config.websocketReconnectInterval.toLong())
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connectWebSocket()
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return
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} catch (e: Exception) {
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retryCount++
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logger.warn("WebSocket 重连失败 (${retryCount}/${config.websocketMaxRetries})", e)
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}
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}
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// 重连失败，降级到轮询
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logger.error("WebSocket 重连失败，降级到轮询模式")
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fallbackToPolling()
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}
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}
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```
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#### 2.1.2 轮询模式（备选）
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```kotlin
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/**
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* 轮询监控服务（WebSocket 不可用时的备选方案）
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*/
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@Service
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class CopyTradingPollingService(
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private val clobService: PolymarketClobService,
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private val leaderRepository: LeaderRepository,
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private val configRepository: CopyTradingConfigRepository
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) {
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/**
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* 定期轮询所有启用的 Leader 的交易
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*/
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@Scheduled(fixedDelayString = "\${copy.trading.poll.interval:5000}")
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suspend fun monitorLeaders() {
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val config = configRepository.findFirstByOrderByIdAsc() ?: getDefaultConfig()
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// 如果配置了使用 WebSocket 且 WebSocket 可用，则不轮询
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if (config.useWebSocket && isWebSocketAvailable()) {
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return
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}
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val enabledLeaders = leaderRepository.findByEnabledTrue()
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enabledLeaders.forEach { leader ->
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try {
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processLeaderTrades(leader)
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} catch (e: Exception) {
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logger.error("处理 Leader ${leader.id} 交易失败", e)
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}
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}
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}
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/**
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* 处理单个 Leader 的交易
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*/
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private suspend fun processLeaderTrades(leader: Leader) {
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// 1. 获取 Leader 的最新交易记录
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val tradesResult = clobService.getTrades(
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market = null,
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user = leader.leaderAddress,
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limit = 50,
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offset = 0
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)
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tradesResult.fold(
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onSuccess = { trades ->
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trades.forEach { trade ->
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// 2. 检查是否已处理过（去重）
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if (!isProcessed(leader.id, trade.id)) {
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// 3. 处理交易（买入或卖出）
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processTrade(leader, trade)
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// 4. 标记为已处理
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markAsProcessed(leader.id, trade.id)
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}
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}
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},
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onFailure = { e ->
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logger.error("获取 Leader ${leader.id} 交易失败", e)
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}
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)
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}
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}
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```
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### 2.2 处理交易（买入/卖出）
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```kotlin
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/**
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* 处理单笔交易，自动识别买入或卖出
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*/
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private suspend fun processTrade(leader: Leader, trade: TradeResponse) {
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// 1. 验证分类筛选
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if (leader.category != null) {
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val marketCategory = getMarketCategory(trade.market)
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if (marketCategory != leader.category) {
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logger.debug("跳过交易：分类不匹配 ${trade.market}")
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return
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}
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}
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// 2. 验证风险控制
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if (!checkRiskControl(leader)) {
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logger.warn("风险控制限制，跳过跟单 Leader ${leader.id}")
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return
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}
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// 3. 确定使用的账户
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val account = getAccountForLeader(leader)
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if (account == null) {
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logger.error("无法获取账户，跳过跟单 Leader ${leader.id}")
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return
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}
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// 4. 计算跟单订单参数
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val orderParams = calculateOrderParams(leader, trade)
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// 5. 创建跟单订单（买入或卖出）
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createCopyOrder(leader, account, trade, orderParams)
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}
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/**
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* 计算跟单订单参数
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*/
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private fun calculateOrderParams(leader: Leader, trade: TradeResponse): OrderParams {
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// 获取配置
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val globalConfig = configRepository.findFirstByOrderByIdAsc() ?: getDefaultConfig()
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// 计算订单大小
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val leaderSize = trade.size.toSafeBigDecimal()
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val copyRatio = leader.copyRatio ?: globalConfig.copyRatio
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var orderSize = leaderSize.multiply(copyRatio)
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// 应用限制
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val maxSize = leader.maxOrderSize ?: globalConfig.maxOrderSize
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val minSize = leader.minOrderSize ?: globalConfig.minOrderSize
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orderSize = orderSize.coerceIn(minSize, maxSize)
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// 计算价格（默认使用 Leader 的价格）
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val price = trade.price.toSafeBigDecimal()
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// TODO: 可以根据价格容忍度调整价格
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return OrderParams(
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market = trade.market,
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side = trade.side, // 直接复制 BUY 或 SELL
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price = price,
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size = orderSize
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)
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}
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data class OrderParams(
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val market: String,
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val side: String, // "BUY" 或 "SELL"
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val price: BigDecimal,
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val size: BigDecimal
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)
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```
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### 2.3 创建跟单订单
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```kotlin
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/**
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* 创建跟单订单（买入或卖出）
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*/
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private suspend fun createCopyOrder(
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leader: Leader,
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account: Account,
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trade: TradeResponse,
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params: OrderParams
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) {
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try {
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// 1. 创建订单请求
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val orderRequest = CreateOrderRequest(
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market = params.market,
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side = params.side, // "BUY" 或 "SELL"
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price = params.price.toPlainString(),
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size = params.size.toPlainString(),
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type = "LIMIT"
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)
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// 2. 使用账户的 API Key 创建订单
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val apiKey = account.apiKey ?: throw IllegalStateException("账户 ${account.id} 未配置 API Key")
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val clobApi = createClobApiWithApiKey(apiKey)
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val orderResult = clobApi.createOrder(orderRequest)
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orderResult.fold(
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onSuccess = { orderResponse ->
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// 3. 保存跟单记录
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val copyOrder = CopyOrder(
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accountId = account.id!!,
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leaderId = leader.id!!,
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leaderAddress = leader.leaderAddress,
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leaderTradeId = trade.id,
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marketId = params.market,
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category = getMarketCategory(params.market),
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side = params.side, // 保存买入或卖出方向
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price = params.price,
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size = params.size,
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copyRatio = leader.copyRatio ?: BigDecimal.ONE,
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orderId = orderResponse.id,
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status = "created"
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)
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copyOrderRepository.save(copyOrder)
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logger.info("成功创建跟单订单: Leader=${leader.id}, Side=${params.side}, Market=${params.market}")
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},
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onFailure = { e ->
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logger.error("创建跟单订单失败: Leader=${leader.id}, Side=${params.side}", e)
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// 记录失败的跟单订单
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val copyOrder = CopyOrder(
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accountId = account.id!!,
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leaderId = leader.id!!,
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leaderAddress = leader.leaderAddress,
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leaderTradeId = trade.id,
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marketId = params.market,
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category = getMarketCategory(params.market),
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side = params.side,
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price = params.price,
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size = params.size,
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copyRatio = leader.copyRatio ?: BigDecimal.ONE,
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|
|
status = "failed"
|
|||
|
|
)
|
|||
|
|
copyOrderRepository.save(copyOrder)
|
|||
|
|
}
|
|||
|
|
)
|
|||
|
|
} catch (e: Exception) {
|
|||
|
|
logger.error("创建跟单订单异常: Leader=${leader.id}, Side=${params.side}", e)
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
```
|
|||
|
|
|
|||
|
|
## 3. 关键实现细节
|
|||
|
|
|
|||
|
|
### 3.1 买入和卖出的区别
|
|||
|
|
|
|||
|
|
**买入跟单（BUY）**：
|
|||
|
|
- Leader 执行 `BUY` 交易 → 系统创建 `BUY` 订单
|
|||
|
|
- 订单参数：`side = "BUY"`
|
|||
|
|
- 表示买入该市场的 YES 或 NO 代币
|
|||
|
|
|
|||
|
|
**卖出跟单（SELL）**：
|
|||
|
|
- Leader 执行 `SELL` 交易 → 系统创建 `SELL` 订单
|
|||
|
|
- 订单参数：`side = "SELL"`
|
|||
|
|
- 表示卖出持有的代币
|
|||
|
|
|
|||
|
|
**实现上无区别**：
|
|||
|
|
- 买入和卖出的处理逻辑完全相同
|
|||
|
|
- 只是 `side` 字段的值不同（"BUY" 或 "SELL"）
|
|||
|
|
- 都通过 `createOrder` API 创建订单
|
|||
|
|
|
|||
|
|
### 3.2 去重机制
|
|||
|
|
|
|||
|
|
```kotlin
|
|||
|
|
/**
|
|||
|
|
* 检查交易是否已处理
|
|||
|
|
*/
|
|||
|
|
private suspend fun isProcessed(leaderId: Long, tradeId: String): Boolean {
|
|||
|
|
return processedTradeRepository.existsByLeaderIdAndTradeId(leaderId, tradeId)
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
/**
|
|||
|
|
* 标记交易为已处理
|
|||
|
|
*/
|
|||
|
|
private suspend fun markAsProcessed(leaderId: Long, tradeId: String) {
|
|||
|
|
val processed = ProcessedTrade(
|
|||
|
|
leaderId = leaderId,
|
|||
|
|
tradeId = tradeId,
|
|||
|
|
processedAt = System.currentTimeMillis()
|
|||
|
|
)
|
|||
|
|
processedTradeRepository.save(processed)
|
|||
|
|
}
|
|||
|
|
```
|
|||
|
|
|
|||
|
|
### 3.3 账户选择
|
|||
|
|
|
|||
|
|
```kotlin
|
|||
|
|
/**
|
|||
|
|
* 获取 Leader 使用的账户
|
|||
|
|
*/
|
|||
|
|
private suspend fun getAccountForLeader(leader: Leader): Account? {
|
|||
|
|
return if (leader.accountId != null) {
|
|||
|
|
// 使用 Leader 指定的账户
|
|||
|
|
accountRepository.findById(leader.accountId)
|
|||
|
|
} else {
|
|||
|
|
// 使用默认账户
|
|||
|
|
accountRepository.findByIsDefaultTrue()
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
```
|
|||
|
|
|
|||
|
|
### 3.4 风险控制检查
|
|||
|
|
|
|||
|
|
```kotlin
|
|||
|
|
/**
|
|||
|
|
* 检查风险控制限制
|
|||
|
|
*/
|
|||
|
|
private suspend fun checkRiskControl(leader: Leader): Boolean {
|
|||
|
|
val config = configRepository.findFirstByOrderByIdAsc() ?: getDefaultConfig()
|
|||
|
|
|
|||
|
|
// 检查每日亏损限制
|
|||
|
|
val todayLoss = getTodayLoss(leader.accountId ?: getDefaultAccountId())
|
|||
|
|
if (todayLoss >= config.maxDailyLoss) {
|
|||
|
|
logger.warn("达到每日亏损限制: $todayLoss >= ${config.maxDailyLoss}")
|
|||
|
|
return false
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
// 检查每日订单数限制
|
|||
|
|
val todayOrderCount = getTodayOrderCount(leader.accountId ?: getDefaultAccountId())
|
|||
|
|
if (todayOrderCount >= config.maxDailyOrders) {
|
|||
|
|
logger.warn("达到每日订单数限制: $todayOrderCount >= ${config.maxDailyOrders}")
|
|||
|
|
return false
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
return true
|
|||
|
|
}
|
|||
|
|
```
|
|||
|
|
|
|||
|
|
## 4. 数据模型
|
|||
|
|
|
|||
|
|
### 4.1 ProcessedTrade（已处理交易）
|
|||
|
|
|
|||
|
|
```kotlin
|
|||
|
|
@Entity
|
|||
|
|
@Table(name = "copy_trading_processed_trades")
|
|||
|
|
data class ProcessedTrade(
|
|||
|
|
@Id
|
|||
|
|
@GeneratedValue(strategy = GenerationType.IDENTITY)
|
|||
|
|
val id: Long? = null,
|
|||
|
|
|
|||
|
|
@Column(name = "leader_id", nullable = false)
|
|||
|
|
val leaderId: Long,
|
|||
|
|
|
|||
|
|
@Column(name = "trade_id", nullable = false, length = 100)
|
|||
|
|
val tradeId: String,
|
|||
|
|
|
|||
|
|
@Column(name = "processed_at", nullable = false)
|
|||
|
|
val processedAt: Long = System.currentTimeMillis(),
|
|||
|
|
|
|||
|
|
@UniqueConstraint(columnNames = ["leader_id", "trade_id"])
|
|||
|
|
)
|
|||
|
|
```
|
|||
|
|
|
|||
|
|
## 5. 完整示例
|
|||
|
|
|
|||
|
|
### 5.1 买入跟单示例
|
|||
|
|
|
|||
|
|
```
|
|||
|
|
1. Leader 执行买入交易：
|
|||
|
|
- Trade: { id: "trade_123", market: "0x...", side: "BUY", price: "0.5", size: "100" }
|
|||
|
|
|
|||
|
|
2. 系统检测到交易：
|
|||
|
|
- 验证分类、风险控制
|
|||
|
|
- 计算跟单参数：size = 100 × 1.0 = 100
|
|||
|
|
|
|||
|
|
3. 创建跟单订单：
|
|||
|
|
- CreateOrderRequest: { market: "0x...", side: "BUY", price: "0.5", size: "100" }
|
|||
|
|
- 调用 CLOB API 创建订单
|
|||
|
|
|
|||
|
|
4. 保存记录：
|
|||
|
|
- CopyOrder: { side: "BUY", ... }
|
|||
|
|
```
|
|||
|
|
|
|||
|
|
### 5.2 卖出跟单示例
|
|||
|
|
|
|||
|
|
```
|
|||
|
|
1. Leader 执行卖出交易：
|
|||
|
|
- Trade: { id: "trade_456", market: "0x...", side: "SELL", price: "0.6", size: "50" }
|
|||
|
|
|
|||
|
|
2. 系统检测到交易：
|
|||
|
|
- 验证分类、风险控制
|
|||
|
|
- 计算跟单参数：size = 50 × 1.0 = 50
|
|||
|
|
|
|||
|
|
3. 创建跟单订单：
|
|||
|
|
- CreateOrderRequest: { market: "0x...", side: "SELL", price: "0.6", size: "50" }
|
|||
|
|
- 调用 CLOB API 创建订单
|
|||
|
|
|
|||
|
|
4. 保存记录：
|
|||
|
|
- CopyOrder: { side: "SELL", ... }
|
|||
|
|
```
|
|||
|
|
|
|||
|
|
## 6. 注意事项
|
|||
|
|
|
|||
|
|
### 6.1 交易 vs 订单
|
|||
|
|
- **交易（Trade）**：已成交的记录，包含 `side` 字段
|
|||
|
|
- **订单（Order）**：挂单，可能未成交
|
|||
|
|
- 跟单系统基于**交易记录**触发，创建**订单**
|
|||
|
|
|
|||
|
|
### 6.2 价格和数量
|
|||
|
|
- **价格**：默认使用 Leader 的交易价格，可配置价格容忍度
|
|||
|
|
- **数量**：按跟单比例计算，应用最大/最小限制
|
|||
|
|
|
|||
|
|
### 6.3 错误处理
|
|||
|
|
- API 调用失败时记录失败状态
|
|||
|
|
- 网络异常时重试机制
|
|||
|
|
- 记录详细日志便于排查
|
|||
|
|
|
|||
|
|
### 6.4 性能优化
|
|||
|
|
- 批量查询多个 Leader 的交易
|
|||
|
|
- 使用缓存减少重复查询
|
|||
|
|
- 异步处理订单创建
|
|||
|
|
|
|||
|
|
## 7. 总结
|
|||
|
|
|
|||
|
|
**买入和卖出的实现完全相同**：
|
|||
|
|
- 都通过监控 Leader 的交易记录触发
|
|||
|
|
- 都通过 `side` 字段区分（"BUY" 或 "SELL"）
|
|||
|
|
- 都调用相同的 `createOrder` API
|
|||
|
|
- 区别仅在于 `side` 参数的值
|
|||
|
|
|
|||
|
|
**核心流程**：
|
|||
|
|
1. 轮询 Leader 交易 → 2. 识别买入/卖出 → 3. 计算参数 → 4. 创建订单 → 5. 保存记录
|
|||
|
|
|