feat(crypto-tail): 策略最小价差(无/固定/自动) + 前端默认与文案
- 后端: 最小价差 DB/Entity/DTO、Binance K线 REST+WS、自动价差 IQR 预计算与执行时校验 - 前端: 最小价差(自动-固定-无)，默认自动，label 旁 info 说明，选择自动不展示建议约 - i18n: minSpreadModeTip 说明不写死标的 - 文档: crypto-tail-strategy-min-spread-flow.md - scripts: Binance K线拉取与 WS 示例 Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
WrBug
@@ -0,0 +1,26 @@
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package com.wrbug.polymarketbot.api
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import retrofit2.Call
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import retrofit2.http.GET
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import retrofit2.http.Query
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/**
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* 币安现货公开 API（K 线等）
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* Base URL: https://api.binance.com
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* 文档: https://developers.binance.com/docs/binance-spot-api-docs/rest-api
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*/
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interface BinanceApi {
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/**
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* K 线数据
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* 返回每根 K 线: [openTime, open, high, low, close, volume, closeTime, ...]
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*/
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@GET("/api/v3/klines")
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fun getKlines(
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@Query("symbol") symbol: String,
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@Query("interval") interval: String,
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@Query("limit") limit: Int = 30,
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@Query("startTime") startTime: Long? = null,
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@Query("endTime") endTime: Long? = null
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): Call<List<List<Any>>>
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}
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+29
@@ -10,7 +10,9 @@ import com.wrbug.polymarketbot.dto.CryptoTailStrategyTriggerListRequest
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import com.wrbug.polymarketbot.dto.CryptoTailStrategyTriggerListResponse
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import com.wrbug.polymarketbot.dto.CryptoTailStrategyUpdateRequest
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import com.wrbug.polymarketbot.dto.CryptoTailMarketOptionDto
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import com.wrbug.polymarketbot.dto.CryptoTailAutoMinSpreadResponse
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import com.wrbug.polymarketbot.enums.ErrorCode
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import com.wrbug.polymarketbot.service.binance.BinanceKlineAutoSpreadService
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import com.wrbug.polymarketbot.service.cryptotail.CryptoTailStrategyService
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import org.slf4j.LoggerFactory
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import org.springframework.context.MessageSource
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@@ -24,6 +26,7 @@ import org.springframework.web.bind.annotation.RestController
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@RequestMapping("/api/crypto-tail-strategy")
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class CryptoTailStrategyController(
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private val cryptoTailStrategyService: CryptoTailStrategyService,
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private val binanceKlineAutoSpreadService: BinanceKlineAutoSpreadService,
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private val messageSource: MessageSource
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) {
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@@ -151,4 +154,30 @@ class CryptoTailStrategyController(
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ResponseEntity.ok(ApiResponse.error(ErrorCode.SERVER_ERROR, e.message, messageSource))
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}
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}
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/**
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* 自动最小价差预览：按「当前周期」计算一次并返回，仅用于前端展示参考。
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* 实际触发时按每个周期在需要时计算，不依赖此接口。
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*/
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@PostMapping("/auto-min-spread")
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fun getAutoMinSpread(@RequestBody request: java.util.Map<String, Any>): ResponseEntity<ApiResponse<CryptoTailAutoMinSpreadResponse>> {
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return try {
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val intervalSeconds = (request["intervalSeconds"] as? Number)?.toInt() ?: 300
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if (intervalSeconds != 300 && intervalSeconds != 900) {
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return ResponseEntity.ok(ApiResponse.error(ErrorCode.PARAM_ERROR, messageSource = messageSource))
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}
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val periodStartUnix = (request["periodStartUnix"] as? Number)?.toLong()
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?: (System.currentTimeMillis() / 1000 / intervalSeconds) * intervalSeconds
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val pair = binanceKlineAutoSpreadService.computeAndCache(intervalSeconds, periodStartUnix)
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?: return ResponseEntity.ok(ApiResponse.error(ErrorCode.SERVER_ERROR, "fetch_failed", messageSource))
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val body = CryptoTailAutoMinSpreadResponse(
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minSpreadUp = pair.first.toPlainString(),
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minSpreadDown = pair.second.toPlainString()
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)
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ResponseEntity.ok(ApiResponse.success(body))
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} catch (e: Exception) {
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logger.error("计算自动最小价差异常: ${e.message}", e)
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ResponseEntity.ok(ApiResponse.error(ErrorCode.SERVER_ERROR, e.message, messageSource))
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}
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}
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}
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@@ -15,6 +15,8 @@ data class CryptoTailStrategyCreateRequest(
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val maxPrice: String? = null,
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val amountMode: String = "RATIO",
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val amountValue: String = "0",
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val minSpreadMode: String = "NONE",
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val minSpreadValue: String? = null,
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val enabled: Boolean = true
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)
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@@ -30,6 +32,8 @@ data class CryptoTailStrategyUpdateRequest(
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val maxPrice: String? = null,
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val amountMode: String? = null,
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val amountValue: String? = null,
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val minSpreadMode: String? = null,
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val minSpreadValue: String? = null,
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val enabled: Boolean? = null
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)
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@@ -57,6 +61,8 @@ data class CryptoTailStrategyDto(
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val maxPrice: String = "1",
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val amountMode: String = "RATIO",
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val amountValue: String = "0",
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val minSpreadMode: String = "NONE",
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val minSpreadValue: String? = null,
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val enabled: Boolean = true,
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val lastTriggerAt: Long? = null,
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/** 已实现总收益 USDC（已结算订单的 realizedPnl 之和） */
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@@ -127,6 +133,14 @@ data class CryptoTailStrategyTriggerListResponse(
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val total: Long = 0L
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)
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/**
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* 自动最小价差计算响应（按 30 根历史 K 线 + IQR 剔除后 × 0.8）
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*/
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data class CryptoTailAutoMinSpreadResponse(
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val minSpreadUp: String = "0",
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val minSpreadDown: String = "0"
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)
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/**
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* 5/15 分钟市场项（供前端选择市场）
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*/
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@@ -45,6 +45,12 @@ data class CryptoTailStrategy(
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@Column(name = "amount_value", nullable = false, precision = 20, scale = 8)
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val amountValue: BigDecimal = BigDecimal.ZERO,
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@Column(name = "min_spread_mode", nullable = false, length = 16)
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val minSpreadMode: String = "NONE",
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@Column(name = "min_spread_value", precision = 20, scale = 8)
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val minSpreadValue: BigDecimal? = null,
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@Column(name = "enabled", nullable = false)
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val enabled: Boolean = true,
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+94
@@ -0,0 +1,94 @@
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package com.wrbug.polymarketbot.service.binance
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import com.wrbug.polymarketbot.util.RetrofitFactory
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import com.wrbug.polymarketbot.util.toSafeBigDecimal
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import org.slf4j.LoggerFactory
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import org.springframework.stereotype.Service
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import java.math.BigDecimal
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import java.math.RoundingMode
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import java.util.concurrent.ConcurrentHashMap
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/**
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* 自动最小价差：按周期计算。每个周期首次需要时，拉取该周期前的 30 根已收盘 K 线，按方向筛选、IQR 剔除后求平均 × 0.8，缓存 (interval, period)。
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* 不在保存策略时计算。
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*/
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@Service
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class BinanceKlineAutoSpreadService(
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private val retrofitFactory: RetrofitFactory
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) {
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private val logger = LoggerFactory.getLogger(BinanceKlineAutoSpreadService::class.java)
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private val symbol = "BTCUSDC"
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private val historyLimit = 30
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private val autoSpreadCoefficient = BigDecimal("0.8")
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private val minSamplesAfterIqr = 3
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/** (intervalSeconds, periodStartUnix) -> (minSpreadUp, minSpreadDown) */
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private val cache = ConcurrentHashMap<String, Pair<BigDecimal, BigDecimal>>()
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private fun cacheKey(intervalSeconds: Int, periodStartUnix: Long): String = "$intervalSeconds-$periodStartUnix"
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fun getAutoMinSpread(intervalSeconds: Int, periodStartUnix: Long, outcomeIndex: Int): BigDecimal? {
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val key = cacheKey(intervalSeconds, periodStartUnix)
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val (up, down) = cache[key] ?: run {
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computeAndCache(intervalSeconds, periodStartUnix) ?: return null
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}
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return if (outcomeIndex == 0) up else down
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}
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fun computeAndCache(intervalSeconds: Int, periodStartUnix: Long): Pair<BigDecimal, BigDecimal>? {
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val intervalStr = if (intervalSeconds == 300) "5m" else "15m"
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val endTimeMs = periodStartUnix * 1000L
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val klines = fetchKlines(intervalStr, historyLimit, endTime = endTimeMs) ?: return null
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val spreadsUp = mutableListOf<BigDecimal>()
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val spreadsDown = mutableListOf<BigDecimal>()
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for (k in klines) {
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if (k.size < 5) continue
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val openP = k.getOrNull(1)?.toString()?.toSafeBigDecimal() ?: continue
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val closeP = k.getOrNull(4)?.toString()?.toSafeBigDecimal() ?: continue
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if (closeP > openP) spreadsUp.add(closeP.subtract(openP))
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if (closeP < openP) spreadsDown.add(openP.subtract(closeP))
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}
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val avgUp = averageAfterIqr(spreadsUp).multiply(autoSpreadCoefficient).setScale(8, RoundingMode.HALF_UP)
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val avgDown = averageAfterIqr(spreadsDown).multiply(autoSpreadCoefficient).setScale(8, RoundingMode.HALF_UP)
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cache[cacheKey(intervalSeconds, periodStartUnix)] = avgUp to avgDown
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logger.info(
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"尾盘自动价差已计算并缓存(按周期): interval=${intervalSeconds}s periodStartUnix=$periodStartUnix | " +
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"Up方向: 样本数=${spreadsUp.size}, minSpreadUp=${avgUp.toPlainString()} | " +
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"Down方向: 样本数=${spreadsDown.size}, minSpreadDown=${avgDown.toPlainString()}"
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)
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return avgUp to avgDown
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}
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private fun fetchKlines(interval: String, limit: Int, endTime: Long? = null): List<List<Any>>? {
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return try {
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val api = retrofitFactory.createBinanceApi()
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val call = api.getKlines(symbol = symbol, interval = interval, limit = limit, endTime = endTime)
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val response = call.execute()
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if (response.isSuccessful && response.body() != null) response.body() else null
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} catch (e: Exception) {
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logger.warn("拉取币安 K 线失败: ${e.message}")
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null
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}
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}
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/**
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* IQR 剔除异常值后求平均；若剔除后样本数 < minSamplesAfterIqr 则不剔除，用全量求平均。
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*/
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private fun averageAfterIqr(list: List<BigDecimal>): BigDecimal {
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if (list.isEmpty()) return BigDecimal.ZERO
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val sorted = list.sorted()
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val n = sorted.size
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val q1Idx = (n * 0.25).toInt().coerceIn(0, n - 1)
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val q3Idx = (n * 0.75).toInt().coerceIn(0, n - 1)
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val q1 = sorted[q1Idx]
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val q3 = sorted[q3Idx]
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val iqr = q3.subtract(q1)
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val lower = q1.subtract(iqr.multiply(BigDecimal("1.5")))
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val upper = q3.add(iqr.multiply(BigDecimal("1.5")))
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val filtered = sorted.filter { it >= lower && it <= upper }
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val use = if (filtered.size < minSamplesAfterIqr) sorted else filtered
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return use.fold(BigDecimal.ZERO) { a, b -> a.add(b) }.divide(BigDecimal(use.size), 18, RoundingMode.HALF_UP)
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}
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}
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+128
@@ -0,0 +1,128 @@
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package com.wrbug.polymarketbot.service.binance
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import com.wrbug.polymarketbot.util.createClient
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import com.wrbug.polymarketbot.util.toSafeBigDecimal
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import kotlinx.coroutines.CoroutineScope
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import kotlinx.coroutines.Dispatchers
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import kotlinx.coroutines.Job
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import kotlinx.coroutines.SupervisorJob
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import kotlinx.coroutines.delay
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import kotlinx.coroutines.launch
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import okhttp3.Request
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import okhttp3.WebSocket
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import okhttp3.WebSocketListener
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import org.slf4j.LoggerFactory
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import org.springframework.stereotype.Service
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import java.math.BigDecimal
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import jakarta.annotation.PreDestroy
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import java.util.concurrent.ConcurrentHashMap
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/**
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* 币安 K 线 WebSocket：订阅 BTCUSDC 5m/15m，维护当前周期 (open, close)，供尾盘策略价差校验使用。
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*/
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@Service
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class BinanceKlineService {
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private val logger = LoggerFactory.getLogger(BinanceKlineService::class.java)
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private val scope = CoroutineScope(Dispatchers.Default + SupervisorJob())
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private val wsBase = "wss://stream.binance.com:9443"
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private val client = createClient().build()
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/** (intervalSeconds, periodStartUnix) -> (open, close) */
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private val openCloseByPeriod = ConcurrentHashMap<String, Pair<BigDecimal, BigDecimal>>()
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private var ws5m: WebSocket? = null
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private var ws15m: WebSocket? = null
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private var reconnectJob: Job? = null
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init {
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connectAll()
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}
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private fun key(intervalSeconds: Int, periodStartUnix: Long): String = "$intervalSeconds-$periodStartUnix"
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fun getCurrentOpenClose(intervalSeconds: Int, periodStartUnix: Long): Pair<BigDecimal, BigDecimal>? {
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return openCloseByPeriod[key(intervalSeconds, periodStartUnix)]
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}
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private fun connectAll() {
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if (ws5m != null && ws15m != null) return
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connectStream("btcusdc@kline_5m") { intervalSec, tMs, openP, closeP ->
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val periodSec = tMs / 1000
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openCloseByPeriod[key(intervalSec, periodSec)] = openP to closeP
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}.also { ws5m = it }
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connectStream("btcusdc@kline_15m") { intervalSec, tMs, openP, closeP ->
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val periodSec = tMs / 1000
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openCloseByPeriod[key(intervalSec, periodSec)] = openP to closeP
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}.also { ws15m = it }
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}
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private fun connectStream(
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streamName: String,
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onKline: (intervalSeconds: Int, openTimeMs: Long, open: BigDecimal, close: BigDecimal) -> Unit
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): WebSocket {
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val url = "$wsBase/ws/$streamName"
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val intervalSeconds = when {
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streamName.contains("kline_5m") -> 300
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streamName.contains("kline_15m") -> 900
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else -> 300
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}
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val request = Request.Builder().url(url).build()
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val ws = client.newWebSocket(request, object : WebSocketListener() {
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override fun onMessage(webSocket: WebSocket, text: String) {
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parseKlineMessage(text, intervalSeconds)?.let { (tMs, o, c) ->
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onKline(intervalSeconds, tMs, o, c)
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}
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}
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override fun onFailure(webSocket: WebSocket, t: Throwable, response: okhttp3.Response?) {
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logger.warn("币安 K 线 WS 异常 $streamName: ${t.message}")
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scheduleReconnect()
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}
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override fun onClosing(webSocket: WebSocket, code: Int, reason: String) {
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if (code != 1000) scheduleReconnect()
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}
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})
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logger.info("币安 K 线 WS 已连接: $streamName")
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return ws
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}
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private fun parseKlineMessage(text: String, intervalSeconds: Int): Triple<Long, BigDecimal, BigDecimal>? {
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return try {
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val json = com.google.gson.JsonParser.parseString(text).asJsonObject
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if (json.get("e")?.asString != "kline") return null
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val k = json.getAsJsonObject("k") ?: return null
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val tMs = k.get("t")?.asLong ?: return null
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val o = k.get("o")?.asString?.toSafeBigDecimal() ?: return null
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val c = k.get("c")?.asString?.toSafeBigDecimal() ?: return null
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Triple(tMs, o, c)
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} catch (e: Exception) {
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logger.debug("解析币安 K 线消息失败: ${e.message}")
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null
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}
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}
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private fun scheduleReconnect() {
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if (reconnectJob?.isActive == true) return
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reconnectJob = scope.launch {
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delay(10_000)
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reconnectJob = null
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ws5m?.close(1000, "reconnect")
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ws15m?.close(1000, "reconnect")
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ws5m = null
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ws15m = null
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logger.info("币安 K 线 WS 尝试重连")
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connectAll()
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}
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}
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@PreDestroy
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fun destroy() {
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reconnectJob?.cancel()
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ws5m?.close(1000, "shutdown")
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ws15m?.close(1000, "shutdown")
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ws5m = null
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ws15m = null
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}
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}
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+25
-1
@@ -5,6 +5,7 @@ import com.wrbug.polymarketbot.constants.PolymarketConstants
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import com.wrbug.polymarketbot.entity.CryptoTailStrategy
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import com.wrbug.polymarketbot.event.CryptoTailStrategyChangedEvent
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import com.wrbug.polymarketbot.repository.CryptoTailStrategyRepository
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import com.wrbug.polymarketbot.service.binance.BinanceKlineAutoSpreadService
|
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import com.wrbug.polymarketbot.util.RetrofitFactory
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import com.wrbug.polymarketbot.util.createClient
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import com.wrbug.polymarketbot.util.fromJson
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@@ -36,7 +37,8 @@ import java.util.concurrent.atomic.AtomicReference
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class CryptoTailOrderbookWsService(
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private val strategyRepository: CryptoTailStrategyRepository,
|
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private val executionService: CryptoTailStrategyExecutionService,
|
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private val retrofitFactory: RetrofitFactory
|
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private val retrofitFactory: RetrofitFactory,
|
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private val binanceKlineAutoSpreadService: BinanceKlineAutoSpreadService
|
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) {
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|
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private val logger = LoggerFactory.getLogger(CryptoTailOrderbookWsService::class.java)
|
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@@ -217,6 +219,28 @@ class CryptoTailOrderbookWsService(
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return
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}
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scheduleRefreshAtPeriodEnd(newMap)
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precomputeAutoMinSpreadForCurrentPeriods(newMap)
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}
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/**
|
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* AUTO 模式：在周期开始（刷新订阅）时预拉历史 30 根 K 线并计算该周期最小价差，触发时直接用缓存。
|
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*/
|
||||
private fun precomputeAutoMinSpreadForCurrentPeriods(newMap: Map<String, List<WsBookEntry>>) {
|
||||
val autoPeriods = newMap.values.asSequence().flatten()
|
||||
.filter { it.strategy.minSpreadMode.uppercase() == "AUTO" }
|
||||
.distinctBy { "${it.strategy.intervalSeconds}-${it.periodStartUnix}" }
|
||||
.map { it.strategy.intervalSeconds to it.periodStartUnix }
|
||||
.toList()
|
||||
if (autoPeriods.isEmpty()) return
|
||||
scope.launch {
|
||||
for ((intervalSeconds, periodStartUnix) in autoPeriods) {
|
||||
try {
|
||||
binanceKlineAutoSpreadService.computeAndCache(intervalSeconds, periodStartUnix)
|
||||
} catch (e: Exception) {
|
||||
logger.warn("周期开始预计算 AUTO 价差失败: interval=$intervalSeconds periodStartUnix=$periodStartUnix ${e.message}")
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
|
||||
+23
-1
@@ -10,6 +10,8 @@ import com.wrbug.polymarketbot.repository.AccountRepository
|
||||
import com.wrbug.polymarketbot.repository.CryptoTailStrategyRepository
|
||||
import com.wrbug.polymarketbot.repository.CryptoTailStrategyTriggerRepository
|
||||
import com.wrbug.polymarketbot.service.accounts.AccountService
|
||||
import com.wrbug.polymarketbot.service.binance.BinanceKlineAutoSpreadService
|
||||
import com.wrbug.polymarketbot.service.binance.BinanceKlineService
|
||||
import com.wrbug.polymarketbot.service.common.PolymarketClobService
|
||||
import com.wrbug.polymarketbot.service.copytrading.orders.OrderSigningService
|
||||
import com.wrbug.polymarketbot.util.CryptoUtils
|
||||
@@ -63,7 +65,9 @@ class CryptoTailStrategyExecutionService(
|
||||
private val retrofitFactory: RetrofitFactory,
|
||||
private val clobService: PolymarketClobService,
|
||||
private val orderSigningService: OrderSigningService,
|
||||
private val cryptoUtils: CryptoUtils
|
||||
private val cryptoUtils: CryptoUtils,
|
||||
private val binanceKlineService: BinanceKlineService,
|
||||
private val binanceKlineAutoSpreadService: BinanceKlineAutoSpreadService
|
||||
) {
|
||||
|
||||
private val logger = LoggerFactory.getLogger(CryptoTailStrategyExecutionService::class.java)
|
||||
@@ -212,11 +216,29 @@ class CryptoTailStrategyExecutionService(
|
||||
val mutex = getTriggerMutex(strategy.id!!, periodStartUnix)
|
||||
mutex.withLock {
|
||||
if (triggerRepository.findByStrategyIdAndPeriodStartUnix(strategy.id!!, periodStartUnix) != null) return@withLock
|
||||
if (!passMinSpreadCheck(strategy, periodStartUnix, outcomeIndex)) return@withLock
|
||||
ensurePeriodContext(strategy, periodStartUnix, tokenIds, marketTitle)
|
||||
placeOrderForTrigger(strategy, periodStartUnix, marketTitle, tokenIds, outcomeIndex, bestBid)
|
||||
}
|
||||
}
|
||||
|
||||
private fun passMinSpreadCheck(strategy: CryptoTailStrategy, periodStartUnix: Long, outcomeIndex: Int): Boolean {
|
||||
val mode = strategy.minSpreadMode.uppercase()
|
||||
if (mode == "NONE") return true
|
||||
val oc = binanceKlineService.getCurrentOpenClose(strategy.intervalSeconds, periodStartUnix)
|
||||
?: return false
|
||||
val (openP, closeP) = oc
|
||||
val spreadAbs = closeP.subtract(openP).abs()
|
||||
val effectiveMinSpread = when (mode) {
|
||||
"FIXED" -> strategy.minSpreadValue?.takeIf { it > BigDecimal.ZERO }
|
||||
"AUTO" -> binanceKlineAutoSpreadService.getAutoMinSpread(strategy.intervalSeconds, periodStartUnix, outcomeIndex)
|
||||
?: binanceKlineAutoSpreadService.computeAndCache(strategy.intervalSeconds, periodStartUnix)?.let { if (outcomeIndex == 0) it.first else it.second }
|
||||
else -> null
|
||||
}
|
||||
if (effectiveMinSpread == null || effectiveMinSpread <= BigDecimal.ZERO) return true
|
||||
return spreadAbs >= effectiveMinSpread
|
||||
}
|
||||
|
||||
private suspend fun placeOrderForTrigger(
|
||||
strategy: CryptoTailStrategy,
|
||||
periodStartUnix: Long,
|
||||
|
||||
+23
@@ -62,6 +62,14 @@ class CryptoTailStrategyService(
|
||||
if (amountValue <= BigDecimal.ZERO) {
|
||||
return Result.failure(IllegalArgumentException(ErrorCode.PARAM_ERROR.messageKey))
|
||||
}
|
||||
val minSpreadMode = (request.minSpreadMode ?: "NONE").uppercase()
|
||||
if (minSpreadMode != "NONE" && minSpreadMode != "FIXED" && minSpreadMode != "AUTO") {
|
||||
return Result.failure(IllegalArgumentException(ErrorCode.PARAM_ERROR.messageKey))
|
||||
}
|
||||
val minSpreadValue = request.minSpreadValue?.toSafeBigDecimal()
|
||||
if (minSpreadMode == "FIXED" && (minSpreadValue == null || minSpreadValue < BigDecimal.ZERO)) {
|
||||
return Result.failure(IllegalArgumentException(ErrorCode.PARAM_ERROR.messageKey))
|
||||
}
|
||||
|
||||
val nameToSave = request.name?.takeIf { it.isNotBlank() }
|
||||
?: generateStrategyName(request.marketSlugPrefix.trim())
|
||||
@@ -77,6 +85,8 @@ class CryptoTailStrategyService(
|
||||
maxPrice = maxPrice,
|
||||
amountMode = amountMode,
|
||||
amountValue = amountValue,
|
||||
minSpreadMode = minSpreadMode,
|
||||
minSpreadValue = minSpreadValue,
|
||||
enabled = request.enabled
|
||||
)
|
||||
val saved = strategyRepository.save(entity)
|
||||
@@ -111,6 +121,15 @@ class CryptoTailStrategyService(
|
||||
?: existing.name?.takeIf { it.isNotBlank() }
|
||||
?: generateStrategyName(existing.marketSlugPrefix)
|
||||
|
||||
val newMinSpreadMode = request.minSpreadMode?.uppercase() ?: existing.minSpreadMode
|
||||
if (newMinSpreadMode != "NONE" && newMinSpreadMode != "FIXED" && newMinSpreadMode != "AUTO") {
|
||||
return Result.failure(IllegalArgumentException(ErrorCode.PARAM_ERROR.messageKey))
|
||||
}
|
||||
val newMinSpreadValue = request.minSpreadValue?.toSafeBigDecimal() ?: existing.minSpreadValue
|
||||
if (newMinSpreadMode == "FIXED" && (newMinSpreadValue == null || newMinSpreadValue < BigDecimal.ZERO)) {
|
||||
return Result.failure(IllegalArgumentException(ErrorCode.PARAM_ERROR.messageKey))
|
||||
}
|
||||
|
||||
val updated = existing.copy(
|
||||
name = nameToSave,
|
||||
windowStartSeconds = request.windowStartSeconds ?: existing.windowStartSeconds,
|
||||
@@ -119,6 +138,8 @@ class CryptoTailStrategyService(
|
||||
maxPrice = request.maxPrice?.toSafeBigDecimal() ?: existing.maxPrice,
|
||||
amountMode = request.amountMode?.uppercase() ?: existing.amountMode,
|
||||
amountValue = request.amountValue?.toSafeBigDecimal() ?: existing.amountValue,
|
||||
minSpreadMode = newMinSpreadMode,
|
||||
minSpreadValue = newMinSpreadValue,
|
||||
enabled = request.enabled ?: existing.enabled,
|
||||
updatedAt = System.currentTimeMillis()
|
||||
)
|
||||
@@ -224,6 +245,8 @@ class CryptoTailStrategyService(
|
||||
maxPrice = e.maxPrice.toPlainString(),
|
||||
amountMode = e.amountMode,
|
||||
amountValue = e.amountValue.toPlainString(),
|
||||
minSpreadMode = e.minSpreadMode,
|
||||
minSpreadValue = e.minSpreadValue?.toPlainString(),
|
||||
enabled = e.enabled,
|
||||
lastTriggerAt = lastTriggerAt,
|
||||
totalRealizedPnl = totalPnl?.toPlainString(),
|
||||
|
||||
@@ -1,6 +1,7 @@
|
||||
package com.wrbug.polymarketbot.util
|
||||
|
||||
import com.google.gson.Gson
|
||||
import com.wrbug.polymarketbot.api.BinanceApi
|
||||
import com.wrbug.polymarketbot.api.BuilderRelayerApi
|
||||
import com.wrbug.polymarketbot.api.EthereumRpcApi
|
||||
import com.wrbug.polymarketbot.api.GitHubApi
|
||||
@@ -300,7 +301,18 @@ class RetrofitFactory(
|
||||
fun createDataApi(): PolymarketDataApi {
|
||||
return dataApi
|
||||
}
|
||||
|
||||
|
||||
private val binanceApi: BinanceApi by lazy {
|
||||
Retrofit.Builder()
|
||||
.baseUrl("https://api.binance.com/")
|
||||
.client(sharedOkHttpClient)
|
||||
.addConverterFactory(GsonConverterFactory.create(gson))
|
||||
.build()
|
||||
.create(BinanceApi::class.java)
|
||||
}
|
||||
|
||||
fun createBinanceApi(): BinanceApi = binanceApi
|
||||
|
||||
/**
|
||||
* 创建 Builder Relayer API 客户端
|
||||
* 按 relayerUrl 缓存，避免重复创建
|
||||
|
||||
@@ -0,0 +1,4 @@
|
||||
-- 尾盘策略最小价差：NONE=不校验, FIXED=固定值, AUTO=历史计算
|
||||
ALTER TABLE crypto_tail_strategy
|
||||
ADD COLUMN min_spread_mode VARCHAR(16) NOT NULL DEFAULT 'NONE' COMMENT '最小价差模式: NONE, FIXED, AUTO',
|
||||
ADD COLUMN min_spread_value DECIMAL(20, 8) NULL COMMENT '最小价差数值（FIXED 时必填；AUTO 时可存计算值）';
|
||||
@@ -0,0 +1,247 @@
|
||||
# 尾盘策略 - 最小价差参数流程分析
|
||||
|
||||
## 一、需求摘要
|
||||
|
||||
在现有尾盘策略上增加**最小价差**参数：当策略条件（时间窗、价格区间）满足时，再判断**当前周期 Binance K 线的开盘价与收盘价价差**是否满足最小价差；满足才下单，不满足则等待，直到价差满足再下单。
|
||||
|
||||
- **后端**：需订阅币安对应币对（如 BTC/USDC）的 K 线，维护当前周期的**开盘价**与**实时收盘价**，并在触发时做价差校验。
|
||||
- **前端**：可配置三种场景——无、固定、自动（见下）。
|
||||
|
||||
---
|
||||
|
||||
## 二、前端配置场景
|
||||
|
||||
| 场景 | 配置方式 | 校验逻辑 |
|
||||
|------|----------|----------|
|
||||
| **无** | 不进行价差校验 | 与现有一致：仅判断时间窗 + 价格区间，满足即下单。 |
|
||||
| **固定** | 用户输入一个固定价差（如 30） | 当 \|收盘价 − 开盘价\| ≥ 该固定值时，校验通过，再下单。 |
|
||||
| **自动** | 由系统根据历史数据计算最小价差 | 见下文「自动模式计算逻辑」；得到数值后，后续与固定模式一致：\|收盘价 − 开盘价\| ≥ 计算值 则通过。 |
|
||||
|
||||
### 自动模式计算逻辑
|
||||
|
||||
- 通过币安 API 获取**历史 30 根** K 线（与策略周期一致：5m 取 5m K 线，15m 取 15m K 线）。
|
||||
- **下单方向 = Down**（outcomeIndex = 1）：只取「收盘价 < 开盘价」的 K 线，得到价差序列（开盘价 − 收盘价）。
|
||||
- **下单方向 = Up**（outcomeIndex = 0）：只取「收盘价 > 开盘价」的 K 线，得到价差序列（收盘价 − 开盘价）。
|
||||
- **异常值剔除**：对上述价差序列做异常值过滤（见下文「异常值剔除」），再用**剩余样本**求平均价差，乘以系数 **80%** 得到最小价差；后续用该值做 \|收盘价 − 开盘价\| ≥ 该值 的校验。
|
||||
- **历史数据获取时机**：**在该周期开始时就拉取并计算**，不在保存策略时计算。订单簿 WS 在周期开始时刷新订阅（含每 25 秒或周期切换时的 refreshAndSubscribe），此时对当前周期内所有启用且为 AUTO 的策略，按 (intervalSeconds, periodStartUnix) 预拉该周期前 30 根已收盘 K 线并计算 minSpreadUp/minSpreadDown 写入缓存；该周期内触发时直接用缓存，无需在触发时再调 REST。
|
||||
|
||||
### 异常值剔除
|
||||
|
||||
- **目的**：避免少数极端 K 线（如 14 组价差在 50 以内、1 组价差 200）拉高平均价差，导致最小价差偏大、难以触发。
|
||||
- **做法**：在按方向得到价差序列后，先**剔除异常值**，再对剩余价差求平均并 × 0.8。
|
||||
- **推荐方法：IQR（四分位距）**
|
||||
- 对价差序列排序，计算 Q1（25% 分位）、Q3（75% 分位）、IQR = Q3 − Q1。
|
||||
- 保留区间 **[Q1 − 1.5×IQR, Q3 + 1.5×IQR]** 内的价差，剔除该区间外的点。
|
||||
- 示例：15 组价差，14 组在 50 以内、1 组为 200 → 200 会超出上界被剔除，只用 14 组参与平均。
|
||||
- **边界与降级**
|
||||
- 若剔除后剩余样本数过少（如 < 3），则**不剔除**：用全部价差样本求平均 × 0.8。
|
||||
- 若无满足方向的 K 线（如 30 根里没有 close < open），仍按原文档降级处理（全量 \|close−open\| 或返回 0）。
|
||||
|
||||
---
|
||||
|
||||
## 三、整体流程（含价差校验）
|
||||
|
||||
```
|
||||
┌─────────────────────────────────────────────────────────────────────────────────┐
|
||||
│ 1. 数据源与订阅 │
|
||||
├─────────────────────────────────────────────────────────────────────────────────┤
|
||||
│ • CLOB 订单簿 WS（现有）：Polymarket 订单簿 → bestBid。 │
|
||||
│ • 币安 K 线 WS（新增）：订阅 BTCUSDC 对应周期（5m/15m），维护「当前周期」的开盘价 │
|
||||
│ open、实时收盘价 close（每根 K 线未收盘前 close 会持续更新）。 │
|
||||
└─────────────────────────────────────────────────────────────────────────────────┘
|
||||
│
|
||||
▼
|
||||
┌─────────────────────────────────────────────────────────────────────────────────┐
|
||||
│ 2. 触发入口（与现有一致） │
|
||||
├─────────────────────────────────────────────────────────────────────────────────┤
|
||||
│ • 入口 A：CryptoTailOrderbookWsService.onBestBid(tokenId, bestBid) │
|
||||
│ • 入口 B：CryptoTailStrategyExecutionService.runCycle()（HTTP 拉订单簿） │
|
||||
│ 两者在「时间窗 + 价格区间 + 本周期未触发」通过后，都会调用执行层「尝试下单」。 │
|
||||
└─────────────────────────────────────────────────────────────────────────────────┘
|
||||
│
|
||||
▼
|
||||
┌─────────────────────────────────────────────────────────────────────────────────┐
|
||||
│ 3. 执行层增加「价差校验」 │
|
||||
├─────────────────────────────────────────────────────────────────────────────────┤
|
||||
│ 在现有 tryTriggerWithPriceFromWs / runCycle → placeOrderForTrigger 之前增加： │
|
||||
│ │
|
||||
│ if (策略.minSpreadMode == NONE) → 直接进入 placeOrderForTrigger。 │
|
||||
│ else: │
|
||||
│ • 从「币安 K 线服务」取当前周期（与 strategy.intervalSeconds 对齐）的 open、 │
|
||||
│ close（实时）。 │
|
||||
│ • 若取不到 open/close（例如该周期尚未有数据）→ 本轮不下单，等待下次 WS 更新。 │
|
||||
│ • 计算 effectiveMinSpread： │
|
||||
│ - FIXED：effectiveMinSpread = 策略.minSpreadValue（用户填的固定值） │
|
||||
│ - AUTO：effectiveMinSpread = 按当前下单方向（outcomeIndex）取「自动计算 │
|
||||
│ 的最小价差」（见下节；若尚未计算则先拉 30 根历史 K 线并计算、缓存）。 │
|
||||
│ • 若 |close − open| < effectiveMinSpread → 本轮不下单，等待价差满足。 │
|
||||
│ • 若 |close − open| >= effectiveMinSpread → 通过价差校验，进入 │
|
||||
│ placeOrderForTrigger（与现有逻辑一致：预签/签名、提交 CLOB 订单、写触发记录）。│
|
||||
└─────────────────────────────────────────────────────────────────────────────────┘
|
||||
```
|
||||
|
||||
- **「等待价差满足」**：不主动轮询；下次 CLOB 订单簿或币安 K 线有推送时，会再次进入上述判断，此时 close 可能已更新，价差可能已满足，再决定是否下单。
|
||||
- **每周期最多触发一次**：仍由现有「本周期是否已触发」保证；价差不满足时**不写触发记录**，也不占「已触发」名额，直到某次检查同时满足价格区间与价差后才下单并标记已触发。
|
||||
|
||||
---
|
||||
|
||||
## 四、自动模式：何时拉历史、如何算、如何用
|
||||
|
||||
- **何时拉 30 根历史 K 线并计算**
|
||||
- **在该周期开始时就预计算**，不在保存策略时计算。
|
||||
- 订单簿 WS 在**周期开始时**会刷新订阅（`refreshAndSubscribe`：每 25 秒或检测到周期切换时），此时对当前周期内所有启用且 minSpreadMode=AUTO 的策略，按 `(intervalSeconds, periodStartUnix)` 异步拉取该周期前 30 根已收盘 K 线（REST `endTime = periodStartUnix * 1000`），按 Up/Down 分别算 avgSpread × 0.8（含 IQR 剔除）并写入缓存。该周期内后续触发时直接用缓存，**不在触发时再调 REST**。
|
||||
- 若某周期未做预计算（如服务刚启动且尚未到刷新时机），触发时仍会按需调用 `computeAndCache` 并缓存，保证逻辑正确。
|
||||
- 前端「自动最小价差」接口仅作**预览**，实际下单校验不依赖该接口。
|
||||
|
||||
- **计算细节**
|
||||
- 历史 30 根：币安 REST `GET /api/v3/klines?symbol=BTCUSDC&interval=5m|15m&limit=30`（或 31 取前 30 根已收盘），每根格式为 [openTime, open, high, low, close, ...]。
|
||||
- **Down（outcomeIndex=1）**：筛选 close < open，价差 = open − close，得到价差序列 → **异常值剔除（IQR）** → 对剩余价差求平均，再 × 0.8 → minSpreadDown。
|
||||
- **Up（outcomeIndex=0）**：筛选 close > open，价差 = close − open，得到价差序列 → **异常值剔除（IQR）** → 对剩余价差求平均，再 × 0.8 → minSpreadUp。
|
||||
- **异常值剔除**：见上文「异常值剔除」；剔除后再平均。若剔除后剩余样本 < 3，则不剔除，用全部价差样本求平均。
|
||||
- 若无满足方向的 K 线（例如 30 根里没有一根 close < open），可降级：用全部 30 根的 |close−open| 平均 × 0.8，或返回 0/不校验，具体产品可定。
|
||||
|
||||
- **触发时使用**
|
||||
- 当前要下单的是 outcomeIndex（0=Up, 1=Down），取对应的 minSpreadUp 或 minSpreadDown 作为 effectiveMinSpread，再与 |close − open| 比较。
|
||||
|
||||
---
|
||||
|
||||
## 五、后端模块与数据流
|
||||
|
||||
| 模块 | 职责 |
|
||||
|------|------|
|
||||
| **BinanceKlineService（新）** | 1）订阅币安 WS：BTCUSDC 的 5m、15m K 线流（可按需只订阅有策略使用的周期）。<br>2）维护「当前周期」数据：以 periodStartUnix（或 K 线 t 对齐）为 key，存 (open, close)；K 线 WS 推送时更新 close，新周期首条推送时更新 open。<br>3）提供 getCurrentOpenClose(symbol, intervalSeconds, periodStartUnix) → (open, close)?，供执行层价差校验使用。 |
|
||||
| **BinanceKlineAutoSpreadService 或合入上者（新）** | 1）按**周期**拉取：以 periodStartUnix 为界，REST 拉取该周期前的 30 根已收盘 K 线。<br>2）按 Up/Down 得到价差序列 → **IQR 异常值剔除** → 对剩余价差求平均 × 0.8，缓存 (intervalSeconds, periodStartUnix) → (minSpreadUp, minSpreadDown)。<br>3）提供 getAutoMinSpread(intervalSeconds, periodStartUnix, outcomeIndex) 与 computeAndCache(intervalSeconds, periodStartUnix)。**周期开始时**由 CryptoTailOrderbookWsService 在 refreshAndSubscribe 后对当前周期内 AUTO 策略预调 computeAndCache；触发时直接用缓存，未命中时再按需计算。 |
|
||||
| **CryptoTailStrategy（实体）** | 新增字段建议：minSpreadMode（NONE/FIXED/AUTO）、minSpreadValue（固定时使用；AUTO 时可为空或存上次计算值用于展示）。 |
|
||||
| **CryptoTailStrategyExecutionService（现有）** | 在 tryTriggerWithPriceFromWs 与 runCycle 分支中，在调用 placeOrderForTrigger 前：若 minSpreadMode != NONE，则取 open/close 与 effectiveMinSpread，校验 \|close−open\| >= effectiveMinSpread；不通过则 return，不调用 placeOrderForTrigger。 |
|
||||
| **CryptoTailOrderbookWsService（现有）** | 仍只根据 CLOB bestBid 触发；价差校验在执行层统一做。**新增**：refreshAndSubscribe 完成后，对当前周期内所有启用且 minSpreadMode=AUTO 的策略，异步调用 BinanceKlineAutoSpreadService.computeAndCache，在周期开始即预计算最小价差。 |
|
||||
|
||||
- **币安 K 线与周期对齐**
|
||||
- 策略周期：periodStartUnix 为秒（如 5m 周期 = 300 的倍数，15m = 900 的倍数）。
|
||||
- 币安 K 线：t 为毫秒，同一周期：t_ms = periodStartUnix * 1000。
|
||||
- 用 (intervalSeconds, periodStartUnix) 或 (interval, t_ms) 对齐即可从 BinanceKlineService 取到「当前周期」的 open 和实时 close。
|
||||
|
||||
---
|
||||
|
||||
## 六、固定（FIXED）与自动（AUTO）时序图
|
||||
|
||||
### 6.1 固定（FIXED）时序图
|
||||
|
||||
固定模式：用户保存策略时写入 `minSpreadValue`（如 30）；触发时直接用该值与当前周期 \|close−open\| 比较，不拉历史 K 线。
|
||||
|
||||
```mermaid
|
||||
sequenceDiagram
|
||||
participant User as 用户
|
||||
participant API as Controller
|
||||
participant Svc as CryptoTailStrategyService
|
||||
participant DB as 数据库
|
||||
participant CLOB_WS as CLOB 订单簿 WS
|
||||
participant Orderbook as CryptoTailOrderbookWsService
|
||||
participant Exec as CryptoTailStrategyExecutionService
|
||||
participant BinanceWS as BinanceKlineService
|
||||
participant CLOB as Polymarket CLOB
|
||||
|
||||
User->>API: 保存策略 minSpreadMode=FIXED, minSpreadValue=30
|
||||
API->>Svc: create/update
|
||||
Svc->>DB: 写入 min_spread_mode, min_spread_value
|
||||
Svc-->>API: 成功
|
||||
API-->>User: 成功
|
||||
|
||||
Note over BinanceWS: 后台持续：币安 K 线 WS 更新当前周期 (open, close)
|
||||
|
||||
CLOB_WS->>Orderbook: onMessage(book/price_change) → bestBid
|
||||
Orderbook->>Orderbook: 时间窗内？价格在 [min,max]？本周期未触发？
|
||||
Orderbook->>Exec: tryTriggerWithPriceFromWs(strategy, periodStartUnix, ..., bestBid)
|
||||
Exec->>Exec: mutex 锁
|
||||
Exec->>Exec: 本周期已触发？→ 是则 return
|
||||
Exec->>Exec: passMinSpreadCheck(strategy, periodStartUnix, outcomeIndex)
|
||||
Exec->>Exec: mode==FIXED → effectiveMinSpread = strategy.minSpreadValue (30)
|
||||
Exec->>BinanceWS: getCurrentOpenClose(intervalSeconds, periodStartUnix)
|
||||
BinanceWS-->>Exec: (open, close) 来自内存
|
||||
Exec->>Exec: |close−open| >= 30 ? 否 → return，不下单
|
||||
Exec->>Exec: 是 → 通过价差校验
|
||||
Exec->>Exec: ensurePeriodContext → placeOrderForTrigger
|
||||
Exec->>CLOB: 提交订单
|
||||
CLOB-->>Exec: orderId
|
||||
Exec->>DB: 写入触发记录 (本周期已触发)
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
### 6.2 自动（AUTO）时序图
|
||||
|
||||
自动模式：不在保存策略时计算。**在该周期开始时就预计算**（订单簿 WS 刷新订阅时对该周期内 AUTO 策略异步拉 30 根历史 K 线并计算、缓存）；触发时直接用缓存，同一周期内复用。
|
||||
|
||||
```mermaid
|
||||
sequenceDiagram
|
||||
participant User as 用户
|
||||
participant API as Controller
|
||||
participant Svc as CryptoTailStrategyService
|
||||
participant DB as 数据库
|
||||
participant CLOB_WS as CLOB 订单簿 WS
|
||||
participant Orderbook as CryptoTailOrderbookWsService
|
||||
participant Exec as CryptoTailStrategyExecutionService
|
||||
participant BinanceWS as BinanceKlineService
|
||||
participant AutoSpread as BinanceKlineAutoSpreadService
|
||||
participant BinanceREST as 币安 REST API
|
||||
participant CLOB as Polymarket CLOB
|
||||
|
||||
User->>API: 保存策略 minSpreadMode=AUTO（不填 minSpreadValue）
|
||||
API->>Svc: create/update
|
||||
Svc->>DB: 写入 min_spread_mode=AUTO
|
||||
Svc-->>API: 成功
|
||||
API-->>User: 成功
|
||||
|
||||
Note over BinanceWS: 后台持续：币安 K 线 WS 更新当前周期 (open, close)
|
||||
|
||||
CLOB_WS->>Orderbook: onMessage → bestBid
|
||||
Orderbook->>Orderbook: 时间窗 + 价格区间 + 本周期未触发 ✓
|
||||
Orderbook->>Exec: tryTriggerWithPriceFromWs(strategy, periodStartUnix, ..., bestBid)
|
||||
Exec->>Exec: mutex 锁
|
||||
Exec->>Exec: passMinSpreadCheck(strategy, periodStartUnix, outcomeIndex)
|
||||
Exec->>BinanceWS: getCurrentOpenClose(intervalSeconds, periodStartUnix)
|
||||
BinanceWS-->>Exec: (open, close)
|
||||
Note over Orderbook,AutoSpread: 周期开始时 refreshAndSubscribe 已对该周期预计算（见下）
|
||||
Exec->>AutoSpread: getAutoMinSpread(intervalSeconds, periodStartUnix, outcomeIndex)
|
||||
AutoSpread->>AutoSpread: 查缓存 (intervalSeconds, periodStartUnix) → 命中（周期开始已预计算）
|
||||
AutoSpread-->>Exec: effectiveMinSpread
|
||||
Exec->>Exec: |close−open| >= effectiveMinSpread ? 否 → return
|
||||
Exec->>Exec: 是 → 通过价差校验
|
||||
Exec->>Exec: placeOrderForTrigger → CLOB 下单
|
||||
Exec->>DB: 写入触发记录
|
||||
|
||||
Note over Orderbook,AutoSpread: 周期开始时（refreshAndSubscribe 或周期切换）
|
||||
Orderbook->>Orderbook: refreshAndSubscribe() → buildSubscriptionMap() → newMap
|
||||
Orderbook->>Orderbook: precomputeAutoMinSpreadForCurrentPeriods(newMap)
|
||||
Orderbook->>AutoSpread: computeAndCache(intervalSeconds, periodStartUnix) [异步]
|
||||
AutoSpread->>BinanceREST: GET /api/v3/klines?symbol=BTCUSDC&interval=15m&limit=30&endTime=periodStart*1000
|
||||
BinanceREST-->>AutoSpread: 30 根已收盘 K 线
|
||||
AutoSpread->>AutoSpread: 按 Up/Down 拆价差 → IQR 剔除 → 平均×0.8 → 缓存
|
||||
|
||||
Note over CLOB_WS,Exec: 同一周期内再次触发（如另一 outcome 或再次 bestBid）
|
||||
CLOB_WS->>Orderbook: onMessage → bestBid
|
||||
Orderbook->>Exec: tryTriggerWithPriceFromWs(...)
|
||||
Exec->>AutoSpread: getAutoMinSpread(intervalSeconds, periodStartUnix, outcomeIndex)
|
||||
AutoSpread->>AutoSpread: 查缓存 → 命中
|
||||
AutoSpread-->>Exec: effectiveMinSpread（不再调 REST）
|
||||
Exec->>Exec: 价差校验 → 通过则下单（或本周期已触发则跳过）
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 七、流程小结（按执行顺序）
|
||||
|
||||
1. **策略配置**
|
||||
- 用户选择：无 / 固定（输入数值）/ 自动。
|
||||
- 固定：必填 minSpreadValue，保存到 DB。
|
||||
- 自动：不填 minSpreadValue，**不在保存时计算**；按周期在首次需要时计算并缓存。
|
||||
|
||||
2. **运行时**
|
||||
- 币安 WS 持续更新当前周期的 (open, close)。
|
||||
- CLOB 订单簿（或 HTTP）带来 bestBid；若时间窗 + 价格区间 + 本周期未触发 均满足：
|
||||
- 若 minSpreadMode == NONE → 直接 placeOrderForTrigger。
|
||||
- 否则取当前周期 open/close 与 effectiveMinSpread（固定值或自动缓存值），若 \|close−open\| >= effectiveMinSpread → placeOrderForTrigger；否则本轮不下单，等后续推送再判。
|
||||
|
||||
3. **下单与去重**
|
||||
- 仍保持「每周期最多触发一次」；价差不满足时不写触发记录，直到某次同时满足价格与价差后才下单并写记录。
|
||||
|
||||
按上述流程即可在现有尾盘策略上接入「最小价差」参数，并由后端订阅币安 K 线、在触发前做价差校验；固定与自动的时序差异见**第六节时序图**。
|
||||
@@ -1445,7 +1445,14 @@
|
||||
"create": "Create",
|
||||
"update": "Update",
|
||||
"timeWindowStartLEEnd": "Window start must not be greater than end",
|
||||
"timeWindowExceed": "Time window must not exceed period length"
|
||||
"timeWindowExceed": "Time window must not exceed period length",
|
||||
"minSpreadMode": "Min spread",
|
||||
"minSpreadModeTip": "Whether to place an order is based on the spread between open and close in the current period. Auto: system computes a suggested spread from the last 30 klines (updated each period); Fixed: you enter a value (e.g. 30), order only when spread ≥ that value; None: no spread check, order when price is in range.",
|
||||
"minSpreadModeNone": "None",
|
||||
"minSpreadModeFixed": "Fixed",
|
||||
"minSpreadModeAuto": "Auto",
|
||||
"minSpreadValue": "Min spread value (USDC)",
|
||||
"minSpreadValuePlaceholder": "e.g. 30"
|
||||
},
|
||||
"redeemRequiredModal": {
|
||||
"title": "Configure Auto Redeem First",
|
||||
|
||||
@@ -1444,7 +1444,14 @@
|
||||
"create": "创建",
|
||||
"update": "更新",
|
||||
"timeWindowStartLEEnd": "时间区间开始不能大于结束",
|
||||
"timeWindowExceed": "时间区间不能超过周期长度"
|
||||
"timeWindowExceed": "时间区间不能超过周期长度",
|
||||
"minSpreadMode": "最小价差",
|
||||
"minSpreadModeTip": "根据当前周期开盘价与收盘价的价差决定是否下单。自动：系统按历史 30 根 K 线计算建议价差（每周期更新）；固定：您输入一个数值（如 30），仅当价差 ≥ 该值时才下单；无：不校验价差，满足价格区间即下单。",
|
||||
"minSpreadModeNone": "无",
|
||||
"minSpreadModeFixed": "固定",
|
||||
"minSpreadModeAuto": "自动",
|
||||
"minSpreadValue": "最小价差数值 (USDC)",
|
||||
"minSpreadValuePlaceholder": "如 30"
|
||||
},
|
||||
"redeemRequiredModal": {
|
||||
"title": "请先配置自动赎回",
|
||||
|
||||
@@ -1445,7 +1445,14 @@
|
||||
"create": "創建",
|
||||
"update": "更新",
|
||||
"timeWindowStartLEEnd": "時間區間開始不能大於結束",
|
||||
"timeWindowExceed": "時間區間不能超過週期長度"
|
||||
"timeWindowExceed": "時間區間不能超過週期長度",
|
||||
"minSpreadMode": "最小價差",
|
||||
"minSpreadModeTip": "依當前週期開盤價與收盤價的價差決定是否下單。自動：系統依歷史 30 根 K 線計算建議價差（每週期更新）；固定：您輸入一個數值（如 30），僅當價差 ≥ 該值時才下單；無：不校驗價差，滿足價格區間即下單。",
|
||||
"minSpreadModeNone": "無",
|
||||
"minSpreadModeFixed": "固定",
|
||||
"minSpreadModeAuto": "自動",
|
||||
"minSpreadValue": "最小價差數值 (USDC)",
|
||||
"minSpreadValuePlaceholder": "如 30"
|
||||
},
|
||||
"redeemRequiredModal": {
|
||||
"title": "請先配置自動贖回",
|
||||
|
||||
@@ -16,9 +16,10 @@ import {
|
||||
Input,
|
||||
InputNumber,
|
||||
Radio,
|
||||
Spin
|
||||
Spin,
|
||||
Tooltip
|
||||
} from 'antd'
|
||||
import { PlusOutlined, EditOutlined, UnorderedListOutlined } from '@ant-design/icons'
|
||||
import { PlusOutlined, EditOutlined, UnorderedListOutlined, InfoCircleOutlined } from '@ant-design/icons'
|
||||
import { useTranslation } from 'react-i18next'
|
||||
import { useMediaQuery } from 'react-responsive'
|
||||
import { apiService } from '../services/api'
|
||||
@@ -107,6 +108,7 @@ const CryptoTailStrategyList: React.FC = () => {
|
||||
enabled: true,
|
||||
amountMode: 'RATIO',
|
||||
maxPrice: '1',
|
||||
minSpreadMode: 'AUTO',
|
||||
windowStartMinutes: 0,
|
||||
windowStartSeconds: 0
|
||||
})
|
||||
@@ -127,6 +129,8 @@ const CryptoTailStrategyList: React.FC = () => {
|
||||
maxPrice: record.maxPrice,
|
||||
amountMode: record.amountMode,
|
||||
amountValue: record.amountValue,
|
||||
minSpreadMode: record.minSpreadMode ?? 'AUTO',
|
||||
minSpreadValue: record.minSpreadValue ?? undefined,
|
||||
enabled: record.enabled
|
||||
})
|
||||
setFormModalOpen(true)
|
||||
@@ -159,6 +163,8 @@ const CryptoTailStrategyList: React.FC = () => {
|
||||
maxPrice: v.maxPrice != null ? String(v.maxPrice) : undefined,
|
||||
amountMode: v.amountMode as string,
|
||||
amountValue: String(v.amountValue ?? 0),
|
||||
minSpreadMode: (v.minSpreadMode as string) || 'AUTO',
|
||||
minSpreadValue: v.minSpreadMode === 'FIXED' && v.minSpreadValue != null ? String(v.minSpreadValue) : (v.minSpreadMode === 'AUTO' && v.minSpreadValue != null ? String(v.minSpreadValue) : undefined),
|
||||
enabled: v.enabled !== false
|
||||
}
|
||||
if (editingId) {
|
||||
@@ -171,6 +177,8 @@ const CryptoTailStrategyList: React.FC = () => {
|
||||
maxPrice: payload.maxPrice,
|
||||
amountMode: payload.amountMode,
|
||||
amountValue: payload.amountValue,
|
||||
minSpreadMode: payload.minSpreadMode,
|
||||
minSpreadValue: payload.minSpreadValue,
|
||||
enabled: payload.enabled
|
||||
})
|
||||
if (res.data.code === 0) {
|
||||
@@ -181,7 +189,10 @@ const CryptoTailStrategyList: React.FC = () => {
|
||||
message.error(res.data.msg || t('common.failed'))
|
||||
}
|
||||
} else {
|
||||
const res = await apiService.cryptoTailStrategy.create(payload)
|
||||
const res = await apiService.cryptoTailStrategy.create({
|
||||
...payload,
|
||||
minSpreadValue: payload.minSpreadMode === 'FIXED' ? payload.minSpreadValue : undefined
|
||||
})
|
||||
if (res.data.code === 0) {
|
||||
message.success(t('common.success'))
|
||||
setFormModalOpen(false)
|
||||
@@ -532,7 +543,7 @@ const CryptoTailStrategyList: React.FC = () => {
|
||||
destroyOnClose
|
||||
>
|
||||
<Alert type="warning" showIcon message={t('cryptoTailStrategy.form.walletTip')} style={{ marginBottom: 16 }} />
|
||||
<Form form={form} layout="vertical" initialValues={{ amountMode: 'RATIO', maxPrice: '1', enabled: true }}>
|
||||
<Form form={form} layout="vertical" initialValues={{ amountMode: 'RATIO', maxPrice: '1', minSpreadMode: 'AUTO', enabled: true }}>
|
||||
<Form.Item name="accountId" label={t('cryptoTailStrategy.form.selectAccount')} rules={[{ required: true }]}>
|
||||
<Select
|
||||
placeholder={t('cryptoTailStrategy.form.selectAccount')}
|
||||
@@ -624,6 +635,45 @@ const CryptoTailStrategyList: React.FC = () => {
|
||||
)
|
||||
}
|
||||
</Form.Item>
|
||||
<Form.Item
|
||||
name="minSpreadMode"
|
||||
label={
|
||||
<Space size={4}>
|
||||
<span>{t('cryptoTailStrategy.form.minSpreadMode')}</span>
|
||||
<Tooltip title={t('cryptoTailStrategy.form.minSpreadModeTip')}>
|
||||
<InfoCircleOutlined style={{ color: '#999', cursor: 'help', fontSize: 14 }} />
|
||||
</Tooltip>
|
||||
</Space>
|
||||
}
|
||||
>
|
||||
<Radio.Group>
|
||||
<Radio value="AUTO">{t('cryptoTailStrategy.form.minSpreadModeAuto')}</Radio>
|
||||
<Radio value="FIXED">{t('cryptoTailStrategy.form.minSpreadModeFixed')}</Radio>
|
||||
<Radio value="NONE">{t('cryptoTailStrategy.form.minSpreadModeNone')}</Radio>
|
||||
</Radio.Group>
|
||||
</Form.Item>
|
||||
<Form.Item
|
||||
noStyle
|
||||
shouldUpdate={(prev, curr) => prev.minSpreadMode !== curr.minSpreadMode}
|
||||
>
|
||||
{({ getFieldValue }) =>
|
||||
getFieldValue('minSpreadMode') === 'FIXED' ? (
|
||||
<Form.Item
|
||||
name="minSpreadValue"
|
||||
label={t('cryptoTailStrategy.form.minSpreadValue')}
|
||||
rules={[{ required: true }]}
|
||||
>
|
||||
<InputNumber
|
||||
min={0}
|
||||
step={1}
|
||||
placeholder={t('cryptoTailStrategy.form.minSpreadValuePlaceholder')}
|
||||
style={{ width: '100%' }}
|
||||
stringMode
|
||||
/>
|
||||
</Form.Item>
|
||||
) : null
|
||||
}
|
||||
</Form.Item>
|
||||
<Form.Item name="enabled" valuePropName="checked">
|
||||
<Switch checkedChildren={t('common.enabled')} unCheckedChildren={t('common.disabled')} />
|
||||
</Form.Item>
|
||||
|
||||
@@ -447,6 +447,8 @@ export const apiService = {
|
||||
maxPrice?: string
|
||||
amountMode: string
|
||||
amountValue: string
|
||||
minSpreadMode?: string
|
||||
minSpreadValue?: string | null
|
||||
enabled?: boolean
|
||||
}) =>
|
||||
apiClient.post<ApiResponse<import('../types').CryptoTailStrategyDto>>('/crypto-tail-strategy/create', data),
|
||||
@@ -459,6 +461,8 @@ export const apiService = {
|
||||
maxPrice?: string
|
||||
amountMode?: string
|
||||
amountValue?: string
|
||||
minSpreadMode?: string
|
||||
minSpreadValue?: string | null
|
||||
enabled?: boolean
|
||||
}) =>
|
||||
apiClient.post<ApiResponse<import('../types').CryptoTailStrategyDto>>('/crypto-tail-strategy/update', data),
|
||||
@@ -467,7 +471,9 @@ export const apiService = {
|
||||
triggers: (data: { strategyId: number; page?: number; pageSize?: number; status?: string }) =>
|
||||
apiClient.post<ApiResponse<{ list: import('../types').CryptoTailStrategyTriggerDto[]; total: number }>>('/crypto-tail-strategy/triggers', data),
|
||||
marketOptions: () =>
|
||||
apiClient.post<ApiResponse<import('../types').CryptoTailMarketOptionDto[]>>('/crypto-tail-strategy/market-options', {})
|
||||
apiClient.post<ApiResponse<import('../types').CryptoTailMarketOptionDto[]>>('/crypto-tail-strategy/market-options', {}),
|
||||
autoMinSpread: (data: { intervalSeconds: number }) =>
|
||||
apiClient.post<ApiResponse<import('../types').CryptoTailAutoMinSpreadResponse>>('/crypto-tail-strategy/auto-min-spread', data)
|
||||
},
|
||||
|
||||
/**
|
||||
|
||||
@@ -1051,6 +1051,10 @@ export interface CryptoTailStrategyDto {
|
||||
maxPrice: string
|
||||
amountMode: string
|
||||
amountValue: string
|
||||
/** 最小价差模式: NONE, FIXED, AUTO */
|
||||
minSpreadMode?: string
|
||||
/** 最小价差数值（FIXED 时必填；AUTO 时可为计算值） */
|
||||
minSpreadValue?: string | null
|
||||
enabled: boolean
|
||||
lastTriggerAt?: number
|
||||
/** 已实现总收益 USDC */
|
||||
@@ -1063,6 +1067,12 @@ export interface CryptoTailStrategyDto {
|
||||
updatedAt: number
|
||||
}
|
||||
|
||||
/** 自动最小价差计算响应 */
|
||||
export interface CryptoTailAutoMinSpreadResponse {
|
||||
minSpreadUp: string
|
||||
minSpreadDown: string
|
||||
}
|
||||
|
||||
/**
|
||||
* 尾盘策略触发记录
|
||||
*/
|
||||
|
||||
@@ -0,0 +1,105 @@
|
||||
#!/usr/bin/env python3
|
||||
"""
|
||||
从币安现货 API 获取 BTC/USDC 15 分钟 K 线数据。
|
||||
|
||||
API: https://api.binance.com/api/v3/klines
|
||||
无需 API Key，公开行情接口。
|
||||
|
||||
使用方法:
|
||||
python3 scripts/fetch_binance_btc_usdc_klines.py
|
||||
python3 scripts/fetch_binance_btc_usdc_klines.py --limit 96
|
||||
python3 scripts/fetch_binance_btc_usdc_klines.py --limit 10 --interval 15m
|
||||
"""
|
||||
import argparse
|
||||
import json
|
||||
import sys
|
||||
import time
|
||||
import urllib.error
|
||||
import urllib.parse
|
||||
import urllib.request
|
||||
|
||||
BINANCE_BASE = "https://api.binance.com"
|
||||
|
||||
|
||||
def fetch_klines(
|
||||
symbol: str = "BTCUSDC",
|
||||
interval: str = "15m",
|
||||
limit: int = 500,
|
||||
start_time: int | None = None,
|
||||
end_time: int | None = None,
|
||||
) -> list[list] | None:
|
||||
"""
|
||||
获取 K 线数据。
|
||||
返回每根 K 线: [ openTime, open, high, low, close, volume, closeTime, ... ]
|
||||
"""
|
||||
params = {"symbol": symbol, "interval": interval, "limit": limit}
|
||||
if start_time is not None:
|
||||
params["startTime"] = start_time
|
||||
if end_time is not None:
|
||||
params["endTime"] = end_time
|
||||
qs = urllib.parse.urlencode(params)
|
||||
url = f"{BINANCE_BASE}/api/v3/klines?{qs}"
|
||||
req = urllib.request.Request(url, headers={"User-Agent": "PolymarketBot/1.0 (script)"})
|
||||
try:
|
||||
with urllib.request.urlopen(req, timeout=15) as resp:
|
||||
return json.load(resp)
|
||||
except urllib.error.HTTPError as e:
|
||||
body = e.read().decode() if e.fp else ""
|
||||
try:
|
||||
err = json.loads(body)
|
||||
except json.JSONDecodeError:
|
||||
err = {"msg": body}
|
||||
print(f"Request failed: {e.code} - {err}", file=sys.stderr)
|
||||
return None
|
||||
except Exception as e:
|
||||
print(f"Request error: {e}", file=sys.stderr)
|
||||
return None
|
||||
|
||||
|
||||
def main():
|
||||
parser = argparse.ArgumentParser(description="Fetch Binance BTC/USDC 15m klines")
|
||||
parser.add_argument("--symbol", default="BTCUSDC", help="Trading pair (default: BTCUSDC)")
|
||||
parser.add_argument("--interval", default="15m", help="Kline interval (default: 15m)")
|
||||
parser.add_argument("--limit", type=int, default=20, help="Number of klines (default: 20, max 1000)")
|
||||
parser.add_argument("--start", type=int, default=None, help="Start time (ms)")
|
||||
parser.add_argument("--end", type=int, default=None, help="End time (ms)")
|
||||
args = parser.parse_args()
|
||||
|
||||
limit = max(1, min(1000, args.limit))
|
||||
|
||||
print("=== Binance BTC/USDC K-line (15m) ===\n")
|
||||
print(f"Symbol: {args.symbol} Interval: {args.interval} Limit: {limit}")
|
||||
if args.start:
|
||||
print(f"Start: {args.start} ({time.strftime('%Y-%m-%d %H:%M:%S', time.localtime(args.start // 1000))})")
|
||||
if args.end:
|
||||
print(f"End: {args.end} ({time.strftime('%Y-%m-%d %H:%M:%S', time.localtime(args.end // 1000))})")
|
||||
print()
|
||||
|
||||
klines = fetch_klines(
|
||||
symbol=args.symbol,
|
||||
interval=args.interval,
|
||||
limit=limit,
|
||||
start_time=args.start,
|
||||
end_time=args.end,
|
||||
)
|
||||
|
||||
if not klines:
|
||||
print("No kline data returned")
|
||||
sys.exit(1)
|
||||
|
||||
print(f"Got {len(klines)} kline(s)\n")
|
||||
print("Columns: openTime, open, high, low, close, volume, closeTime, ...")
|
||||
print("-" * 72)
|
||||
for k in klines:
|
||||
open_ts_ms = k[0]
|
||||
open_ts = open_ts_ms // 1000
|
||||
ts_str = time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(open_ts))
|
||||
o, h, l, c, v = k[1], k[2], k[3], k[4], k[5]
|
||||
print(f" {ts_str} O:{o} H:{h} L:{l} C:{c} V:{v}")
|
||||
print("-" * 72)
|
||||
last = klines[-1]
|
||||
print(f"Latest: open={last[1]}, high={last[2]}, low={last[3]}, close={last[4]}, volume={last[5]}")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
main()
|
||||
Generated
+2
-1
@@ -9,7 +9,8 @@
|
||||
"version": "1.0.0",
|
||||
"dependencies": {
|
||||
"@ethersproject/wallet": "^5.7.0",
|
||||
"@polymarket/clob-client": "^5.2.1"
|
||||
"@polymarket/clob-client": "^5.2.1",
|
||||
"ws": "^8.18.0"
|
||||
}
|
||||
},
|
||||
"node_modules/@adraffy/ens-normalize": {
|
||||
|
||||
@@ -5,10 +5,12 @@
|
||||
"type": "module",
|
||||
"scripts": {
|
||||
"get-order-detail": "node get-order-detail.js",
|
||||
"verify-backtest-data": "node verify-backtest-data.js"
|
||||
"verify-backtest-data": "node verify-backtest-data.js",
|
||||
"ws-binance-klines": "node ws_binance_btc_usdc_klines.js"
|
||||
},
|
||||
"dependencies": {
|
||||
"@ethersproject/wallet": "^5.7.0",
|
||||
"@polymarket/clob-client": "^5.2.1"
|
||||
"@polymarket/clob-client": "^5.2.1",
|
||||
"ws": "^8.18.0"
|
||||
}
|
||||
}
|
||||
|
||||
@@ -0,0 +1,92 @@
|
||||
#!/usr/bin/env node
|
||||
|
||||
/**
|
||||
* 通过币安 WebSocket 订阅 BTC/USDC 15 分钟 K 线推送。
|
||||
*
|
||||
* 文档: https://developers.binance.com/docs/binance-spot-api-docs/web-socket-streams
|
||||
* - 现货 K 线流: wss://stream.binance.com:9443/ws/btcusdc@kline_15m
|
||||
* - 服务端约每 20 秒发 ping，ws 库会自动回 pong
|
||||
* - K 线推送频率: 15m 约每 2 秒更新一次；x=true 表示该根 K 线已收盘
|
||||
*
|
||||
* 依赖: npm install ws（在 scripts 目录下执行）
|
||||
*
|
||||
* 使用方法:
|
||||
* node scripts/ws_binance_btc_usdc_klines.js
|
||||
* node scripts/ws_binance_btc_usdc_klines.js --interval 1m
|
||||
* node scripts/ws_binance_btc_usdc_klines.js --url "wss://stream.binance.com:9443/ws/btcusdc@kline_15m"
|
||||
* Ctrl+C 退出
|
||||
*/
|
||||
|
||||
import WebSocket from 'ws';
|
||||
|
||||
const BINANCE_WS_BASE = 'wss://stream.binance.com:9443';
|
||||
|
||||
function parseArgs() {
|
||||
const args = process.argv.slice(2);
|
||||
const out = { symbol: 'btcusdc', interval: '15m', url: null };
|
||||
for (let i = 0; i < args.length; i++) {
|
||||
if (args[i] === '--symbol' && args[i + 1]) {
|
||||
out.symbol = String(args[i + 1]).toLowerCase();
|
||||
i++;
|
||||
} else if (args[i] === '--interval' && args[i + 1]) {
|
||||
out.interval = args[i + 1];
|
||||
i++;
|
||||
} else if (args[i] === '--url' && args[i + 1]) {
|
||||
out.url = args[i + 1];
|
||||
i++;
|
||||
}
|
||||
}
|
||||
return out;
|
||||
}
|
||||
|
||||
function formatKline(msg) {
|
||||
if (msg.e !== 'kline') {
|
||||
return JSON.stringify(msg);
|
||||
}
|
||||
const k = msg.k || {};
|
||||
const tMs = Number(k.t) || 0;
|
||||
const tsStr = new Date(tMs).toISOString().replace('T', ' ').slice(0, 19);
|
||||
const closed = k.x ? ' [CLOSED]' : '';
|
||||
return ` ${tsStr} O:${k.o} H:${k.h} L:${k.l} C:${k.c} V:${k.v}${closed}`;
|
||||
}
|
||||
|
||||
function run(wsUrl) {
|
||||
console.log(`Connecting: ${wsUrl}`);
|
||||
console.log('(Ctrl+C to exit)\n');
|
||||
|
||||
const ws = new WebSocket(wsUrl);
|
||||
|
||||
ws.on('open', () => {
|
||||
// ws 库收到 ping 会自动回 pong，无需手动处理
|
||||
});
|
||||
|
||||
ws.on('message', (data) => {
|
||||
try {
|
||||
const msg = JSON.parse(data.toString());
|
||||
if (msg.result !== undefined && msg.id !== undefined) return;
|
||||
if (msg.code !== undefined && msg.code !== 0) {
|
||||
console.error('Error:', msg);
|
||||
return;
|
||||
}
|
||||
console.log(formatKline(msg));
|
||||
} catch {
|
||||
console.log(data.toString());
|
||||
}
|
||||
});
|
||||
|
||||
ws.on('error', (err) => {
|
||||
console.error('WebSocket error:', err.message);
|
||||
process.exit(1);
|
||||
});
|
||||
|
||||
ws.on('close', (code, reason) => {
|
||||
if (code !== 1000) {
|
||||
console.error(`Connection closed: ${code} ${reason?.toString() || ''}`);
|
||||
process.exit(1);
|
||||
}
|
||||
});
|
||||
}
|
||||
|
||||
const args = parseArgs();
|
||||
const wsUrl = args.url || `${BINANCE_WS_BASE}/ws/${args.symbol}@kline_${args.interval}`;
|
||||
run(wsUrl);
|
||||
Reference in New Issue
Block a user