package com.yami.trading.service.etf;
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import cn.hutool.core.collection.CollectionUtil;
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import cn.hutool.core.lang.Tuple;
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import cn.hutool.core.util.NumberUtil;
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import com.alibaba.fastjson.JSON;
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import com.alibaba.fastjson.JSONArray;
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import com.alibaba.fastjson.JSONObject;
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import com.baomidou.mybatisplus.core.conditions.query.QueryWrapper;
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import com.baomidou.mybatisplus.extension.conditions.query.LambdaQueryChainWrapper;
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import com.baomidou.mybatisplus.extension.service.impl.ServiceImpl;
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import com.yami.trading.bean.data.domain.Kline;
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import com.yami.trading.bean.data.domain.RobotModel;
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import com.yami.trading.bean.etf.domain.EtfKLine;
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import com.yami.trading.bean.etf.domain.EtfMinuteKLine;
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import com.yami.trading.bean.etf.domain.EtfSecKLine;
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import com.yami.trading.bean.etf.domain.KlineConfig;
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import com.yami.trading.bean.etf.dto.KlineConfigDTO;
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import com.yami.trading.bean.etf.mapstruct.EtfMinuteKLineWrapper;
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import com.yami.trading.bean.etf.mapstruct.EtfSecKLineWrapper;
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import com.yami.trading.bean.item.domain.Item;
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import com.yami.trading.bean.robot.domain.RobotOrder;
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import com.yami.trading.common.exception.YamiShopBindException;
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import com.yami.trading.common.util.Arith;
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import com.yami.trading.dao.data.RobotModelMapper;
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import com.yami.trading.dao.etf.mapper.KlineConfigMapper;
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import com.yami.trading.service.item.ItemService;
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import com.yami.trading.service.robot.RobotOrderService;
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import org.jetbrains.annotations.NotNull;
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import org.springframework.beans.factory.annotation.Autowired;
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import org.springframework.context.annotation.Lazy;
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import org.springframework.stereotype.Service;
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import org.springframework.transaction.annotation.Transactional;
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import java.math.BigDecimal;
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import java.math.RoundingMode;
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import java.text.ParseException;
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import java.text.SimpleDateFormat;
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import java.time.Instant;
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import java.time.ZoneId;
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import java.time.ZonedDateTime;
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import java.util.*;
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/**
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* etfK线图配置表Service
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*
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* @author lucas
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* @version 2023-05-03
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*/
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@Service
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@Transactional
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public class KlineConfigService extends ServiceImpl<KlineConfigMapper, KlineConfig> {
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@Autowired
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private RobotModelMapper robotModelMapper;
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@Autowired
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private ItemService itemService;
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@Autowired
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EtfSecKLineService etfSecKLineService;
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@Autowired
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EtfSecKLineWrapper etfSecKLineWrapper;
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@Autowired
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RobotOrderService robotOrderService;
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@Autowired
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EtfMinuteKLineService etfMinuteKLineService;
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@Autowired
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EtfMinuteKLineWrapper etfMinuteKLineWrapper;
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@Lazy
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@Autowired
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MarketService marketService;
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@Transactional(rollbackFor = Exception.class)
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public void deleteByRobotModelId(List<String> ids) {
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long currentTimeMillis = System.currentTimeMillis();
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for (String id : ids) {
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KlineConfig config = this.getBaseMapper().selectById(id);
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if (config != null) {
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if (config.getOpenTimeTs() <= currentTimeMillis && config.getCloseTimeTs() >= currentTimeMillis) {
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throw new YamiShopBindException("当前为开市时间，不能删除");
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}
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removeById(id);
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etfSecKLineService.remove(new QueryWrapper<EtfSecKLine>().eq("symbol", config.getSymbol()).between("ts", config.getOpenTimeTs(), config.getCloseTimeTs()));
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//etfMinuteKLineService 根据config的开市时间，结束时间，symbol去删除
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etfMinuteKLineService.remove(new QueryWrapper<EtfMinuteKLine>().eq("symbol", config.getSymbol()).between("ts", config.getOpenTimeTs(), config.getCloseTimeTs()));
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marketService.getCacheKline().put(config.getSymbol(), new LinkedHashMap<>());
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}
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}
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}
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public EtfKLine queryKLine(KlineConfigDTO klineConfigDTO) {
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BigDecimal divide = BigDecimal.valueOf((klineConfigDTO.getClosePrice() - klineConfigDTO.getOpenPrice()) / klineConfigDTO.getOpenPrice() * 100);
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// BigDecimal divide = klineConfigDTO.getClosePrice().subtract(klineConfigDTO.getOpenPrice()).divide(klineConfigDTO.getOpenPrice(), 2, BigDecimal.ROUND_HALF_UP).multiply(BigDecimal.valueOf(100));
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List<RobotModel> robotModels = new LambdaQueryChainWrapper<>(robotModelMapper).between(RobotModel::getPercent, divide.subtract(new BigDecimal(0.5)), divide.add(new BigDecimal(0.5))).list();
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if (CollectionUtil.isEmpty(robotModels)) {
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throw new YamiShopBindException("没有满足条件的趋势图");
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}
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// 解析数据库满足条件涨幅的k线图数据
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// 随机获取一个，获取完整一天的分钟k线图
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RobotModel robotModel = robotModels.get(new Random().nextInt(robotModels.size()));
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List<Kline> randomKLine = parseHistoryKLine(robotModel);
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// 获取完整一天的k线图
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randomKLine.sort(Comparator.comparing(Kline::getTs));
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// 生成分钟图返回
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List<Kline> klines = accrodingSecOrign(klineConfigDTO, robotModel, randomKLine, 60);
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// printResult(klines);
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return new EtfKLine(robotModel.getUuid(),klines);
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}
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public List<Kline> generateSecKLine(KlineConfigDTO klineConfigDTO) {
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RobotModel robotModel = robotModelMapper.selectById(klineConfigDTO.getRobot_model_uuid());
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// 假图的分钟图
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List<Kline> klines = parseHistoryKLine(robotModel);
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// 生成分钟图
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List<Kline> minute = accrodingSecOrign(klineConfigDTO, robotModel, klines, 60);
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etfMinuteKLineService.saveBatch(etfMinuteKLineWrapper.toDTO(minute),500);
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saveRobotOrder(klineConfigDTO, minute);
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// 生成的秒图
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return getRecentWholwSecKline(klineConfigDTO.getSymbol(), minute);
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}
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private void saveRobotOrder(KlineConfigDTO klineConfigDTO, List<Kline> minute) {
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Random random = new Random();
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Item item = itemService.findBySymbol(klineConfigDTO.getSymbol());
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List<RobotOrder> robotOrders = new ArrayList<>(minute.size());
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for (Kline kline : minute) {
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RobotOrder robotOrder = new RobotOrder();
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robotOrder.setSymbol(klineConfigDTO.getSymbol());
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robotOrder.setPrice(NumberUtil.roundDown(randomDouble(kline.getHigh(), kline.getLow(),random),item.getDecimals()).doubleValue());
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// 设置订单状态挂单中
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robotOrder.setStatus(1);
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robotOrder.setOrderType(random.nextInt(2) + 1);
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robotOrder.setDirection(random.nextInt(2) + 1);
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robotOrder.setOrderQuantity(NumberUtil.roundDown(randomDouble(kline.getVolume(), kline.getVolume() * 0.8, random), item.getDecimals()).doubleValue());
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robotOrder.setTurnover(0d);
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robotOrder.setTs(kline.getTs());
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robotOrder.setUuid(UUID.randomUUID().toString().replaceAll("-", ""));
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robotOrder.setUid(UUID.randomUUID().toString().replaceAll("-", ""));
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robotOrders.add(robotOrder);
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}
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robotOrderService.saveBatch(robotOrders);
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}
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// 生成秒级的假图
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private List<Kline> accrodingSecOrign(KlineConfigDTO klineConfigDTO,RobotModel robotModel, List<Kline> originalSecKline, int sec) {
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Item item = itemService.findBySymbol(klineConfigDTO.getSymbol());
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double todayVolume = randomDouble(klineConfigDTO.getTurnoverHigh(), klineConfigDTO.getTurnoverLow(), new Random());
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// BigDecimal todayAmount = todayVolume.divide(klineConfigDTO.getOpenPrice().add(klineConfigDTO.getClosePrice()).divide(BigDecimal.valueOf(2)), item.getDecimals(), BigDecimal.ROUND_HALF_UP);
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double todayAmount = Arith.div(todayVolume,(klineConfigDTO.getOpenPrice() + klineConfigDTO.getClosePrice()) / 2, item.getDecimals());
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double totalVolume = originalSecKline.stream()
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.mapToDouble(klien -> klien.getVolume())
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.sum();
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Tuple startAndEnd = getStartAndEnd(klineConfigDTO.getOpenTimeTs());
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klineConfigDTO.setOpenTimeTs(startAndEnd.get(0));
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klineConfigDTO.setCloseTimeTs(startAndEnd.get(1));
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Kline finalSecondKline;
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double open = klineConfigDTO.getOpenPrice();
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double secHigh;
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double secLow;
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double secVolume;
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double secAmount;
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boolean isOver = false;
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List<Kline> finalResult = new ArrayList<>(originalSecKline.size());
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Random random = new Random();
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for (int i = 0; i < originalSecKline.size(); i++) {
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Kline kline = originalSecKline.get(i);
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finalSecondKline = new Kline();
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finalSecondKline.setTs(klineConfigDTO.getOpenTimeTs() + i * sec * 1000);
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finalSecondKline.setSymbol(item.getSymbol());
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// 设置开仓价
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finalSecondKline.setOpen(open);
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// 分钟级最高价 model.high / model.open * 分钟的open
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secHigh = NumberUtil.roundDown((kline.getHigh() / kline.getOpen()) * finalSecondKline.getOpen(), item.getDecimals()).doubleValue();
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// secHigh = NumberUtil.roundDown(Arith.div(kline.getHigh(), kline.getOpen()) * finalSecondKline.getOpen(), item.getDecimals()).doubleValue();
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// secHigh = kline.getHigh().divide(kline.getOpen(), 10, BigDecimal.ROUND_HALF_UP).multiply(finalSecondKline.getOpen()).setScale(item.getDecimals(), BigDecimal.ROUND_HALF_UP);
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finalSecondKline.setHigh(secHigh);
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// 分钟级最低价
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secLow = NumberUtil.roundDown((kline.getLow() / kline.getOpen()) * finalSecondKline.getOpen(), item.getDecimals()).doubleValue();
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// secLow = kline.getLow().divide(kline.getOpen(), 10, BigDecimal.ROUND_HALF_UP).multiply(finalSecondKline.getOpen()).setScale(item.getDecimals(), BigDecimal.ROUND_HALF_UP);
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finalSecondKline.setLow(secLow);
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// 分钟级成交量
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if (kline.getVolume() == 0) {
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secVolume = 0;
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} else {
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secVolume = NumberUtil.roundDown((kline.getVolume() / totalVolume) * todayVolume, item.getDecimals()).doubleValue();
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// secVolume = kline.getVolume().divide(BigDecimal.valueOf(totalVolume),10, BigDecimal.ROUND_HALF_UP).multiply(todayVolume).setScale(item.getDecimals(), BigDecimal.ROUND_HALF_UP);
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}
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finalSecondKline.setVolume(secVolume);
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if (kline.getAmount() == 0) {
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secAmount = 0;
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} else {
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// 分钟级成交手数
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secAmount = NumberUtil.roundDown((kline.getAmount() / robotModel.getAmount()) * todayAmount, item.getDecimals()).doubleValue();
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// secAmount = kline.getAmount().divide(BigDecimal.valueOf(robotModel.getAmount()),10, BigDecimal.ROUND_HALF_UP).multiply(todayAmount).setScale(item.getDecimals(), BigDecimal.ROUND_HALF_UP);
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}
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finalSecondKline.setAmount(secAmount);
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// 收盘价
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if (finalSecondKline.getTs() > klineConfigDTO.getCloseTimeTs() || i == originalSecKline.size() - 1) {
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finalSecondKline.setClose(BigDecimal.valueOf(klineConfigDTO.getClosePrice()).setScale(item.getDecimals(), BigDecimal.ROUND_HALF_UP).doubleValue());
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isOver = true;
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} else {
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double close = randomDouble(secHigh, secLow, random);
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finalSecondKline.setClose(BigDecimal.valueOf(close).setScale(item.getDecimals(), BigDecimal.ROUND_HALF_UP).doubleValue());
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}
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open = finalSecondKline.getClose();
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finalResult.add(finalSecondKline);
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if (isOver) {
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break;
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}
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}
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return finalResult;
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}
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@NotNull
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private List<Kline> getRecentWholwSecKline(String symbol, List<Kline> collect) {
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Item bySymbol = itemService.findBySymbol(symbol);
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List<Kline> originalSecKline = new ArrayList<>(collect.size());
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Kline originalSecondKline = null;
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Random random = new Random();
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for (Kline kline : collect) {
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// 将这一分钟成交量拆分成60份
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List<Double> volumes = splitData(kline.getVolume(), 60, 30);
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List<Double> amounts = splitData(kline.getAmount(), 60, 30);
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double open = originalSecondKline == null ? kline.getOpen() : originalSecondKline.getClose();
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for (int i = 0; i < 60; i++) {
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originalSecondKline = new Kline();
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originalSecondKline.setSymbol(symbol);
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originalSecondKline.setTs(kline.getTs() + i * 1000);
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originalSecondKline.setOpen(BigDecimal.valueOf(open).setScale(bySymbol.getDecimals(), BigDecimal.ROUND_HALF_UP).doubleValue());
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double close = 0;
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if (i == 59) {
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originalSecondKline.setClose(BigDecimal.valueOf(kline.getClose()).setScale(bySymbol.getDecimals(), BigDecimal.ROUND_HALF_UP).doubleValue());
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} else {
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close = randomDouble(kline.getOpen(), kline.getClose(), random);
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originalSecondKline.setClose(BigDecimal.valueOf(close).setScale(bySymbol.getDecimals(), BigDecimal.ROUND_HALF_UP).doubleValue());
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}
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double high = randomDouble(kline.getLow(), kline.getHigh(), random);
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originalSecondKline.setHigh(BigDecimal.valueOf(high).setScale(bySymbol.getDecimals(), BigDecimal.ROUND_HALF_UP).doubleValue());
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double low = randomDouble(kline.getLow(), originalSecondKline.getClose(), random);
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originalSecondKline.setLow(BigDecimal.valueOf(low).min(BigDecimal.valueOf(originalSecondKline.getOpen())).setScale(bySymbol.getDecimals(), BigDecimal.ROUND_HALF_UP).doubleValue());
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originalSecondKline.setVolume(BigDecimal.valueOf(volumes.get(i)).setScale(bySymbol.getDecimals(), BigDecimal.ROUND_HALF_UP).doubleValue());
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originalSecondKline.setAmount(BigDecimal.valueOf(amounts.get(i)).setScale(bySymbol.getDecimals(), BigDecimal.ROUND_HALF_UP).doubleValue());
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// 重新调整K线图数据
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adjustKline(originalSecondKline);
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// 重新打散
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while (originalSecondKline.getHigh() == originalSecondKline.getLow()) {
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// 收盘价在最高和最低之间 当最高价最低价相同时, close = random ( high * random(1,1.01) , low * random(1,1.01) )
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// 随机最高价 为当前分钟最高价的1.005倍
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// BigDecimal tempHigh = kline.getHigh().multiply(getRandomBigDecimal(1));
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double tempHigh = kline.getHigh() * getRandomBigDecimal(1).doubleValue();
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// 随机最低价 为当前分钟最低价的0.995倍
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// double tempLow = kline.getLow().multiply(getRandomBigDecimal(-1));
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double tempLow = kline.getLow() * getRandomBigDecimal(-1).doubleValue();
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originalSecondKline.setClose(BigDecimal.valueOf(randomDouble(tempHigh,tempLow, random)).setScale(bySymbol.getDecimals(), BigDecimal.ROUND_HALF_UP).doubleValue());
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// 最高价在收盘价和这一分钟的最高价之间
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originalSecondKline.setHigh(BigDecimal.valueOf(randomDouble(originalSecondKline.getClose(), kline.getHigh(), random)).setScale(bySymbol.getDecimals(), BigDecimal.ROUND_HALF_UP).doubleValue());
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// 最低价在收盘价和这一分钟的最低价之间
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originalSecondKline.setLow(BigDecimal.valueOf(randomDouble(kline.getLow(), originalSecondKline.getClose(), random)).setScale(bySymbol.getDecimals(), BigDecimal.ROUND_HALF_UP).doubleValue());
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adjustKline(originalSecondKline);
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}
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open = originalSecondKline.getClose();
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originalSecKline.add(originalSecondKline);
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}
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}
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return originalSecKline;
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}
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public static Kline adjustKline(Kline kline) {
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double[] values = {kline.getHigh(), kline.getOpen(), kline.getClose(), kline.getLow()};
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Arrays.sort(values);
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kline.setHigh(values[3]);
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kline.setLow(values[0]);
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return kline;
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}
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public static BigDecimal getRandomBigDecimal(int input) {
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BigDecimal lowerBound;
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BigDecimal upperBound;
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if (input == 1) {
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lowerBound = BigDecimal.ONE;
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upperBound = new BigDecimal("1.005");
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} else if (input == -1) {
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lowerBound = new BigDecimal("0.995");
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upperBound = BigDecimal.ONE;
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} else {
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throw new IllegalArgumentException("Invalid input value. Expected 1 or -1.");
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}
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BigDecimal range = upperBound.subtract(lowerBound);
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BigDecimal randomValue = range.multiply(BigDecimal.valueOf(Math.random())).add(lowerBound);
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return randomValue.setScale(3, RoundingMode.HALF_UP);
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}
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private void printResult(List<Kline> originalSecKline) {
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// 输出到echarts
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List<List<Object>> result = new ArrayList<>();
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List<String> time = new ArrayList<>();
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// 格式化时间
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SimpleDateFormat simpleDateFormat = new SimpleDateFormat("HH:mm:ss");
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for (Kline kline : originalSecKline) {
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List<Object> tmp = new ArrayList<>();
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time.add(simpleDateFormat.format(new Date(kline.getTs())));
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tmp.add(BigDecimal.valueOf(kline.getOpen()).setScale(5, BigDecimal.ROUND_HALF_UP));
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tmp.add(BigDecimal.valueOf(kline.getClose()).setScale(5, BigDecimal.ROUND_HALF_UP));
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tmp.add(BigDecimal.valueOf(kline.getLow()).setScale(5, BigDecimal.ROUND_HALF_UP));
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tmp.add(BigDecimal.valueOf(kline.getHigh()).setScale(5, BigDecimal.ROUND_HALF_UP));
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// tmp.add(kline.getVolume().setScale(5, BigDecimal.ROUND_HALF_UP));
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result.add(tmp);
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}
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System.err.println(JSON.toJSONString(time));
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System.err.println(JSON.toJSONString(result));
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}
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/**
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* 传入时间字符串获取当天第一个时间戳
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*/
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private Long getTodayFirstTimestamp(String time) {
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SimpleDateFormat dateFormat = new SimpleDateFormat("yyyy-MM-dd");
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Date date = null;
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try {
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date = dateFormat.parse(time);
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} catch (ParseException e) {
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e.printStackTrace();
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}
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Calendar calendar = Calendar.getInstance();
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calendar.setTime(date);
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calendar.set(Calendar.HOUR_OF_DAY, 0);
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calendar.set(Calendar.MINUTE, 0);
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calendar.set(Calendar.SECOND, 0);
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return calendar.getTimeInMillis();
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}
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/**
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* 传入时间字符串获取当天最后一个时间戳
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*/
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private Long getTodayLastTimestamp(String time) {
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SimpleDateFormat dateFormat = new SimpleDateFormat("yyyy-MM-dd");
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Date date = null;
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try {
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date = dateFormat.parse(time);
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} catch (ParseException e) {
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e.printStackTrace();
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}
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Calendar calendar = Calendar.getInstance();
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calendar.setTime(date);
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calendar.set(Calendar.HOUR_OF_DAY, 23);
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calendar.set(Calendar.MINUTE, 59);
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calendar.set(Calendar.SECOND, 59);
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return calendar.getTimeInMillis();
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}
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@NotNull
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private List<Kline> parseHistoryKLine(RobotModel robotModel) {
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JSONArray jsonArray = JSON.parseArray(robotModel.getKLineData());
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List<Kline> klines = new ArrayList<>(jsonArray.size());
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for (int i = 0; i < jsonArray.size(); i++) {
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JSONObject item = jsonArray.getJSONObject(i);
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Kline kline = new Kline();
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kline.setTs(item.getLong("ts"));
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kline.setVolume(item.getDouble("volume"));
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kline.setAmount(item.getDouble("amount"));
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kline.setOpen(item.getDouble("open"));
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kline.setHigh(item.getDouble("high"));
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kline.setLow(item.getDouble("low"));
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kline.setClose(item.getDouble("close"));
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klines.add(kline);
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}
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return klines;
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}
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public static double randomDouble(double a, double b, Random random) {
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double diff = b - a;
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double randNum = diff * random.nextDouble();
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return a + randNum;
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}
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public static List<Double> splitData(double data, int n, double maxDeviationPercent) {
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// 计算每份的理论平均值
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double avg = data / n;
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// 计算允许的最大偏差
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double maxDeviation = avg * maxDeviationPercent / 100;
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// 创建一个存储每份数据的列表
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List<Double> splits = new ArrayList<>();
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Random random = new Random();
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double remainingData = data;
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// 按照N-1份进行随机拆分
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for (int i = 0; i < n - 1; i++) {
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// 生成一个随机数，表示当前份数据的比例（0到1之间）
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double ratio = random.nextDouble();
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// 计算当前份数据的大小
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double currentSplit = avg + (ratio - 0.5) * 2 * maxDeviation;
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// 将当前份数据加入列表
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splits.add(currentSplit);
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// 更新剩余数据量
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remainingData -= currentSplit;
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}
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// 最后一份数据即为剩余数据量
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splits.add(remainingData);
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// 打乱列表中数据的顺序
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Collections.shuffle(splits);
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return splits;
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}
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private static BigDecimal getRandomBigDecimal(BigDecimal min, BigDecimal max, Random random) {
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double range = max.doubleValue() - (min.doubleValue());
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double randomValue = range * random.nextDouble();
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return BigDecimal.valueOf(min.doubleValue() + randomValue).setScale(min.scale(), BigDecimal.ROUND_HALF_UP);
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}
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/**
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* 查询秒级K线图
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*
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* @param symbol
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* @return
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*/
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public List<Kline> querySecKlineBySymbol(String symbol) {
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Tuple startAndEnd = getStartAndEnd();
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List<EtfSecKLine> list = etfSecKLineService.list(new QueryWrapper<EtfSecKLine>().eq("symbol", symbol).between("ts", startAndEnd.get(0), startAndEnd.get(1)).orderByAsc("ts"));
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return etfSecKLineWrapper.toEntity(list);
|
}
|
|
public Tuple getStartAndEnd() {
|
// 获取当前时间的时间戳（毫秒级）
|
long currentTimestamp = System.currentTimeMillis();
|
|
// 转换为ZonedDateTime对象，使用系统默认时区
|
ZonedDateTime currentDateTime = Instant.ofEpochMilli(currentTimestamp)
|
.atZone(ZoneId.systemDefault());
|
|
// 获取当天的21:30时间点
|
ZonedDateTime targetDateTime;
|
if (currentDateTime.getHour() >= 4 && currentDateTime.getHour() <= 23) {
|
// 当前时间在4点到21点之间，获取当天的21:30时间点
|
targetDateTime = currentDateTime.withHour(23).withMinute(59).withSecond(59).withNano(0);
|
} else {
|
// 当前时间在0点到4点之间，获取前一天的21:30时间点
|
targetDateTime = currentDateTime.minusDays(1).withHour(21).withMinute(30).withSecond(0).withNano(0);
|
}
|
|
|
// 获取第二天凌晨4点时间点
|
ZonedDateTime nextDayDateTime = targetDateTime.plusDays(1).withHour(4).withMinute(0);
|
// 转换为毫秒时间戳
|
long start = targetDateTime.toInstant().toEpochMilli();
|
long end = nextDayDateTime.toInstant().toEpochMilli();
|
return new Tuple(start, end);
|
}
|
|
|
public Tuple getStartAndEnd(long ts) {
|
// 转换为ZonedDateTime对象，使用系统默认时区
|
ZonedDateTime inputDateTime = Instant.ofEpochMilli(ts)
|
.atZone(ZoneId.systemDefault());
|
|
// 获取当天的21:30时间点
|
ZonedDateTime targetDateTime = inputDateTime.withHour(21).withMinute(30).withSecond(0).withNano(0);
|
|
// 获取第二天的4:00时间点
|
ZonedDateTime nextDayDateTime = targetDateTime.plusDays(1).withHour(4).withMinute(0);
|
|
// 转换为毫秒时间戳
|
long start = targetDateTime.toInstant().toEpochMilli();
|
long end = nextDayDateTime.toInstant().toEpochMilli();
|
|
return new Tuple(start, end);
|
}
|
|
|
|
/**
|
* 查询所有秒级K线图
|
*
|
* @param symbol
|
* @return
|
*/
|
public List<Kline> querySecKlineBySymbolAllData(String symbol) {
|
List<EtfSecKLine> list = etfSecKLineService.list(new QueryWrapper<EtfSecKLine>().eq("symbol", symbol).orderBy(true, true, "ts"));
|
return etfSecKLineWrapper.toEntity(list);
|
}
|
}
|
