完成_post_close的逻辑处理。

strategy/src/strategy.rs

@@ -10,7 +10,6 @@ use crate::params::Params;
 use crate::utils;
 use tracing::{info, trace, instrument, subscriber, debug, error};
 use tracing_subscriber;
-use tracing_subscriber::fmt::format;
 
 #[derive(Debug)]
 pub struct Strategy {
@@ -503,7 +502,147 @@ impl Strategy {
 
     // 平仓订单处理命令
     #[instrument(skip(self, command), level="TRACE")]
-    pub fn _post_close(&self, command: &OrderCommand) {
+    pub fn _post_close(&self, command: &mut OrderCommand) {
+        trace!(?command);
+
+        let mut pd_amount = dec!(0);
+        let mut pd_order_num = 0;
+        let mut pk_amount = dec!(0);
+        let mut pk_order_num = 0;
+        // 各类价格
+        let long_upper = self.close_dist[0];
+        let long_lower = self.close_dist[1];
+        let short_lower = self.close_dist[2];
+        let short_upper = self.close_dist[3];
+
+        // 获取当前挂单，如果超过挂单范围则取消当前平仓单
+        for order_client_id in self.local_orders.keys() {
+            let order = self.local_orders.get(order_client_id).unwrap();
+            let key = format!("Cancel{}", (*order_client_id).clone());
+            let value = vec![order.client_id.clone(), order.order_id.clone()];
+
+            if order.side == "pk".to_string() {
+                if order.price > long_upper || order.price < long_lower {
+                    command.cancel.insert(key.clone(), value.clone());
+                }
+
+                pk_amount += order.amount;
+                pk_order_num += 1;
+            }
+
+            if order.side == "pd".to_string() {
+                if order.price < short_lower || order.price > short_upper {
+                    command.cancel.insert(key.clone(), value.clone());
+                }
+
+                pd_amount += order.amount;
+                pd_order_num += 1;
+            }
+        }
+        trace!(?command);
+
+        // 判断是否需要全平
+        let is_need_cancel_all_close =
+            (pd_amount - self.pos.long_pos).abs() * self.mp > self._min_amount_value
+            || (pk_amount - self.pos.short_pos).abs() * self.mp > self._min_amount_value;
+        if is_need_cancel_all_close {
+            for order_client_id in self.local_orders.keys() {
+                let order = self.local_orders.get(order_client_id).unwrap();
+
+                if order.side == "pk".to_string() || order.side == "pd".to_string() {
+                    let key = format!("Cancel{}", (*order_client_id).clone());
+                    let value = vec![order.client_id.clone(), order.order_id.clone()];
+
+                    command.cancel.insert(key.clone(), value.clone());
+                }
+            }
+        }
+        trace!(?command);
+
+        // 区分现货和期货
+        if self.exchange.contains("spot") {
+            // 平多价值大于最小交易价值，执行平多逻辑
+            if self.pos.long_pos * self.mp > self._min_amount_value {
+                if pd_order_num == 0 {
+                    let mut price = (short_lower + short_upper) * dec!(0.5);
+                    price = utils::clip(price, self.bp * dec!(0.9995), self.ap * dec!(1.03));
+                    price = utils::fix_price(price, self.tick_size);
+                    let mut amount = self.pos.long_pos;
+                    amount = utils::fix_amount(amount, self.step_size);
+
+                    if amount * price > self._min_amount_value {
+                        let order_client_id = utils::generate_client_id(Some(self.broker_id.clone()));
+                        let order = vec![
+                            amount.to_string(),
+                            "pd".to_string(),
+                            price.to_string(),
+                            order_client_id.clone()
+                        ];
+                        command.limits_open.insert(order_client_id, order.clone());
+
+                        trace!(?command);
+                    }
+                }
+            }
+
+            // 平空价值大于最小交易价值，执行平空逻辑
+            if self.pos.short_pos > self._min_amount_value {
+                if pk_order_num == 0 {
+                    let mut price = (long_upper + long_lower) * dec!(0.5);
+                    price = utils::clip(price, self.bp * dec!(0.97), self.ap * dec!(1.0005));
+                    price = utils::fix_price(price, self.tick_size);
+                    let mut amount = self.pos.short_pos;
+                    amount = utils::fix_amount(amount, self.step_size);
+
+                    if amount * price > self._min_amount_value {
+                        let order_client_id = utils::generate_client_id(Some(self.broker_id.clone()));
+                        let order = vec![
+                            amount.to_string(),
+                            "pk".to_string(),
+                            price.to_string(),
+                            order_client_id.clone()
+                        ];
+                        command.limits_open.insert(order_client_id, order.clone());
+
+                        trace!(?command);
+                    }
+                }
+            }
+        } else {
+            if self.pos.long_pos > dec!(0) {
+                let mut price = (short_lower + short_upper) * dec!(0.5);
+                price = utils::clip(price, self.bp * dec!(0.9995), self.ap * dec!(1.03));
+                price = utils::fix_price(price, self.tick_size);
+
+                let order_client_id = utils::generate_client_id(Some(self.broker_id.clone()));
+                let order = vec![
+                    self.pos.long_pos.to_string(),
+                    "pd".to_string(),
+                    price.to_string(),
+                    order_client_id.clone()
+                ];
+
+                command.limits_open.insert(order_client_id, order.clone());
+
+                trace!(?command);
+            }
+
+            if self.pos.short_pos > dec!(0) {
+                let mut price = (long_upper + long_lower) * dec!(0.5);
+                price = utils::clip(price, self.bp * dec!(0.97), self.ap * dec!(1.0005));
+                price = utils::fix_price(price, self.tick_size);
+
+                let order_client_id = utils::generate_client_id(Some(self.broker_id.clone()));
+                let order = vec![
+                    self.pos.short_pos.to_string(),
+                    "pk".to_string(),
+                    price.to_string(),
+                    order_client_id.clone()
+                ];
+
+                trace!(?command);
+            }
+        }
     }
 
     // 生成取消订单的指令
@@ -590,7 +729,7 @@ impl Strategy {
         let mut short_free_value = self.max_short_value - self.short_hold_value - sell_value;
         trace!(?long_free_value, ?short_free_value);
         // 现货要特殊处理
-        if self.exchange.contains(&"spot") {
+        if self.exchange.contains("spot") {
             let coin_value = self.coin * self.mp * self.lever_rate * self.adjust_lever_rate;
             let cash_value = self.cash * self.lever_rate * self.adjust_lever_rate;
 
@@ -601,8 +740,10 @@ impl Strategy {
         let one_hand_long_value = dec!(0.99) * (self.max_long_value / self.grid);
         let one_hand_short_value = dec!(0.99) * (self.max_short_value / self.grid);
 
+        trace!(?self.post_side);
         // 挂多单
         if self.post_side >= 0 {
+            trace!(?buy_price_list);
             if buy_price_list.len() == 0 {
                 let mut target_buy_price = (long_upper + long_lower) * dec!(0.5);
                 target_buy_price = utils::clip(target_buy_price, self.bp * dec!(0.97), self.ap * dec!(1.0005));
@@ -631,6 +772,7 @@ impl Strategy {
         }
         // 挂空单
         if self.post_side <= 0 {
+            trace!(?sell_price_list);
             if sell_price_list.len() == 0 {
                 let mut target_sell_price = (short_lower + short_upper) * dec!(0.5);
                 target_sell_price = utils::clip(target_sell_price, self.bp * dec!(0.9995), self.ap * dec!(1.03));
@@ -703,7 +845,6 @@ impl Strategy {
         // 下单指令处理逻辑
         self._cancel_open(&mut command);                    // 撤单命令处理
         self._post_open(&mut command);                      // 限价单命令处理
-        // TODO 平仓单处理命令
         self._post_close(&mut command);                     // 平仓单命令处理
         self._check_local_orders(&mut command);             // 固定时间检查超时订单
         self._update_in_cancel(&mut command);               // 更新撤单队列，是一个filter
@@ -734,7 +875,7 @@ mod tests {
         trader_msg.orders.insert("0001".to_string(), OrderInfo{
             symbol: "".to_string(),
             amount: Default::default(),
-            side: "kk".to_string(),
+            side: "pd".to_string(),
             price: dec!(10),
             client_id: "0001".to_string(),
             filled_price: Default::default(),