feat: 实际成交价追踪 + reduceOnly保护 + 数据库增强
- Bitget GetTradeFee 返回实际成交均价(weighted avg fill price)及手续费, 支持最多5次重试 - HyperLiquid ParseFillFromResponse 提取订单成交均价, 新增 GetSize/GetBalance 方法 - 开仓/加仓/平仓均从交易所获取实际成交价替代WS估算价 - HL 平仓使用 reduceOnly 防止反向开仓 - 所有 OrderID 保存到数据库 orders 表 - 加仓零成交检测及实际手续费获取 - PnL 计算修正为按USD计算手续费 - 新增 GetAllClosedTrades / GetClosedStats 数据库查询 - 服务器重启 restore 未完成交易修复(DBTradeID 缺失) - 黑名单强平添加 USD PnL/手续费预计算 Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
This commit is contained in:
jackyu66git
co-authored by
Claude Opus 4.7
Claude Opus 4.7
parent
c0cafb0400
commit
f97ac16b1c
+81
-32
@@ -48,7 +48,7 @@ func (b *BitgetTrade) PlaceMarketOrder(side, symbol, size, tradeSide, holdSide s
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"tradeSide": tradeSide,
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"size": size,
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}
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// When closing, Bitget requires holdSide to identify which position to close
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// Close orders require holdSide to identify which position to close
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if tradeSide == "close" && holdSide != "" {
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body["holdSide"] = holdSide
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}
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@@ -85,21 +85,84 @@ func (b *BitgetTrade) PlaceMarketOrder(side, symbol, size, tradeSide, holdSide s
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}
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return result.Data.OrderID, nil
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}
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// GetTradeFee queries the fills endpoint for actual fee charged.
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// Waits 1s before querying because Bitget's fills API may lag behind
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// the place-order response. Returns 0 if no fills yet (caller uses
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// estimated fee from config as fallback).
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func (b *BitgetTrade) GetTradeFee(symbol, orderID string) (feeUSD float64, err error) {
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time.Sleep(1 * time.Second)
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// GetTradeFee queries the fills endpoint for actual fee charged and average fill price.
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// Retries up to 5 times with 500ms intervals because Bitget's fills API may lag.
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// Returns (average fill price, fee in USD, error). avgPrice=0 on any fills issue.
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func (b *BitgetTrade) GetTradeFee(symbol, orderID string) (avgPrice, feeUSD float64, err error) {
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for i := 0; i < 5; i++ {
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if i > 0 {
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time.Sleep(500 * time.Millisecond)
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}
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ts := fmt.Sprintf("%d", time.Now().UnixMilli())
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method := "GET"
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requestPath := "/api/v2/mix/order/fills?symbol=" + symbol + "&orderId=" + orderID + "&productType=USDT-FUTURES"
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host := "https://api.bitget.com"
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sign := b.sign(method, requestPath, ts, "")
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url := host + requestPath
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req, _ := http.NewRequest(method, url, nil)
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req.Header.Set("Content-Type", "application/json")
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req.Header.Set("ACCESS-KEY", b.APIKey)
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req.Header.Set("ACCESS-SIGN", sign)
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req.Header.Set("ACCESS-TIMESTAMP", ts)
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req.Header.Set("ACCESS-PASSPHRASE", b.Passphrase)
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resp, err := b.client.Do(req)
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if err != nil {
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return 0, 0, fmt.Errorf("http: %w", err)
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}
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respBody, _ := io.ReadAll(resp.Body)
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resp.Body.Close()
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var raw struct {
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Code string `json:"code"`
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Msg string `json:"msg"`
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Data struct {
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FillList []json.RawMessage `json:"fillList"`
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} `json:"data"`
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}
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if err := json.Unmarshal(respBody, &raw); err != nil {
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return 0, 0, fmt.Errorf("parse: %s", string(respBody))
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}
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if raw.Code != "00000" {
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return 0, 0, fmt.Errorf("bitget error: %s - %s", raw.Code, raw.Msg)
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}
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var totalFee, totalQty, totalCost float64
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for _, item := range raw.Data.FillList {
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var fill struct {
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FillPrice string `json:"fillPrice"`
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FillSize string `json:"fillBaseSize"`
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FillFee string `json:"fillFee"`
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}
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if err := json.Unmarshal(item, &fill); err != nil {
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continue
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}
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f, _ := strconv.ParseFloat(fill.FillFee, 64)
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p, _ := strconv.ParseFloat(fill.FillPrice, 64)
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q, _ := strconv.ParseFloat(fill.FillSize, 64)
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totalFee += math.Abs(f)
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totalCost += p * q
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totalQty += q
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}
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if totalQty > 0 {
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return totalCost / totalQty, totalFee, nil
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}
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}
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return 0, 0, fmt.Errorf("no fill data after 5 attempts")
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}
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// CheckPosition returns the available position size for a coin, or 0 if no position.
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// Returns (total as float64, raw total string from API) — the raw string can be used
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// for close orders to ensure correct precision.
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func (b *BitgetTrade) CheckPosition(symbol string) (float64, string) {
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ts := fmt.Sprintf("%d", time.Now().UnixMilli())
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method := "GET"
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requestPath := "/api/v2/mix/order/fills?symbol=" + symbol + "&orderId=" + orderID + "&productType=USDT-FUTURES"
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requestPath := "/api/v2/mix/position/single-position?symbol=" + symbol + "&productType=USDT-FUTURES&marginCoin=USDT"
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host := "https://api.bitget.com"
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sign := b.sign(method, requestPath, ts, "")
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url := host + requestPath
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req, _ := http.NewRequest(method, url, nil)
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req.Header.Set("Content-Type", "application/json")
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req.Header.Set("ACCESS-KEY", b.APIKey)
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req.Header.Set("ACCESS-SIGN", sign)
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req.Header.Set("ACCESS-TIMESTAMP", ts)
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@@ -107,37 +170,23 @@ func (b *BitgetTrade) GetTradeFee(symbol, orderID string) (feeUSD float64, err e
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resp, err := b.client.Do(req)
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if err != nil {
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return 0, fmt.Errorf("http: %w", err)
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return 0, ""
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}
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defer resp.Body.Close()
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respBody, _ := io.ReadAll(resp.Body)
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var raw struct {
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Code string `json:"code"`
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Msg string `json:"msg"`
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Data struct {
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FillList []json.RawMessage `json:"fillList"`
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Data []struct {
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Total string `json:"total"`
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} `json:"data"`
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}
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if err := json.Unmarshal(respBody, &raw); err != nil {
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return 0, fmt.Errorf("parse: %s", string(respBody))
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json.Unmarshal(respBody, &raw)
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if raw.Code != "00000" || len(raw.Data) == 0 {
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return 0, ""
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}
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if raw.Code != "00000" {
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return 0, fmt.Errorf("bitget error: %s - %s", raw.Code, raw.Msg)
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}
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var totalFee float64
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for _, item := range raw.Data.FillList {
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var fill struct {
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FillFee string `json:"fillFee"`
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}
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if err := json.Unmarshal(item, &fill); err != nil {
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continue
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}
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f, _ := strconv.ParseFloat(fill.FillFee, 64)
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totalFee += math.Abs(f)
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}
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return totalFee, nil
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total, _ := strconv.ParseFloat(raw.Data[0].Total, 64)
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return total, raw.Data[0].Total
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}
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func (b *BitgetTrade) sign(method, requestPath, timestamp, body string) string {
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@@ -168,32 +168,77 @@ func (h *HyperLiquidTrade) PlaceMarketOrder(coin, side, sz string) (string, erro
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return string(respJSON), nil
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}
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// PlaceMarketCloseOrder closes a position on HL with reduceOnly protection.
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// Uses the SDK's MarketClose which sets ReduceOnly=true to prevent accidental reversals.
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// sz is the size string (same format as PlaceMarketOrder). Pass "0" or "" to close full position.
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func (h *HyperLiquidTrade) PlaceMarketCloseOrder(coin, sz string) (string, error) {
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if !h.configured {
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return "", fmt.Errorf("HL not configured")
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}
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if err := h.initExchange(); err != nil {
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return "", fmt.Errorf("init: %w", err)
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}
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var size *float64
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if f, err := strconv.ParseFloat(sz, 64); err == nil && f > 0 {
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size = &f
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}
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ctx, cancel := context.WithTimeout(context.Background(), 10*time.Second)
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defer cancel()
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log.Printf("[Order] HL MarketClose | coin=%s size=%v reduceOnly=true slippage=0.05", coin, size)
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result, err := h.exchange.MarketClose(ctx, coin, size, nil, 0.05, nil, nil)
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if err != nil {
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return "", fmt.Errorf("market close: %w", err)
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}
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respJSON, _ := json.Marshal(result)
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return string(respJSON), nil
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}
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// EstimateFeeFromResponse calculates the fee using the response's filled size × price
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// × configured taker rate. This is NOT an actual fee from HL — HL does not return
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// fee amounts in the order response. The result is equivalent to estimating from
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// TradeAmountUSD, but more accurate for partial fills since it uses actual filled sz/px.
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func (h *HyperLiquidTrade) EstimateFeeFromResponse(orderResponseJSON string, takerFeePct float64) (feeUSD float64, err error) {
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// HL MarketOpen returns a single OrderStatus object (NOT wrapped in statuses array):
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// {"resting":..., "filled":{"totalSz":"82.5","avgPx":"0.12153","oid":52463955193}, "error":...}
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var resp struct {
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Resting *json.RawMessage `json:"resting,omitempty"`
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Filled *struct {
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Filled *struct {
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TotalSz string `json:"totalSz"`
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AvgPx string `json:"avgPx"`
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} `json:"filled,omitempty"`
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}
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if err := json.Unmarshal([]byte(orderResponseJSON), &resp); err != nil || resp.Filled == nil {
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return 0, fmt.Errorf("no filled data in response")
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}
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sz, _ := strconv.ParseFloat(resp.Filled.TotalSz, 64)
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px, _ := strconv.ParseFloat(resp.Filled.AvgPx, 64)
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if sz > 0 && px > 0 {
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return sz * px * takerFeePct / 100, nil
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}
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return 0, fmt.Errorf("no filled status in response")
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}
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// ParseFillFromResponse extracts the average fill price and total filled size
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// from an HL MarketOpen/MarketClose response. Returns (avgFillPrice, filledSize, error).
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func (h *HyperLiquidTrade) ParseFillFromResponse(orderResponseJSON string) (avgPrice, filledSize float64, err error) {
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var resp struct {
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Filled *struct {
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TotalSz string `json:"totalSz"`
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AvgPx string `json:"avgPx"`
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} `json:"filled,omitempty"`
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Error *string `json:"error,omitempty"`
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}
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if err := json.Unmarshal([]byte(orderResponseJSON), &resp); err != nil {
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return 0, fmt.Errorf("parse: %w", err)
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return 0, 0, fmt.Errorf("parse: %w", err)
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}
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if resp.Filled != nil {
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sz, _ := strconv.ParseFloat(resp.Filled.TotalSz, 64)
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px, _ := strconv.ParseFloat(resp.Filled.AvgPx, 64)
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if sz > 0 && px > 0 {
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return sz * px * takerFeePct / 100, nil
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return px, sz, nil
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}
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}
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return 0, fmt.Errorf("no filled status in response")
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return 0, 0, fmt.Errorf("no filled data in response")
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}
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func (h *HyperLiquidTrade) GetBalance() (float64, error) {
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