package com.xcong.excoin.modules.gateApi;
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import io.gate.gateapi.ApiClient;
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import io.gate.gateapi.ApiException;
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import io.gate.gateapi.GateApiException;
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import io.gate.gateapi.api.AccountApi;
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import io.gate.gateapi.api.FuturesApi;
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import io.gate.gateapi.models.*;
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import lombok.extern.slf4j.Slf4j;
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import java.io.IOException;
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import java.math.BigDecimal;
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import java.math.RoundingMode;
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import java.util.ArrayList;
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import java.util.Collections;
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import java.util.List;
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import com.xcong.excoin.modules.gateApi.wsHandler.handler.CandlestickChannelHandler;
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import com.xcong.excoin.modules.gateApi.wsHandler.handler.PositionClosesChannelHandler;
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import com.xcong.excoin.modules.gateApi.wsHandler.handler.PositionsChannelHandler;
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/**
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* Gate 网格交易服务 — 策略核心。
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*
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* <h3>策略</h3>
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* 多空双开基底 → 生成价格网格队列 → K线触达网格线 → 开仓+设止盈 → 队列动态转移。
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* 每根 K 线更新 {@code unrealizedPnl}（浮动盈亏），平仓后累加到 {@code cumulativePnl}（已实现盈亏）。
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*
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* <h3>未实现盈亏公式（正向合约）</h3>
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* <pre>
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* 多仓: 持仓量 × 合约乘数 × (计价价格 − 开仓均价)
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* 空仓: 持仓量 × 合约乘数 × (开仓均价 − 计价价格)
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* </pre>
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* 计价价格支持切换：{@link GateConfig.PnLPriceMode#LAST_PRICE 最新成交价} 或
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* {@link GateConfig.PnLPriceMode#MARK_PRICE 标记价格}（通过 {@link #setMarkPrice(BigDecimal)} 注入）。
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* 入场价和持仓量由 {@link #onPositionUpdate(String, Position.ModeEnum, BigDecimal, BigDecimal)} 实时更新。
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*
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* <h3>状态机</h3>
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* <pre>
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* WAITING_KLINE → (首K线) → 异步双开基底
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*
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* 仓位推送(dual_long/dual_short) → 基底成交 → 记录入场价 → 双基底都成交 → 生成队列 → ACTIVE
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*
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* ACTIVE:
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* ├─ 每根K线 → 更新 unrealizedPnl + processShortGrid + processLongGrid
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* │ ├─ 当前价 < 空仓队列元素 → 匹配 → 开空 + 以多仓队列首元素为种子生成新元素加入多仓队列
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* │ └─ 当前价 > 多仓队列元素 → 匹配 → 开多 + 以空仓队列首元素为种子生成新元素加入空仓队列
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* ├─ 仓位推送(非基底) → 设止盈条件单 entry × (1±gridRate)，使用 plan-close-*-position
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* ├─ 保证金≥初始本金 marginRatioLimit → 跳过开仓，队列照常更新
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* ├─ 额外反向开仓：触发价夹在多/空持仓均价之间且多持仓均价>空持仓均价时，额外反向开仓一次
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* └─ cumulativePnl ≥ overallTp 或 ≤ -maxLoss → STOPPED
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* </pre>
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*
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* <h3>队列转移规则</h3>
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* 触发后不再简单复制 matched 元素到对方队列，而是以对方队列首元素为种子，生成新元素：
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* <ul>
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* <li>空仓队列触发 → 多仓队列新增：以多仓队列首元素（最小价）为基准，生成递减元素</li>
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* <li>多仓队列触发 → 空仓队列新增：以空仓队列首元素（最高价）为基准，生成递增元素</li>
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* </ul>
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*
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* <h3>贴近持仓均价过滤</h3>
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* 转移生成新元素时，若新元素与对应方向持仓均价的差距小于 gridRate，则跳过该元素，
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* 避免在持仓成本附近生成无效网格线。
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*
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* <h3>额外反向开仓条件</h3>
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* 当触发价在空仓均价和回撤后的多仓均价之间（即多>空且价格夹在中间），额外反向开仓一次：
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* <ul>
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* <li>空仓队列触发 → 额外开多：需满足 shortEntryPrice < currentPrice < longEntryPrice × (1 − gridRate)</li>
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* <li>多仓队列触发 → 额外开空：需满足 shortEntryPrice × (1 + gridRate) < currentPrice < longEntryPrice</li>
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* </ul>
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*
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* <h3>止盈条件单</h3>
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* 使用 Gate API 的 plan-close-long-position / plan-close-short-position（仓位计划止盈止损），
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* 支持指定张数部分平仓。每次网格触发开仓 quantity 张，只为该批张数创建独立条件单，互不覆盖。
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*
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* @author Administrator
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*/
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@Slf4j
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public class GateGridTradeService {
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public enum StrategyState {
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WAITING_KLINE, OPENING, ACTIVE, STOPPED
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}
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/**
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* 止盈条件单 order_type：仓位计划止盈止损 — 平多仓（支持部分平仓，size<0）。
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* 注意：不能用 close-long-position（仅支持全平且双仓需 auto_size），
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* 必须用 plan-close-long-position 以支持指定张数部分平仓。
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*/
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private static final String ORDER_TYPE_CLOSE_LONG = "plan-close-long-position";
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/**
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* 止盈条件单 order_type：仓位计划止盈止损 — 平空仓（支持部分平仓，size>0）。
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* 注意：不能用 close-short-position（仅支持全平且双仓需 auto_size），
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* 必须用 plan-close-short-position 以支持指定张数部分平仓。
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*/
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private static final String ORDER_TYPE_CLOSE_SHORT = "plan-close-short-position";
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private final GateConfig config;
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private final GateTradeExecutor executor;
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private final FuturesApi futuresApi;
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private static final String SETTLE = "usdt";
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private volatile StrategyState state = StrategyState.WAITING_KLINE;
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/** 空仓价格队列，降序排列（大→小），容量 gridQueueSize */
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private final List<BigDecimal> shortPriceQueue = Collections.synchronizedList(new ArrayList<>());
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/** 多仓价格队列，升序排列（小→大），容量 gridQueueSize */
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private final List<BigDecimal> longPriceQueue = Collections.synchronizedList(new ArrayList<>());
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/** 多仓止盈队列，升序排列（小→大），仓位推送时消费 */
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private final List<BigDecimal> longTakeProfitQueue = Collections.synchronizedList(new ArrayList<>());
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/** 空仓止盈队列，降序排列（大→小），仓位推送时消费 */
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private final List<BigDecimal> shortTakeProfitQueue = Collections.synchronizedList(new ArrayList<>());
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/** 当前多仓条件单 ID 集合，用于取消旧单 */
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private final List<String> currentLongOrderIds = Collections.synchronizedList(new ArrayList<>());
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/** 当前空仓条件单 ID 集合，用于取消旧单 */
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private final List<String> currentShortOrderIds = Collections.synchronizedList(new ArrayList<>());
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/** 基底空头入场价 */
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private BigDecimal shortBaseEntryPrice;
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/** 基底多头入场价 */
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private BigDecimal longBaseEntryPrice;
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/** 基底多头是否已开 */
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private volatile boolean baseLongOpened = false;
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/** 基底空头是否已开 */
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private volatile boolean baseShortOpened = false;
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/** 空头是否活跃（有仓位） */
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private volatile boolean shortActive = false;
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/** 多头是否活跃（有仓位） */
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private volatile boolean longActive = false;
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private volatile BigDecimal lastKlinePrice;
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private volatile BigDecimal markPrice = BigDecimal.ZERO;
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private volatile BigDecimal cumulativePnl = BigDecimal.ZERO;
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private volatile BigDecimal unrealizedPnl = BigDecimal.ZERO;
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private volatile BigDecimal longEntryPrice = BigDecimal.ZERO;
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private volatile BigDecimal shortEntryPrice = BigDecimal.ZERO;
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private volatile BigDecimal longPositionSize = BigDecimal.ZERO;
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private volatile BigDecimal shortPositionSize = BigDecimal.ZERO;
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private Long userId;
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private volatile BigDecimal initialPrincipal = BigDecimal.ZERO;
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public GateGridTradeService(GateConfig config) {
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this.config = config;
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ApiClient apiClient = new ApiClient();
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apiClient.setBasePath(config.getRestBasePath());
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apiClient.setApiKeySecret(config.getApiKey(), config.getApiSecret());
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this.futuresApi = new FuturesApi(apiClient);
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this.executor = new GateTradeExecutor(apiClient, config.getContract());
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}
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// ---- 初始化 ----
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/**
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* 初始化策略环境。
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*
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* <h3>执行顺序</h3>
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* <ol>
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* <li>获取用户 ID（用于私有频道订阅 payload）</li>
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* <li>获取账户信息 → 记录初始本金</li>
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* <li>如需要，切换为双向持仓模式</li>
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* <li>如需要，调整持仓模式（single/dual）</li>
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* <li>清除旧的止盈止损条件单</li>
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* <li>平掉所有已有仓位</li>
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* <li>设置杠杆倍数</li>
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* </ol>
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*/
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public void init() {
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try {
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ApiClient detailClient = new ApiClient();
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detailClient.setBasePath(config.getRestBasePath());
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detailClient.setApiKeySecret(config.getApiKey(), config.getApiSecret());
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AccountDetail detail = new AccountApi(detailClient).getAccountDetail();
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this.userId = detail.getUserId();
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log.info("[Gate] 用户ID: {}", userId);
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FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
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this.initialPrincipal = new BigDecimal(account.getTotal());
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log.info("[Gate] 初始本金: {} USDT", initialPrincipal);
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futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
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log.info("[Gate] 旧条件单已清除");
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closeExistingPositions();
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//设置持仓模式为双向持仓
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Boolean inDualMode = account.getInDualMode();
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if (!inDualMode) {
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try {
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futuresApi.setDualModeCall(SETTLE,true,null).execute();
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} catch (IOException e) {
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e.printStackTrace();
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}
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}
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try {
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futuresApi.updateDualModePositionLeverageCall(
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SETTLE, config.getContract(), config.getLeverage(),
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null, null).execute();
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} catch (IOException e) {
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e.printStackTrace();
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}
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if (!config.getMarginMode().equals(account.getMarginMode())) {
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UpdateDualCompPositionCrossModeRequest updateDualCompPositionCrossModeRequest = new UpdateDualCompPositionCrossModeRequest();
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updateDualCompPositionCrossModeRequest.setMode(config.getMarginMode());
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updateDualCompPositionCrossModeRequest.setContract(config.getContract());
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try {
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futuresApi.updateDualCompPositionCrossModeCall(SETTLE, updateDualCompPositionCrossModeRequest, null).execute();
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} catch (IOException e) {
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e.printStackTrace();
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}
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}
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log.info("[Gate] 持仓模式: {} 余额: {}", config.getPositionMode(), account.getAvailable());
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log.info("[Gate] 杠杆: {}x {}", config.getLeverage(), config.getMarginMode());
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} catch (GateApiException e) {
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log.error("[Gate] 初始化失败, label:{}, msg:{}", e.getErrorLabel(), e.getMessage());
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} catch (ApiException e) {
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log.error("[Gate] 初始化失败, code:{}", e.getCode());
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}
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}
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/**
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* 平掉当前合约的所有已有仓位。
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*
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* <h3>平仓策略</h3>
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* <ul>
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* <li>单向持仓：size=相反数，reduceOnly=true，市价 IOC 平仓</li>
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* <li>双向持仓：size=0，close=false，autoSize=LONG/SHORT，reduceOnly=true，市价 IOC 全平</li>
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* </ul>
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*
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* <h3>注意事项</h3>
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* 双向持仓模式下必须使用 autoSize 参数，不能直接传负数 size，
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* 否则 Gate API 会拒绝（双向模式下空头 size 为负是正常的持仓方向）。
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*/
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private void closeExistingPositions() {
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try {
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List<Position> positions = futuresApi.listPositions(SETTLE).execute();
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if (positions == null || positions.isEmpty()) { log.info("[Gate] 无已有仓位"); return; }
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for (Position pos : positions) {
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if (!config.getContract().equals(pos.getContract())) {
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continue;
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}
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String sizeStr = pos.getSize();
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long size = Long.parseLong(sizeStr);
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if (size == 0) {
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continue;
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}
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String closeSize = size > 0 ? String.valueOf(-size) : String.valueOf(Math.abs(size));
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Position.ModeEnum mode = pos.getMode();
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FuturesOrder closeOrder = new FuturesOrder();
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closeOrder.setContract(config.getContract());
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closeOrder.setPrice("0");
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closeOrder.setTif(FuturesOrder.TifEnum.IOC);
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closeOrder.setReduceOnly(true);
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if (mode != null && mode.getValue() != null && mode.getValue().contains("dual")) {
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closeOrder.setSize("0");
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closeOrder.setClose(false);
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closeOrder.setAutoSize(size > 0 ? FuturesOrder.AutoSizeEnum.LONG : FuturesOrder.AutoSizeEnum.SHORT);
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} else {
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closeOrder.setSize(closeSize);
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}
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closeOrder.setText("t-grid-init-close");
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futuresApi.createFuturesOrder(SETTLE, closeOrder, null);
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log.info("[Gate] 平已有仓位, 方向:{}, size:{}, mode:{}", size > 0 ? "多" : "空", sizeStr, mode);
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}
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} catch (GateApiException e) {
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log.warn("[Gate] 平仓位失败, label:{}, msg:{}", e.getErrorLabel(), e.getMessage());
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} catch (Exception e) {
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log.warn("[Gate] 平仓位异常", e);
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}
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}
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// ---- 启动/停止 ----
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/**
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* 启动网格策略。重置所有状态变量和队列，进入 WAITING_KLINE 等待首根 K 线。
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* 仅当当前状态为 WAITING_KLINE 或 STOPPED 时才允许启动。
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*/
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public void startGrid() {
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if (state != StrategyState.WAITING_KLINE && state != StrategyState.STOPPED) {
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log.warn("[Gate] 策略已在运行中, state:{}", state);
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return;
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}
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state = StrategyState.WAITING_KLINE;
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cumulativePnl = BigDecimal.ZERO;
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unrealizedPnl = BigDecimal.ZERO;
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markPrice = BigDecimal.ZERO;
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longEntryPrice = BigDecimal.ZERO;
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shortEntryPrice = BigDecimal.ZERO;
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longPositionSize = BigDecimal.ZERO;
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shortPositionSize = BigDecimal.ZERO;
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baseLongOpened = false;
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baseShortOpened = false;
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longActive = false;
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shortActive = false;
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shortPriceQueue.clear();
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longPriceQueue.clear();
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longTakeProfitQueue.clear();
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shortTakeProfitQueue.clear();
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currentLongOrderIds.clear();
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currentShortOrderIds.clear();
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log.info("[Gate] 网格策略已启动");
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}
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/**
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* 停止网格策略。取消所有条件单 → 关闭交易线程池。
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* 状态设为 STOPPED，K 线回调将直接返回不再处理。
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*/
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public void stopGrid() {
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state = StrategyState.STOPPED;
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executor.cancelAllPriceTriggeredOrders();
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executor.shutdown();
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log.info("[Gate] 策略已停止, 累计盈亏: {}", cumulativePnl);
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}
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// ---- K线回调 ----
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/**
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* K 线回调入口。由 {@link CandlestickChannelHandler} 在收到 WebSocket K 线推送时调用。
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*
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* <h3>处理流程</h3>
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* <ol>
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* <li>更新 lastKlinePrice → 计算 unrealizedPnl（浮动盈亏）</li>
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* <li>STOPPED → 直接返回（仅保留盈亏更新）</li>
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* <li>WAITING_KLINE → 切换为 OPENING → 异步提交基底双开（开多+开空）</li>
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* <li>OPENING → 等待仓位推送回调生成队列，此处返回</li>
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* <li>ACTIVE → 执行 processShortGrid + processLongGrid</li>
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* </ol>
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*
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* <h3>注意</h3>
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* 基底双开下单提交到 GateTradeExecutor 的独立线程池中异步执行，
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* 成交状态由 onPositionUpdate 回调驱动，不阻塞 WS 回调线程。
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*
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* @param closePrice K 线收盘价（即当前最新成交价）
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*/
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public void onKline(BigDecimal closePrice) {
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lastKlinePrice = closePrice;
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updateUnrealizedPnl();
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if (state == StrategyState.STOPPED) {
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return;
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}
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if (state == StrategyState.WAITING_KLINE) {
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state = StrategyState.OPENING;
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log.info("[Gate] 首根K线到达，开基底仓位...");
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executor.openLong(config.getQuantity(), () -> {
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log.info("[Gate] 基底多单已提交");
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}, null);
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executor.openShort(negate(config.getQuantity()), () -> {
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log.info("[Gate] 基底空单已提交");
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}, null);
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return;
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}
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if (state != StrategyState.ACTIVE) {
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return;
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}
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if (!longPriceQueue.isEmpty() && closePrice.compareTo(longPriceQueue.get(0)) > 0) {
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processLongGrid(closePrice);
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} else if (!shortPriceQueue.isEmpty() && closePrice.compareTo(shortPriceQueue.get(0)) < 0) {
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processShortGrid(closePrice);
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}
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}
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// ---- 仓位推送回调 ----
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/**
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* 仓位推送回调。由 {@link PositionsChannelHandler} 在收到 WebSocket 仓位更新时调用。
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*
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* <h3>处理逻辑</h3>
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* <ul>
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* <li><b>有仓位 (size ≠ 0)</b>：
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* <ul>
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* <li>首次开仓（基底）：标记 baseOpened=true，记录基底入场价，双基底都成交后生成网格队列</li>
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* <li>仓位净增加（size > 之前记录值）：说明网格触发了新开仓 → 取对应方向队列首元素为止盈价，设止盈条件单</li>
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* <li>仓位减少或不变（止盈平仓后）：仅更新 positionSize，不重复设止盈</li>
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* </ul>
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* </li>
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* <li><b>无仓位 (size = 0)</b>：清空活跃标记和持仓量</li>
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* </ul>
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*
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* @param contract 合约名称
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* @param mode 持仓模式（DUAL_LONG / DUAL_SHORT）
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* @param size 持仓张数（多头为正、空头为负）
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* @param entryPrice 当前持仓加权均价（交易所计算）
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*/
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public void onPositionUpdate(String contract, Position.ModeEnum mode, BigDecimal size,
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BigDecimal entryPrice) {
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if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) {
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return;
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}
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boolean hasPosition = size.abs().compareTo(BigDecimal.ZERO) > 0;
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if (Position.ModeEnum.DUAL_LONG == mode) {
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if (hasPosition) {
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longActive = true;
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longEntryPrice = entryPrice;
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if (!baseLongOpened) {
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longPositionSize = size;
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longBaseEntryPrice = entryPrice;
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baseLongOpened = true;
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log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice);
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tryGenerateQueues();
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} else if (size.compareTo(longPositionSize) > 0) {
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BigDecimal unitQty = new BigDecimal(config.getQuantity());
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long prevUnits = longPositionSize.divide(unitQty, 0, RoundingMode.DOWN).longValue();
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longPositionSize = size;
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long nowUnits = size.divide(unitQty, 0, RoundingMode.DOWN).longValue();
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long newUnits = nowUnits - prevUnits;
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for (int i = 0; i < newUnits; i++) {
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BigDecimal tpPrice;
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if (!longTakeProfitQueue.isEmpty()) {
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tpPrice = longTakeProfitQueue.remove(0);
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} else {
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tpPrice = longEntryPrice.add(config.getStep()).setScale(1, RoundingMode.HALF_UP);
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log.warn("[Gate] 多止盈队列为空, 兜底止盈价:{}", tpPrice);
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}
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executor.placeTakeProfit(tpPrice,
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FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, negate(config.getQuantity()));
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log.info("[Gate] 多单止盈已设, tp:{}, size:{}", tpPrice, negate(config.getQuantity()));
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}
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} else {
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longPositionSize = size;
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}
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} else {
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longActive = false;
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longPositionSize = BigDecimal.ZERO;
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}
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} else if (Position.ModeEnum.DUAL_SHORT == mode) {
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if (hasPosition) {
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shortActive = true;
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shortEntryPrice = entryPrice;
|
if (!baseShortOpened) {
|
shortPositionSize = size.abs();
|
shortBaseEntryPrice = entryPrice;
|
baseShortOpened = true;
|
log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice);
|
tryGenerateQueues();
|
} else if (size.abs().compareTo(shortPositionSize) > 0) {
|
BigDecimal unitQty = new BigDecimal(config.getQuantity());
|
long prevUnits = shortPositionSize.divide(unitQty, 0, RoundingMode.DOWN).longValue();
|
BigDecimal nowAbsSize = size.abs();
|
shortPositionSize = nowAbsSize;
|
long nowUnits = nowAbsSize.divide(unitQty, 0, RoundingMode.DOWN).longValue();
|
long newUnits = nowUnits - prevUnits;
|
for (int i = 0; i < newUnits; i++) {
|
BigDecimal tpPrice;
|
if (!shortTakeProfitQueue.isEmpty()) {
|
tpPrice = shortTakeProfitQueue.remove(0);
|
} else {
|
tpPrice = shortEntryPrice.subtract(config.getStep()).setScale(1, RoundingMode.HALF_UP);
|
log.warn("[Gate] 空止盈队列为空, 兜底止盈价:{}", tpPrice);
|
}
|
executor.placeTakeProfit(tpPrice,
|
FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
|
log.info("[Gate] 空单止盈已设, tp:{}, size:{}", tpPrice, config.getQuantity());
|
}
|
} else {
|
shortPositionSize = size.abs();
|
}
|
} else {
|
shortActive = false;
|
shortPositionSize = BigDecimal.ZERO;
|
}
|
}
|
}
|
|
// ---- 平仓推送回调 ----
|
|
/**
|
* 平仓推送回调。由 {@link PositionClosesChannelHandler} 在收到平仓推送时调用。
|
*
|
* <h3>累加规则</h3>
|
* cumulativePnl += pnl。止盈平仓时 pnl > 0，止损平仓时 pnl < 0。
|
* 累加后检查停止条件：≥ overallTp 或 ≤ -maxLoss。
|
*
|
* @param contract 合约名称
|
* @param side 平仓方向（"long" / "short"）
|
* @param pnl 本次平仓的盈亏金额
|
*/
|
public void onPositionClose(String contract, String side, BigDecimal pnl) {
|
if (state == StrategyState.STOPPED) {
|
return;
|
}
|
cumulativePnl = cumulativePnl.add(pnl);
|
log.info("[Gate] 盈亏累加:{}, 方向:{}, 累计:{}", pnl, side, cumulativePnl);
|
|
if (cumulativePnl.compareTo(config.getOverallTp()) >= 0) {
|
log.info("[Gate] 已达止盈目标 {}→已停止", cumulativePnl);
|
state = StrategyState.STOPPED;
|
} else if (cumulativePnl.compareTo(config.getMaxLoss().negate()) <= 0) {
|
log.info("[Gate] 已达亏损上限 {}→已停止", cumulativePnl);
|
state = StrategyState.STOPPED;
|
}
|
}
|
|
// ---- 网格队列处理 ----
|
|
/**
|
* 尝试生成网格队列。双基底（多+空）都成交后才触发：
|
* 生成空仓队列 + 多仓队列 → 状态切换为 ACTIVE。
|
*/
|
private void tryGenerateQueues() {
|
if (baseLongOpened && baseShortOpened) {
|
generateShortQueue();
|
generateLongQueue();
|
|
BigDecimal step = config.getStep();
|
BigDecimal longTp = longPriceQueue.get(0).add(step).setScale(1, RoundingMode.HALF_UP);
|
BigDecimal shortTp = shortPriceQueue.get(0).subtract(step).setScale(1, RoundingMode.HALF_UP);
|
longTakeProfitQueue.add(longTp);
|
shortTakeProfitQueue.add(shortTp);
|
log.info("[Gate] 多止盈队列:{}", longTakeProfitQueue);
|
log.info("[Gate] 空止盈队列:{}", shortTakeProfitQueue);
|
|
executor.placeConditionalEntryOrder(longPriceQueue.get(0),
|
FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
|
orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 初始条件多单已挂, id:{}, trigger:{}", orderId, longPriceQueue.get(0)); },
|
null);
|
executor.placeConditionalEntryOrder(shortPriceQueue.get(0),
|
FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
|
orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 初始条件空单已挂, id:{}, trigger:{}", orderId, shortPriceQueue.get(0)); },
|
null);
|
|
state = StrategyState.ACTIVE;
|
log.info("[Gate] 网格队列已生成, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, step:{}, 已激活",
|
shortPriceQueue.get(0), shortPriceQueue.get(shortPriceQueue.size() - 1),
|
longPriceQueue.get(0), longPriceQueue.get(longPriceQueue.size() - 1),
|
step);
|
}
|
}
|
|
/**
|
* 生成空仓价格队列。
|
* 以 shortBaseEntryPrice × gridRate 作为绝对步长 step，存到 config。
|
* 第1个元素 = shortBaseEntryPrice − step，后续依次递减 step，共 gridQueueSize 个。
|
* 队列降序排列（大→小），方便 processShortGrid 中从头遍历。
|
*/
|
private void generateShortQueue() {
|
shortPriceQueue.clear();
|
BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
|
config.setStep(step);
|
BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(1, RoundingMode.HALF_UP);
|
for (int i = 0; i < config.getGridQueueSize(); i++) {
|
shortPriceQueue.add(elem);
|
elem = elem.subtract(step).setScale(1, RoundingMode.HALF_UP);
|
}
|
shortPriceQueue.sort((a, b) -> b.compareTo(a));
|
log.info("[Gate] 空队列:{}", shortPriceQueue);
|
}
|
|
/**
|
* 生成多仓价格队列。
|
* 以 shortBaseEntryPrice + step 为首元素，后续依次递增 step，共 gridQueueSize 个。
|
* 队列升序排列（小→大），方便 processLongGrid 中从头遍历。
|
*/
|
private void generateLongQueue() {
|
longPriceQueue.clear();
|
BigDecimal step = config.getStep();
|
BigDecimal elem = shortBaseEntryPrice.add(step).setScale(1, RoundingMode.HALF_UP);
|
for (int i = 0; i < config.getGridQueueSize(); i++) {
|
longPriceQueue.add(elem);
|
elem = elem.add(step).setScale(1, RoundingMode.HALF_UP);
|
}
|
longPriceQueue.sort(BigDecimal::compareTo);
|
log.info("[Gate] 多队列:{}", longPriceQueue);
|
}
|
|
/**
|
* 空仓网格处理（价格跌破空仓队列中的高价）。
|
*
|
* <h3>匹配规则</h3>
|
* 遍历空仓队列（降序），收集所有大于当前价的元素为 matched。
|
* 队列为降序排列，一旦遇 price ≤ currentPrice 即停止遍历。
|
*
|
* <h3>执行流程</h3>
|
* <ol>
|
* <li>匹配队列元素 → 为空则直接返回</li>
|
* <li>空仓队列：移除 matched 元素，尾部补充新元素（尾价 − step 循环递减）</li>
|
* <li>多仓队列：以多仓队列首元素（最小价）为种子，递减 step 生成 matched.size() 个元素加入</li>
|
* <li>保证金检查 → 安全则开空一次</li>
|
* <li>额外反向开多：若多仓均价 > 空仓均价 且 当前价夹在中间且远离多仓均价</li>
|
* </ol>
|
*
|
* <h3>多仓队列转移过滤</h3>
|
* 新增元素若与多仓持仓均价差距小于 gridRate，则跳过该元素（避免在持仓成本附近生成无效网格线）。
|
*/
|
private void processShortGrid(BigDecimal currentPrice) {
|
List<BigDecimal> matched = new ArrayList<>();
|
synchronized (shortPriceQueue) {
|
for (BigDecimal p : shortPriceQueue) {
|
if (p.compareTo(currentPrice) > 0) {
|
matched.add(p);
|
} else {
|
break;
|
}
|
}
|
}
|
log.info("[Gate] 原空队列:{}", shortPriceQueue);
|
if (matched.isEmpty()) {
|
log.info("[Gate] 空仓队列未触发, 当前价:{}", currentPrice);
|
return;
|
}
|
log.info("[Gate] 空仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
|
|
synchronized (shortPriceQueue) {
|
shortPriceQueue.removeAll(matched);
|
BigDecimal min = shortPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : shortPriceQueue.get(shortPriceQueue.size() - 1);
|
BigDecimal gridStep = config.getStep();
|
for (int i = 0; i < matched.size(); i++) {
|
min = min.subtract(gridStep).setScale(1, RoundingMode.HALF_UP);
|
shortPriceQueue.add(min);
|
log.info("[Gate] 空队列增加:{}", min);
|
}
|
shortPriceQueue.sort((a, b) -> b.compareTo(a));
|
log.info("[Gate] 现空队列:{}", shortPriceQueue);
|
}
|
|
synchronized (longPriceQueue) {
|
BigDecimal first = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(0);
|
BigDecimal gridStep = config.getStep();
|
for (int i = 1; i <= matched.size(); i++) {
|
BigDecimal elem = first.subtract(gridStep.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP);
|
longPriceQueue.add(elem);
|
log.info("[Gate] 多队列增加:{}", elem);
|
}
|
longPriceQueue.sort(BigDecimal::compareTo);
|
while (longPriceQueue.size() > config.getGridQueueSize()) {
|
longPriceQueue.remove(longPriceQueue.size() - 1);
|
}
|
log.info("[Gate] 现多队列:{}", longPriceQueue);
|
}
|
|
BigDecimal newShortFirst = shortPriceQueue.get(0);
|
BigDecimal newLongFirst = longPriceQueue.get(0);
|
BigDecimal step = config.getStep();
|
BigDecimal stpElem = newShortFirst.subtract(step).setScale(1, RoundingMode.HALF_UP);
|
shortTakeProfitQueue.add(stpElem);
|
shortTakeProfitQueue.sort((a, b) -> b.compareTo(a));
|
log.info("[Gate] 空止盈队列增加:{}, 现止盈队列:{}", stpElem, shortTakeProfitQueue);
|
|
if (!isMarginSafe()) {
|
log.warn("[Gate] 保证金超限，跳过挂条件单");
|
} else {
|
synchronized (currentLongOrderIds) {
|
for (String id : currentLongOrderIds) {
|
executor.cancelConditionalOrder(id);
|
}
|
currentLongOrderIds.clear();
|
}
|
executor.placeConditionalEntryOrder(newShortFirst,
|
FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
|
orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 新条件空单, id:{}, trigger:{}", orderId, newShortFirst); },
|
null);
|
executor.placeConditionalEntryOrder(newLongFirst,
|
FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
|
orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 新条件多单, id:{}, trigger:{}", orderId, newLongFirst); },
|
null);
|
|
if (newShortFirst.compareTo(shortEntryPrice) > 0
|
&& newShortFirst.compareTo(longEntryPrice) < 0) {
|
BigDecimal reverseLongTp = newShortFirst.add(step).setScale(1, RoundingMode.HALF_UP);
|
longTakeProfitQueue.add(reverseLongTp);
|
longTakeProfitQueue.sort(BigDecimal::compareTo);
|
executor.placeConditionalEntryOrder(newShortFirst,
|
FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
|
orderId -> { currentLongOrderIds.add(orderId); },
|
null);
|
log.info("[Gate] 反向条件多单已挂, trigger:{}, size:{}, 止盈:{}", newShortFirst, config.getQuantity(), reverseLongTp);
|
}
|
}
|
|
}
|
|
/**
|
* 多仓网格处理（价格涨破多仓队列中的低价）。
|
*
|
* <h3>匹配规则</h3>
|
* 遍历多仓队列（升序），收集所有小于当前价的元素为 matched。
|
* 队列为升序排列，一旦遇 price ≥ currentPrice 即停止遍历。
|
*
|
* <h3>执行流程</h3>
|
* <ol>
|
* <li>匹配队列元素 → 为空则直接返回</li>
|
* <li>多仓队列：移除 matched 元素，尾部补充新元素（尾价 + step 循环递增）</li>
|
* <li>空仓队列：以空仓队列首元素（最高价）为种子，递增 step 生成 matched.size() 个元素加入</li>
|
* <li>保证金检查 → 安全则开多一次</li>
|
* <li>额外反向开空：若多仓均价 > 空仓均价 且 当前价夹在中间且远离空仓均价</li>
|
* </ol>
|
*
|
* <h3>空仓队列转移过滤</h3>
|
* 新增元素若与空仓持仓均价差距小于 gridRate，则跳过该元素（避免在持仓成本附近生成无效网格线）。
|
*/
|
private void processLongGrid(BigDecimal currentPrice) {
|
List<BigDecimal> matched = new ArrayList<>();
|
synchronized (longPriceQueue) {
|
for (BigDecimal p : longPriceQueue) {
|
if (p.compareTo(currentPrice) < 0) {
|
matched.add(p);
|
} else {
|
break;
|
}
|
}
|
}
|
log.info("[Gate] 原多队列:{}", longPriceQueue);
|
if (matched.isEmpty()) {
|
log.info("[Gate] 多仓队列未触发, 当前价:{}", currentPrice);
|
return;
|
}
|
|
log.info("[Gate] 多仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
|
|
synchronized (longPriceQueue) {
|
longPriceQueue.removeAll(matched);
|
BigDecimal max = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(longPriceQueue.size() - 1);
|
BigDecimal gridStep = config.getStep();
|
for (int i = 0; i < matched.size(); i++) {
|
max = max.add(gridStep).setScale(1, RoundingMode.HALF_UP);
|
longPriceQueue.add(max);
|
log.info("[Gate] 多队列增加:{}", max);
|
}
|
longPriceQueue.sort(BigDecimal::compareTo);
|
log.info("[Gate] 现多队列:{}", longPriceQueue);
|
}
|
|
synchronized (shortPriceQueue) {
|
BigDecimal first = shortPriceQueue.isEmpty() ? matched.get(0) : shortPriceQueue.get(0);
|
BigDecimal gridStep = config.getStep();
|
for (int i = 1; i <= matched.size(); i++) {
|
BigDecimal elem = first.add(gridStep.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP);
|
shortPriceQueue.add(elem);
|
log.info("[Gate] 空队列增加:{}", elem);
|
}
|
shortPriceQueue.sort((a, b) -> b.compareTo(a));
|
while (shortPriceQueue.size() > config.getGridQueueSize()) {
|
shortPriceQueue.remove(shortPriceQueue.size() - 1);
|
}
|
log.info("[Gate] 现空队列:{}", shortPriceQueue);
|
}
|
|
BigDecimal newLongFirst = longPriceQueue.get(0);
|
BigDecimal newShortFirst = shortPriceQueue.get(0);
|
BigDecimal step = config.getStep();
|
BigDecimal ltpElem = newLongFirst.add(step).setScale(1, RoundingMode.HALF_UP);
|
longTakeProfitQueue.add(ltpElem);
|
longTakeProfitQueue.sort(BigDecimal::compareTo);
|
log.info("[Gate] 多止盈队列增加:{}, 现止盈队列:{}", ltpElem, longTakeProfitQueue);
|
|
if (!isMarginSafe()) {
|
log.warn("[Gate] 保证金超限，跳过挂条件单");
|
} else {
|
synchronized (currentShortOrderIds) {
|
for (String id : currentShortOrderIds) {
|
executor.cancelConditionalOrder(id);
|
}
|
currentShortOrderIds.clear();
|
}
|
executor.placeConditionalEntryOrder(newLongFirst,
|
FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
|
orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 新条件多单, id:{}, trigger:{}", orderId, newLongFirst); },
|
null);
|
executor.placeConditionalEntryOrder(newShortFirst,
|
FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
|
orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 新条件空单, id:{}, trigger:{}", orderId, newShortFirst); },
|
null);
|
|
if (newLongFirst.compareTo(shortEntryPrice) > 0
|
&& newLongFirst.compareTo(longEntryPrice) < 0) {
|
BigDecimal reverseShortTp = newLongFirst.subtract(step).setScale(1, RoundingMode.HALF_UP);
|
shortTakeProfitQueue.add(reverseShortTp);
|
shortTakeProfitQueue.sort((a, b) -> b.compareTo(a));
|
executor.placeConditionalEntryOrder(newLongFirst,
|
FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
|
orderId -> { currentShortOrderIds.add(orderId); },
|
null);
|
log.info("[Gate] 反向条件空单已挂, trigger:{}, size:{}, 止盈:{}", newLongFirst, negate(config.getQuantity()), reverseShortTp);
|
}
|
}
|
|
}
|
|
// ---- 保证金安全阀 ----
|
|
/**
|
* 保证金安全阀检查。
|
*
|
* <p>实时查询当前保证金占用额（positionInitialMargin），计算其占初始本金的比例。
|
* 比例 ≥ marginRatioLimit（默认 20%）时拒绝开仓，但仍照常更新队列。
|
*
|
* <p>查询失败时默认放行（返回 true），避免因 REST API 异常导致策略完全停滞。
|
*
|
* @return true=安全可开仓 / false=保证金超限跳过开仓
|
*/
|
private boolean isMarginSafe() {
|
try {
|
FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
|
BigDecimal margin = new BigDecimal(account.getPositionInitialMargin());
|
BigDecimal ratio = margin.divide(initialPrincipal, 4, RoundingMode.HALF_UP);
|
log.debug("[Gate] 保证金比例: {}/{}={}", margin, initialPrincipal, ratio);
|
return ratio.compareTo(config.getMarginRatioLimit()) < 0;
|
} catch (Exception e) {
|
log.warn("[Gate] 查保证金失败，默认放行", e);
|
return true;
|
}
|
}
|
|
// ---- 工具 ----
|
|
/**
|
* 取反字符串数字。如 "1" → "-1"，"-2" → "2"。
|
* 用于开空单时将正数张数转为负数。
|
*/
|
private String negate(String qty) {
|
return qty.startsWith("-") ? qty.substring(1) : "-" + qty;
|
}
|
|
/**
|
* 根据持仓和当前价格计算未实现盈亏。
|
*
|
* <h3>正向合约公式</h3>
|
* <pre>
|
* 多仓: 持仓量 × 合约乘数 × (计价价格 − 开仓均价)
|
* 空仓: 持仓量 × 合约乘数 × (开仓均价 − 计价价格)
|
* </pre>
|
* 计价价格由 {@link GateConfig.PnLPriceMode} 决定：LAST_PRICE 用最新成交价，MARK_PRICE 用标记价格。
|
*/
|
private void updateUnrealizedPnl() {
|
BigDecimal price = resolvePnlPrice();
|
if (price == null || price.compareTo(BigDecimal.ZERO) == 0) {
|
return;
|
}
|
BigDecimal multiplier = config.getContractMultiplier();
|
BigDecimal longPnl = BigDecimal.ZERO;
|
BigDecimal shortPnl = BigDecimal.ZERO;
|
if (longPositionSize.compareTo(BigDecimal.ZERO) > 0 && longEntryPrice.compareTo(BigDecimal.ZERO) > 0) {
|
longPnl = longPositionSize.multiply(multiplier).multiply(price.subtract(longEntryPrice));
|
}
|
if (shortPositionSize.compareTo(BigDecimal.ZERO) > 0 && shortEntryPrice.compareTo(BigDecimal.ZERO) > 0) {
|
shortPnl = shortPositionSize.multiply(multiplier).multiply(shortEntryPrice.subtract(price));
|
}
|
unrealizedPnl = longPnl.add(shortPnl);
|
|
log.info("[Gate] 未实现盈亏: {}", unrealizedPnl);
|
}
|
|
/**
|
* 根据配置的 PnLPriceMode 返回计价价格。
|
* MARK_PRICE 模式优先使用标记价格（外部注入），未注入时回退到最新成交价。
|
*
|
* @return 计价价格，可能为 null
|
*/
|
private BigDecimal resolvePnlPrice() {
|
if (config.getUnrealizedPnlPriceMode() == GateConfig.PnLPriceMode.MARK_PRICE
|
&& markPrice.compareTo(BigDecimal.ZERO) > 0) {
|
return markPrice;
|
}
|
return lastKlinePrice;
|
}
|
|
/** @return 最新 K 线价格（每次 onKline 更新） */
|
public BigDecimal getLastKlinePrice() { return lastKlinePrice; }
|
/** 设置标记价格（外部注入，MARK_PRICE 模式时用于盈亏计算） */
|
public void setMarkPrice(BigDecimal markPrice) { this.markPrice = markPrice; }
|
/** @return 策略是否处于活跃状态（非 STOPPED 且非 WAITING_KLINE） */
|
public boolean isStrategyActive() { return state != StrategyState.STOPPED && state != StrategyState.WAITING_KLINE; }
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/** @return 累计已实现盈亏（平仓推送驱动累加） */
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public BigDecimal getCumulativePnl() { return cumulativePnl; }
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/** @return 当前未实现盈亏（每根 K 线实时计算） */
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public BigDecimal getUnrealizedPnl() { return unrealizedPnl; }
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/** @return Gate 用户 ID（用于私有频道订阅 payload） */
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public Long getUserId() { return userId; }
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/** @return 当前策略状态 */
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public StrategyState getState() { return state; }
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}
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