package com.xcong.excoin.modules.gateApi;
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import cn.hutool.core.collection.CollUtil;
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import cn.hutool.core.util.StrUtil;
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import com.xcong.excoin.utils.dingtalk.DingTalkUtils;
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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.LinkedHashMap;
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import java.util.List;
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import java.util.Map;
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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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* 网格交易策略引擎 — 多空对冲网格。
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*
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* <h3>策略原理</h3>
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* 以空仓基底入场价（shortBaseEntryPrice）为价格基准，向上/向下各生成一个价格网格队列。
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* 价格触发网格层级时挂条件单，成交后自动挂止盈单。每笔止盈盈利 = step - minTick。
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*
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* <h3>完整生命周期</h3>
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* <pre>
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* init() → startGrid() → WAITING_KLINE
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* ↓
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* onKline(首根K线) → OPENING → 异步市价双开基底（开多+开空）
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* ↓
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* onPositionUpdate() → 基底成交 → baseLongOpened && baseShortOpened
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* ↓
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* tryGenerateQueues()
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* ├── generateShortQueue() ← 空仓价格队列（降序，从 shortBaseEntryPrice-step 向下）
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* ├── generateLongQueue() ← 多仓价格队列（升序，从 shortBaseEntryPrice+step 向上）
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* ├── updateGridElements() ← 构建 GridElement 列表 + TraderParam + 全局索引
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* ├── 挂基座止盈单（ID=0 的 long/short takeProfit）
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* └── 挂初始条件单（up=-1 多单, down=1 空单）
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* ↓
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* state = ACTIVE（每根K线反复执行以下循环）
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* ↓
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* onKline() → processLongGrid() + processShortGrid()
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* ├── 匹配队列元素 → 队列补偿 → 保证金检查
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* ├── 首元素方向：挂条件开仓单 → 订单ID + GridElement状态同步
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* └── 反向守卫：在 downGrid 位置挂对向单（价格区间+trigger方向校验）
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* ↓
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* onOrderUpdate() ← futures.orders / futures.autoorders 推送
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* ├── 匹配止盈单ID → 清空止盈状态（已成交）
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* └── 匹配挂单ID → 挂止盈条件单 → 止盈ID + GridElement状态同步
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* ↓
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* onPositionClose() → cumulativePnl 累加
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* ├── ≥ overallTp → STOPPED
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* └── ≤ -maxLoss → STOPPED
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* </pre>
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*
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* <h3>仓位线动态调整</h3>
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* <pre>
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* onPositionUpdate() 中仓位均价变化后：
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* longEntryPrice ↑ → 取消 高于 longEntryPrice 的空仓挂单（避免逆势空单）
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* shortEntryPrice ↓ → 取消 低于 shortEntryPrice 的多仓挂单（避免逆势多单）
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* </pre>
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*
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* <h3>关键公式</h3>
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* <pre>
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* step = shortBaseEntryPrice × gridRate ← 网格绝对步长
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* minTick = 10^(-priceScale) ← 交易所最小价格单位
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* 多止盈 = gridPrice + (step - minTick) ← 多仓止盈价
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* 空止盈 = gridPrice - (step - minTick) ← 空仓止盈价
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* 单笔盈利 = (step - minTick) × contractMultiplier × quantity ← USDT
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* </pre>
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*
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* <h3>线程模型</h3>
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* 所有 WS 回调（onKline/onPositionUpdate/onOrderUpdate 等）在 WS 回调线程中串行执行。
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* 下单/撤单操作提交到 GateTradeExecutor 的单线程池异步执行，避免阻塞 WS 线程。
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* stopGrid() 会将 state 设为 STOPPED，后续所有 WS 回调直接返回不再处理。
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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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/** 当前多仓条件单映射：订单ID → 止盈价格，订单成交后通过订单订阅推送匹配止盈 */
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private final Map<String, BigDecimal> currentLongOrderIds = Collections.synchronizedMap(new LinkedHashMap<>());
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/** 当前空仓条件单映射：订单ID → 止盈价格，订单成交后通过订单订阅推送匹配止盈 */
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private final Map<String, BigDecimal> currentShortOrderIds = Collections.synchronizedMap(new LinkedHashMap<>());
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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（仅记录，当前未被业务逻辑消费，保留以备后续使用） */
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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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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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try {
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futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
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} catch (ApiException e) {
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e.printStackTrace();
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}
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closeExistingPositions();
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BigDecimal totalPnl = cumulativePnl.add(unrealizedPnl);
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log.info("[Gate] 已实现:{}, 未实现:{}, 合计:{}",
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cumulativePnl, unrealizedPnl, totalPnl);
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return;
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}
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//初始化0位置的开仓，并且用空的开仓价格，作为价格基准来划分网格
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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 多空各{}张...", config.getBaseQuantity());
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executor.openLong(config.getBaseQuantity(), (orderId) -> {
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TraderParam baseLongTp = TraderParam.builder()
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.entryOrderId(orderId)
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.build();
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config.setBaseLongTraderParam(baseLongTp);
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}, null);
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executor.openShort(negate(config.getBaseQuantity()), (orderId) -> {
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TraderParam baseShortTp = TraderParam.builder()
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.entryOrderId(orderId)
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.build();
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config.setBaseShortTraderParam(baseShortTp);
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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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checkProfitAndReset();
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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>仓位净减少（size.abs() < 之前记录值）：止盈平仓后 → 检查反向条件单条件 →
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* 满足时以 entryPrice ± step 为止盈价挂反向市价单（订单ID + 止盈价存入 Map）</li>
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* <li>仓位净增加或不变：仅更新 positionSize，止盈由 {@link #onOrderUpdate} 通过订单订阅匹配处理</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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* <li><b>Map 截断</b>：currentLongOrderIds / currentShortOrderIds 超过 5 个时，
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* 从 LinkedHashMap 头部删除最旧条目，保留最新 5 个</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 {
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longPositionSize = size;
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// checkShortEntryOrderToCancel();
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// checkLongEntryOrderToCancel();
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}
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} else {
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if (longActive && state == StrategyState.ACTIVE) {
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log.info("[Gate] 多仓持仓归零，重置策略");
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handlePositionZeroAndReset("多仓");
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}
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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;
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if (!baseShortOpened) {
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shortPositionSize = size.abs();
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shortBaseEntryPrice = entryPrice;
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baseShortOpened = true;
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log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice);
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tryGenerateQueues();
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}else {
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shortPositionSize = size.abs();
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// checkShortEntryOrderToCancel();
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// checkLongEntryOrderToCancel();
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}
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} else {
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if (shortActive && state == StrategyState.ACTIVE) {
|
log.info("[Gate] 空仓持仓归零，重置策略");
|
handlePositionZeroAndReset("空仓");
|
}
|
shortActive = false;
|
shortPositionSize = BigDecimal.ZERO;
|
}
|
}
|
}
|
|
private void checkShortEntryOrderToCancel() {
|
List<GridElement> allLongOrders = GridElement.findAllShortOrders(shortEntryPrice);
|
if (CollUtil.isNotEmpty(allLongOrders)){
|
GridElement keep = allLongOrders.stream()
|
.min((a, b) -> a.getGridPrice().compareTo(b.getGridPrice()))
|
.orElse(null);
|
for (GridElement e : allLongOrders) {
|
if (e == keep) {
|
continue;
|
}
|
executor.cancelConditionalOrder(
|
e.getShortOrderId(),
|
orderId -> {
|
shortEntryTraderIdParam(
|
e,
|
null,
|
false
|
);
|
}
|
);
|
if (e.getShortTakeProfitOrderId() != null){
|
executor.cancelConditionalOrder(
|
e.getShortTakeProfitOrderId(),
|
orderId -> {
|
shortTakeProfitTraderIdParam(
|
e,
|
null,
|
false
|
);
|
}
|
);
|
}
|
}
|
}
|
}
|
|
private void checkLongEntryOrderToCancel() {
|
List<GridElement> allShortOrders = GridElement.findAllLongOrders(longEntryPrice);
|
if (CollUtil.isNotEmpty(allShortOrders)){
|
GridElement keep = allShortOrders.stream()
|
.max((a, b) -> a.getGridPrice().compareTo(b.getGridPrice()))
|
.orElse(null);
|
for (GridElement e : allShortOrders) {
|
if (e == keep) {
|
continue;
|
}
|
executor.cancelConditionalOrder(
|
e.getLongOrderId(),
|
orderId -> {
|
longEntryTraderIdParam(
|
e,
|
null,
|
false
|
);
|
}
|
);
|
|
if (e.getLongTakeProfitOrderId() != null){
|
executor.cancelConditionalOrder(
|
e.getLongTakeProfitOrderId(),
|
orderId -> {
|
longTakeProfitTraderIdParam(
|
e,
|
null,
|
false
|
);
|
}
|
);
|
}
|
}
|
}
|
}
|
|
// ---- 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);
|
updateUnrealizedPnl();
|
BigDecimal totalPnl = cumulativePnl.add(unrealizedPnl);
|
log.info("[Gate] 已实现:{}, 未实现:{}, 合计:{}",
|
cumulativePnl, unrealizedPnl, totalPnl);
|
|
if (totalPnl.compareTo(config.getOverallTp()) >= 0) {
|
log.info("[Gate] 已达止盈目标(合计{})→已停止, 已实现:{}, 未实现:{}",
|
totalPnl, cumulativePnl, unrealizedPnl);
|
state = StrategyState.STOPPED;
|
} else if (totalPnl.compareTo(config.getMaxLoss().negate()) <= 0) {
|
String logMessage = StrUtil.format("[Gate] 已达亏损风险值(合计{}), 已实现:{}, 未实现:{}",
|
totalPnl, cumulativePnl, unrealizedPnl);
|
log.info(logMessage);
|
|
|
DingTalkUtils.getDefault().sendActionCard("风险提醒", logMessage, config.getApiKey(), "");
|
// state = StrategyState.STOPPED;
|
}
|
}
|
|
// ---- 订单推送回调 ----
|
|
/**
|
* 订单推送回调。由 OrdersChannelHandler 在收到订单更新推送时调用。
|
*
|
* <h3>处理逻辑</h3>
|
* 当订单状态为 finished 且 finish_as 为 filled 时，
|
* 从 {@link #currentLongOrderIds} / {@link #currentShortOrderIds} 中匹配订单ID，
|
* 取出止盈价格并挂止盈单。匹配成功后从 Map 中移除该条目，防止重复挂单。
|
*
|
* @param orderId 订单 ID
|
* @param status 订单状态（open / finished）
|
* @param finishAs 订单结束方式（filled / cancelled / ioc 等）
|
*/
|
public void onOrderUpdate(String orderId, String status, String finishAs) {
|
if (!"finished".equals(status) || !"filled".equals(finishAs)) {
|
return;
|
}
|
|
/**
|
* 匹配止盈单止盈
|
*/
|
GridElement byLongTakeProfitOrderId = GridElement.findByLongTakeProfitOrderId(orderId);
|
if (byLongTakeProfitOrderId != null){
|
longTakeProfitTraderIdParam(
|
byLongTakeProfitOrderId,
|
null,
|
false
|
);
|
// longEntryTraderIdParam(
|
// byLongTakeProfitOrderId,
|
// null,
|
// false
|
// );
|
}
|
GridElement byShortTakeProfitOrderId = GridElement.findByShortTakeProfitOrderId(orderId);
|
if (byShortTakeProfitOrderId != null){
|
shortTakeProfitTraderIdParam(
|
byShortTakeProfitOrderId,
|
null,
|
false
|
);
|
// shortEntryTraderIdParam(
|
// byShortTakeProfitOrderId,
|
// null,
|
// false
|
// );
|
}
|
|
/**
|
* 匹配挂单
|
*/
|
GridElement longGridElement = GridElement.findByLongOrderId(orderId);
|
if (longGridElement != null) {
|
if (longGridElement.isHasLongOrder()){
|
longEntryTraderIdParam(
|
longGridElement,
|
null,
|
false
|
);
|
if (longGridElement.getLongTakeProfitOrderId() == null){
|
BigDecimal longTp = longGridElement.getLongTraderParam().getTakeProfitPrice();
|
if (longTp != null) {
|
executor.placeTakeProfit(longTp,
|
FuturesPriceTrigger.RuleEnum.NUMBER_1,
|
ORDER_TYPE_CLOSE_LONG,
|
negate(config.getQuantity()),
|
(profitId) -> {
|
longTakeProfitTraderIdParam(
|
longGridElement,
|
profitId,
|
true
|
);
|
});
|
log.info("[Gate] 多单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, longTp, negate(config.getQuantity()));
|
return;
|
}
|
}
|
}
|
}
|
GridElement shortGridElement = GridElement.findByShortOrderId(orderId);
|
if (shortGridElement != null) {
|
if (shortGridElement.isHasShortOrder()){
|
shortEntryTraderIdParam(
|
shortGridElement,
|
null,
|
false
|
);
|
if (shortGridElement.getShortTakeProfitOrderId() == null){
|
BigDecimal shortTp = shortGridElement.getShortTraderParam().getTakeProfitPrice();
|
if (shortTp != null) {
|
executor.placeTakeProfit(shortTp,
|
FuturesPriceTrigger.RuleEnum.NUMBER_2,
|
ORDER_TYPE_CLOSE_SHORT,
|
config.getQuantity(),
|
(profitId) -> {
|
shortTakeProfitTraderIdParam(
|
shortGridElement,
|
profitId,
|
true
|
);
|
});
|
log.info("[Gate] 空单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, shortTp, config.getQuantity());
|
}
|
}
|
}
|
}
|
}
|
|
/**
|
* 用户私有成交回调。由 {@link com.xcong.excoin.modules.gateApi.wsHandler.handler.UserTradesChannelHandler}
|
* 在收到 {@code futures.usertrades} 推送时调用。
|
*
|
* @param contract 合约名称
|
* @param orderId 订单 ID
|
* @param price 成交价格
|
* @param size 成交数量
|
* @param role 用户角色（maker / taker）
|
* @param fee 手续费
|
*/
|
public void onUserTrade(String contract, String orderId, BigDecimal price, String size, String role, BigDecimal fee) {
|
if (state == StrategyState.STOPPED) {
|
return;
|
}
|
log.info("[Gate] 成交明细, 合约:{}, 订单ID:{}, 价格:{}, 数量:{}, 角色:{}, 手续费:{}",
|
contract, orderId, price, size, role, fee);
|
}
|
|
/**
|
* 自动订单（条件单）状态变更回调。
|
* 由 {@link com.xcong.excoin.modules.gateApi.wsHandler.handler.AutoOrdersChannelHandler}
|
* 在收到 {@code futures.autoorders} 推送时调用。
|
*
|
* @param orderId 条件单 ID
|
* @param status 订单状态（open / finished / cancelled）
|
* @param reason 变更原因
|
* @param orderType 订单类型（plan-close-long-position 等）
|
*/
|
public void onAutoOrder(String orderId, String status, String reason, String orderType, String tradeId) {
|
if (state == StrategyState.STOPPED) {
|
return;
|
}
|
log.info("[Gate] 条件单状态变更, id:{}, status:{}, reason:{}, order_type:{}",
|
orderId, status, reason, orderType);
|
if (!"finished".equals(status)) {
|
return;
|
}
|
|
GridElement longStopLossElem = GridElement.findByLongStopLossOrderId(orderId);
|
if (longStopLossElem != null) {
|
handleLongStopLossTriggered(longStopLossElem);
|
return;
|
}
|
GridElement shortStopLossElem = GridElement.findByShortStopLossOrderId(orderId);
|
if (shortStopLossElem != null) {
|
handleShortStopLossTriggered(shortStopLossElem);
|
return;
|
}
|
|
// GridElement byShortTakeProfitOrderId = GridElement.findByShortTakeProfitOrderId(orderId);
|
// if (byShortTakeProfitOrderId != null){
|
// shortTakeProfitTraderIdParam(
|
// byShortTakeProfitOrderId,
|
// null,
|
// false
|
// );
|
// shortEntryTraderIdParam(
|
// byShortTakeProfitOrderId,
|
// null,
|
// false
|
// );
|
// TPonUserTradeShortEntry(byShortTakeProfitOrderId);
|
// }
|
// GridElement byLongTakeProfitOrderId = GridElement.findByLongTakeProfitOrderId(orderId);
|
// if (byLongTakeProfitOrderId != null){
|
// longTakeProfitTraderIdParam(
|
// byLongTakeProfitOrderId,
|
// null,
|
// false
|
// );
|
// longEntryTraderIdParam(
|
// byLongTakeProfitOrderId,
|
// null,
|
// false
|
// );
|
// TPonUserTradeLongEntry(byLongTakeProfitOrderId);
|
// }
|
|
GridElement shortGridElement = GridElement.findByShortOrderId(orderId);
|
if (shortGridElement != null) {
|
if (shortGridElement.isHasShortOrder() && !tradeId.equals("0")){
|
int filledQty = Integer.parseInt(shortGridElement.getShortTraderParam().getQuantity());
|
shortEntryTraderIdParam(shortGridElement, null, false);
|
extendShortStopLoss(filledQty);
|
log.info("[Gate] 空单成交 gridId:{}, qty:{}, 追挂止损", shortGridElement.getId(), filledQty);
|
}
|
}
|
GridElement longGridElement = GridElement.findByLongOrderId(orderId);
|
if (longGridElement != null) {
|
if (longGridElement.isHasLongOrder() && !tradeId.equals("0")){
|
int filledQty = Integer.parseInt(longGridElement.getLongTraderParam().getQuantity());
|
longEntryTraderIdParam(longGridElement, null, false);
|
extendLongStopLoss(filledQty);
|
log.info("[Gate] 多单成交 gridId:{}, qty:{}, 追挂止损", longGridElement.getId(), filledQty);
|
}
|
}
|
}
|
|
private void TPonUserTradeShortEntry(GridElement gridElement) {
|
if (!isMarginSafe()) {
|
log.warn("[Gate] 保证金超限，跳过挂条件单");
|
} else {
|
// 判断网格是否能开多仓，如果不能则跳过
|
GridElement upGridElement = GridElement.findById(gridElement.getUpId());
|
if (upGridElement != null){
|
BigDecimal upGridPrice = upGridElement.getGridPrice();
|
TraderParam upLongTraderParam = upGridElement.getLongTraderParam();
|
if (
|
!upGridElement.isHasLongOrder() &&
|
upGridPrice.compareTo(longEntryPrice) <= 0
|
){
|
placeEntryOrderWithPreFlag(upGridElement, true,
|
upLongTraderParam.getEntryPrice(),
|
FuturesPriceTrigger.RuleEnum.NUMBER_1,
|
upLongTraderParam.getQuantity());
|
}
|
}
|
}
|
}
|
|
private void TPonUserTradeLongEntry(GridElement gridElement) {
|
if (!isMarginSafe()) {
|
log.warn("[Gate] 保证金超限，跳过挂条件单");
|
} else {
|
// 判断网格是否能开空仓，如果不能则跳过
|
GridElement downGridElement = GridElement.findById(gridElement.getDownId());
|
if (downGridElement != null){
|
|
BigDecimal downGridPrice = downGridElement.getGridPrice();
|
|
TraderParam shortTraderParam = downGridElement.getShortTraderParam();
|
if (
|
!downGridElement.isHasShortOrder() &&
|
downGridPrice.compareTo(shortEntryPrice) >= 0
|
){
|
placeEntryOrderWithPreFlag(downGridElement, false,
|
shortTraderParam.getEntryPrice(),
|
FuturesPriceTrigger.RuleEnum.NUMBER_2,
|
negate(config.getQuantity()));
|
}
|
}
|
}
|
}
|
|
private void onUserTradeShortEntry(GridElement gridElement) {
|
if (!isMarginSafe()) {
|
log.warn("[Gate] 保证金超限，跳过挂条件单");
|
} else {
|
//下一个开仓位置
|
GridElement UpGridElement = GridElement.findById(gridElement.getDownId());
|
BigDecimal newLongFirst = UpGridElement.getGridPrice();
|
|
// 判断网格是否能开空仓，如果不能则跳过
|
if (UpGridElement != null) {
|
|
if (!UpGridElement.isHasShortOrder() && shortEntryPrice.compareTo(newLongFirst) > 0) {
|
|
TraderParam upShortTraderParam = UpGridElement.getShortTraderParam();
|
placeEntryOrderWithPreFlag(UpGridElement, false,
|
upShortTraderParam.getEntryPrice(),
|
FuturesPriceTrigger.RuleEnum.NUMBER_2,
|
negate(upShortTraderParam.getQuantity()));
|
}
|
}
|
}
|
}
|
|
private void onUserTradeLongEntry(GridElement gridElement) {
|
if (!isMarginSafe()) {
|
log.warn("[Gate] 保证金超限，跳过挂条件单");
|
} else {
|
//下一个开仓位置
|
GridElement UpGridElement = GridElement.findById(gridElement.getUpId());
|
BigDecimal newLongFirst = UpGridElement.getGridPrice() ;
|
|
// 判断网格是否能开多仓，如果不能则跳过
|
if (UpGridElement != null) {
|
|
if (!UpGridElement.isHasLongOrder() && longEntryPrice.compareTo(newLongFirst) < 0) {
|
TraderParam upLongTraderParam = UpGridElement.getLongTraderParam();
|
placeEntryOrderWithPreFlag(UpGridElement, true,
|
upLongTraderParam.getEntryPrice(),
|
FuturesPriceTrigger.RuleEnum.NUMBER_1,
|
config.getQuantity());
|
}
|
}
|
}
|
}
|
|
// ---- 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：
|
* <ol>
|
* <li>生成空仓价格队列（降序）和多仓价格队列（升序）</li>
|
* <li>挂初始多仓条件单（触发价 = 多仓队列首元素，rule=NUMBER_1 ≥触发价时开多），
|
* 止盈价 = 触发价 + step，通过 onSuccess 回调将 orderId → 止盈价存入 currentLongOrderIds</li>
|
* <li>挂初始空仓条件单（触发价 = 空仓队列首元素，rule=NUMBER_2 ≤触发价时开空），
|
* 止盈价 = 触发价 − step，通过 onSuccess 回调将 orderId → 止盈价存入 currentShortOrderIds</li>
|
* <li>状态切换为 ACTIVE</li>
|
* </ol>
|
* 条件单成交后由 {@link #onOrderUpdate} 匹配止盈价并挂止盈条件单。
|
*/
|
private void tryGenerateQueues() {
|
if (baseLongOpened && baseShortOpened) {
|
generateShortQueue();
|
generateLongQueue();
|
updateGridElements();
|
|
GridElement baseGridElement = GridElement.findById(0);
|
TraderParam baseLongTraderParam = config.getBaseLongTraderParam();
|
baseGridElement.setLongOrderId(baseLongTraderParam.getEntryOrderId());
|
baseGridElement.setHasLongOrder(true);
|
TraderParam baseShortTraderParam = config.getBaseShortTraderParam();
|
baseGridElement.setShortOrderId(baseShortTraderParam.getEntryOrderId());
|
baseGridElement.setHasShortOrder(true);
|
|
for (int id = 2; id <= 11; id++) {
|
GridElement elem = GridElement.findById(id);
|
if (elem == null) {
|
continue;
|
}
|
BigDecimal triggerPrice = elem.getGridPrice();
|
int finalId = id;
|
executor.placeTakeProfit(
|
triggerPrice,
|
FuturesPriceTrigger.RuleEnum.NUMBER_1,
|
ORDER_TYPE_CLOSE_SHORT,
|
"1",
|
profitId -> {
|
elem.setShortStopLossOrderId(profitId);
|
GridElement.refreshIndices();
|
log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
|
}
|
);
|
}
|
|
for (int id = -2; id >= -11; id--) {
|
GridElement elem = GridElement.findById(id);
|
if (elem == null) {
|
continue;
|
}
|
BigDecimal triggerPrice = elem.getGridPrice();
|
int finalId = id;
|
executor.placeTakeProfit(
|
triggerPrice,
|
FuturesPriceTrigger.RuleEnum.NUMBER_2,
|
ORDER_TYPE_CLOSE_LONG,
|
"-1",
|
profitId -> {
|
elem.setLongStopLossOrderId(profitId);
|
GridElement.refreshIndices();
|
log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
|
}
|
);
|
}
|
|
log.info("[Gate] 止损单已全部挂完, 空仓止损: 2~11, 多仓止损: -2~-11");
|
state = StrategyState.ACTIVE;
|
}
|
}
|
|
/**
|
* 更新基座止盈信息，将止盈价、订单ID等写入 TraderParam 并回填到 ID=0 的网格元素中。
|
*/
|
private void longTakeProfitTraderIdParam(
|
GridElement baseElement,String profitId, boolean flag
|
) {
|
TraderParam tp = baseElement.getLongTraderParam();
|
tp.setTakeProfitOrderId(profitId);
|
tp.setTakeProfitPlaced(flag);
|
baseElement.setLongTakeProfitOrderId(profitId);
|
GridElement.refreshIndices();
|
}
|
private void shortTakeProfitTraderIdParam(
|
GridElement baseElement,String profitId, boolean flag
|
) {
|
TraderParam tp = baseElement.getShortTraderParam();
|
tp.setTakeProfitOrderId(profitId);
|
tp.setTakeProfitPlaced(flag);
|
baseElement.setShortTakeProfitOrderId(profitId);
|
GridElement.refreshIndices();
|
}
|
|
private void longEntryTraderIdParam(
|
GridElement baseElement,String entryId,boolean flag
|
) {
|
TraderParam tp = baseElement.getLongTraderParam();
|
tp.setEntryOrderId(entryId);
|
tp.setEntryOrderPlaced(flag);
|
baseElement.setHasLongOrder(flag);
|
baseElement.setLongOrderId(entryId);
|
GridElement.refreshIndices();
|
}
|
|
private void shortEntryTraderIdParam(
|
GridElement baseElement, String entryId, boolean flag
|
) {
|
TraderParam tp = baseElement.getShortTraderParam();
|
tp.setEntryOrderId(entryId);
|
tp.setEntryOrderPlaced(flag);
|
baseElement.setHasShortOrder(flag);
|
baseElement.setShortOrderId(entryId);
|
GridElement.refreshIndices();
|
}
|
|
/**
|
* 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();
|
int prec = config.getPriceScale();
|
BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(prec, RoundingMode.HALF_UP);
|
config.setStep(step);
|
BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(prec, RoundingMode.HALF_UP);
|
for (int i = 0; i < config.getGridQueueSize(); i++) {
|
shortPriceQueue.add(elem);
|
elem = elem.subtract(step).setScale(prec, RoundingMode.HALF_UP);
|
if (elem.compareTo(BigDecimal.ZERO) <= 0) {
|
break;
|
}
|
}
|
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();
|
int prec = config.getPriceScale();
|
BigDecimal step = config.getStep();
|
BigDecimal elem = shortBaseEntryPrice.add(step).setScale(prec, RoundingMode.HALF_UP);
|
for (int i = 0; i < config.getGridQueueSize(); i++) {
|
longPriceQueue.add(elem);
|
elem = elem.add(step).setScale(prec, RoundingMode.HALF_UP);
|
}
|
longPriceQueue.sort(BigDecimal::compareTo);
|
log.info("[Gate] 多队列:{}", longPriceQueue);
|
}
|
|
/**
|
* 根据当前多空价格队列同步构建网格元素列表，写入 config。
|
*
|
* <h3>ID 分配规则</h3>
|
* <ul>
|
* <li>空仓队列：id 从 -1 自减（-1, -2, -3...），第一个元素 upId=0，最后一个 downId=null</li>
|
* <li>位置 0：gridPrice=shortBaseEntryPrice，upId=-1，downId=1，其数据在基座开仓时更新</li>
|
* <li>多仓队列：id 从 1 自增（1, 2, 3...），第一个元素 upId=0，最后一个 downId=null</li>
|
* </ul>
|
*
|
* <h3>链表关系</h3>
|
* 所有元素通过 upId/downId 串成一条双向链表：
|
* ... → -3 → -2 → -1 → 0 → 1 → 2 → 3 → ...
|
*/
|
private void updateGridElements() {
|
List<GridElement> elements = new ArrayList<>();
|
int shortSize = shortPriceQueue.size();
|
int longSize = longPriceQueue.size();
|
//根据精度转换成小数
|
int prec = config.getPriceScale();
|
// BigDecimal minTick = BigDecimal.ONE.scaleByPowerOfTen(-prec);
|
// BigDecimal step = config.getStep().subtract(minTick);
|
BigDecimal step = config.getStep();
|
String qty = config.getQuantity();
|
|
// 空仓队列：id 从 -1 自减, shortPriceQueue[i] → id=-(i+1)
|
for (int i = 0; i < shortSize; i++) {
|
int id = -(i + 1);
|
Integer upId = (i == 0) ? 0 : id + 1;
|
Integer downId = (i == shortSize - 1) ? null : id - 1;
|
BigDecimal price = shortPriceQueue.get(i);
|
TraderParam longParam = TraderParam.builder()
|
.direction(TraderParam.Direction.LONG)
|
.entryPrice(price)
|
.takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP))
|
.quantity(qty)
|
.build();
|
TraderParam shortParam = TraderParam.builder()
|
.direction(TraderParam.Direction.SHORT)
|
.entryPrice(price)
|
.takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP))
|
.quantity(qty)
|
.build();
|
elements.add(GridElement.builder()
|
.id(id)
|
.gridPrice(price)
|
.upId(upId)
|
.downId(downId)
|
.longTraderParam(longParam)
|
.shortTraderParam(shortParam)
|
.build());
|
}
|
|
// 位置 0：基底价格，数据在基座开仓时更新
|
{
|
BigDecimal price = shortBaseEntryPrice;
|
TraderParam longParam = TraderParam.builder()
|
.direction(TraderParam.Direction.LONG)
|
.entryPrice(price)
|
.takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP))
|
.quantity(qty)
|
.build();
|
TraderParam shortParam = TraderParam.builder()
|
.direction(TraderParam.Direction.SHORT)
|
.entryPrice(price)
|
.takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP))
|
.quantity(qty)
|
.build();
|
elements.add(GridElement.builder()
|
.id(0)
|
.gridPrice(price)
|
.upId(shortSize > 0 ? 1 : null)
|
.downId(longSize > 0 ? -1 : null)
|
.longTraderParam(longParam)
|
.shortTraderParam(shortParam)
|
.build());
|
}
|
|
// 多仓队列：id 从 1 自增, longPriceQueue[i] → id=i+1
|
for (int i = 0; i < longSize; i++) {
|
int id = i + 1;
|
Integer downId = (i == 0) ? 0 : id - 1;
|
Integer upId = (i == longSize - 1) ? null : id + 1;
|
BigDecimal price = longPriceQueue.get(i);
|
TraderParam longParam = TraderParam.builder()
|
.direction(TraderParam.Direction.LONG)
|
.entryPrice(price)
|
.takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP))
|
.quantity(qty)
|
.build();
|
TraderParam shortParam = TraderParam.builder()
|
.direction(TraderParam.Direction.SHORT)
|
.entryPrice(price)
|
.takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP))
|
.quantity(qty)
|
.build();
|
elements.add(GridElement.builder()
|
.id(id)
|
.gridPrice(price)
|
.upId(upId)
|
.downId(downId)
|
.longTraderParam(longParam)
|
.shortTraderParam(shortParam)
|
.build());
|
}
|
|
config.setGridElements(elements);
|
log.info("[Gate] 网格元素列表已构建, 共{}个元素 (空仓:{} 位置:0 多仓:{})", elements.size(), shortSize, longSize);
|
}
|
|
private void processShortGrid(BigDecimal currentPrice) {
|
int prec = config.getPriceScale();
|
List<BigDecimal> matched = new ArrayList<>();
|
synchronized (shortPriceQueue) {
|
for (BigDecimal p : shortPriceQueue) {
|
if (p.compareTo(currentPrice) >= 0) {
|
matched.add(p);
|
} else {
|
break;
|
}
|
}
|
}
|
if (matched.isEmpty()) {
|
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(prec, RoundingMode.HALF_UP);
|
shortPriceQueue.add(min);
|
}
|
shortPriceQueue.sort((a, b) -> b.compareTo(a));
|
}
|
|
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(prec, RoundingMode.HALF_UP);
|
longPriceQueue.add(elem);
|
}
|
longPriceQueue.sort(BigDecimal::compareTo);
|
while (longPriceQueue.size() > config.getGridQueueSize()) {
|
longPriceQueue.remove(longPriceQueue.size() - 1);
|
}
|
}
|
|
if (!isMarginSafe()) {
|
log.warn("[Gate] 保证金超限，跳过挂条件单");
|
} else {
|
|
/**
|
* 下一个开仓位置
|
* 获取队列第一个元素的价格对应的网格
|
* 判断网格是否能开空仓，如果不能则跳过
|
* 前进方向挂空仓条件单
|
* 后置方向挂多空条件单
|
*/
|
//下一个开仓位置
|
BigDecimal newLongFirst = shortPriceQueue.get(0);
|
GridElement UpGridElement = GridElement.findByPrice(newLongFirst);
|
|
// 判断网格是否能开空仓，如果不能则跳过
|
if (UpGridElement != null) {
|
|
// if (!UpGridElement.isHasShortOrder() && shortEntryPrice.compareTo(newLongFirst) > 0) {
|
//
|
// TraderParam upShortTraderParam = UpGridElement.getShortTraderParam();
|
// placeEntryOrderWithPreFlag(UpGridElement, false,
|
// upShortTraderParam.getEntryPrice(),
|
// FuturesPriceTrigger.RuleEnum.NUMBER_2,
|
// negate(upShortTraderParam.getQuantity()));
|
// }
|
int i = UpGridElement.getId() + 2;
|
GridElement downGridElement = GridElement.findById(i);
|
if (downGridElement != null){
|
|
BigDecimal downGridPrice = downGridElement.getGridPrice();
|
|
// TraderParam downShortTraderParam = downGridElement.getShortTraderParam();
|
// if (
|
// !downGridElement.isHasShortOrder() &&
|
// downGridPrice.compareTo(longEntryPrice) <= 0 &&
|
// downGridPrice.compareTo(shortEntryPrice) >= 0
|
// ){
|
// placeEntryOrderWithPreFlag(downGridElement, false,
|
// downShortTraderParam.getEntryPrice(),
|
// FuturesPriceTrigger.RuleEnum.NUMBER_1,
|
// negate(downShortTraderParam.getQuantity()));
|
//
|
// }
|
|
TraderParam downLongTraderParam = downGridElement.getLongTraderParam();
|
if (
|
!downGridElement.isHasLongOrder() &&
|
downGridPrice.compareTo(longEntryPrice) <= 0
|
){
|
placeEntryOrderWithPreFlag(downGridElement, true,
|
downLongTraderParam.getEntryPrice(),
|
FuturesPriceTrigger.RuleEnum.NUMBER_1,
|
downLongTraderParam.getQuantity());
|
}
|
}
|
}
|
}
|
}
|
|
private void processLongGrid(BigDecimal currentPrice) {
|
int prec = config.getPriceScale();
|
List<BigDecimal> matched = new ArrayList<>();
|
synchronized (longPriceQueue) {
|
for (BigDecimal p : longPriceQueue) {
|
if (p.compareTo(currentPrice) <= 0) {
|
matched.add(p);
|
} else {
|
break;
|
}
|
}
|
}
|
if (matched.isEmpty()) {
|
return;
|
}
|
|
log.info("[Gate] 多仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
|
|
/**
|
* 匹配到元素后，
|
* 多仓队列更新
|
* 空仓队列更新
|
*/
|
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(prec, RoundingMode.HALF_UP);
|
longPriceQueue.add(max);
|
}
|
longPriceQueue.sort(BigDecimal::compareTo);
|
}
|
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(prec, RoundingMode.HALF_UP);
|
shortPriceQueue.add(elem);
|
}
|
shortPriceQueue.sort((a, b) -> b.compareTo(a));
|
while (shortPriceQueue.size() > config.getGridQueueSize()) {
|
shortPriceQueue.remove(shortPriceQueue.size() - 1);
|
}
|
}
|
|
if (!isMarginSafe()) {
|
log.warn("[Gate] 保证金超限，跳过挂条件单");
|
} else {
|
|
/**
|
* 下一个开仓位置
|
* 获取队列第一个元素的价格对应的网格
|
* 判断网格是否能开多仓，如果不能则跳过
|
* 前进方向挂多仓条件单
|
* 后置方向挂多空条件单
|
*/
|
//下一个开仓位置
|
BigDecimal newLongFirst = longPriceQueue.get(0);
|
GridElement UpGridElement = GridElement.findByPrice(newLongFirst);
|
|
// 判断网格是否能开多仓，如果不能则跳过
|
if (UpGridElement != null) {
|
|
// if (!UpGridElement.isHasLongOrder() && longEntryPrice.compareTo(newLongFirst) < 0) {
|
// TraderParam upLongTraderParam = UpGridElement.getLongTraderParam();
|
// placeEntryOrderWithPreFlag(UpGridElement, true,
|
// upLongTraderParam.getEntryPrice(),
|
// FuturesPriceTrigger.RuleEnum.NUMBER_1,
|
// config.getQuantity());
|
// }
|
|
int i = UpGridElement.getId() - 2;
|
GridElement downGridElement = GridElement.findById(i);
|
if (downGridElement != null){
|
|
BigDecimal downGridPrice = downGridElement.getGridPrice();
|
|
// TraderParam downLongTraderParam = downGridElement.getLongTraderParam();
|
// if (
|
// !downGridElement.isHasLongOrder() &&
|
// downGridPrice.compareTo(shortEntryPrice) >= 0 &&
|
// downGridPrice.compareTo(longEntryPrice) <= 0
|
// ){
|
// placeEntryOrderWithPreFlag(downGridElement, true,
|
// downLongTraderParam.getEntryPrice(),
|
// FuturesPriceTrigger.RuleEnum.NUMBER_2,
|
// config.getQuantity());
|
//
|
// }
|
|
TraderParam shortTraderParam = downGridElement.getShortTraderParam();
|
if (
|
!downGridElement.isHasShortOrder() &&
|
downGridPrice.compareTo(shortEntryPrice) >= 0
|
){
|
|
placeEntryOrderWithPreFlag(downGridElement, false,
|
shortTraderParam.getEntryPrice(),
|
FuturesPriceTrigger.RuleEnum.NUMBER_2,
|
negate(config.getQuantity()));
|
}
|
}
|
}
|
}
|
}
|
|
private void handleLongStopLossTriggered(GridElement gridElement) {
|
int gridId = gridElement.getId();
|
int N = Math.abs(gridId);
|
gridElement.setLongStopLossOrderId(null);
|
log.info("[Gate] 多仓止损触发 gridId:{}, 开始追单", gridId);
|
|
int newEntryGridId = -(N - 1);
|
|
GridElement newEntryGrid = GridElement.findById(newEntryGridId);
|
if (newEntryGrid == null) {
|
log.warn("[Gate] 多仓止损触发 but gridId:{} 不存在", newEntryGridId);
|
GridElement.refreshIndices();
|
return;
|
}
|
|
if (N > 2) {
|
int cancelGridId = -(N - 2);
|
GridElement cancelGrid = GridElement.findById(cancelGridId);
|
if (cancelGrid != null && cancelGrid.isHasLongOrder()) {
|
executor.cancelConditionalOrder(cancelGrid.getLongOrderId(), oid -> {
|
longEntryTraderIdParam(cancelGrid, null, false);
|
log.info("[Gate] 多仓止损触发, 取消gridId:{}的多单", cancelGridId);
|
});
|
}
|
}
|
|
BigDecimal triggerPrice = newEntryGrid.getGridPrice();
|
BigDecimal priceDiff = longEntryPrice.subtract(triggerPrice).abs();
|
int entryQty = priceDiff.divide(config.getStep(), 0, RoundingMode.DOWN).intValue();
|
entryQty = Math.max(1, entryQty);
|
String size = String.valueOf(entryQty);
|
log.info("[Gate] 多仓止损触发 gridId:{}, 在gridId:{}挂{}张多单, 均价:{}, 价差:{}, 步长:{}",
|
gridId, newEntryGridId, entryQty, longEntryPrice, priceDiff, config.getStep());
|
newEntryGrid.getLongTraderParam().setQuantity(size);
|
placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice,
|
FuturesPriceTrigger.RuleEnum.NUMBER_1, size);
|
}
|
|
private void handleShortStopLossTriggered(GridElement gridElement) {
|
int gridId = gridElement.getId();
|
int N = gridId;
|
gridElement.setShortStopLossOrderId(null);
|
log.info("[Gate] 空仓止损触发 gridId:{}, 开始追单", gridId);
|
|
int newEntryGridId = N - 1;
|
|
GridElement newEntryGrid = GridElement.findById(newEntryGridId);
|
if (newEntryGrid == null) {
|
log.warn("[Gate] 空仓止损触发 but gridId:{} 不存在", newEntryGridId);
|
GridElement.refreshIndices();
|
return;
|
}
|
|
if (N > 2) {
|
int cancelGridId = N - 2;
|
GridElement cancelGrid = GridElement.findById(cancelGridId);
|
if (cancelGrid != null && cancelGrid.isHasShortOrder()) {
|
executor.cancelConditionalOrder(cancelGrid.getShortOrderId(), oid -> {
|
shortEntryTraderIdParam(cancelGrid, null, false);
|
log.info("[Gate] 空仓止损触发, 取消gridId:{}的空单", cancelGridId);
|
});
|
}
|
}
|
|
|
|
BigDecimal triggerPrice = newEntryGrid.getGridPrice();
|
BigDecimal priceDiff = shortEntryPrice.subtract(triggerPrice).abs();
|
int entryQty = priceDiff.divide(config.getStep(), 0, RoundingMode.DOWN).intValue();
|
entryQty = Math.max(1, entryQty);
|
String size = String.valueOf(entryQty);
|
log.info("[Gate] 空仓止损触发 gridId:{}, 在gridId:{}挂{}张空单, 均价:{}, 价差:{}, 步长:{}",
|
gridId, newEntryGridId, entryQty, shortEntryPrice, priceDiff, config.getStep());
|
newEntryGrid.getShortTraderParam().setQuantity(size);
|
placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice,
|
FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size));
|
}
|
|
private void extendLongStopLoss(int filledQty) {
|
int furthestSlId = 0;
|
for (GridElement e : config.getGridElements()) {
|
if (e.getLongStopLossOrderId() != null && e.getId() < furthestSlId) {
|
furthestSlId = e.getId();
|
}
|
}
|
if (furthestSlId == 0) {
|
furthestSlId = -11;
|
}
|
log.info("[Gate] 多仓追挂止损, 当前最远止损gridId:{}, 追加{}张", furthestSlId, filledQty);
|
for (int i = 0; i < filledQty; i++) {
|
int newSlId = furthestSlId - i - 1;
|
GridElement elem = GridElement.findById(newSlId);
|
if (elem == null) {
|
continue;
|
}
|
BigDecimal triggerPrice = elem.getGridPrice();
|
int finalSlId = newSlId;
|
executor.placeTakeProfit(
|
triggerPrice,
|
FuturesPriceTrigger.RuleEnum.NUMBER_2,
|
ORDER_TYPE_CLOSE_LONG,
|
"-1",
|
profitId -> {
|
elem.setLongStopLossOrderId(profitId);
|
GridElement.refreshIndices();
|
log.info("[Gate] 多仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId);
|
}
|
);
|
}
|
}
|
|
private void extendShortStopLoss(int filledQty) {
|
int furthestSlId = 0;
|
for (GridElement e : config.getGridElements()) {
|
if (e.getShortStopLossOrderId() != null && e.getId() > furthestSlId) {
|
furthestSlId = e.getId();
|
}
|
}
|
if (furthestSlId == 0) {
|
furthestSlId = 11;
|
}
|
log.info("[Gate] 空仓追挂止损, 当前最远止损gridId:{}, 追加{}张", furthestSlId, filledQty);
|
for (int i = 0; i < filledQty; i++) {
|
int newSlId = furthestSlId + i + 1;
|
GridElement elem = GridElement.findById(newSlId);
|
if (elem == null) {
|
continue;
|
}
|
BigDecimal triggerPrice = elem.getGridPrice();
|
int finalSlId = newSlId;
|
executor.placeTakeProfit(
|
triggerPrice,
|
FuturesPriceTrigger.RuleEnum.NUMBER_1,
|
ORDER_TYPE_CLOSE_SHORT,
|
"1",
|
profitId -> {
|
elem.setShortStopLossOrderId(profitId);
|
GridElement.refreshIndices();
|
log.info("[Gate] 空仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId);
|
}
|
);
|
}
|
}
|
|
private void checkProfitAndReset() {
|
try {
|
FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
|
BigDecimal unrealisedPnl = new BigDecimal(account.getCrossUnrealisedPnl());
|
BigDecimal available = new BigDecimal(account.getCrossAvailable());
|
BigDecimal totalEquity = unrealisedPnl.add(available);
|
BigDecimal target = initialPrincipal.add(config.getExpectedProfit());
|
log.info("[Gate] 盈亏检查 cross_unrealised_pnl:{}, cross_available:{}, 合计:{}, 目标:{}",
|
unrealisedPnl, available, totalEquity, target);
|
if (totalEquity.compareTo(target) > 0) {
|
log.info("[Gate] 盈亏达标({}>{})，重置策略", totalEquity, target);
|
closeExistingPositions();
|
futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
|
startGrid();
|
}
|
} catch (Exception e) {
|
log.warn("[Gate] 盈亏检查失败", e);
|
}
|
}
|
|
private void handlePositionZeroAndReset(String direction) {
|
try {
|
futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
|
} catch (Exception e) {
|
log.warn("[Gate] {}持仓归零后取消条件单失败", direction, e);
|
}
|
closeExistingPositions();
|
startGrid();
|
}
|
|
// ---- 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;
|
}
|
|
/**
|
* 预设标志位后提交条件开仓单，防止异步回调导致的竞态重复挂单。
|
*
|
* <p>在调用 {@link GateTradeExecutor#placeConditionalEntryOrder} 之前同步设置
|
* {@code isHasLongOrder / isHasShortOrder}，关闭 WS 线程与 Executor 线程之间的
|
* 检查-下单时间窗口。API 失败时自动回滚标志位。
|
*
|
* @param gridElement 目标网格元素
|
* @param isLong true=多仓下单，false=空仓下单
|
* @param triggerPrice 触发价
|
* @param rule 触发规则
|
* @param size 开仓张数
|
*/
|
private void placeEntryOrderWithPreFlag(GridElement gridElement, boolean isLong,
|
BigDecimal triggerPrice,
|
FuturesPriceTrigger.RuleEnum rule,
|
String size) {
|
if (isLong) {
|
gridElement.setHasLongOrder(true);
|
} else {
|
gridElement.setHasShortOrder(true);
|
}
|
executor.placeConditionalEntryOrder(triggerPrice, rule, size,
|
orderId -> {
|
if (isLong) {
|
longEntryTraderIdParam(gridElement, orderId, true);
|
} else {
|
shortEntryTraderIdParam(gridElement, orderId, true);
|
}
|
},
|
() -> {
|
if (isLong) {
|
gridElement.setHasLongOrder(false);
|
gridElement.setLongOrderId(null);
|
} else {
|
gridElement.setHasShortOrder(false);
|
gridElement.setShortOrderId(null);
|
}
|
GridElement.refreshIndices();
|
log.warn("[Gate] 条件单创建失败，回滚标志位 gridId:{}, isLong:{}", gridElement.getId(), isLong);
|
}
|
);
|
}
|
|
/**
|
* 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; }
|
/** @return 累计已实现盈亏（平仓推送驱动累加） */
|
public BigDecimal getCumulativePnl() { return cumulativePnl; }
|
/** @return 当前未实现盈亏（每根 K 线实时计算） */
|
public BigDecimal getUnrealizedPnl() { return unrealizedPnl; }
|
/** @return Gate 用户 ID（用于私有频道订阅 payload） */
|
public Long getUserId() { return userId; }
|
/** @return 当前策略状态 */
|
public StrategyState getState() { return state; }
|
}
|
