fix(gateApi): 修复网格交易止损数量计算逻辑

Administrator

2026-06-15 09065e13e4f614092cf2632a90d4729739e1de99

 src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java

@@ -382,6 +382,10 @@
            return;
        }


//        checkProfitAndReset();


        if (state == StrategyState.ACTIVE &&
                longActive == false &&
                    longPositionSize.compareTo(BigDecimal.ZERO) == 0){
@@ -393,6 +397,46 @@
                shortActive == false &&
                        shortPositionSize.compareTo(BigDecimal.ZERO) == 0){
            processLongGrid(closePrice);
        }
    }

    /** Gate 永续合约 taker 费率 0.05% */
    private static final BigDecimal TAKER_FEE_RATE = new BigDecimal("0.0005");
    private void checkProfitAndReset() {
        try {

            BigDecimal target = initialPrincipal.add(config.getExpectedProfit());

            FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
            BigDecimal unrealisedPnl = new BigDecimal(account.getCrossUnrealisedPnl());
            BigDecimal available = new BigDecimal(account.getCrossAvailable());
            BigDecimal totalEquity = unrealisedPnl.add(available);

            // 估算平仓手续费：(多仓张数+空仓张数) × 合约面值 × 当前价 × taker费率
            BigDecimal totalSize = longPositionSize.abs().add(shortPositionSize.abs());
            BigDecimal closeContractValue =
                    totalSize.multiply(config.getContractMultiplier()).multiply(lastKlinePrice != null ? lastKlinePrice : BigDecimal.ZERO);
            BigDecimal estimatedFee = closeContractValue.multiply(TAKER_FEE_RATE);
            BigDecimal netEquity = totalEquity.subtract(estimatedFee);
            log.info("[Gate] 盈亏检查,总张数：{}, upl:{}, avail:{}, 合计:{}, 估手续费:{}, 净权益:{}, 目标:{}",
                    totalSize,unrealisedPnl, available, totalEquity, estimatedFee, netEquity, target);
            if (netEquity.compareTo(target) > 0) {
                log.info("[Gate] 盈亏达标(净权益{}>目标{})，重置策略", netEquity, target);
                state = StrategyState.STOPPED;
                try {
                    futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
                } catch (ApiException e) {
                    e.printStackTrace();
                }
                closeExistingPositions();
                // 提交到 executor 末尾：单线程FIFO保证前面所有平仓/取消任务完成后才重置
                executor.submitTask(() -> {
                    try { Thread.sleep(3000); } catch (InterruptedException e) { Thread.currentThread().interrupt(); }
                    startGrid();
                });
            }
        } catch (Exception e) {
            log.warn("[Gate] 盈亏检查失败", e);
        }
    }

@@ -562,21 +606,76 @@
        GridElement shortGridElement = GridElement.findByShortOrderId(orderId);
        if (shortGridElement != null) {
            if (shortGridElement.isHasShortOrder() && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0") ){
                int filledQty = Integer.parseInt(shortGridElement.getShortTraderParam().getQuantity());
                shortEntryTraderIdParam(shortGridElement, null, false);

                int filledQty = shortGridElement.getId();
                extendShortStopLoss(filledQty);
                extendShortStopLoss(filledQty,shortGridElement.getId());
                log.info("[Gate] 空单成交 gridId:{}", filledQty);

                // 空仓持仓超过baseQuantity时，从gridId-2开始向外追挂止盈
                BigDecimal shortBaseQty = new BigDecimal(config.getBaseQuantity());
                BigDecimal shortGridQty = new BigDecimal(config.getQuantity());
                if (shortPositionSize.compareTo(shortBaseQty) > 0) {
                    BigDecimal shortExcess = shortPositionSize.subtract(shortBaseQty);
                    int shortExcessCount = shortExcess.divide(shortGridQty, 0, RoundingMode.DOWN).intValue();
                    for (int i = 0; i < shortExcessCount; i++) {
                        int tpGridId = shortGridElement.getId() - 2 - i;
                        GridElement tpElem = GridElement.findById(tpGridId);
                        if (tpElem == null || tpElem.getShortTakeProfitOrderId() != null) {
                            continue;
                        }
                        BigDecimal tpPrice = tpElem.getGridPrice();
                        int finalTpGridId = tpGridId;
                        executor.placeTakeProfit(
                                tpPrice,
                                FuturesPriceTrigger.RuleEnum.NUMBER_2,
                                ORDER_TYPE_CLOSE_SHORT,
                                config.getQuantity(),
                                profitId -> {
                                    shortTakeProfitTraderIdParam(tpElem, profitId, true);
                                    log.info("[Gate] 空仓止盈挂单, gridId:{}, 触发价:{}, takeProfitId:{}",
                                            finalTpGridId, tpPrice, profitId);
                                }
                        );
                    }
                }
            }
        }
        GridElement longGridElement = GridElement.findByLongOrderId(orderId);
        if (longGridElement != null) {
            if (longGridElement.isHasLongOrder() && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")){
                longEntryTraderIdParam(longGridElement, null, false);

                int filledQty = longGridElement.getId();
                extendLongStopLoss(filledQty);
                int filledQty = Integer.parseInt(longGridElement.getLongTraderParam().getQuantity());
                longEntryTraderIdParam(longGridElement, null, false);
                extendLongStopLoss(filledQty,longGridElement.getId());
                log.info("[Gate] 多单成交 gridId:{}", filledQty);

                // 多仓持仓超过baseQuantity时，从gridId+2开始向外追挂止盈
                BigDecimal longBaseQty = new BigDecimal(config.getBaseQuantity());
                BigDecimal longGridQty = new BigDecimal(config.getQuantity());
                if (longPositionSize.compareTo(longBaseQty) > 0) {
                    BigDecimal longExcess = longPositionSize.subtract(longBaseQty);
                    int longExcessCount = longExcess.divide(longGridQty, 0, RoundingMode.DOWN).intValue();
                    for (int i = 0; i < longExcessCount; i++) {
                        int tpGridId = longGridElement.getId() + 2 + i;
                        GridElement tpElem = GridElement.findById(tpGridId);
                        if (tpElem == null || tpElem.getLongTakeProfitOrderId() != null) {
                            continue;
                        }
                        BigDecimal tpPrice = tpElem.getGridPrice();
                        int finalTpGridId = tpGridId;
                        executor.placeTakeProfit(
                                tpPrice,
                                FuturesPriceTrigger.RuleEnum.NUMBER_1,
                                ORDER_TYPE_CLOSE_LONG,
                                negate(config.getQuantity()),
                                profitId -> {
                                    longTakeProfitTraderIdParam(tpElem, profitId, true);
                                    log.info("[Gate] 多仓止盈挂单, gridId:{}, 触发价:{}, takeProfitId:{}",
                                            finalTpGridId, tpPrice, profitId);
                                }
                        );
                    }
                }
            }
        }
    }
@@ -609,39 +708,84 @@
            baseGridElement.setShortOrderId(baseShortTraderParam.getEntryOrderId());
            baseGridElement.setHasShortOrder(true);

            int shortTime = 2;
            GridElement elemShort = GridElement.findById(shortTime);
            if (elemShort != null) {
                BigDecimal triggerPrice = elemShort.getGridPrice();
                String size = config.getBaseQuantity();
//            int shortTime = 2;
//            GridElement elemShort = GridElement.findById(shortTime);
//            if (elemShort != null) {
//                BigDecimal triggerPrice = elemShort.getGridPrice();
//                String size = config.getBaseQuantity();
//                executor.placeTakeProfit(
//                        triggerPrice,
//                        FuturesPriceTrigger.RuleEnum.NUMBER_1,
//                        ORDER_TYPE_CLOSE_SHORT,
//                        size,
//                        profitId -> {
//                            elemShort.setShortStopLossOrderId(profitId);
//                            GridElement.refreshIndices();
//                            log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", shortTime, triggerPrice, profitId);
//                        }
//                );
//            }
//
//
//            int longTime = -2;
//            GridElement elemLong = GridElement.findById(longTime);
//            if (elemLong != null) {
//                BigDecimal triggerPrice = elemLong.getGridPrice();
//                String size = config.getBaseQuantity();
//                executor.placeTakeProfit(
//                        triggerPrice,
//                        FuturesPriceTrigger.RuleEnum.NUMBER_2,
//                        ORDER_TYPE_CLOSE_LONG,
//                        negate(size),
//                        profitId -> {
//                            elemLong.setLongStopLossOrderId(profitId);
//                            GridElement.refreshIndices();
//                            log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", longTime, triggerPrice, profitId);
//                        }
//                );
//            }

            int shortTime = Integer.parseInt(config.getBaseQuantity()) / Integer.parseInt(config.getQuantity()) + 1;
            for (int id = 2; id <= shortTime; id++) {
                GridElement elem = GridElement.findById(id);
                if (elem == null) {
                    continue;
                }
                BigDecimal triggerPrice = elem.getGridPrice();
                String size = config.getQuantity();
                int finalId = id;
                executor.placeTakeProfit(
                        triggerPrice,
                        FuturesPriceTrigger.RuleEnum.NUMBER_1,
                        ORDER_TYPE_CLOSE_SHORT,
                        size,
                        profitId -> {
                            elemShort.setShortStopLossOrderId(profitId);
                            elem.setShortStopLossOrderId(profitId);
                            GridElement.refreshIndices();
                            log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", shortTime, triggerPrice, profitId);
                            log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
                        }
                );
            }


            int longTime = -2;
            GridElement elemLong = GridElement.findById(longTime);
            if (elemLong != null) {
                BigDecimal triggerPrice = elemLong.getGridPrice();
                String size = config.getBaseQuantity();
            int longTime = Integer.parseInt(config.getBaseQuantity()) / Integer.parseInt(config.getQuantity()) + 1;
            for (int id = -2; id >= -longTime; id--) {
                GridElement elem = GridElement.findById(id);
                if (elem == null) {
                    continue;
                }
                BigDecimal triggerPrice = elem.getGridPrice();
                String size = config.getQuantity();
                int finalId = id;
                executor.placeTakeProfit(
                        triggerPrice,
                        FuturesPriceTrigger.RuleEnum.NUMBER_2,
                        ORDER_TYPE_CLOSE_LONG,
                        negate(size),
                        profitId -> {
                            elemLong.setLongStopLossOrderId(profitId);
                            elem.setLongStopLossOrderId(profitId);
                            GridElement.refreshIndices();
                            log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", longTime, triggerPrice, profitId);
                            log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
                        }
                );
            }
@@ -767,7 +911,8 @@
        //根据精度转换成小数
        int prec = config.getPriceScale();
        BigDecimal step = config.getStep();
        String qty = config.getBaseQuantity();
//        String qty = config.getBaseQuantity();
        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++) {
@@ -864,7 +1009,7 @@
                    break;
                }
            }
            log.info("[Gate-1] 多仓仓位归零 空仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
//            log.info("[Gate-1] 多仓仓位归零 空仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
            if (BigDecimal.ZERO.compareTo( matched) == 0) {
                return;
            }
@@ -876,7 +1021,7 @@
                    GridElement newEntryGrid = GridElement.findById(upId);

                    if (newEntryGrid != null) {
                        log.info("[Gate-2] 多仓仓位归零 空仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
//                        log.info("[Gate-2] 多仓仓位归零 空仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
                        if (!newEntryGrid.isHasLongOrder()) {
                            BigDecimal triggerPrice = newEntryGrid.getGridPrice();
                            String size = config.getBaseQuantity();
@@ -912,7 +1057,7 @@
                    break;
                }
            }
            log.info("[Gate-3] 空仓仓位归零 多仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
//            log.info("[Gate-3] 空仓仓位归零 多仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
            if (BigDecimal.ZERO.compareTo( matched) == 0) {
                return;
            }
@@ -924,7 +1069,7 @@
                    GridElement newEntryGrid = GridElement.findById(downId);

                    if (newEntryGrid != null) {
                        log.info("[Gate-4] 空仓仓位归零 多仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
//                        log.info("[Gate-4] 空仓仓位归零 多仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
                        if (!newEntryGrid.isHasShortOrder()){
                            BigDecimal triggerPrice = newEntryGrid.getGridPrice();
                            String size = config.getBaseQuantity();
@@ -968,11 +1113,47 @@
        }

        BigDecimal triggerPrice = newEntryGrid.getGridPrice();
        String size = config.getBaseQuantity();
        log.info("[Gate] 多仓止损触发 gridId:{}, 在gridId:{}挂{}基础张多单=",

        BigDecimal baseQuantity = new BigDecimal(config.getBaseQuantity());
        BigDecimal subtract = baseQuantity.subtract(longPositionSize);
        String size = new BigDecimal(config.getQuantity()).add(new BigDecimal(config.getQuantity())).toString();
        if (subtract.compareTo(BigDecimal.ZERO) > 0){
            size = subtract.add(new BigDecimal(config.getQuantity())).toString();
        }
        log.info("[Gate] 多仓止损触发 gridId:{}, 在gridId:{}挂{}基础张多单",
                gridId, newEntryGridId, size);

        newEntryGrid.getLongTraderParam().setQuantity(size);
        placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice,
                FuturesPriceTrigger.RuleEnum.NUMBER_1, size);


        int cancelGridId = gridId + 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);
            });
        }

        // 止损触发时，取消最远的多仓止盈订单
        GridElement farthestLongTp = null;
        for (GridElement e : config.getGridElements()) {
            if (e.getLongTakeProfitOrderId() != null) {
                if (farthestLongTp == null || e.getGridPrice().compareTo(farthestLongTp.getGridPrice()) > 0) {
                    farthestLongTp = e;
                }
            }
        }
        if (farthestLongTp != null) {
            String tpOrderId = farthestLongTp.getLongTakeProfitOrderId();
            GridElement finalFarthestLongTp = farthestLongTp;
            executor.cancelConditionalOrder(tpOrderId, oid -> {
                longTakeProfitTraderIdParam(finalFarthestLongTp, null, false);
                log.info("[Gate] 多仓止损触发, 取消最远止盈 gridId:{}, orderId:{}", finalFarthestLongTp.getId(), tpOrderId);
            });
        }
    }

    private void handleShortStopLossTriggered(GridElement gridElement) {
@@ -990,27 +1171,73 @@
        }

        BigDecimal triggerPrice = newEntryGrid.getGridPrice();
        String size =config.getBaseQuantity();

        BigDecimal baseQuantity = new BigDecimal(config.getBaseQuantity());
        BigDecimal subtract = baseQuantity.subtract(shortPositionSize);

        String size = new BigDecimal(config.getQuantity()).add(new BigDecimal(config.getQuantity())).toString();
        if (subtract.compareTo(BigDecimal.ZERO) > 0){
            size = subtract.add(new BigDecimal(config.getQuantity())).toString();
        }
        log.info("[Gate] 空仓止损触发 gridId:{}, 在gridId:{}挂{}基础张空单",
                gridId, newEntryGridId, size);
        newEntryGrid.getShortTraderParam().setQuantity(size);
        placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice,
                FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size));


        int cancelGridId = gridId - 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);
            });
        }

        // 止损触发时，取消最远的空仓止盈订单
        GridElement farthestShortTp = null;
        for (GridElement e : config.getGridElements()) {
            if (e.getShortTakeProfitOrderId() != null) {
                if (farthestShortTp == null || e.getGridPrice().compareTo(farthestShortTp.getGridPrice()) < 0) {
                    farthestShortTp = e;
                }
            }
        }
        if (farthestShortTp != null) {
            String tpOrderId = farthestShortTp.getShortTakeProfitOrderId();
            GridElement finalFarthestShortTp = farthestShortTp;
            executor.cancelConditionalOrder(tpOrderId, oid -> {
                shortTakeProfitTraderIdParam(finalFarthestShortTp, null, false);
                log.info("[Gate] 空仓止损触发, 取消最远止盈 gridId:{}, orderId:{}", finalFarthestShortTp.getId(), tpOrderId);
            });
        }
    }

    private void extendLongStopLoss(int filledQty) {
        int furthestSlId = filledQty - 2;
        log.info("[Gate] 多仓追挂止损, 当前最远止损gridId:{}", furthestSlId);
        GridElement elem = GridElement.findById(furthestSlId);
        if (elem != null) {
    private void extendLongStopLoss(int filledQty,int gridId) {
        int furthestSlId = 0;
        for (GridElement e : config.getGridElements()) {
            if (e.getLongStopLossOrderId() != null && e.getId() < furthestSlId) {
                furthestSlId = e.getId();
            }
        }
        if (furthestSlId == 0) {
            furthestSlId = gridId;
        }
        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 = elem.getId();
            String size = config.getBaseQuantity();
            int finalSlId = newSlId;
            executor.placeTakeProfit(
                    triggerPrice,
                    FuturesPriceTrigger.RuleEnum.NUMBER_2,
                    ORDER_TYPE_CLOSE_LONG,
                    negate(size),
                    negate(config.getQuantity()),
                    profitId -> {
                        elem.setLongStopLossOrderId(profitId);
                        GridElement.refreshIndices();
@@ -1020,19 +1247,30 @@
        }
    }

    private void extendShortStopLoss(int filledQty) {
        int furthestSlId = filledQty + 2;
        log.info("[Gate] 空仓追挂止损, 当前最远止损gridId:{}", furthestSlId);
        GridElement elem = GridElement.findById(furthestSlId);
        if (elem != null) {
    private void extendShortStopLoss(int filledQty, int gridId) {
        int furthestSlId = 0;
        for (GridElement e : config.getGridElements()) {
            if (e.getShortStopLossOrderId() != null && e.getId() > furthestSlId) {
                furthestSlId = e.getId();
            }
        }
        if (furthestSlId == 0) {
            furthestSlId = gridId;
        }
        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 = elem.getId();
            String size = config.getBaseQuantity();
            int finalSlId = newSlId;
            executor.placeTakeProfit(
                    triggerPrice,
                    FuturesPriceTrigger.RuleEnum.NUMBER_1,
                    ORDER_TYPE_CLOSE_SHORT,
                    size,
                    config.getQuantity(),
                    profitId -> {
                        elem.setShortStopLossOrderId(profitId);
                        GridElement.refreshIndices();