refactor(gateApi): 优化网格交易价格队列添加逻辑

Administrator

3 days ago 1819eaee93e47888dad4e1be4e3c611576426581

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

@@ -58,10 +58,8 @@
        WAITING_KLINE, OPENING, ACTIVE, STOPPED
    }

    private static final String AUTO_SIZE_LONG = "close_long";
    private static final String AUTO_SIZE_SHORT = "close_short";
    private static final String ORDER_TYPE_CLOSE_LONG = "close-long-position";
    private static final String ORDER_TYPE_CLOSE_SHORT = "close-short-position";
    private static final String ORDER_TYPE_CLOSE_LONG = "plan-close-long-position";
    private static final String ORDER_TYPE_CLOSE_SHORT = "plan-close-short-position";

    private final GateConfig config;
    private final GateTradeExecutor executor;
@@ -123,6 +121,12 @@
            FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
            this.initialPrincipal = new BigDecimal(account.getTotal());
            log.info("[Gate] 初始本金: {} USDT", initialPrincipal);

            //设置持仓模式为双向持仓
            Boolean inDualMode = account.getInDualMode();
            if (!inDualMode) {
                futuresApi.setDualModeCall(SETTLE,true,null);
            }

            if (!config.getPositionMode().equals(account.getPositionMode())) {
                futuresApi.setPositionMode(SETTLE, config.getPositionMode());
@@ -227,14 +231,10 @@
            state = StrategyState.OPENING;
            log.info("[Gate] 首根K线到达，开基底仓位...");
            executor.openLong(config.getQuantity(), () -> {
                baseLongOpened = true;
                longActive = true;
                log.info("[Gate] 基底多已开");
                log.info("[Gate] 基底多单已提交");
            }, null);
            executor.openShort(negate(config.getQuantity()), () -> {
                baseShortOpened = true;
                shortActive = true;
                log.info("[Gate] 基底空已开");
                log.info("[Gate] 基底空单已提交");
            }, null);
            return;
        }
@@ -267,10 +267,10 @@
                    log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice);
                    tryGenerateQueues();
                } else {
                    executor.placeTakeProfit(entryPrice.add(config.getGridRate()).setScale(1, RoundingMode.HALF_UP),
                            FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, AUTO_SIZE_LONG);
                    log.info("[Gate] 多单止盈已设, entry:{}, tp:{}", entryPrice,
                            entryPrice.add(config.getGridRate()).setScale(1, RoundingMode.HALF_UP));
                    BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.add(config.getGridRate())).setScale(1, RoundingMode.HALF_UP);
                    executor.placeTakeProfit(tpPrice,
                            FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, negate(config.getQuantity()));
                    log.info("[Gate] 多单止盈已设, entry:{}, tp:{}, size:{}", entryPrice, tpPrice, negate(config.getQuantity()));
                }
            } else {
                longActive = false;
@@ -287,10 +287,10 @@
                    log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice);
                    tryGenerateQueues();
                } else {
                    executor.placeTakeProfit(entryPrice.subtract(config.getGridRate()).setScale(1, RoundingMode.HALF_UP),
                            FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, AUTO_SIZE_SHORT);
                    log.info("[Gate] 空单止盈已设, entry:{}, tp:{}", entryPrice,
                            entryPrice.subtract(config.getGridRate()).setScale(1, RoundingMode.HALF_UP));
                    BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.subtract(config.getGridRate())).setScale(1, RoundingMode.HALF_UP);
                    executor.placeTakeProfit(tpPrice,
                            FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
                    log.info("[Gate] 空单止盈已设, entry:{}, tp:{}, size:{}", entryPrice, tpPrice, config.getQuantity());
                }
            } else {
                shortActive = false;
@@ -334,7 +334,7 @@
        shortPriceQueue.clear();
        BigDecimal step = config.getGridRate();
        for (int i = 1; i <= config.getGridQueueSize(); i++) {
            shortPriceQueue.add(shortBaseEntryPrice.subtract(step.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP));
            shortPriceQueue.add(shortBaseEntryPrice.multiply(BigDecimal.ONE.subtract(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP));
        }
        shortPriceQueue.sort((a, b) -> b.compareTo(a));
        //输出队列：shortPriceQueue;
@@ -345,7 +345,7 @@
        longPriceQueue.clear();
        BigDecimal step = config.getGridRate();
        for (int i = 1; i <= config.getGridQueueSize(); i++) {
            longPriceQueue.add(longBaseEntryPrice.add(step.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP));
            longPriceQueue.add(longBaseEntryPrice.multiply(BigDecimal.ONE.add(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP));
        }
        longPriceQueue.sort(BigDecimal::compareTo);
        log.info("[Gate] 多队列:{}", longPriceQueue);
@@ -362,10 +362,11 @@
                }
            }
        }
        log.info("[Gate] 原空队列:{}", shortPriceQueue);
        if (matched.isEmpty()) {
            log.info("[Gate] 空仓队列未触发, 当前价:{}", currentPrice);
            return;
        }

        log.info("[Gate] 空仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
        if (!isMarginSafe()) {
            log.warn("[Gate] 保证金超限，跳过空单开仓");
@@ -378,18 +379,32 @@
            BigDecimal min = shortPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : shortPriceQueue.get(shortPriceQueue.size() - 1);
            BigDecimal step = config.getGridRate();
            for (int i = 0; i < matched.size(); i++) {
                min = min.subtract(step).setScale(1, RoundingMode.HALF_UP);
                min = min.multiply(BigDecimal.ONE.subtract(step)).setScale(1, RoundingMode.HALF_UP);
                shortPriceQueue.add(min);
            }
            shortPriceQueue.sort((a, b) -> b.compareTo(a));
            shortPriceQueue.sort(BigDecimal::compareTo);

            log.info("[Gate] 现空队列:{}", shortPriceQueue);
        }

        synchronized (longPriceQueue) {
            longPriceQueue.addAll(matched);
            BigDecimal first = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(0);
            BigDecimal step = config.getGridRate();
            int added = 0;
            for (int i = 1; i <= matched.size(); i++) {
                BigDecimal elem = first.multiply(BigDecimal.ONE.subtract(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP);
                if (longEntryPrice.compareTo(BigDecimal.ZERO) > 0
                        && elem.subtract(longEntryPrice).abs().compareTo(longEntryPrice.multiply(step)) < 0) {
                    continue;
                }
                longPriceQueue.add(elem);
                added++;
            }
            longPriceQueue.sort(BigDecimal::compareTo);
            while (longPriceQueue.size() > config.getGridQueueSize()) {
                longPriceQueue.remove(longPriceQueue.size() - 1);
            }
            log.info("[Gate] 现多队列:{}, 跳过{}个(贴近多仓均价)", longPriceQueue, matched.size() - added);
        }
    }

@@ -404,7 +419,9 @@
                }
            }
        }
        log.info("[Gate] 原多队列:{}", longPriceQueue);
        if (matched.isEmpty()) {
            log.info("[Gate] 多仓队列未触发,  当前价:{}", currentPrice);
            return;
        }

@@ -420,18 +437,32 @@
            BigDecimal max = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(longPriceQueue.size() - 1);
            BigDecimal step = config.getGridRate();
            for (int i = 0; i < matched.size(); i++) {
                max = max.add(step).setScale(1, RoundingMode.HALF_UP);
                max = max.multiply(BigDecimal.ONE.add(step)).setScale(1, RoundingMode.HALF_UP);
                longPriceQueue.add(max);
            }
            longPriceQueue.sort(BigDecimal::compareTo);

            log.info("[Gate] 现多队列:{}", longPriceQueue);
        }

        synchronized (shortPriceQueue) {
            shortPriceQueue.addAll(matched);
            BigDecimal first = shortPriceQueue.isEmpty() ? matched.get(0) : shortPriceQueue.get(0);
            BigDecimal step = config.getGridRate();
            int added = 0;
            for (int i = 1; i <= matched.size(); i++) {
                BigDecimal elem = first.multiply(BigDecimal.ONE.add(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP);
                if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
                        && elem.subtract(shortEntryPrice).abs().compareTo(shortEntryPrice.multiply(step)) < 0) {
                    continue;
                }
                shortPriceQueue.add(elem);
                added++;
            }
            shortPriceQueue.sort((a, b) -> b.compareTo(a));
            while (shortPriceQueue.size() > config.getGridQueueSize()) {
                shortPriceQueue.remove(shortPriceQueue.size() - 1);
            }
            log.info("[Gate] 现空队列:{}, 跳过{}个(贴近空仓均价)", shortPriceQueue, matched.size() - added);
        }
    }

@@ -481,6 +512,8 @@
            shortPnl = shortPositionSize.multiply(multiplier).multiply(shortEntryPrice.subtract(price));
        }
        unrealizedPnl = longPnl.add(shortPnl);

        log.info("[Gate] 未实现盈亏: {}", unrealizedPnl);
    }

    /**