| | |
| | | private volatile int accumulatedLongLossCount = 0; |
| | | /** 空头累计止损张数(加仓订单成交后归零) */ |
| | | private volatile int accumulatedShortLossCount = 0; |
| | | /** 是否首次挂单成交(初始化后重置为 true,首次成交后置 false) */ |
| | | private volatile boolean firstFillAfterInit = true; |
| | | |
| | | private volatile BigDecimal lastKlinePrice; |
| | | private volatile BigDecimal markPrice = BigDecimal.ZERO; |
| | |
| | | shortActive = false; |
| | | accumulatedLongLossCount = 0; |
| | | accumulatedShortLossCount = 0; |
| | | firstFillAfterInit = true; |
| | | shortPriceQueue.clear(); |
| | | longPriceQueue.clear(); |
| | | totalShortPriceQueue.clear(); |
| | |
| | | return; |
| | | } |
| | | |
| | | // [Gate-需求1] 多仓止盈触发:清空止盈状态 + 取消最远多仓止损 + 检查是否最后一个止盈 |
| | | // [Gate-需求1] 多仓止盈触发:清空止盈状态 + 取消最近多仓止损 |
| | | GridElement longTpElem = GridElement.findByLongTakeProfitOrderId(orderId); |
| | | if (longTpElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) { |
| | | longTakeProfitTraderIdParam(longTpElem, null, false); |
| | | log.info("[Gate] 多仓止盈触发 gridId:{}, orderId:{}", longTpElem.getId(), orderId); |
| | | cancelFarthestLongStopLoss(); |
| | | // checkLastTakeProfitAndRestart(); |
| | | cancelNearestLongStopLoss(); |
| | | return; |
| | | } |
| | | // [Gate-需求1] 空仓止盈触发:清空止盈状态 + 取消最远空仓止损 + 检查是否最后一个止盈 |
| | | // [Gate-需求1] 空仓止盈触发:清空止盈状态 + 取消最近空仓止损 |
| | | GridElement shortTpElem = GridElement.findByShortTakeProfitOrderId(orderId); |
| | | if (shortTpElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) { |
| | | shortTakeProfitTraderIdParam(shortTpElem, null, false); |
| | | log.info("[Gate] 空仓止盈触发 gridId:{}, orderId:{}", shortTpElem.getId(), orderId); |
| | | cancelFarthestShortStopLoss(); |
| | | cancelNearestShortStopLoss(); |
| | | // checkLastTakeProfitAndRestart(); |
| | | return; |
| | | } |
| | |
| | | if (shortGridElement.isHasShortOrder() && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0") ){ |
| | | int filledQty = Integer.parseInt(shortGridElement.getShortTraderParam().getQuantity()); |
| | | shortEntryTraderIdParam(shortGridElement, null, false); |
| | | // 首次挂单成交,取消初始化阶段挂的所有止盈单 |
| | | if (firstFillAfterInit) { |
| | | cancelAllInitialTakeProfits(); |
| | | firstFillAfterInit = false; |
| | | } |
| | | // [Gate-需求2] 加仓后先撤空仓所有止盈+止损,再查交易所持仓后重挂 |
| | | cancelAllShortTakeProfitsAndStopLosses(); |
| | | // REST 查询可能因交易所延迟返回旧值,与 WS 本地缓存取最大值兜底 |
| | |
| | | extendShortStopLoss(posSize, shortGridElement.getId()); |
| | | log.info("[Gate] 空单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize); |
| | | |
| | | int tpGridId = 0; |
| | | GridElement tpElem = GridElement.findById(tpGridId); |
| | | // 已有止盈单先取消再重挂 |
| | | String existingShortTpId = tpElem.getShortTakeProfitOrderId(); |
| | | if (existingShortTpId != null) { |
| | | executor.cancelConditionalOrder(existingShortTpId, oid -> { |
| | | shortTakeProfitTraderIdParam(tpElem, null, false); |
| | | log.info("[Gate] 空仓止盈取消(gridId:{}),准备重挂", tpGridId); |
| | | }); |
| | | } |
| | | 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); |
| | | } |
| | | ); |
| | | // int tpGridId = 0; |
| | | // GridElement tpElem = GridElement.findById(tpGridId); |
| | | // // 已有止盈单先取消再重挂 |
| | | // String existingShortTpId = tpElem.getShortTakeProfitOrderId(); |
| | | // if (existingShortTpId != null) { |
| | | // executor.cancelConditionalOrder(existingShortTpId, oid -> { |
| | | // shortTakeProfitTraderIdParam(tpElem, null, false); |
| | | // log.info("[Gate] 空仓止盈取消(gridId:{}),准备重挂", tpGridId); |
| | | // }); |
| | | // } |
| | | // 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); |
| | | // } |
| | | // ); |
| | | |
| | | // // 空仓持仓超过baseQuantity时,先找多仓第一个止损位置,从该位置向下挂止盈(间隔=1) |
| | | // BigDecimal shortBaseQty = new BigDecimal(config.getBaseQuantity()); |
| | | // BigDecimal shortGridQty = new BigDecimal(config.getQuantity()); |
| | | // if (BigDecimal.valueOf(posSize).compareTo(shortBaseQty) > 0) { |
| | | // BigDecimal shortExcess = BigDecimal.valueOf(posSize).subtract(shortBaseQty); |
| | | // int shortExcessCount = shortExcess.divide(shortGridQty, 0, RoundingMode.DOWN).intValue(); |
| | | // |
| | | // 空仓持仓超过baseQuantity时,先找多仓第一个止损位置,从该位置向下挂止盈(间隔=1) |
| | | BigDecimal shortBaseQty = new BigDecimal(config.getBaseQuantity()); |
| | | BigDecimal shortGridQty = new BigDecimal(config.getQuantity()); |
| | | if (BigDecimal.valueOf(posSize).compareTo(shortBaseQty) > 0) { |
| | | BigDecimal shortExcess = BigDecimal.valueOf(posSize).subtract(shortBaseQty); |
| | | int shortExcessCount = shortExcess.divide(shortGridQty, 0, RoundingMode.DOWN).intValue(); |
| | | |
| | | // // 找多仓第一个(最近的)止损位置 |
| | | // int firstLongSlId = 0; |
| | | // for (GridElement e : config.getGridElements()) { |
| | | // if (e.getLongStopLossOrderId() != null) { |
| | | // if (e.hasLongStopLossOrders()) { |
| | | // if (firstLongSlId == 0 || e.getId() > firstLongSlId) { |
| | | // firstLongSlId = e.getId(); |
| | | // } |
| | | // } |
| | | // } |
| | | // |
| | | // for (int i = 0; i < shortExcessCount; i++) { |
| | | // int tpGridId; |
| | | // if (firstLongSlId != 0) { |
| | | // tpGridId = firstLongSlId - i; // 从多仓第一个止损位置开始,向下挂,间隔=1 |
| | | // } else { |
| | | // tpGridId = shortGridElement.getId() - 2 * (i + 1); // 无多仓止损时回退原逻辑 |
| | | // } |
| | | // 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); |
| | | // } |
| | | // ); |
| | | // } |
| | | // } |
| | | |
| | | for (int i = 0; i < shortExcessCount; i++) { |
| | | int tpGridId = shortGridElement.getId() - 2 * (i + 1); |
| | | 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); |
| | |
| | | |
| | | int filledQty = Integer.parseInt(longGridElement.getLongTraderParam().getQuantity()); |
| | | longEntryTraderIdParam(longGridElement, null, false); |
| | | // 首次挂单成交,取消初始化阶段挂的所有止盈单 |
| | | if (firstFillAfterInit) { |
| | | cancelAllInitialTakeProfits(); |
| | | firstFillAfterInit = false; |
| | | } |
| | | // [Gate-需求2] 加仓后先撤多仓所有止盈+止损,再查交易所持仓后重挂 |
| | | cancelAllLongTakeProfitsAndStopLosses(); |
| | | // REST 查询可能因交易所延迟返回旧值,与 WS 本地缓存取最大值兜底 |
| | |
| | | extendLongStopLoss(posSize, longGridElement.getId()); |
| | | log.info("[Gate] 多单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize); |
| | | |
| | | int tpGridId = 0; |
| | | GridElement tpElem = GridElement.findById(tpGridId); |
| | | // 已有止盈单先取消再重挂 |
| | | String existingLongTpId = tpElem.getLongTakeProfitOrderId(); |
| | | if (existingLongTpId != null) { |
| | | executor.cancelConditionalOrder(existingLongTpId, oid -> { |
| | | longTakeProfitTraderIdParam(tpElem, null, false); |
| | | log.info("[Gate] 多仓止盈取消(gridId:{}),准备重挂", tpGridId); |
| | | }); |
| | | } |
| | | 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); |
| | | } |
| | | ); |
| | | // int tpGridId = 0; |
| | | // GridElement tpElem = GridElement.findById(tpGridId); |
| | | // // 已有止盈单先取消再重挂 |
| | | // String existingLongTpId = tpElem.getLongTakeProfitOrderId(); |
| | | // if (existingLongTpId != null) { |
| | | // executor.cancelConditionalOrder(existingLongTpId, oid -> { |
| | | // longTakeProfitTraderIdParam(tpElem, null, false); |
| | | // log.info("[Gate] 多仓止盈取消(gridId:{}),准备重挂", tpGridId); |
| | | // }); |
| | | // } |
| | | // 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); |
| | | // } |
| | | // ); |
| | | |
| | | // // 多仓持仓超过baseQuantity时,先找空仓第一个止损位置,从该位置向上挂止盈(间隔=1) |
| | | // BigDecimal longBaseQty = new BigDecimal(config.getBaseQuantity()); |
| | | // BigDecimal longGridQty = new BigDecimal(config.getQuantity()); |
| | | // if (BigDecimal.valueOf(posSize).compareTo(longBaseQty) > 0) { |
| | | // BigDecimal longExcess = BigDecimal.valueOf(posSize).subtract(longBaseQty); |
| | | // int longExcessCount = longExcess.divide(longGridQty, 0, RoundingMode.DOWN).intValue(); |
| | | // |
| | | // 多仓持仓超过baseQuantity时,先找空仓第一个止损位置,从该位置向上挂止盈(间隔=1) |
| | | BigDecimal longBaseQty = new BigDecimal(config.getBaseQuantity()); |
| | | BigDecimal longGridQty = new BigDecimal(config.getQuantity()); |
| | | if (BigDecimal.valueOf(posSize).compareTo(longBaseQty) > 0) { |
| | | BigDecimal longExcess = BigDecimal.valueOf(posSize).subtract(longBaseQty); |
| | | int longExcessCount = longExcess.divide(longGridQty, 0, RoundingMode.DOWN).intValue(); |
| | | |
| | | // // 找空仓第一个(最近的)止损位置 |
| | | // int firstShortSlId = 0; |
| | | // for (GridElement e : config.getGridElements()) { |
| | | // if (e.getShortStopLossOrderId() != null) { |
| | | // if (e.hasShortStopLossOrders()) { |
| | | // if (firstShortSlId == 0 || e.getId() < firstShortSlId) { |
| | | // firstShortSlId = e.getId(); |
| | | // } |
| | | // } |
| | | // } |
| | | // |
| | | // for (int i = 0; i < longExcessCount; i++) { |
| | | // int tpGridId; |
| | | // if (firstShortSlId != 0) { |
| | | // tpGridId = firstShortSlId + i; // 从空仓第一个止损位置开始,向上挂,间隔=1 |
| | | // } else { |
| | | // tpGridId = longGridElement.getId() + 2 * (i + 1); // 无空仓止损时回退原逻辑 |
| | | // } |
| | | // 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); |
| | | // } |
| | | // ); |
| | | // } |
| | | // } |
| | | |
| | | for (int i = 0; i < longExcessCount; i++) { |
| | | int tpGridId = longGridElement.getId() + 2 * (i + 1); |
| | | 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); |
| | | } |
| | | ); |
| | | } |
| | | } |
| | | } |
| | | } |
| | | } |
| | |
| | | baseGridElement.setShortOrderId(baseShortTraderParam.getEntryOrderId()); |
| | | baseGridElement.setHasShortOrder(true); |
| | | |
| | | // 空仓止损对应的多仓止盈:多仓止盈挂在ID=3 |
| | | int tpGridIdLong = 3; |
| | | GridElement tpElemLong = GridElement.findById(tpGridIdLong); |
| | | BigDecimal triggerPriceLong = tpElemLong.getGridPrice(); |
| | | String sizeLong = config.getBaseQuantity(); |
| | | executor.placeTakeProfit( |
| | | triggerPriceLong, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_LONG, |
| | | negate(sizeLong), |
| | | profitId -> { |
| | | tpElemLong.setLongTakeProfitOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 多仓止盈已挂(gridId:{}多止盈), 触发价:{}, takeProfitId:{}", |
| | | tpGridIdLong, triggerPriceLong, profitId); |
| | | } |
| | | ); |
| | | |
| | | |
| | | // 多仓止损对应的空仓止盈:空仓止盈挂在ID=-3 |
| | | int tpGridIdShort = -3; |
| | | GridElement tpElemShort = GridElement.findById(tpGridIdShort); |
| | | BigDecimal triggerPriceShort = tpElemShort.getGridPrice(); |
| | | String sizeShort = config.getBaseQuantity(); |
| | | executor.placeTakeProfit( |
| | | triggerPriceShort, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_SHORT, |
| | | sizeShort, |
| | | profitId -> { |
| | | tpElemShort.setShortTakeProfitOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 空仓止盈已挂(gridId:{}空止盈), 触发价:{}, takeProfitId:{}", |
| | | tpGridIdShort, triggerPriceShort, profitId); |
| | | } |
| | | ); |
| | | // // 空仓止损对应的多仓止盈:多仓止盈挂在ID=3 |
| | | // int tpGridIdLong = 3; |
| | | // GridElement tpElemLong = GridElement.findById(tpGridIdLong); |
| | | // BigDecimal triggerPriceLong = tpElemLong.getGridPrice(); |
| | | // String sizeLong = config.getBaseQuantity(); |
| | | // executor.placeTakeProfit( |
| | | // triggerPriceLong, |
| | | // FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | // ORDER_TYPE_CLOSE_LONG, |
| | | // negate(sizeLong), |
| | | // profitId -> { |
| | | // tpElemLong.setLongTakeProfitOrderId(profitId); |
| | | // GridElement.refreshIndices(); |
| | | // log.info("[Gate] 多仓止盈已挂(gridId:{}多止盈), 触发价:{}, takeProfitId:{}", |
| | | // tpGridIdLong, triggerPriceLong, profitId); |
| | | // } |
| | | // ); |
| | | // |
| | | // |
| | | // // 多仓止损对应的空仓止盈:空仓止盈挂在ID=-3 |
| | | // int tpGridIdShort = -3; |
| | | // GridElement tpElemShort = GridElement.findById(tpGridIdShort); |
| | | // BigDecimal triggerPriceShort = tpElemShort.getGridPrice(); |
| | | // String sizeShort = config.getBaseQuantity(); |
| | | // executor.placeTakeProfit( |
| | | // triggerPriceShort, |
| | | // FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | // ORDER_TYPE_CLOSE_SHORT, |
| | | // sizeShort, |
| | | // profitId -> { |
| | | // tpElemShort.setShortTakeProfitOrderId(profitId); |
| | | // GridElement.refreshIndices(); |
| | | // log.info("[Gate] 空仓止盈已挂(gridId:{}空止盈), 触发价:{}, takeProfitId:{}", |
| | | // tpGridIdShort, triggerPriceShort, profitId); |
| | | // } |
| | | // ); |
| | | |
| | | // int shortTime = 2; |
| | | // GridElement elemShort = GridElement.findById(shortTime); |
| | |
| | | // ORDER_TYPE_CLOSE_SHORT, |
| | | // size, |
| | | // profitId -> { |
| | | // elemShort.setShortStopLossOrderId(profitId); |
| | | // elemShort.addShortStopLossOrderId(profitId); |
| | | // GridElement.refreshIndices(); |
| | | // log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", shortTime, triggerPrice, profitId); |
| | | // } |
| | |
| | | // ORDER_TYPE_CLOSE_LONG, |
| | | // negate(size), |
| | | // profitId -> { |
| | | // elemLong.setLongStopLossOrderId(profitId); |
| | | // elemLong.addLongStopLossOrderId(profitId); |
| | | // GridElement.refreshIndices(); |
| | | // log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", longTime, triggerPrice, profitId); |
| | | // } |
| | |
| | | ORDER_TYPE_CLOSE_SHORT, |
| | | size, |
| | | profitId -> { |
| | | elem.setShortStopLossOrderId(profitId); |
| | | elem.addShortStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId); |
| | | } |
| | |
| | | ORDER_TYPE_CLOSE_LONG, |
| | | negate(size), |
| | | profitId -> { |
| | | elem.setLongStopLossOrderId(profitId); |
| | | elem.addLongStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId); |
| | | } |
| | |
| | | } |
| | | |
| | | private void handleLongStopLossTriggered(GridElement gridElement) { |
| | | gridElement.setLongStopLossOrderId(null); |
| | | gridElement.clearLongStopLossOrderIds(); |
| | | |
| | | accumulatedLongLossCount++; |
| | | int gridId = gridElement.getId(); |
| | |
| | | } |
| | | |
| | | private void handleShortStopLossTriggered(GridElement gridElement) { |
| | | gridElement.setShortStopLossOrderId(null); |
| | | gridElement.clearShortStopLossOrderIds(); |
| | | |
| | | accumulatedShortLossCount++; |
| | | int gridId = gridElement.getId(); |
| | |
| | | } |
| | | |
| | | /** |
| | | * 取消最远的多仓止损订单。 |
| | | * 多仓止损在 gridId 负方向,最远 = id 最小。 |
| | | * 取消最近的多仓止损订单(A 位置,gridId 最大即最接近 0)。 |
| | | * 多仓止损在 gridId 负方向,A = gridId-2,是三个位置中 ID 最大(最接近 0)的那个。 |
| | | */ |
| | | private void cancelFarthestLongStopLoss() { |
| | | GridElement farthest = null; |
| | | private void cancelNearestLongStopLoss() { |
| | | GridElement nearest = null; |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (e.getLongStopLossOrderId() != null) { |
| | | if (farthest == null || e.getId() < farthest.getId()) { |
| | | farthest = e; |
| | | if (e.hasLongStopLossOrders()) { |
| | | if (nearest == null || e.getId() > nearest.getId()) { |
| | | nearest = e; |
| | | } |
| | | } |
| | | } |
| | | if (farthest != null) { |
| | | String slId = farthest.getLongStopLossOrderId(); |
| | | farthest.setLongStopLossOrderId(null); |
| | | if (nearest != null && nearest.hasLongStopLossOrders()) { |
| | | List<String> ids = nearest.getLongStopLossOrderIds(); |
| | | String slId = ids.get(0); // 取第一个(最早加入的 = A 位置第一单) |
| | | nearest.removeLongStopLossOrderId(slId); |
| | | GridElement.refreshIndices(); |
| | | GridElement finalFarthest = farthest; |
| | | GridElement finalNearest = nearest; |
| | | executor.cancelConditionalOrder(slId, oid -> |
| | | log.info("[Gate] 止盈触发, 取消最远多仓止损 gridId:{}, orderId:{}", finalFarthest.getId(), slId)); |
| | | log.info("[Gate] 止盈触发, 取消最近多仓止损 gridId:{}, orderId:{}", finalNearest.getId(), slId)); |
| | | } |
| | | } |
| | | |
| | | /** |
| | | * 取消最远的空仓止损订单。 |
| | | * 空仓止损在 gridId 正方向,最远 = id 最大。 |
| | | * 取消最近的空仓止损订单(A 位置,gridId 最小即最接近 0)。 |
| | | * 空仓止损在 gridId 正方向,A = gridId+2,是三个位置中 ID 最小(最接近 0)的那个。 |
| | | */ |
| | | private void cancelFarthestShortStopLoss() { |
| | | GridElement farthest = null; |
| | | private void cancelNearestShortStopLoss() { |
| | | GridElement nearest = null; |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (e.getShortStopLossOrderId() != null) { |
| | | if (farthest == null || e.getId() > farthest.getId()) { |
| | | farthest = e; |
| | | if (e.hasShortStopLossOrders()) { |
| | | if (nearest == null || e.getId() < nearest.getId()) { |
| | | nearest = e; |
| | | } |
| | | } |
| | | } |
| | | if (farthest != null) { |
| | | String slId = farthest.getShortStopLossOrderId(); |
| | | farthest.setShortStopLossOrderId(null); |
| | | if (nearest != null && nearest.hasShortStopLossOrders()) { |
| | | List<String> ids = nearest.getShortStopLossOrderIds(); |
| | | String slId = ids.get(0); // 取第一个(最早加入的 = A 位置第一单) |
| | | nearest.removeShortStopLossOrderId(slId); |
| | | GridElement.refreshIndices(); |
| | | GridElement finalFarthest = farthest; |
| | | GridElement finalNearest = nearest; |
| | | executor.cancelConditionalOrder(slId, oid -> |
| | | log.info("[Gate] 止盈触发, 取消最远空仓止损 gridId:{}, orderId:{}", finalFarthest.getId(), slId)); |
| | | log.info("[Gate] 止盈触发, 取消最近空仓止损 gridId:{}, orderId:{}", finalNearest.getId(), slId)); |
| | | } |
| | | } |
| | | |
| | |
| | | e.setLongTakeProfitOrderId(null); |
| | | executor.cancelConditionalOrder(tpId, oid -> {}); |
| | | } |
| | | String slId = e.getLongStopLossOrderId(); |
| | | if (slId != null) { |
| | | e.setLongStopLossOrderId(null); |
| | | for (String slId : new ArrayList<>(e.getLongStopLossOrderIds())) { |
| | | executor.cancelConditionalOrder(slId, oid -> {}); |
| | | } |
| | | e.clearLongStopLossOrderIds(); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 已提交取消所有多仓止盈+止损"); |
| | |
| | | e.setShortTakeProfitOrderId(null); |
| | | executor.cancelConditionalOrder(tpId, oid -> {}); |
| | | } |
| | | String slId = e.getShortStopLossOrderId(); |
| | | if (slId != null) { |
| | | e.setShortStopLossOrderId(null); |
| | | for (String slId : new ArrayList<>(e.getShortStopLossOrderIds())) { |
| | | executor.cancelConditionalOrder(slId, oid -> {}); |
| | | } |
| | | e.clearShortStopLossOrderIds(); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 已提交取消所有空仓止盈+止损"); |
| | |
| | | log.info("[Gate] 首次成交,取消所有初始化止盈单"); |
| | | } |
| | | |
| | | // ========== 止损追单 ========== |
| | | // ========== 止损追单(新逻辑:3 个固定位置,每个位置挂多个 1 张止损单) ========== |
| | | |
| | | 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(); |
| | | } |
| | | } |
| | | /** |
| | | * 多仓止损追单 — 3 个固定位置,从近到远分配合约。 |
| | | * A(gridId-2): (filledQty/qty - 2) 个独立止损单,每个 qty 张 |
| | | * B(gridId-3): 1 个止损单,qty 张 |
| | | * C(gridId-4): 1 个止损单,qty 张 |
| | | * 注意:多仓止损在 gridId 负方向,触发价 ≤ 网格价。 |
| | | */ |
| | | private void extendLongStopLoss(int filledQty, int gridId) { |
| | | int qty = Integer.parseInt(config.getQuantity()); |
| | | int aCount = Math.max(0, filledQty / qty - 2); |
| | | log.info("[Gate] 多仓追挂止损, 成交{}张, gridId:{}, A({})x{} B({})x1 C({})x1", |
| | | filledQty, gridId, gridId - 2, aCount, gridId - 3, gridId - 4); |
| | | |
| | | int interval = 1; |
| | | if (furthestSlId == 0) { |
| | | furthestSlId = gridId; |
| | | interval = 2; |
| | | } |
| | | int stopLossCount = filledQty; |
| | | log.info("[Gate] 多仓追挂止损, 当前最远止损gridId:{}, 成交{}张, 追加{}张止损单", furthestSlId, filledQty, stopLossCount); |
| | | int newSlId = furthestSlId - interval; |
| | | GridElement elem = GridElement.findById(newSlId); |
| | | if (elem == null) { |
| | | return; |
| | | } |
| | | BigDecimal triggerPrice = elem.getGridPrice(); |
| | | int finalSlId = newSlId; |
| | | executor.placeTakeProfit( |
| | | triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_LONG, |
| | | negate(String.valueOf(stopLossCount)), |
| | | profitId -> { |
| | | elem.setLongStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 多仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId); |
| | | } |
| | | ); |
| | | |
| | | // int stopLossCount = filledQty / Integer.parseInt(config.getQuantity()); |
| | | // log.info("[Gate] 多仓追挂止损, 当前最远止损gridId:{}, 成交{}张, 追加{}个止损单", furthestSlId, filledQty, stopLossCount); |
| | | // for (int i = 0; i < stopLossCount; i++) { |
| | | // int newSlId = furthestSlId - i - interval; |
| | | // 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, |
| | | // negate(config.getQuantity()), |
| | | // profitId -> { |
| | | // elem.setLongStopLossOrderId(profitId); |
| | | // GridElement.refreshIndices(); |
| | | // log.info("[Gate] 多仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId); |
| | | // } |
| | | // ); |
| | | // } |
| | | // A 位置:挂 aCount 个独立止损单 |
| | | placeStopLossOrders(gridId - 2, aCount, qty, FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_LONG, true); |
| | | // B 位置:挂 1 个 |
| | | placeStopLossOrders(gridId - 3, 1, qty, FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_LONG, true); |
| | | // C 位置:挂 1 个 |
| | | placeStopLossOrders(gridId - 4, 1, qty, FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_LONG, true); |
| | | } |
| | | |
| | | /** |
| | | * 空仓止损追单 — 3 个固定位置,从近到远分配合约。 |
| | | * A(gridId+2): (filledQty/qty - 2) 个独立止损单,每个 qty 张 |
| | | * B(gridId+3): 1 个止损单,qty 张 |
| | | * C(gridId+4): 1 个止损单,qty 张 |
| | | * 注意:空仓止损在 gridId 正方向,触发价 ≥ 网格价。 |
| | | */ |
| | | 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(); |
| | | } |
| | | } |
| | | int qty = Integer.parseInt(config.getQuantity()); |
| | | int aCount = Math.max(0, filledQty / qty - 2); |
| | | log.info("[Gate] 空仓追挂止损, 成交{}张, gridId:{}, A({})x{} B({})x1 C({})x1", |
| | | filledQty, gridId, gridId + 2, aCount, gridId + 3, gridId + 4); |
| | | |
| | | int interval = 1; |
| | | if (furthestSlId == 0) { |
| | | furthestSlId = gridId; |
| | | interval = 2; |
| | | // A 位置:挂 aCount 个独立止损单 |
| | | placeStopLossOrders(gridId + 2, aCount, qty, FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_SHORT, false); |
| | | // B 位置:挂 1 个 |
| | | placeStopLossOrders(gridId + 3, 1, qty, FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_SHORT, false); |
| | | // C 位置:挂 1 个 |
| | | placeStopLossOrders(gridId + 4, 1, qty, FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_SHORT, false); |
| | | } |
| | | |
| | | /** |
| | | * 在指定网格位置挂 count 个独立止损单,每个 size 张。 |
| | | */ |
| | | private void placeStopLossOrders(int gridId, int count, int qty, |
| | | FuturesPriceTrigger.RuleEnum rule, |
| | | String orderType, boolean isLong) { |
| | | if (count <= 0) { |
| | | return; |
| | | } |
| | | int stopLossCount = filledQty ; |
| | | log.info("[Gate] 空仓追挂止损, 当前最远止损gridId:{}, 成交{}张, 追加{}张止损单", furthestSlId, filledQty, stopLossCount); |
| | | int newSlId = furthestSlId + interval; |
| | | GridElement elem = GridElement.findById(newSlId); |
| | | GridElement elem = GridElement.findById(gridId); |
| | | if (elem == null) { |
| | | log.warn("[Gate] 止损挂单位置不存在, gridId:{}", gridId); |
| | | return; |
| | | } |
| | | BigDecimal triggerPrice = elem.getGridPrice(); |
| | | int finalSlId = newSlId; |
| | | executor.placeTakeProfit( |
| | | triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_SHORT, |
| | | String.valueOf(stopLossCount), |
| | | profitId -> { |
| | | elem.setShortStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 空仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId); |
| | | } |
| | | ); |
| | | |
| | | // int stopLossCount = filledQty / Integer.parseInt(config.getQuantity()); |
| | | // log.info("[Gate] 空仓追挂止损, 当前最远止损gridId:{}, 成交{}张, 追加{}个止损单", furthestSlId, filledQty, stopLossCount); |
| | | // for (int i = 0; i < stopLossCount; i++) { |
| | | // int newSlId = furthestSlId + i + interval; |
| | | // 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, |
| | | // config.getQuantity(), |
| | | // profitId -> { |
| | | // elem.setShortStopLossOrderId(profitId); |
| | | // GridElement.refreshIndices(); |
| | | // log.info("[Gate] 空仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId); |
| | | // } |
| | | // ); |
| | | // } |
| | | for (int i = 0; i < count; i++) { |
| | | String size = isLong ? negate(String.valueOf(qty)) : String.valueOf(qty); |
| | | int finalGridId = gridId; |
| | | int finalI = i; |
| | | executor.placeTakeProfit( |
| | | triggerPrice, rule, orderType, size, |
| | | profitId -> { |
| | | if (isLong) { |
| | | elem.addLongStopLossOrderId(profitId); |
| | | } else { |
| | | elem.addShortStopLossOrderId(profitId); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] {}止损追加, gridId:{}, 触发价:{}, 第{}单, stopLossId:{}", |
| | | isLong ? "多仓" : "空仓", finalGridId, triggerPrice, finalI + 1, profitId); |
| | | } |
| | | ); |
| | | } |
| | | } |
| | | |
| | | // ---- 工具 ---- |