| | |
| | | import java.util.Collections; |
| | | import java.util.List; |
| | | |
| | | import com.xcong.excoin.modules.gateApi.wsHandler.handler.CandlestickChannelHandler; |
| | | import com.xcong.excoin.modules.gateApi.wsHandler.handler.PositionClosesChannelHandler; |
| | | import com.xcong.excoin.modules.gateApi.wsHandler.handler.PositionsChannelHandler; |
| | | |
| | | /** |
| | | * Gate 网格交易服务 — 策略核心。 |
| | | * |
| | |
| | | private final List<BigDecimal> shortPriceQueue = Collections.synchronizedList(new ArrayList<>()); |
| | | /** 多仓价格队列,升序排列(小→大),容量 gridQueueSize */ |
| | | private final List<BigDecimal> longPriceQueue = Collections.synchronizedList(new ArrayList<>()); |
| | | |
| | | /** 多仓止盈队列,升序排列(小→大),仓位推送时消费 */ |
| | | private final List<BigDecimal> longTakeProfitQueue = Collections.synchronizedList(new ArrayList<>()); |
| | | /** 空仓止盈队列,降序排列(大→小),仓位推送时消费 */ |
| | | private final List<BigDecimal> shortTakeProfitQueue = Collections.synchronizedList(new ArrayList<>()); |
| | | |
| | | /** 当前多仓条件单 ID 集合,用于取消旧单 */ |
| | | private final List<String> currentLongOrderIds = Collections.synchronizedList(new ArrayList<>()); |
| | | /** 当前空仓条件单 ID 集合,用于取消旧单 */ |
| | | private final List<String> currentShortOrderIds = Collections.synchronizedList(new ArrayList<>()); |
| | | |
| | | /** 基底空头入场价 */ |
| | | private BigDecimal shortBaseEntryPrice; |
| | |
| | | shortActive = false; |
| | | shortPriceQueue.clear(); |
| | | longPriceQueue.clear(); |
| | | longTakeProfitQueue.clear(); |
| | | shortTakeProfitQueue.clear(); |
| | | currentLongOrderIds.clear(); |
| | | currentShortOrderIds.clear(); |
| | | log.info("[Gate] 网格策略已启动"); |
| | | } |
| | | |
| | |
| | | if (state != StrategyState.ACTIVE) { |
| | | return; |
| | | } |
| | | processShortGrid(closePrice); |
| | | processLongGrid(closePrice); |
| | | if (!longPriceQueue.isEmpty() && closePrice.compareTo(longPriceQueue.get(0)) > 0) { |
| | | processLongGrid(closePrice); |
| | | } else if (!shortPriceQueue.isEmpty() && closePrice.compareTo(shortPriceQueue.get(0)) < 0) { |
| | | processShortGrid(closePrice); |
| | | } |
| | | } |
| | | |
| | | // ---- 仓位推送回调 ---- |
| | |
| | | * <li><b>有仓位 (size ≠ 0)</b>: |
| | | * <ul> |
| | | * <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> |
| | | * <li>仓位净增加(size > 之前记录值):说明网格触发了新开仓 → 设止盈条件单</li> |
| | | * <li>仓位净增加(size > 之前记录值):说明网格触发了新开仓 → 取对应方向队列首元素为止盈价,设止盈条件单</li> |
| | | * <li>仓位减少或不变(止盈平仓后):仅更新 positionSize,不重复设止盈</li> |
| | | * </ul> |
| | | * </li> |
| | |
| | | log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice); |
| | | tryGenerateQueues(); |
| | | } else if (size.compareTo(longPositionSize) > 0) { |
| | | BigDecimal unitQty = new BigDecimal(config.getQuantity()); |
| | | long prevUnits = longPositionSize.divide(unitQty, 0, RoundingMode.DOWN).longValue(); |
| | | longPositionSize = size; |
| | | 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())); |
| | | long nowUnits = size.divide(unitQty, 0, RoundingMode.DOWN).longValue(); |
| | | long newUnits = nowUnits - prevUnits; |
| | | for (int i = 0; i < newUnits; i++) { |
| | | BigDecimal tpPrice; |
| | | if (!longTakeProfitQueue.isEmpty()) { |
| | | tpPrice = longTakeProfitQueue.remove(0); |
| | | } else { |
| | | tpPrice = longEntryPrice.add(config.getStep()).setScale(1, RoundingMode.HALF_UP); |
| | | log.warn("[Gate] 多止盈队列为空, 兜底止盈价:{}", tpPrice); |
| | | } |
| | | executor.placeTakeProfit(tpPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, negate(config.getQuantity())); |
| | | log.info("[Gate] 多单止盈已设, tp:{}, size:{}", tpPrice, negate(config.getQuantity())); |
| | | } |
| | | } else { |
| | | longPositionSize = size; |
| | | } |
| | |
| | | log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice); |
| | | tryGenerateQueues(); |
| | | } else if (size.abs().compareTo(shortPositionSize) > 0) { |
| | | shortPositionSize = size.abs(); |
| | | 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()); |
| | | BigDecimal unitQty = new BigDecimal(config.getQuantity()); |
| | | long prevUnits = shortPositionSize.divide(unitQty, 0, RoundingMode.DOWN).longValue(); |
| | | BigDecimal nowAbsSize = size.abs(); |
| | | shortPositionSize = nowAbsSize; |
| | | long nowUnits = nowAbsSize.divide(unitQty, 0, RoundingMode.DOWN).longValue(); |
| | | long newUnits = nowUnits - prevUnits; |
| | | for (int i = 0; i < newUnits; i++) { |
| | | BigDecimal tpPrice; |
| | | if (!shortTakeProfitQueue.isEmpty()) { |
| | | tpPrice = shortTakeProfitQueue.remove(0); |
| | | } else { |
| | | tpPrice = shortEntryPrice.subtract(config.getStep()).setScale(1, RoundingMode.HALF_UP); |
| | | log.warn("[Gate] 空止盈队列为空, 兜底止盈价:{}", tpPrice); |
| | | } |
| | | executor.placeTakeProfit(tpPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, config.getQuantity()); |
| | | log.info("[Gate] 空单止盈已设, tp:{}, size:{}", tpPrice, config.getQuantity()); |
| | | } |
| | | } else { |
| | | shortPositionSize = size.abs(); |
| | | } |
| | |
| | | if (baseLongOpened && baseShortOpened) { |
| | | generateShortQueue(); |
| | | generateLongQueue(); |
| | | |
| | | BigDecimal step = config.getStep(); |
| | | BigDecimal longTp = longPriceQueue.get(0).add(step).setScale(1, RoundingMode.HALF_UP); |
| | | BigDecimal shortTp = shortPriceQueue.get(0).subtract(step).setScale(1, RoundingMode.HALF_UP); |
| | | longTakeProfitQueue.add(longTp); |
| | | shortTakeProfitQueue.add(shortTp); |
| | | log.info("[Gate] 多止盈队列:{}", longTakeProfitQueue); |
| | | log.info("[Gate] 空止盈队列:{}", shortTakeProfitQueue); |
| | | |
| | | executor.placeConditionalEntryOrder(longPriceQueue.get(0), |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(), |
| | | orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 初始条件多单已挂, id:{}, trigger:{}", orderId, longPriceQueue.get(0)); }, |
| | | null); |
| | | executor.placeConditionalEntryOrder(shortPriceQueue.get(0), |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()), |
| | | orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 初始条件空单已挂, id:{}, trigger:{}", orderId, shortPriceQueue.get(0)); }, |
| | | null); |
| | | |
| | | state = StrategyState.ACTIVE; |
| | | log.info("[Gate] 网格队列已生成, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, 已激活", |
| | | log.info("[Gate] 网格队列已生成, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, step:{}, 已激活", |
| | | shortPriceQueue.get(0), shortPriceQueue.get(shortPriceQueue.size() - 1), |
| | | longPriceQueue.get(0), longPriceQueue.get(longPriceQueue.size() - 1)); |
| | | longPriceQueue.get(0), longPriceQueue.get(longPriceQueue.size() - 1), |
| | | step); |
| | | } |
| | | } |
| | | |
| | | /** |
| | | * 生成空仓价格队列。 |
| | | * 以空头基底入场价 shortBaseEntryPrice 为基准,按 gridRate 递减生成 gridQueueSize 个价格元素: |
| | | * <pre>shortBaseEntryPrice × (1 − gridRate × i), i=1..gridQueueSize</pre> |
| | | * 以 shortBaseEntryPrice × gridRate 作为绝对步长 step,存到 config。 |
| | | * 第1个元素 = shortBaseEntryPrice − step,后续依次递减 step,共 gridQueueSize 个。 |
| | | * 队列降序排列(大→小),方便 processShortGrid 中从头遍历。 |
| | | */ |
| | | private void generateShortQueue() { |
| | | shortPriceQueue.clear(); |
| | | BigDecimal step = config.getGridRate(); |
| | | for (int i = 1; i <= config.getGridQueueSize(); i++) { |
| | | shortPriceQueue.add(shortBaseEntryPrice.multiply(BigDecimal.ONE.subtract(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP)); |
| | | BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP); |
| | | config.setStep(step); |
| | | BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(1, RoundingMode.HALF_UP); |
| | | for (int i = 0; i < config.getGridQueueSize(); i++) { |
| | | shortPriceQueue.add(elem); |
| | | elem = elem.subtract(step).setScale(1, RoundingMode.HALF_UP); |
| | | } |
| | | shortPriceQueue.sort((a, b) -> b.compareTo(a)); |
| | | //输出队列:shortPriceQueue; |
| | | log.info("[Gate] 空队列:{}", shortPriceQueue); |
| | | } |
| | | |
| | | /** |
| | | * 生成多仓价格队列。 |
| | | * 以多头基底入场价 longBaseEntryPrice 为基准,按 gridRate 递增生成 gridQueueSize 个价格元素: |
| | | * <pre>longBaseEntryPrice × (1 + gridRate × i), i=1..gridQueueSize</pre> |
| | | * 以 shortBaseEntryPrice + step 为首元素,后续依次递增 step,共 gridQueueSize 个。 |
| | | * 队列升序排列(小→大),方便 processLongGrid 中从头遍历。 |
| | | */ |
| | | private void generateLongQueue() { |
| | | longPriceQueue.clear(); |
| | | BigDecimal step = config.getGridRate(); |
| | | for (int i = 1; i <= config.getGridQueueSize(); i++) { |
| | | longPriceQueue.add(longBaseEntryPrice.multiply(BigDecimal.ONE.add(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP)); |
| | | BigDecimal step = config.getStep(); |
| | | BigDecimal elem = shortBaseEntryPrice.add(step).setScale(1, RoundingMode.HALF_UP); |
| | | for (int i = 0; i < config.getGridQueueSize(); i++) { |
| | | longPriceQueue.add(elem); |
| | | elem = elem.add(step).setScale(1, RoundingMode.HALF_UP); |
| | | } |
| | | longPriceQueue.sort(BigDecimal::compareTo); |
| | | log.info("[Gate] 多队列:{}", longPriceQueue); |
| | |
| | | * <h3>执行流程</h3> |
| | | * <ol> |
| | | * <li>匹配队列元素 → 为空则直接返回</li> |
| | | * <li>空仓队列:移除 matched 元素,尾部补充新元素(尾价 − step 循环递减)</li> |
| | | * <li>多仓队列:以多仓队列首元素(最小价)为种子,递减 step 生成 matched.size() 个元素加入</li> |
| | | * <li>保证金检查 → 安全则开空一次</li> |
| | | * <li>额外反向开多:若多仓均价 > 空仓均价 且 当前价夹在中间且远离多仓均价</li> |
| | | * <li>空仓队列:移除 matched 元素,尾部补充新元素(尾价 × (1 − gridRate) 循环递减)</li> |
| | | * <li>多仓队列:以多仓队列首元素(最小价)为种子,生成 matched.size() 个递减元素加入</li> |
| | | * </ol> |
| | | * |
| | | * <h3>多仓队列转移过滤</h3> |
| | |
| | | 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"); |
| | | } else { |
| | | executor.openShort(negate(config.getQuantity()), null, null); |
| | | if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0 |
| | | && longEntryPrice.compareTo(BigDecimal.ZERO) > 0 |
| | | && longEntryPrice.compareTo(shortEntryPrice) > 0 |
| | | && currentPrice.compareTo(shortEntryPrice) > 0 |
| | | && currentPrice.compareTo(longEntryPrice.multiply(BigDecimal.ONE.subtract(config.getGridRate()))) < 0) { |
| | | executor.openLong(config.getQuantity(), null, null); |
| | | log.info("[Gate] 触发价在多/空持仓价之间且多>空且远离多仓均价, 额外开多一次, 当前价:{}", currentPrice); |
| | | } |
| | | } |
| | | |
| | | synchronized (shortPriceQueue) { |
| | | shortPriceQueue.removeAll(matched); |
| | | BigDecimal min = shortPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : shortPriceQueue.get(shortPriceQueue.size() - 1); |
| | | BigDecimal step = config.getGridRate(); |
| | | BigDecimal gridStep = config.getStep(); |
| | | for (int i = 0; i < matched.size(); i++) { |
| | | min = min.multiply(BigDecimal.ONE.subtract(step)).setScale(1, RoundingMode.HALF_UP); |
| | | min = min.subtract(gridStep).setScale(1, RoundingMode.HALF_UP); |
| | | shortPriceQueue.add(min); |
| | | log.info("[Gate] 空队列增加:{}", min); |
| | | } |
| | | |
| | | shortPriceQueue.sort((a, b) -> b.compareTo(a)); |
| | | |
| | | log.info("[Gate] 现空队列:{}", shortPriceQueue); |
| | | } |
| | | |
| | | synchronized (longPriceQueue) { |
| | | BigDecimal first = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(0); |
| | | BigDecimal step = config.getGridRate(); |
| | | BigDecimal gridStep = config.getStep(); |
| | | 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 |
| | | && currentPrice.subtract(longEntryPrice).abs().compareTo(longEntryPrice.multiply(step)) < 0) { |
| | | log.info("[Gate] 多队列跳过(price≈longEntry):{}", elem); |
| | | continue; |
| | | } |
| | | BigDecimal elem = first.subtract(gridStep.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP); |
| | | longPriceQueue.add(elem); |
| | | log.info("[Gate] 多队列增加:{}", elem); |
| | | } |
| | |
| | | } |
| | | log.info("[Gate] 现多队列:{}", longPriceQueue); |
| | | } |
| | | |
| | | BigDecimal newShortFirst = shortPriceQueue.get(0); |
| | | BigDecimal newLongFirst = longPriceQueue.get(0); |
| | | BigDecimal step = config.getStep(); |
| | | BigDecimal stpElem = newShortFirst.subtract(step).setScale(1, RoundingMode.HALF_UP); |
| | | shortTakeProfitQueue.add(stpElem); |
| | | shortTakeProfitQueue.sort((a, b) -> b.compareTo(a)); |
| | | log.info("[Gate] 空止盈队列增加:{}, 现止盈队列:{}", stpElem, shortTakeProfitQueue); |
| | | |
| | | if (!isMarginSafe()) { |
| | | log.warn("[Gate] 保证金超限,跳过挂条件单"); |
| | | } else { |
| | | synchronized (currentLongOrderIds) { |
| | | for (String id : currentLongOrderIds) { |
| | | executor.cancelConditionalOrder(id); |
| | | } |
| | | currentLongOrderIds.clear(); |
| | | } |
| | | executor.placeConditionalEntryOrder(newShortFirst, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()), |
| | | orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 新条件空单, id:{}, trigger:{}", orderId, newShortFirst); }, |
| | | null); |
| | | executor.placeConditionalEntryOrder(newLongFirst, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(), |
| | | orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 新条件多单, id:{}, trigger:{}", orderId, newLongFirst); }, |
| | | null); |
| | | |
| | | if (newShortFirst.compareTo(shortEntryPrice) > 0 |
| | | && newShortFirst.compareTo(longEntryPrice) < 0) { |
| | | BigDecimal reverseLongTp = newShortFirst.add(step).setScale(1, RoundingMode.HALF_UP); |
| | | longTakeProfitQueue.add(reverseLongTp); |
| | | longTakeProfitQueue.sort(BigDecimal::compareTo); |
| | | executor.placeConditionalEntryOrder(newShortFirst, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(), |
| | | orderId -> { currentLongOrderIds.add(orderId); }, |
| | | null); |
| | | log.info("[Gate] 反向条件多单已挂, trigger:{}, size:{}, 止盈:{}", newShortFirst, config.getQuantity(), reverseLongTp); |
| | | } |
| | | } |
| | | |
| | | } |
| | | |
| | | /** |
| | |
| | | * <h3>执行流程</h3> |
| | | * <ol> |
| | | * <li>匹配队列元素 → 为空则直接返回</li> |
| | | * <li>多仓队列:移除 matched 元素,尾部补充新元素(尾价 + step 循环递增)</li> |
| | | * <li>空仓队列:以空仓队列首元素(最高价)为种子,递增 step 生成 matched.size() 个元素加入</li> |
| | | * <li>保证金检查 → 安全则开多一次</li> |
| | | * <li>额外反向开空:若多仓均价 > 空仓均价 且 当前价夹在中间且远离空仓均价</li> |
| | | * <li>多仓队列:移除 matched 元素,尾部补充新元素(尾价 × (1 + gridRate) 循环递增)</li> |
| | | * <li>空仓队列:以空仓队列首元素(最高价)为种子,生成 matched.size() 个递增元素加入</li> |
| | | * </ol> |
| | | * |
| | | * <h3>空仓队列转移过滤</h3> |
| | |
| | | } |
| | | 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); |
| | | log.info("[Gate] 多仓队列未触发, 当前价:{}", currentPrice); |
| | | return; |
| | | } |
| | | |
| | | log.info("[Gate] 多仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice); |
| | | if (!isMarginSafe()) { |
| | | log.warn("[Gate] 保证金超限,跳过多单开仓"); |
| | | } else { |
| | | executor.openLong(config.getQuantity(), null, null); |
| | | if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0 |
| | | && longEntryPrice.compareTo(BigDecimal.ZERO) > 0 |
| | | && longEntryPrice.compareTo(shortEntryPrice) > 0 |
| | | && currentPrice.compareTo(shortEntryPrice.multiply(BigDecimal.ONE.add(config.getGridRate()))) > 0 |
| | | && currentPrice.compareTo(longEntryPrice) < 0) { |
| | | executor.openShort(negate(config.getQuantity()), null, null); |
| | | log.info("[Gate] 触发价在多/空持仓价之间且多>空且远离空仓均价, 额外开空一次, 当前价:{}", currentPrice); |
| | | } |
| | | } |
| | | |
| | | synchronized (longPriceQueue) { |
| | | longPriceQueue.removeAll(matched); |
| | | BigDecimal max = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(longPriceQueue.size() - 1); |
| | | BigDecimal step = config.getGridRate(); |
| | | BigDecimal gridStep = config.getStep(); |
| | | for (int i = 0; i < matched.size(); i++) { |
| | | max = max.multiply(BigDecimal.ONE.add(step)).setScale(1, RoundingMode.HALF_UP); |
| | | max = max.add(gridStep).setScale(1, RoundingMode.HALF_UP); |
| | | longPriceQueue.add(max); |
| | | |
| | | log.info("[Gate] 多队列增加:{}", max); |
| | | } |
| | | longPriceQueue.sort(BigDecimal::compareTo); |
| | | |
| | | log.info("[Gate] 现多队列:{}", longPriceQueue); |
| | | } |
| | | |
| | | synchronized (shortPriceQueue) { |
| | | BigDecimal first = shortPriceQueue.isEmpty() ? matched.get(0) : shortPriceQueue.get(0); |
| | | BigDecimal step = config.getGridRate(); |
| | | BigDecimal gridStep = config.getStep(); |
| | | 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 |
| | | && currentPrice.subtract(shortEntryPrice).abs().compareTo(shortEntryPrice.multiply(step)) < 0) { |
| | | log.info("[Gate] 空队列跳过(price≈shortEntry):{}", elem); |
| | | continue; |
| | | } |
| | | BigDecimal elem = first.add(gridStep.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP); |
| | | shortPriceQueue.add(elem); |
| | | log.info("[Gate] 空队列增加:{}", elem); |
| | | } |
| | |
| | | } |
| | | log.info("[Gate] 现空队列:{}", shortPriceQueue); |
| | | } |
| | | |
| | | BigDecimal newLongFirst = longPriceQueue.get(0); |
| | | BigDecimal newShortFirst = shortPriceQueue.get(0); |
| | | BigDecimal step = config.getStep(); |
| | | BigDecimal ltpElem = newLongFirst.add(step).setScale(1, RoundingMode.HALF_UP); |
| | | longTakeProfitQueue.add(ltpElem); |
| | | longTakeProfitQueue.sort(BigDecimal::compareTo); |
| | | log.info("[Gate] 多止盈队列增加:{}, 现止盈队列:{}", ltpElem, longTakeProfitQueue); |
| | | |
| | | if (!isMarginSafe()) { |
| | | log.warn("[Gate] 保证金超限,跳过挂条件单"); |
| | | } else { |
| | | synchronized (currentShortOrderIds) { |
| | | for (String id : currentShortOrderIds) { |
| | | executor.cancelConditionalOrder(id); |
| | | } |
| | | currentShortOrderIds.clear(); |
| | | } |
| | | executor.placeConditionalEntryOrder(newLongFirst, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(), |
| | | orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 新条件多单, id:{}, trigger:{}", orderId, newLongFirst); }, |
| | | null); |
| | | executor.placeConditionalEntryOrder(newShortFirst, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()), |
| | | orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 新条件空单, id:{}, trigger:{}", orderId, newShortFirst); }, |
| | | null); |
| | | |
| | | if (newLongFirst.compareTo(shortEntryPrice) > 0 |
| | | && newLongFirst.compareTo(longEntryPrice) < 0) { |
| | | BigDecimal reverseShortTp = newLongFirst.subtract(step).setScale(1, RoundingMode.HALF_UP); |
| | | shortTakeProfitQueue.add(reverseShortTp); |
| | | shortTakeProfitQueue.sort((a, b) -> b.compareTo(a)); |
| | | executor.placeConditionalEntryOrder(newLongFirst, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()), |
| | | orderId -> { currentShortOrderIds.add(orderId); }, |
| | | null); |
| | | log.info("[Gate] 反向条件空单已挂, trigger:{}, size:{}, 止盈:{}", newLongFirst, negate(config.getQuantity()), reverseShortTp); |
| | | } |
| | | } |
| | | |
| | | } |
| | | |
| | | // ---- 保证金安全阀 ---- |