| | |
| | | import java.io.IOException; |
| | | import java.math.BigDecimal; |
| | | import java.math.RoundingMode; |
| | | import java.util.ArrayList; |
| | | import java.util.Collections; |
| | | import java.util.LinkedHashMap; |
| | | import java.util.List; |
| | | import java.util.Map; |
| | | import java.util.*; |
| | | import java.util.concurrent.atomic.AtomicInteger; |
| | | |
| | | import com.xcong.excoin.modules.gateApi.wsHandler.handler.CandlestickChannelHandler; |
| | | import com.xcong.excoin.modules.gateApi.wsHandler.handler.PositionClosesChannelHandler; |
| | |
| | | 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<>()); |
| | | private final List<BigDecimal> totalLongPriceQueue = Collections.synchronizedList(new ArrayList<>()); |
| | | private final List<BigDecimal> totalShortPriceQueue = Collections.synchronizedList(new ArrayList<>()); |
| | | |
| | | /** 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 */ |
| | | private final Map<String, BigDecimal> currentLongOrderIds = Collections.synchronizedMap(new LinkedHashMap<>()); |
| | |
| | | private volatile boolean shortActive = false; |
| | | /** 多头是否活跃(有仓位) */ |
| | | private volatile boolean longActive = false; |
| | | |
| | | /** 当前已完成轮数,每次盈利重启时+1 */ |
| | | private volatile int currentRound = 0; |
| | | |
| | | /** 多头累计止损次数(始终递增,加仓订单成交后归零) */ |
| | | private volatile int accumulatedLongLossCount = 0; |
| | | /** 空头累计止损次数(始终递增,加仓订单成交后归零) */ |
| | | private volatile int accumulatedShortLossCount = 0; |
| | | /** 最近触发止损的多头网格ID */ |
| | | private volatile int lastLongStopLossGridId = Integer.MAX_VALUE; |
| | | /** 最近触发止损的空头网格ID */ |
| | | private volatile int lastShortStopLossGridId = Integer.MAX_VALUE; |
| | | |
| | | private volatile BigDecimal lastKlinePrice; |
| | | private volatile BigDecimal markPrice = BigDecimal.ZERO; |
| | |
| | | baseShortOpened = false; |
| | | longActive = false; |
| | | shortActive = false; |
| | | accumulatedLongLossCount = 0; |
| | | accumulatedShortLossCount = 0; |
| | | lastLongStopLossGridId = Integer.MAX_VALUE; |
| | | lastShortStopLossGridId = Integer.MAX_VALUE; |
| | | shortPriceQueue.clear(); |
| | | longPriceQueue.clear(); |
| | | totalShortPriceQueue.clear(); |
| | | totalLongPriceQueue.clear(); |
| | | currentLongOrderIds.clear(); |
| | | currentShortOrderIds.clear(); |
| | | // 每次重启重新获取当前本金 |
| | | refreshInitialPrincipal(); |
| | | currentRound = 0; |
| | | |
| | | log.info("[Gate] 网格策略已启动, 当前本金: {} USDT", initialPrincipal); |
| | | } |
| | |
| | | * @param closePrice K 线收盘价(即当前最新成交价) |
| | | */ |
| | | public void onKline(BigDecimal closePrice) { |
| | | |
| | | // log.info("当前价:{}", closePrice); |
| | | |
| | | lastKlinePrice = closePrice; |
| | | |
| | | //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 |
| | |
| | | return; |
| | | } |
| | | |
| | | // 异步检查盈亏,避免 REST 调用阻塞 WS 心跳导致 Socket closed |
| | | executor.submitTask(this::checkProfitAndReset); |
| | | |
| | | if (state == StrategyState.ACTIVE && |
| | | config.isPriceDriveEnabled() && |
| | | longActive == false && |
| | | longPositionSize.compareTo(BigDecimal.ZERO) == 0){ |
| | | processShortGrid(closePrice); |
| | |
| | | |
| | | |
| | | if (state == StrategyState.ACTIVE && |
| | | config.isPriceDriveEnabled() && |
| | | 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("0.001"); |
| | | private void checkProfitAndReset() { |
| | | if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) { |
| | | return; |
| | | } |
| | | try { |
| | | |
| | | BigDecimal target = initialPrincipal.add(config.getExpectedProfit()); |
| | | |
| | | FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE); |
| | | // 预估平仓手续费 = 持仓量 × 合约乘数 × 入场价 × taker费率 |
| | | BigDecimal multiplier = config.getContractMultiplier(); |
| | | BigDecimal longCloseFee = BigDecimal.ZERO; |
| | | if (longPositionSize.compareTo(BigDecimal.ZERO) > 0 && longEntryPrice.compareTo(BigDecimal.ZERO) > 0) { |
| | | longCloseFee = longPositionSize.multiply(multiplier).multiply(longEntryPrice).multiply(TAKER_FEE_RATE); |
| | | } |
| | | BigDecimal shortCloseFee = BigDecimal.ZERO; |
| | | if (shortPositionSize.compareTo(BigDecimal.ZERO) > 0 && shortEntryPrice.compareTo(BigDecimal.ZERO) > 0) { |
| | | shortCloseFee = shortPositionSize.multiply(multiplier).multiply(shortEntryPrice).multiply(TAKER_FEE_RATE); |
| | | } |
| | | BigDecimal estimatedCloseFee = longCloseFee.add(shortCloseFee); |
| | | |
| | | BigDecimal totalEquity = new BigDecimal(account.getTotal()) |
| | | .add(new BigDecimal(account.getUnrealisedPnl())) |
| | | .subtract(estimatedCloseFee); |
| | | |
| | | if (totalEquity.compareTo(target) > 0) { |
| | | currentRound++; |
| | | int maxRounds = config.getRounds(); |
| | | log.info("[Gate] 盈亏达标(净权益{}→含手续费-{}=实际{}>目标{}),第{}轮完成", |
| | | new BigDecimal(account.getTotal()).add(new BigDecimal(account.getUnrealisedPnl())), |
| | | estimatedCloseFee, totalEquity, target, currentRound); |
| | | |
| | | if (maxRounds > 0 && currentRound >= maxRounds) { |
| | | log.info("[Gate] 已达到运行轮数上限({}),策略停止", maxRounds); |
| | | stopGrid(); |
| | | return; |
| | | } |
| | | |
| | | log.info("[Gate] 重置策略,开始第{}轮...", currentRound); |
| | | 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(); } |
| | | // 注意:startGrid() 会将 currentRound 归零,这里需要保留 |
| | | int savedRound = currentRound; |
| | | startGrid(); |
| | | currentRound = savedRound; |
| | | }); |
| | | } |
| | | } catch (Exception e) { |
| | | log.warn("[Gate] 盈亏检查失败", e); |
| | | } |
| | | } |
| | | |
| | |
| | | longPositionSize = size; |
| | | longEntryPrice = entryPrice; |
| | | } else { |
| | | |
| | | log.info("[Gate-0]多仓: {}", shortBaseEntryPrice); |
| | | longActive = false; |
| | | longPositionSize = BigDecimal.ZERO; |
| | | longEntryPrice = BigDecimal.ZERO; |
| | |
| | | shortPositionSize = size.abs(); |
| | | shortEntryPrice = entryPrice; |
| | | } else { |
| | | |
| | | log.info("[Gate-0]空仓: {}", shortBaseEntryPrice); |
| | | shortActive = false; |
| | | shortPositionSize = BigDecimal.ZERO; |
| | | shortEntryPrice = BigDecimal.ZERO; |
| | |
| | | e.printStackTrace(); |
| | | } |
| | | closeExistingPositions(); |
| | | |
| | | state = StrategyState.STOPPED; |
| | | // 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(); } |
| | | int savedRound = currentRound; |
| | | startGrid(); |
| | | currentRound = savedRound; |
| | | }); |
| | | log.info("[Gate] 重置策略"); |
| | | return; |
| | |
| | | } |
| | | |
| | | GridElement longStopLossElem = GridElement.findByLongStopLossOrderId(orderId); |
| | | if (longStopLossElem != null && longPositionSize.compareTo(BigDecimal.ZERO) > 0 && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) { |
| | | handleLongStopLossTriggered(longStopLossElem); |
| | | if (longStopLossElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) { |
| | | handleLongStopLossTriggered(longStopLossElem, orderId); |
| | | return; |
| | | } |
| | | GridElement shortStopLossElem = GridElement.findByShortStopLossOrderId(orderId); |
| | | if (shortStopLossElem != null && shortPositionSize.compareTo(BigDecimal.ZERO) > 0 && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) { |
| | | handleShortStopLossTriggered(shortStopLossElem); |
| | | if (shortStopLossElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) { |
| | | handleShortStopLossTriggered(shortStopLossElem, orderId); |
| | | return; |
| | | } |
| | | |
| | | GridElement shortGridElement = GridElement.findByShortOrderId(orderId); |
| | | if (shortGridElement != null) { |
| | | if (shortGridElement.isHasShortOrder() && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0") ){ |
| | | shortEntryTraderIdParam(shortGridElement, null, false); |
| | | if (StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0") ){ |
| | | int filledQty = Integer.parseInt(shortGridElement.getShortTraderParam().getQuantity()); |
| | | shortEntryTraderIdParam(shortGridElement, orderId, false); |
| | | |
| | | int filledQty = shortGridElement.getId(); |
| | | extendShortStopLoss(filledQty); |
| | | log.info("[Gate] 空单成交 gridId:{}", filledQty); |
| | | // 防重入:同一网格存在多个入场单且相近时间成交时,只处理第一次 extend, |
| | | // 后续成交打标 pendingReExtend,延展完成后自动用最新仓位重挂一次。 |
| | | if (shortGridElement.isExtendStopLossInProgress()) { |
| | | shortGridElement.setPendingStopLossReExtend(true); |
| | | log.info("[Gate] 空单成交 gridId:{}, 止损追单已在进行中,标记待重挂, orderId:{}", |
| | | shortGridElement.getId(), orderId); |
| | | return; |
| | | } |
| | | shortGridElement.setExtendStopLossInProgress(true); |
| | | |
| | | lastShortStopLossGridId = Integer.MAX_VALUE; |
| | | // [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 |
| | | int posSize = Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()); |
| | | extendShortStopLoss(posSize, shortGridElement.getId()); |
| | | // [Gate] 止盈挂单:超出基础仓位的部分,挂在多仓第一止损位 |
| | | // placeExcessTakeProfit(posSize, false); |
| | | log.info("[Gate] 空单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize); |
| | | |
| | | |
| | | |
| | | } |
| | | } |
| | | GridElement longGridElement = GridElement.findByLongOrderId(orderId); |
| | | if (longGridElement != null) { |
| | | if (longGridElement.isHasLongOrder() && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")){ |
| | | longEntryTraderIdParam(longGridElement, null, false); |
| | | if (StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")){ |
| | | |
| | | int filledQty = longGridElement.getId(); |
| | | extendLongStopLoss(filledQty); |
| | | log.info("[Gate] 多单成交 gridId:{}", filledQty); |
| | | int filledQty = Integer.parseInt(longGridElement.getLongTraderParam().getQuantity()); |
| | | longEntryTraderIdParam(longGridElement, orderId, false); |
| | | |
| | | // 防重入:同一网格存在多个入场单且相近时间成交时,只处理第一次 extend, |
| | | // 后续成交打标 pendingReExtend,延展完成后自动用最新仓位重挂一次。 |
| | | if (longGridElement.isExtendStopLossInProgress()) { |
| | | longGridElement.setPendingStopLossReExtend(true); |
| | | log.info("[Gate] 多单成交 gridId:{}, 止损追单已在进行中,标记待重挂, orderId:{}", |
| | | longGridElement.getId(), orderId); |
| | | return; |
| | | } |
| | | longGridElement.setExtendStopLossInProgress(true); |
| | | |
| | | lastLongStopLossGridId = Integer.MAX_VALUE; |
| | | // [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 |
| | | int posSize = Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue()); |
| | | extendLongStopLoss(posSize, longGridElement.getId()); |
| | | // [Gate] 止盈挂单:超出基础仓位的部分,挂在空仓第一止损位 |
| | | // placeExcessTakeProfit(posSize, true); |
| | | log.info("[Gate] 多单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize); |
| | | |
| | | } |
| | | } |
| | | } |
| | | |
| | | |
| | | /** |
| | | * 查询交易所当前持仓张数(绝对值)。加仓/开仓后重挂止盈止损时调用, |
| | | * 绕过本地 WS 推送缓存避免时序竞态,直接拿到交易所权威数据。 |
| | | * |
| | | * @param mode 持仓模式(DUAL_LONG / DUAL_SHORT) |
| | | * @return 持仓张数(绝对值),查询失败返回 0 |
| | | */ |
| | | private int queryPositionSize(Position.ModeEnum mode) { |
| | | Position p = queryPosition(mode); |
| | | if (p != null) { |
| | | return new BigDecimal(p.getSize()).abs().intValue(); |
| | | } |
| | | return 0; |
| | | } |
| | | |
| | | /** |
| | | * 查询交易所当前持仓均价,绕过本地 WS 推送缓存避免时序竞态。 |
| | | * |
| | | * @param mode 持仓模式(DUAL_LONG / DUAL_SHORT) |
| | | * @return 持仓均价,无持仓或查询失败返回 BigDecimal.ZERO |
| | | */ |
| | | private BigDecimal queryEntryPrice(Position.ModeEnum mode) { |
| | | Position p = queryPosition(mode); |
| | | if (p != null && p.getEntryPrice() != null) { |
| | | return new BigDecimal(p.getEntryPrice()); |
| | | } |
| | | return BigDecimal.ZERO; |
| | | } |
| | | |
| | | /** |
| | | * 查询指定模式的持仓对象。 |
| | | */ |
| | | private Position queryPosition(Position.ModeEnum mode) { |
| | | try { |
| | | List<Position> positions = futuresApi.listPositions(SETTLE).execute(); |
| | | if (positions != null) { |
| | | for (Position p : positions) { |
| | | if (mode == p.getMode() && config.getContract().equals(p.getContract())) { |
| | | return p; |
| | | } |
| | | } |
| | | } |
| | | } catch (Exception e) { |
| | | log.warn("[Gate] 查询{}持仓失败", mode, e); |
| | | } |
| | | return null; |
| | | } |
| | | |
| | | // ---- 网格队列处理 ---- |
| | | |
| | |
| | | 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(); |
| | | // // 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); |
| | | // 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.addShortStopLossOrderId(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.addLongStopLossOrderId(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.addShortStopLossOrderId(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.addLongStopLossOrderId(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); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | log.info("[Gate] 止损单已全部挂完, 空仓止损: 2~{}, 多仓止损: -2~-{}", shortTime, longTime); |
| | | log.info("[Gate] 止损止盈单已全部挂完, 空仓止损:2~{}, 多仓止损:-2~-{}", shortTime, longTime); |
| | | |
| | | state = StrategyState.ACTIVE; |
| | | } |
| | |
| | | TraderParam tp = baseElement.getLongTraderParam(); |
| | | tp.setEntryOrderId(entryId); |
| | | tp.setEntryOrderPlaced(flag); |
| | | baseElement.setHasLongOrder(flag); |
| | | baseElement.setLongOrderId(entryId); |
| | | if (flag && entryId != null) { |
| | | baseElement.addLongOrderId(entryId); |
| | | baseElement.setHasLongOrder(true); |
| | | } else if (!flag && entryId != null) { |
| | | baseElement.removeLongOrderId(entryId); |
| | | // 只有列表全部清空才关闭预置标志,避免还有未成交挂单时被 processGrid 误判 |
| | | baseElement.setHasLongOrder(baseElement.hasLongOrderIds()); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | } |
| | | |
| | |
| | | TraderParam tp = baseElement.getShortTraderParam(); |
| | | tp.setEntryOrderId(entryId); |
| | | tp.setEntryOrderPlaced(flag); |
| | | baseElement.setHasShortOrder(flag); |
| | | baseElement.setShortOrderId(entryId); |
| | | if (flag && entryId != null) { |
| | | baseElement.addShortOrderId(entryId); |
| | | baseElement.setHasShortOrder(true); |
| | | } else if (!flag && entryId != null) { |
| | | baseElement.removeShortOrderId(entryId); |
| | | // 只有列表全部清空才关闭预置标志,避免还有未成交挂单时被 processGrid 误判 |
| | | baseElement.setHasShortOrder(baseElement.hasShortOrderIds()); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | } |
| | | |
| | |
| | | */ |
| | | private void generateShortQueue() { |
| | | shortPriceQueue.clear(); |
| | | totalShortPriceQueue.clear(); |
| | | totalLongPriceQueue.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); |
| | | totalLongPriceQueue.add( elem); |
| | | totalShortPriceQueue.add( elem); |
| | | |
| | | elem = elem.subtract(step).setScale(prec, RoundingMode.HALF_UP); |
| | | if (elem.compareTo(BigDecimal.ZERO) <= 0) { |
| | | break; |
| | |
| | | BigDecimal elem = shortBaseEntryPrice.add(step).setScale(prec, RoundingMode.HALF_UP); |
| | | for (int i = 0; i < config.getGridQueueSize(); i++) { |
| | | longPriceQueue.add(elem); |
| | | totalLongPriceQueue.add( elem); |
| | | totalShortPriceQueue.add( elem); |
| | | elem = elem.add(step).setScale(prec, RoundingMode.HALF_UP); |
| | | } |
| | | longPriceQueue.sort(BigDecimal::compareTo); |
| | | log.info("[Gate] 多队列:{}", longPriceQueue); |
| | | totalShortPriceQueue.sort((a, b) -> b.compareTo(a)); |
| | | log.info("[Gate] 队列从大到小:{}", totalShortPriceQueue); |
| | | totalLongPriceQueue.sort(BigDecimal::compareTo); |
| | | log.info("[Gate] 队列从小到大:{}", totalLongPriceQueue); |
| | | } |
| | | |
| | | /** |
| | |
| | | //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++) { |
| | |
| | | elements.add(GridElement.builder() |
| | | .id(0) |
| | | .gridPrice(price) |
| | | .upId(shortSize > 0 ? 1 : null) |
| | | .downId(longSize > 0 ? -1 : null) |
| | | .upId(longSize > 0 ? 1 : null) |
| | | .downId(shortSize > 0 ? -1 : null) |
| | | .longTraderParam(longParam) |
| | | .shortTraderParam(shortParam) |
| | | .build()); |
| | |
| | | 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) { |
| | | BigDecimal matched = BigDecimal.ZERO; |
| | | synchronized (shortPriceQueue) { |
| | | for (BigDecimal p : shortPriceQueue) { |
| | | synchronized (totalLongPriceQueue) { |
| | | for (BigDecimal p : totalLongPriceQueue) { |
| | | if (p.compareTo(currentPrice) >= 0) { |
| | | matched = p; |
| | | } else { |
| | | break; |
| | | } |
| | | } |
| | | // 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; |
| | | } |
| | | log.info("[Gate] 多仓仓位归零 空仓队列触发, 匹配:{},当前价:{}", matched, currentPrice); |
| | | |
| | | GridElement matchedUpGridElement = GridElement.findByPrice(matched); |
| | | if (matchedUpGridElement != null){ |
| | | Integer upId = matchedUpGridElement.getUpId(); |
| | | GridElement newEntryGrid = GridElement.findById(upId); |
| | | if (!matchedUpGridElement.isHasLongOrder()){ |
| | | Integer upId = matchedUpGridElement.getUpId(); |
| | | GridElement newEntryGrid = GridElement.findById(upId); |
| | | |
| | | if (newEntryGrid != null) { |
| | | if (!newEntryGrid.isHasLongOrder()) { |
| | | BigDecimal triggerPrice = newEntryGrid.getGridPrice(); |
| | | String size = config.getBaseQuantity(); |
| | | log.info("[Gate] 多仓仓位归零 gridId:{}, 挂{}基础张多单", |
| | | newEntryGrid.getId(), size); |
| | | newEntryGrid.getLongTraderParam().setQuantity(size); |
| | | placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, size); |
| | | } |
| | | if (newEntryGrid != null) { |
| | | |
| | | // String quantity = String.valueOf(Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()) + Integer.parseInt(config.getQuantity())); |
| | | String quantity = String.valueOf(config.getBaseQuantity()); |
| | | // 向下检查是否已有多单挂在更低价格网格,有则跳过(防止价格回升后重复挂单) |
| | | boolean hasLongOrderBelow = false; |
| | | GridElement checkDownCursor = GridElement.findById(newEntryGrid.getDownId()); |
| | | while (checkDownCursor != null) { |
| | | if (checkDownCursor.isHasLongOrder()) { |
| | | hasLongOrderBelow = true; |
| | | log.info("[Gate] 多仓仓位归零 gridId:{}, 下方gridId:{}已有多单, 跳过本次挂单", |
| | | newEntryGrid.getId(), checkDownCursor.getId()); |
| | | break; |
| | | } |
| | | Integer nextDownId = checkDownCursor.getDownId(); |
| | | checkDownCursor = nextDownId != null ? GridElement.findById(nextDownId) : null; |
| | | } |
| | | |
| | | GridElement cancelGridElement = GridElement.findById(newEntryGrid.getUpId()); |
| | | if (cancelGridElement != null && cancelGridElement.isHasLongOrder()) { |
| | | longEntryTraderIdParam(cancelGridElement, null, false); |
| | | executor.cancelConditionalOrder(cancelGridElement.getLongOrderId(), oid -> { |
| | | log.info("[Gate] 多仓仓位归零, 取消gridId:{}的多单", cancelGridElement.getId()); |
| | | }); |
| | | // 向上遍历取消所有遗留多单(跳过基础入场网格0) |
| | | GridElement cancelCursor = GridElement.findById(newEntryGrid.getUpId()); |
| | | while (cancelCursor != null) { |
| | | if (cancelCursor.isHasLongOrder()) { |
| | | for (String longOrderId : new ArrayList<>(cancelCursor.getLongOrderIds())) { |
| | | GridElement finalCancelCursor = cancelCursor; |
| | | executor.cancelConditionalOrder(longOrderId, oid -> { |
| | | longEntryTraderIdParam(finalCancelCursor, longOrderId, false); |
| | | log.info("[Gate] 多仓仓位归零, 取消gridId:{}的多单,{}", finalCancelCursor.getId(), longOrderId); |
| | | }); |
| | | } |
| | | } |
| | | Integer nextUpId = cancelCursor.getUpId(); |
| | | cancelCursor = nextUpId != null ? GridElement.findById(nextUpId) : null; |
| | | } |
| | | // 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() && !hasLongOrderBelow) { |
| | | BigDecimal triggerPrice = newEntryGrid.getGridPrice(); |
| | | String size = quantity; |
| | | log.info("[Gate] 多仓仓位归零 gridId:{}, 挂{}基础张多单", |
| | | newEntryGrid.getId(), size); |
| | | newEntryGrid.getLongTraderParam().setQuantity(size); |
| | | placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, size); |
| | | } |
| | | } |
| | | } |
| | | } |
| | |
| | | |
| | | private void processLongGrid(BigDecimal currentPrice) { |
| | | BigDecimal matched = BigDecimal.ZERO; |
| | | synchronized (longPriceQueue) { |
| | | for (BigDecimal p : longPriceQueue) { |
| | | synchronized (totalShortPriceQueue) { |
| | | for (BigDecimal p : totalShortPriceQueue) { |
| | | if (p.compareTo(currentPrice) <= 0) { |
| | | matched = p; |
| | | } else { |
| | | break; |
| | | } |
| | | } |
| | | // 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; |
| | | } |
| | | |
| | | log.info("[Gate] 空仓仓位归零 多仓队列触发, 匹配:{},当前价:{}", matched, currentPrice); |
| | | |
| | | GridElement matchedUpGridElement = GridElement.findByPrice(matched); |
| | | if (matchedUpGridElement != null){ |
| | | Integer downId = matchedUpGridElement.getDownId(); |
| | | GridElement newEntryGrid = GridElement.findById(downId); |
| | | if(!matchedUpGridElement.isHasShortOrder()){ |
| | | Integer downId = matchedUpGridElement.getDownId(); |
| | | GridElement newEntryGrid = GridElement.findById(downId); |
| | | |
| | | if (newEntryGrid != null) { |
| | | if (newEntryGrid != null) { |
| | | |
| | | if (!newEntryGrid.isHasShortOrder()){ |
| | | BigDecimal triggerPrice = newEntryGrid.getGridPrice(); |
| | | String size = config.getBaseQuantity(); |
| | | log.info("[Gate] 空仓仓位归零 gridId:{}, 挂{}基础张多单", |
| | | newEntryGrid.getId(), size); |
| | | newEntryGrid.getShortTraderParam().setQuantity(size); |
| | | placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size)); |
| | | // String quantity = String.valueOf((accumulatedShortLossCount + 1) * Integer.parseInt(config.getQuantity())); |
| | | // String quantity = String.valueOf(Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue()) + Integer.parseInt(config.getQuantity())); |
| | | String quantity = String.valueOf(config.getBaseQuantity()); |
| | | // 向上检查是否已有空单挂在更高价格网格,有则跳过(防止价格回落后重复挂单) |
| | | boolean hasShortOrderAbove = false; |
| | | GridElement checkUpCursor = GridElement.findById(newEntryGrid.getUpId()); |
| | | while (checkUpCursor != null) { |
| | | if (checkUpCursor.isHasShortOrder()) { |
| | | hasShortOrderAbove = true; |
| | | log.info("[Gate] 空仓仓位归零 gridId:{}, 上方gridId:{}已有空单, 跳过本次挂单", |
| | | newEntryGrid.getId(), checkUpCursor.getId()); |
| | | break; |
| | | } |
| | | Integer nextUpId = checkUpCursor.getUpId(); |
| | | checkUpCursor = nextUpId != null ? GridElement.findById(nextUpId) : null; |
| | | } |
| | | |
| | | // 向下遍历取消所有遗留空单(跳过基础入场网格0) |
| | | GridElement cancelCursor = GridElement.findById(newEntryGrid.getDownId()); |
| | | while (cancelCursor != null) { |
| | | if (cancelCursor.isHasShortOrder()) { |
| | | for (String shortOrderId : new ArrayList<>(cancelCursor.getShortOrderIds())) { |
| | | GridElement finalCancelCursor = cancelCursor; |
| | | executor.cancelConditionalOrder(shortOrderId, oid -> { |
| | | shortEntryTraderIdParam(finalCancelCursor, shortOrderId, false); |
| | | log.info("[Gate] 空仓仓位归零, 取消gridId:{}的多单{}", finalCancelCursor.getId(), shortOrderId); |
| | | }); |
| | | } |
| | | } |
| | | Integer nextDownId = cancelCursor.getDownId(); |
| | | cancelCursor = nextDownId != null ? GridElement.findById(nextDownId) : null; |
| | | } |
| | | // 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() && !hasShortOrderAbove){ |
| | | BigDecimal triggerPrice = newEntryGrid.getGridPrice(); |
| | | String size = quantity; |
| | | log.info("[Gate] 空仓仓位归零 gridId:{}, 挂{}基础张多单", |
| | | newEntryGrid.getId(), size); |
| | | newEntryGrid.getShortTraderParam().setQuantity(size); |
| | | placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size)); |
| | | } |
| | | |
| | | } |
| | | |
| | | GridElement cancelGridElement = GridElement.findById(newEntryGrid.getDownId()); |
| | | /** |
| | | * 看是否有空仓挂单,有就取消 |
| | | */ |
| | | if (cancelGridElement != null && cancelGridElement.isHasShortOrder()) { |
| | | shortEntryTraderIdParam(cancelGridElement, null, false); |
| | | executor.cancelConditionalOrder(cancelGridElement.getShortOrderId(), oid -> { |
| | | log.info("[Gate] 空仓仓位归零, 取消gridId:{}的多单", cancelGridElement.getId()); |
| | | }); |
| | | } |
| | | |
| | | } |
| | | } |
| | | } |
| | | } |
| | | |
| | | private void handleLongStopLossTriggered(GridElement gridElement) { |
| | | gridElement.setLongStopLossOrderId(null); |
| | | // ========== 加仓计算 ========== |
| | | |
| | | /** |
| | | * 根据 {@code stopLossCountMode} 计算当前有效的止损次数。 |
| | | * <ul> |
| | | * <li>{@code "single"}(单向):返回该方向的累计止损次数</li> |
| | | * <li>{@code "dual"}(双向):返回多空双向累计总次数</li> |
| | | * </ul> |
| | | * |
| | | * @param isLong {@code true}=多仓方向,{@code false}=空仓方向 |
| | | * @return 有效止损次数 |
| | | */ |
| | | private int getEffectiveStopLossCount(boolean isLong) { |
| | | if ("single".equals(config.getStopLossCountMode())) { |
| | | return isLong ? accumulatedLongLossCount : accumulatedShortLossCount; |
| | | } |
| | | // "dual" — 双向总次数 |
| | | return accumulatedLongLossCount + accumulatedShortLossCount; |
| | | } |
| | | |
| | | /** |
| | | * 根据加仓配置计算止损追单时的实际下单量。 |
| | | * <p>公式:</p> |
| | | * <pre> |
| | | * addMultiplier = floor(effectiveStopLossCount / addPositionInterval) |
| | | * addQty = addMultiplier × addPositionQuantity |
| | | * finalQty = min(baseQuantity + addQty, maxPositionPerSide > 0 ? maxPositionPerSide : ∞) |
| | | * </pre> |
| | | * |
| | | * @param isLong {@code true}=多仓方向,{@code false}=空仓方向 |
| | | * @return 实际下单张数(字符串) |
| | | */ |
| | | private String calculateEntryQuantity(boolean isLong) { |
| | | int baseQty = Integer.parseInt(config.getBaseQuantity()); |
| | | int interval = config.getAddPositionInterval(); |
| | | int addQtyPerUnit = config.getAddPositionQuantity(); |
| | | int maxPerSide = config.getMaxPositionPerSide(); |
| | | |
| | | int effectiveCount = getEffectiveStopLossCount(isLong); |
| | | int addMultiplier = interval > 0 ? effectiveCount / interval : 0; |
| | | int addQty = addMultiplier * addQtyPerUnit; |
| | | int totalQty = baseQty + addQty; |
| | | |
| | | if (maxPerSide > 0 && totalQty > maxPerSide) { |
| | | totalQty = maxPerSide; |
| | | } |
| | | |
| | | return String.valueOf(totalQty); |
| | | } |
| | | |
| | | private void handleLongStopLossTriggered(GridElement gridElement, String orderId) { |
| | | gridElement.removeLongStopLossOrderId(orderId); |
| | | |
| | | int gridId = gridElement.getId(); |
| | | log.info("[Gate] 多仓止损触发 gridId:{}, 开始追单", gridId); |
| | | boolean sameGrid = (gridId == lastLongStopLossGridId); |
| | | if (sameGrid) { |
| | | log.info("[Gate] 多仓止损触发 同网格, 忽略"); |
| | | return; |
| | | } |
| | | |
| | | lastLongStopLossGridId = gridId; |
| | | |
| | | accumulatedLongLossCount++; |
| | | log.info("[Gate] 多仓止损触发 gridId:{}, 止损次数:{}{}, 开始追单", |
| | | gridId, accumulatedLongLossCount, sameGrid ? "(同网格)" : ""); |
| | | int newEntryGridId = gridId + 1; |
| | | |
| | | GridElement newEntryGrid = GridElement.findById(newEntryGridId); |
| | |
| | | return; |
| | | } |
| | | |
| | | // 止损追单:同一网格可有多笔挂单,不判断 isHasLongOrder,直接挂单 |
| | | 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=", |
| | | gridId, newEntryGridId, size); |
| | | String size = calculateEntryQuantity(true); |
| | | log.info("[Gate] 多仓止损追单 有效次数:{}, 基础:{}张 → 实际:{}张, 模式:{}", |
| | | getEffectiveStopLossCount(true), config.getBaseQuantity(), size, config.getStopLossCountMode()); |
| | | newEntryGrid.getLongTraderParam().setQuantity(size); |
| | | placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, size); |
| | | |
| | | // 取消 gridId+2 位置的所有多单 |
| | | int cancelGridId = gridId + 2; |
| | | GridElement cancelGrid = GridElement.findById(cancelGridId); |
| | | if (cancelGrid != null && cancelGrid.isHasLongOrder()) { |
| | | for (String cancelOrderId : new ArrayList<>(cancelGrid.getLongOrderIds())) { |
| | | executor.cancelConditionalOrder(cancelOrderId, oid -> { |
| | | longEntryTraderIdParam(cancelGrid, cancelOrderId, false); |
| | | log.info("[Gate] 多仓止损触发, 取消gridId:{}的多单,{}", cancelGridId, cancelOrderId); |
| | | }); |
| | | } |
| | | } |
| | | |
| | | } |
| | | |
| | | private void handleShortStopLossTriggered(GridElement gridElement) { |
| | | gridElement.setShortStopLossOrderId(null); |
| | | // ========== 止损触发操作表 ========== |
| | | /** |
| | | * value = int[2]: {对手满仓止盈%, 基础仓位阈值%} |
| | | * <ul> |
| | | * <li>[0] 对手满仓:挂对手仓位此%做止盈;0=不挂</li> |
| | | * <li>[1] 基础仓位阈值(占maxPos的%):对手/己方仓位超出此阈值部分做止盈;0=不挂</li> |
| | | * </ul> |
| | | */ |
| | | private static final Map<Integer, int[]> STOP_LOSS_RULES = new LinkedHashMap<>(); |
| | | private static final int DEFAULT_STOP_LOSS_PERCENT = 5; |
| | | |
| | | static { |
| | | // times {满仓%, 阈值%} |
| | | put(1, new int[]{0, 0}); |
| | | put(2, new int[]{0, 0}); |
| | | put(3, new int[]{30, 0}); |
| | | put(4, new int[]{0, 0}); |
| | | put(5, new int[]{0, 0}); |
| | | put(6, new int[]{40, 40}); |
| | | put(7, new int[]{0, 0}); |
| | | put(8, new int[]{0, 0}); |
| | | put(9, new int[]{50, 50}); |
| | | put(10, new int[]{0, 0}); |
| | | put(11, new int[]{0, 0}); |
| | | put(12, new int[]{55, 60}); |
| | | put(13, new int[]{0, 0}); |
| | | put(14, new int[]{0, 0}); |
| | | put(15, new int[]{60, 60}); |
| | | put(16, new int[]{0, 0}); |
| | | put(17, new int[]{0, 0}); |
| | | put(18, new int[]{65, 65}); |
| | | put(19, new int[]{0, 0}); |
| | | put(20, new int[]{0, 0}); |
| | | put(21, new int[]{70, 70}); |
| | | put(22, new int[]{0, 0}); |
| | | put(23, new int[]{0, 0}); |
| | | put(24, new int[]{75, 75}); |
| | | put(25, new int[]{0, 0}); |
| | | put(26, new int[]{0, 0}); |
| | | put(27, new int[]{80, 80}); |
| | | put(28, new int[]{0, 0}); |
| | | put(29, new int[]{0, 0}); |
| | | put(30, new int[]{85, 85}); |
| | | put(31, new int[]{0, 0}); |
| | | put(32, new int[]{0, 0}); |
| | | } |
| | | |
| | | private static void put(int times, int[] rule) { STOP_LOSS_RULES.put(times, rule); } |
| | | |
| | | private static int[] ruleOf(int times) { |
| | | int[] r = STOP_LOSS_RULES.get(times); |
| | | return r != null ? r : STOP_LOSS_RULES.get(32); |
| | | } |
| | | |
| | | /** |
| | | * 多仓止损触发后,查表处理对手盘(空仓)盈止 + 己方盈止 + 激活。 |
| | | */ |
| | | private void checkLongStopShortProfit(int times, int gridId) { |
| | | int[] r = ruleOf(times); |
| | | int maxPos = Integer.parseInt(config.getBaseQuantity()); |
| | | if (maxPos <= 0) { |
| | | return; |
| | | } |
| | | |
| | | int fullTpPct = r[0]; // 对手满仓 → 止盈% |
| | | int fullTpPctNum = maxPos * (100- fullTpPct)/ 100; |
| | | int thresholdPct = r[1]; // 基础仓位阈值% |
| | | int thresholdPosNum = maxPos * (100- thresholdPct)/ 100; |
| | | |
| | | // ---------- 对手盘(空仓)盈止 ---------- |
| | | int oppPos = Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()); |
| | | boolean isFullTp = oppPos > fullTpPctNum; |
| | | if (isFullTp) { |
| | | // 对手仓位超出阈值:超额整个挂一笔止盈,位置在触发格 - 1 |
| | | int excess = oppPos - fullTpPctNum; |
| | | GridElement tpElem = GridElement.findById(gridId); |
| | | if (tpElem != null) { |
| | | placeTakeProfitAtGrid(tpElem, false, excess, times); |
| | | } |
| | | } |
| | | |
| | | // ---------- 己方(多仓)盈止(≥6次) ---------- |
| | | // if (times >= 6 && thresholdPct > 0) { |
| | | // int selfPos = Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue()); |
| | | // int excess = selfPos - thresholdPosNum; |
| | | // if (excess > 0) { |
| | | // int perOrderQty = maxPos * DEFAULT_STOP_LOSS_PERCENT / 100; |
| | | // if (perOrderQty <= 0) { |
| | | // perOrderQty = 1; |
| | | // } |
| | | // int totalOrders = excess / perOrderQty; |
| | | // if (totalOrders <= 0) { |
| | | // totalOrders = 1; |
| | | // } |
| | | // int entryGridId = 0; // 多仓建仓格 |
| | | // for (int i = 0; i < totalOrders; i++) { |
| | | // int tpGridId = entryGridId + 2 * (i + 1); // 朝盈利方向(向上)间隔2格 |
| | | // GridElement tpElem = GridElement.findById(tpGridId); |
| | | // if (tpElem == null) { |
| | | // break; |
| | | // } |
| | | // placeTakeProfitAtGrid(tpElem, true, perOrderQty, times); |
| | | // } |
| | | // log.info("[Gate] 止损{}→己方多仓止盈, excess:{}, 挂{}单, 每单{}张", |
| | | // times, excess, totalOrders, perOrderQty); |
| | | // } |
| | | // } |
| | | |
| | | } |
| | | |
| | | /** |
| | | * 空仓止损触发后,查表处理对手盘(多仓)盈止 + 己方盈止。 |
| | | */ |
| | | private void checkShortStopLongProfit(int times, int gridId) { |
| | | int[] r = ruleOf(times); |
| | | int maxPos = Integer.parseInt(config.getBaseQuantity()); |
| | | if (maxPos <= 0) { |
| | | return; |
| | | } |
| | | |
| | | int fullTpPct = r[0]; // 对手满仓 → 止盈% |
| | | int fullTpPctNum = maxPos * (100 - fullTpPct) / 100; |
| | | int thresholdPct = r[1]; // 基础仓位阈值% |
| | | int thresholdPosNum = maxPos * (100 - thresholdPct) / 100; |
| | | |
| | | // ---------- 对手盘(多仓)盈止 ---------- |
| | | int oppPos = Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue()); |
| | | boolean isFullTp = oppPos > fullTpPctNum; |
| | | if (isFullTp) { |
| | | // 对手仓位超出阈值:超额整个挂一笔止盈,位置在触发格 |
| | | int excess = oppPos - fullTpPctNum; |
| | | GridElement tpElem = GridElement.findById(gridId); |
| | | if (tpElem != null) { |
| | | placeTakeProfitAtGrid(tpElem, true, excess, times); |
| | | } |
| | | } |
| | | |
| | | // ---------- 己方(空仓)盈止(≥6次) ---------- |
| | | // if (times >= 6 && thresholdPct > 0) { |
| | | // int selfPos = Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()); |
| | | // int excess = selfPos - thresholdPosNum; |
| | | // if (excess > 0) { |
| | | // int perOrderQty = maxPos * DEFAULT_STOP_LOSS_PERCENT / 100; |
| | | // if (perOrderQty <= 0) { |
| | | // perOrderQty = 1; |
| | | // } |
| | | // int totalOrders = excess / perOrderQty; |
| | | // if (totalOrders <= 0) { |
| | | // totalOrders = 1; |
| | | // } |
| | | // int entryGridId = 0; // 空仓建仓格 |
| | | // for (int i = 0; i < totalOrders; i++) { |
| | | // int tpGridId = entryGridId - 2 * (i + 1); // 朝盈利方向(向下)间隔2格 |
| | | // GridElement tpElem = GridElement.findById(tpGridId); |
| | | // if (tpElem == null) { |
| | | // break; |
| | | // } |
| | | // placeTakeProfitAtGrid(tpElem, false, perOrderQty, times); |
| | | // } |
| | | // log.info("[Gate] 止损{}→己方空仓止盈, excess:{}, 挂{}单, 每单{}张", |
| | | // times, excess, totalOrders, perOrderQty); |
| | | // } |
| | | // } |
| | | |
| | | } |
| | | |
| | | private void handleShortStopLossTriggered(GridElement gridElement, String orderId) { |
| | | gridElement.removeShortStopLossOrderId(orderId); |
| | | |
| | | int gridId = gridElement.getId(); |
| | | log.info("[Gate] 空仓止损触发 gridId:{}, 开始追单", gridId); |
| | | boolean sameGrid = (gridId == lastShortStopLossGridId); |
| | | if (sameGrid) { |
| | | log.info("[Gate] 空仓止损触发 同网格, 忽略"); |
| | | return; |
| | | } |
| | | lastShortStopLossGridId = gridId; |
| | | accumulatedShortLossCount++; |
| | | log.info("[Gate] 空仓止损触发 gridId:{}, 止损次数:{}{}, 开始追单", |
| | | gridId, accumulatedShortLossCount, sameGrid ? "(同网格)" : ""); |
| | | int newEntryGridId = gridId - 1; |
| | | |
| | | GridElement newEntryGrid = GridElement.findById(newEntryGridId); |
| | |
| | | return; |
| | | } |
| | | |
| | | // 止损追单:同一网格可有多笔挂单,不判断 isHasShortOrder,直接挂单 |
| | | BigDecimal triggerPrice = newEntryGrid.getGridPrice(); |
| | | String size =config.getBaseQuantity(); |
| | | log.info("[Gate] 空仓止损触发 gridId:{}, 在gridId:{}挂{}基础张空单", |
| | | gridId, newEntryGridId, size); |
| | | String size = calculateEntryQuantity(false); |
| | | log.info("[Gate] 空仓止损追单 有效次数:{}, 基础:{}张 → 实际:{}张, 模式:{}", |
| | | getEffectiveStopLossCount(false), config.getBaseQuantity(), size, config.getStopLossCountMode()); |
| | | newEntryGrid.getShortTraderParam().setQuantity(size); |
| | | placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size)); |
| | | } |
| | | |
| | | 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) { |
| | | BigDecimal triggerPrice = elem.getGridPrice(); |
| | | int finalSlId = elem.getId(); |
| | | String size = config.getBaseQuantity(); |
| | | executor.placeTakeProfit( |
| | | triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_LONG, |
| | | negate(size), |
| | | profitId -> { |
| | | elem.setLongStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 多仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId); |
| | | } |
| | | ); |
| | | // 取消 gridId-2 位置的所有空单 |
| | | int cancelGridId = gridId - 2; |
| | | GridElement cancelGrid = GridElement.findById(cancelGridId); |
| | | if (cancelGrid != null && cancelGrid.isHasShortOrder()) { |
| | | for (String cancelOrderId : new ArrayList<>(cancelGrid.getShortOrderIds())) { |
| | | executor.cancelConditionalOrder(cancelOrderId, oid -> { |
| | | shortEntryTraderIdParam(cancelGrid, cancelOrderId, false); |
| | | log.info("[Gate] 空仓止损触发, 取消gridId:{}的空单,{}", cancelGridId, cancelOrderId); |
| | | }); |
| | | } |
| | | } |
| | | } |
| | | |
| | | 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) { |
| | | BigDecimal triggerPrice = elem.getGridPrice(); |
| | | int finalSlId = elem.getId(); |
| | | String size = config.getBaseQuantity(); |
| | | // ========== 止盈/止损取消辅助方法 ========== |
| | | |
| | | /** |
| | | * 止盈触发后检查跨度是否达至要求,满足条件则重启策略。 |
| | | * |
| | | * <h3>跨度定义</h3> |
| | | * {@code restartGridSpan} 表示多少倍的绝对步长 step(= 短基价 × gridRate)。 |
| | | * |
| | | * <h3>判断逻辑</h3> |
| | | * <ol> |
| | | * <li>多空双边均有持仓:longEntryPrice − shortEntryPrice > span × step</li> |
| | | * <li>仅持多仓:currentPrice − longEntryPrice > span × step</li> |
| | | * <li>仅持空仓:shortEntryPrice − currentPrice > span × step</li> |
| | | * </ol> |
| | | * restartGridSpan=0 时禁用此功能。重启复用仓位归零模式:取消全部条件单 → 平仓 → 延迟启动。 |
| | | */ |
| | | private void checkLastTakeProfitAndRestart() { |
| | | int span = config.getRestartGridSpan(); |
| | | if (span <= 0) { |
| | | return; |
| | | } |
| | | |
| | | // 检查是否还有剩余止盈单,只有多空止盈全部清空才继续 |
| | | if (GridElement.getLongTakeProfitCount() > 0 || GridElement.getShortTakeProfitCount() > 0) { |
| | | log.info("[Gate] 尚有未触发止盈单, 暂不检查跨度重启 longTpCount:{}, shortTpCount:{}", |
| | | GridElement.getLongTakeProfitCount(), GridElement.getShortTakeProfitCount()); |
| | | return; |
| | | } |
| | | |
| | | BigDecimal step = config.getStep(); |
| | | if (step == null || step.compareTo(BigDecimal.ZERO) == 0) { |
| | | return; |
| | | } |
| | | BigDecimal threshold = step.multiply(new BigDecimal(span)); |
| | | |
| | | BigDecimal currentPrice = lastKlinePrice; |
| | | if (currentPrice == null || currentPrice.compareTo(BigDecimal.ZERO) == 0) { |
| | | return; |
| | | } |
| | | |
| | | // 查交易所获取最新持仓均价和持仓量,不用本地缓存避免 WS 时序竞态 |
| | | Position longPos = queryPosition(Position.ModeEnum.DUAL_LONG); |
| | | Position shortPos = queryPosition(Position.ModeEnum.DUAL_SHORT); |
| | | boolean hasLong = longPos != null && Math.abs(Integer.parseInt(longPos.getSize())) > 0; |
| | | boolean hasShort = shortPos != null && Math.abs(Integer.parseInt(shortPos.getSize())) > 0; |
| | | BigDecimal longAvgPrice = (longPos != null && longPos.getEntryPrice() != null) |
| | | ? new BigDecimal(longPos.getEntryPrice()) : BigDecimal.ZERO; |
| | | BigDecimal shortAvgPrice = (shortPos != null && shortPos.getEntryPrice() != null) |
| | | ? new BigDecimal(shortPos.getEntryPrice()) : BigDecimal.ZERO; |
| | | |
| | | boolean shouldRestart = false; |
| | | String reason = ""; |
| | | |
| | | if (hasLong && hasShort) { |
| | | // 多空双边持仓:|多均价 − 空均价| > span × step |
| | | BigDecimal gap = shortAvgPrice.subtract(longAvgPrice); |
| | | if (gap.compareTo(threshold) >= 0) { |
| | | shouldRestart = true; |
| | | reason = StrUtil.format("双边跨度 |多均价:{} − 空均价:{}| = {} >= {} (span:{}×step:{})", |
| | | longAvgPrice, shortAvgPrice, gap, threshold, span, step); |
| | | } |
| | | } else if (hasLong) { |
| | | // 仅持多仓:当前价 − 多均价 > span × step |
| | | BigDecimal gap = currentPrice.subtract(longAvgPrice); |
| | | if (gap.compareTo(threshold) >= 0) { |
| | | shouldRestart = true; |
| | | reason = StrUtil.format("多仓跨度 当前价:{} − 多均价:{} = {} > {} (span:{}×step:{})", |
| | | currentPrice, longAvgPrice, gap, threshold, span, step); |
| | | } |
| | | } else if (hasShort) { |
| | | // 仅持空仓:空均价 − 当前价 > span × step |
| | | BigDecimal gap = shortAvgPrice.subtract(currentPrice); |
| | | if (gap.compareTo(threshold) >= 0) { |
| | | shouldRestart = true; |
| | | reason = StrUtil.format("空仓跨度 空均价:{} − 当前价:{} = {} > {} (span:{}×step:{})", |
| | | shortAvgPrice, currentPrice, gap, threshold, span, step); |
| | | } |
| | | } |
| | | |
| | | if (shouldRestart) { |
| | | log.info("[Gate] 跨度已达要求 → {},最后一个止盈触发策略重启", reason); |
| | | try { |
| | | futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract()); |
| | | } catch (ApiException ex) { |
| | | log.warn("[Gate] 重启前清理条件单失败", ex); |
| | | } |
| | | closeExistingPositions(); |
| | | state = StrategyState.STOPPED; |
| | | executor.submitTask(() -> { |
| | | try { Thread.sleep(3000); } catch (InterruptedException ex) { Thread.currentThread().interrupt(); } |
| | | startGrid(); |
| | | }); |
| | | } |
| | | } |
| | | |
| | | /** |
| | | * 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 cancelNearestLongStopLoss() { |
| | | GridElement nearest = null; |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (e.hasLongStopLossOrders()) { |
| | | if (nearest == null || e.getId() > nearest.getId()) { |
| | | nearest = e; |
| | | } |
| | | } |
| | | } |
| | | 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 finalNearest = nearest; |
| | | executor.cancelConditionalOrder(slId, oid -> |
| | | log.info("[Gate] 止盈触发, 取消最近多仓止损 gridId:{}, orderId:{}", finalNearest.getId(), slId)); |
| | | } |
| | | } |
| | | |
| | | /** |
| | | * 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 cancelNearestShortStopLoss() { |
| | | GridElement nearest = null; |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (e.hasShortStopLossOrders()) { |
| | | if (nearest == null || e.getId() < nearest.getId()) { |
| | | nearest = e; |
| | | } |
| | | } |
| | | } |
| | | 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 finalNearest = nearest; |
| | | executor.cancelConditionalOrder(slId, oid -> |
| | | log.info("[Gate] 止盈触发, 取消最近空仓止损 gridId:{}, orderId:{}", finalNearest.getId(), slId)); |
| | | } |
| | | } |
| | | |
| | | /** |
| | | * 取消所有多仓止盈 + 多仓止损订单(加仓后重建前清场)。 |
| | | */ |
| | | private void cancelAllLongTakeProfitsAndStopLosses() { |
| | | for (GridElement e : config.getGridElements()) { |
| | | String tpId = e.getLongTakeProfitOrderId(); |
| | | if (tpId != null) { |
| | | e.getLongTraderParam().setTakeProfitPlaced(false); |
| | | e.setLongTakeProfitOrderId(null); |
| | | executor.cancelConditionalOrder(tpId, oid -> {}); |
| | | } |
| | | 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"); |
| | | } |
| | | |
| | | /** |
| | | * 取消所有空仓止盈 + 空仓止损订单(加仓后重建前清场)。 |
| | | */ |
| | | private void cancelAllShortTakeProfitsAndStopLosses() { |
| | | for (GridElement e : config.getGridElements()) { |
| | | String tpId = e.getShortTakeProfitOrderId(); |
| | | if (tpId != null) { |
| | | e.getShortTraderParam().setTakeProfitPlaced(false); |
| | | e.setShortTakeProfitOrderId(null); |
| | | executor.cancelConditionalOrder(tpId, oid -> {}); |
| | | } |
| | | 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"); |
| | | } |
| | | |
| | | /** |
| | | * 首次挂单成交时,取消初始化阶段挂的所有止盈单(多+空),止损单保留不动。 |
| | | */ |
| | | private void cancelAllInitialTakeProfits() { |
| | | |
| | | |
| | | GridElement tpElemLong = GridElement.findById(3); |
| | | String longTpId = tpElemLong.getLongTakeProfitOrderId(); |
| | | if (longTpId != null) { |
| | | longTakeProfitTraderIdParam(tpElemLong, null, false); |
| | | executor.cancelConditionalOrder(longTpId, oid -> {}); |
| | | } |
| | | |
| | | GridElement tpElemShort = GridElement.findById(-3); |
| | | String shortTpId = tpElemShort.getShortTakeProfitOrderId(); |
| | | if (shortTpId != null) { |
| | | shortTakeProfitTraderIdParam(tpElemShort, null, false); |
| | | executor.cancelConditionalOrder(shortTpId, oid -> {}); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 首次成交,取消所有初始化止盈单"); |
| | | } |
| | | |
| | | // ========== 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) ========== |
| | | |
| | | /** |
| | | * 多仓止损追单 — 网格数量 = baseQuantity/quantity,从近到远分配。 |
| | | * aCount<0跳过, aCount=0→主=2, aCount=1→主=2,辅0=1, aCount>=2→主=aCount,辅依次填1 |
| | | */ |
| | | private void extendLongStopLoss(int filledQty, int gridId) { |
| | | int qty = Integer.parseInt(config.getQuantity()); |
| | | int baseQty = Integer.parseInt(config.getBaseQuantity()); |
| | | int gridCount = baseQty / qty; |
| | | GridElement entryElem = GridElement.findById(gridId); |
| | | if (gridCount <= 0 || filledQty < qty) { |
| | | // 早期返回需重置防重入标记 |
| | | if (entryElem != null) { entryElem.setExtendStopLossInProgress(false); } |
| | | return; |
| | | } |
| | | |
| | | int totalOrders = filledQty / qty; |
| | | int[] orders = new int[gridCount]; |
| | | |
| | | if (gridCount == 1) { |
| | | // 只有1个网格,全量挂在上面 |
| | | orders[0] = totalOrders; |
| | | } else { |
| | | // 最近网格(orders[0])挂剩余张数,其余每个网格各挂1张 |
| | | orders[0] = totalOrders - (gridCount - 1); |
| | | if (orders[0] < 1) { |
| | | // 订单数不够覆盖所有网格(理论上不会出现),全量挂在最近网格 |
| | | orders[0] = totalOrders; |
| | | } else { |
| | | for (int i = 1; i < gridCount; i++) { |
| | | orders[i] = 1; |
| | | } |
| | | } |
| | | } |
| | | |
| | | // 计算总订单数,用于异步回调完成时重置防重入标记 |
| | | int totalOrdersToPlace = 0; |
| | | for (int i = 0; i < gridCount; i++) { |
| | | if (orders[i] > 0) { totalOrdersToPlace += orders[i]; } |
| | | } |
| | | if (totalOrdersToPlace == 0) { |
| | | if (entryElem != null) { entryElem.setExtendStopLossInProgress(false); } |
| | | return; |
| | | } |
| | | AtomicInteger remainCount = new AtomicInteger(totalOrdersToPlace); |
| | | |
| | | StringBuilder detail = new StringBuilder(); |
| | | for (int i = 0; i < gridCount; i++) { |
| | | if (orders[i] > 0) { |
| | | int sgId = gridId - 2 - i; |
| | | placeStopLossOrders(sgId, orders[i], qty, FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_LONG, true, remainCount, entryElem); |
| | | if (detail.length() > 0) { |
| | | detail.append(" "); |
| | | } |
| | | detail.append(sgId).append("x").append(orders[i]); |
| | | } |
| | | } |
| | | |
| | | log.info("[Gate] 多仓追挂止损, 成交{}张, gridId:{}, 网格数:{}, 分配:{}", |
| | | filledQty, gridId, gridCount, detail); |
| | | } |
| | | |
| | | /** |
| | | * 空仓止损追单 — 网格数量 = baseQuantity/quantity,从近到远分配。 |
| | | * aCount<0跳过, aCount=0→主=2, aCount=1→主=2,辅0=1, aCount>=2→主=aCount,辅依次填1 |
| | | */ |
| | | private void extendShortStopLoss(int filledQty, int gridId) { |
| | | int qty = Integer.parseInt(config.getQuantity()); |
| | | int baseQty = Integer.parseInt(config.getBaseQuantity()); |
| | | int gridCount = baseQty / qty; |
| | | GridElement entryElem = GridElement.findById(gridId); |
| | | if (gridCount <= 0 || filledQty < qty) { |
| | | // 早期返回需重置防重入标记 |
| | | if (entryElem != null) { entryElem.setExtendStopLossInProgress(false); } |
| | | return; |
| | | } |
| | | |
| | | int totalOrders = filledQty / qty; |
| | | int[] orders = new int[gridCount]; |
| | | |
| | | if (gridCount == 1) { |
| | | // 只有1个网格,全量挂在上面 |
| | | orders[0] = totalOrders; |
| | | } else { |
| | | // 最近网格(orders[0])挂剩余张数,其余每个网格各挂1张 |
| | | orders[0] = totalOrders - (gridCount - 1); |
| | | if (orders[0] < 1) { |
| | | // 订单数不够覆盖所有网格(理论上不会出现),全量挂在最近网格 |
| | | orders[0] = totalOrders; |
| | | } else { |
| | | for (int i = 1; i < gridCount; i++) { |
| | | orders[i] = 1; |
| | | } |
| | | } |
| | | } |
| | | |
| | | // 计算总订单数,用于异步回调完成时重置防重入标记 |
| | | int totalOrdersToPlace = 0; |
| | | for (int i = 0; i < gridCount; i++) { |
| | | if (orders[i] > 0) { totalOrdersToPlace += orders[i]; } |
| | | } |
| | | if (totalOrdersToPlace == 0) { |
| | | if (entryElem != null) { entryElem.setExtendStopLossInProgress(false); } |
| | | return; |
| | | } |
| | | AtomicInteger remainCount = new AtomicInteger(totalOrdersToPlace); |
| | | |
| | | StringBuilder detail = new StringBuilder(); |
| | | for (int i = 0; i < gridCount; i++) { |
| | | if (orders[i] > 0) { |
| | | int sgId = gridId + 2 + i; |
| | | placeStopLossOrders(sgId, orders[i], qty, FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_SHORT, false, remainCount, entryElem); |
| | | if (detail.length() > 0) { |
| | | detail.append(" "); |
| | | } |
| | | detail.append(sgId).append("x").append(orders[i]); |
| | | } |
| | | } |
| | | |
| | | log.info("[Gate] 空仓追挂止损, 成交{}张, gridId:{}, 网格数:{}, 分配:{}", |
| | | filledQty, gridId, gridCount, detail); |
| | | } |
| | | |
| | | /** |
| | | * 延展完成后重挂止损(处理被跳过的入场单成交)。 |
| | | * 取消已有止损单并用最新仓位重新挂单,确保止损覆盖最新持仓数。 |
| | | */ |
| | | private void reExtendLongStopLoss(GridElement entryElem) { |
| | | if (entryElem.isExtendStopLossInProgress()) { |
| | | log.info("[Gate] 多仓重挂止损跳过, entryGridId:{}, 仍在进行中", entryElem.getId()); |
| | | return; |
| | | } |
| | | entryElem.setExtendStopLossInProgress(true); |
| | | cancelAllLongTakeProfitsAndStopLosses(); |
| | | int latestPos = Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue()); |
| | | log.info("[Gate] 多仓重挂止损, entryGridId:{}, 最新仓位:{}张", entryElem.getId(), latestPos); |
| | | extendLongStopLoss(latestPos, entryElem.getId()); |
| | | } |
| | | |
| | | private void reExtendShortStopLoss(GridElement entryElem) { |
| | | if (entryElem.isExtendStopLossInProgress()) { |
| | | log.info("[Gate] 空仓重挂止损跳过, entryGridId:{}, 仍在进行中", entryElem.getId()); |
| | | return; |
| | | } |
| | | entryElem.setExtendStopLossInProgress(true); |
| | | cancelAllShortTakeProfitsAndStopLosses(); |
| | | int latestPos = Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()); |
| | | log.info("[Gate] 空仓重挂止损, entryGridId:{}, 最新仓位:{}张", entryElem.getId(), latestPos); |
| | | extendShortStopLoss(latestPos, entryElem.getId()); |
| | | } |
| | | |
| | | /** |
| | | * 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, |
| | | AtomicInteger remainCount, |
| | | GridElement entryElement) { |
| | | if (count <= 0) { |
| | | return; |
| | | } |
| | | GridElement elem = GridElement.findById(gridId); |
| | | if (elem == null) { |
| | | log.warn("[Gate] 止损挂单位置不存在, gridId:{}", gridId); |
| | | // 即使挂单位置不存在也需递减计数器,避免标志永不重置 |
| | | if (remainCount != null && entryElement != null) { |
| | | for (int i = 0; i < count; i++) { |
| | | if (remainCount.decrementAndGet() == 0) { |
| | | entryElement.setExtendStopLossInProgress(false); |
| | | log.info("[Gate] {}止损追单全部完成(部分位置缺失), entryGridId:{}, 防重入标记已重置", |
| | | isLong ? "多仓" : "空仓", entryElement.getId()); |
| | | // 检查待重挂请求 |
| | | if (entryElement.isPendingStopLossReExtend()) { |
| | | entryElement.setPendingStopLossReExtend(false); |
| | | if (isLong) { |
| | | reExtendLongStopLoss(entryElement); |
| | | } else { |
| | | reExtendShortStopLoss(entryElement); |
| | | } |
| | | } |
| | | } |
| | | } |
| | | } |
| | | return; |
| | | } |
| | | BigDecimal triggerPrice = elem.getGridPrice(); |
| | | 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, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_SHORT, |
| | | size, |
| | | triggerPrice, rule, orderType, size, |
| | | profitId -> { |
| | | elem.setShortStopLossOrderId(profitId); |
| | | if (isLong) { |
| | | elem.addLongStopLossOrderId(profitId); |
| | | } else { |
| | | elem.addShortStopLossOrderId(profitId); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 空仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId); |
| | | log.info("[Gate] {}止损追加, gridId:{}, 触发价:{}, 第{}单, stopLossId:{}", |
| | | isLong ? "多仓" : "空仓", finalGridId, triggerPrice, finalI + 1, profitId); |
| | | // 计数器归零时重置防重入标记,并检查是否有待重挂请求 |
| | | if (remainCount != null && remainCount.decrementAndGet() == 0 && entryElement != null) { |
| | | entryElement.setExtendStopLossInProgress(false); |
| | | log.info("[Gate] {}止损追单全部完成, entryGridId:{}, 防重入标记已重置", |
| | | isLong ? "多仓" : "空仓", entryElement.getId()); |
| | | // 如果有被跳过的入场单成交,用最新仓位重挂一次止损 |
| | | if (entryElement.isPendingStopLossReExtend()) { |
| | | entryElement.setPendingStopLossReExtend(false); |
| | | if (isLong) { |
| | | reExtendLongStopLoss(entryElement); |
| | | } else { |
| | | reExtendShortStopLoss(entryElement); |
| | | } |
| | | } |
| | | } |
| | | } |
| | | ); |
| | | } |
| | |
| | | } |
| | | }, |
| | | () -> { |
| | | // 仅当列表为空(无其他有效订单)时才清预置标志,避免误伤其他并发挂单 |
| | | if (isLong) { |
| | | gridElement.setHasLongOrder(false); |
| | | gridElement.setLongOrderId(null); |
| | | if (!gridElement.hasLongOrderIds()) { |
| | | gridElement.setHasLongOrder(false); |
| | | } |
| | | } else { |
| | | gridElement.setHasShortOrder(false); |
| | | gridElement.setShortOrderId(null); |
| | | if (!gridElement.hasShortOrderIds()) { |
| | | gridElement.setHasShortOrder(false); |
| | | } |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.warn("[Gate] 条件单创建失败,回滚标志位 gridId:{}, isLong:{}", gridElement.getId(), isLong); |
| | | log.warn("[Gate] 条件单创建失败 gridId:{}, isLong:{}", gridElement.getId(), isLong); |
| | | } |
| | | ); |
| | | } |
| | |
| | | public StrategyState getState() { return state; } |
| | | /** 注入WS客户端,用于订阅状态检查 */ |
| | | public void setWsClient(GateKlineWebSocketClient wsClient) { this.wsClient = wsClient; } |
| | | |
| | | // ========== 止损查表辅助方法 ========== |
| | | |
| | | /** 找到第一个有多仓止损单的网格(首个匹配即返回) */ |
| | | private GridElement findFirstLongStopLossGrid() { |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (!e.getLongStopLossOrderIds().isEmpty()) return e; |
| | | } |
| | | return null; |
| | | } |
| | | |
| | | /** 找到第一个有空仓止损单的网格(首个匹配即返回) */ |
| | | private GridElement findFirstShortStopLossGrid() { |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (!e.getShortStopLossOrderIds().isEmpty()) return e; |
| | | } |
| | | return null; |
| | | } |
| | | |
| | | /** |
| | | * 在指定网格挂一笔对手止盈单(非满仓超额止盈,挂在止损触发位的下一格)。 |
| | | */ |
| | | private void placeTakeProfitAtGrid(GridElement tpElem, boolean isLong, int qty, int times) { |
| | | BigDecimal triggerPrice = tpElem.getGridPrice(); |
| | | String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT; |
| | | FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1 |
| | | : FuturesPriceTrigger.RuleEnum.NUMBER_2; |
| | | String size = isLong ? negate(String.valueOf(qty)) : String.valueOf(qty); |
| | | int gridId = tpElem.getId(); |
| | | executor.placeTakeProfit(triggerPrice, rule, orderType, size, |
| | | profitId -> { |
| | | if (isLong) { |
| | | longTakeProfitTraderIdParam(tpElem, profitId, true); |
| | | } else { |
| | | shortTakeProfitTraderIdParam(tpElem, profitId, true); |
| | | } |
| | | log.info("[Gate] 止损{}→对手超额止盈 gridId:{}, 量:{}, tpId:{}", times, gridId, qty, profitId); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | /** |
| | | * 挂对手盘止盈单:在对向仓位第一止损位挂止盈。 |
| | | * @param isLong true=挂多仓止盈(对空仓), false=挂空仓止盈(对多仓) |
| | | */ |
| | | private void placeOpponentTakeProfit(boolean isLong, int tpQty, int times, int gridId) { |
| | | GridElement tpElem = GridElement.findById(isLong ? gridId + 1 : gridId - 1); |
| | | if (tpElem == null) { |
| | | log.warn("[Gate] 对手止盈挂单失败:未找到止损位"); |
| | | return; |
| | | } |
| | | int tpGridId = tpElem.getId(); |
| | | BigDecimal triggerPrice = tpElem.getGridPrice(); |
| | | String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT; |
| | | FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1 |
| | | : FuturesPriceTrigger.RuleEnum.NUMBER_2; |
| | | String size = isLong ? negate(String.valueOf(tpQty)) : String.valueOf(tpQty); |
| | | executor.placeTakeProfit(triggerPrice, rule, orderType, size, |
| | | profitId -> { |
| | | if (isLong) longTakeProfitTraderIdParam(tpElem, profitId, true); |
| | | else shortTakeProfitTraderIdParam(tpElem, profitId, true); |
| | | log.info("[Gate] 止损次数{}→对手{}止盈 gridId:{}, 量:{}, tpId:{}", |
| | | times, isLong ? "多仓" : "空仓", tpGridId, size, profitId); |
| | | } |
| | | ); |
| | | } |
| | | } |