| | |
| | | private static final String ORDER_TYPE_CLOSE_SHORT = "plan-close-short-position"; |
| | | |
| | | private final GateConfig config; |
| | | private final StatsEventProducer statsProducer; |
| | | private String apiKeyMd5; |
| | | private final GateTradeExecutor executor; |
| | | private final FuturesApi futuresApi; |
| | | private static final String SETTLE = "usdt"; |
| | |
| | | private volatile BigDecimal shortPositionSize = BigDecimal.ZERO; |
| | | private Long userId; |
| | | private volatile BigDecimal initialPrincipal = BigDecimal.ZERO; |
| | | /** 上次 PNL 快照时间(毫秒),用于控制 PNL_SNAPSHOT 埋点频率 */ |
| | | private volatile long lastPnlSnapshotTime = 0; |
| | | private volatile GateKlineWebSocketClient wsClient; |
| | | |
| | | public GateGridTradeService(GateConfig config) { |
| | | public GateGridTradeService(GateConfig config, StatsEventProducer statsProducer) { |
| | | this.config = config; |
| | | this.statsProducer = statsProducer; |
| | | ApiClient apiClient = new ApiClient(); |
| | | apiClient.setBasePath(config.getRestBasePath()); |
| | | apiClient.setApiKeySecret(config.getApiKey(), config.getApiSecret()); |
| | |
| | | } |
| | | } |
| | | |
| | | // ---- 埋点 ---- |
| | | |
| | | private String apiKeyMd5() { |
| | | if (apiKeyMd5 == null) { |
| | | try { |
| | | java.security.MessageDigest md = java.security.MessageDigest.getInstance("MD5"); |
| | | byte[] digest = md.digest(config.getApiKey().getBytes(java.nio.charset.StandardCharsets.UTF_8)); |
| | | StringBuilder sb = new StringBuilder(); |
| | | for (byte b : digest) sb.append(String.format("%02x", b)); |
| | | apiKeyMd5 = sb.toString(); |
| | | } catch (Exception e) { |
| | | apiKeyMd5 = Integer.toHexString(config.getApiKey().hashCode()); |
| | | } |
| | | } |
| | | return apiKeyMd5; |
| | | } |
| | | |
| | | private void emitStats(String type, Object payload) { |
| | | if (statsProducer == null) return; |
| | | try { |
| | | statsProducer.sendStats(statsProducer.newStats(type, apiKeyMd5(), payload)); |
| | | } catch (Exception e) { |
| | | log.warn("[Gate] 埋点发送失败, type={}", type, e); |
| | | } |
| | | } |
| | | |
| | | /** |
| | | * Java 8 兼容的 Map 构造工具(Map.of 为 Java 9 API,此处手动实现)。 |
| | | * 接受偶数个参数:key1, value1, key2, value2, ... |
| | | */ |
| | | private static Map<String, Object> mapOf(Object... kv) { |
| | | Map<String, Object> m = new LinkedHashMap<>(); |
| | | for (int i = 0; i < kv.length; i += 2) { |
| | | m.put((String) kv[i], kv[i + 1]); |
| | | } |
| | | return m; |
| | | } |
| | | |
| | | // ---- 启动/停止 ---- |
| | | |
| | | /** |
| | |
| | | currentRound = 0; |
| | | |
| | | log.info("[Gate] 网格策略已启动, 当前本金: {} USDT", initialPrincipal); |
| | | |
| | | // 埋点: STRATEGY_START — 附全量配置快照 |
| | | GateConfigDTO snapshot = GateConfigDTO.from(config); |
| | | Map<String, Object> params = snapshot.toParamsMap(); |
| | | params.put("principal", initialPrincipal.toPlainString()); |
| | | params.put("contract", config.getContract()); |
| | | emitStats("STRATEGY_START", params); |
| | | } |
| | | |
| | | /** |
| | |
| | | */ |
| | | public void stopGrid() { |
| | | state = StrategyState.STOPPED; |
| | | |
| | | // 埋点: STRATEGY_STOP |
| | | emitStats("STRATEGY_STOP", mapOf( |
| | | "reason", "manual", |
| | | "rounds", currentRound, |
| | | "pnl", cumulativePnl.toPlainString() |
| | | )); |
| | | |
| | | executor.cancelAllPriceTriggeredOrders(); |
| | | closeExistingPositions(); |
| | | executor.shutdown(); |
| | |
| | | */ |
| | | public void onKline(BigDecimal closePrice) { |
| | | |
| | | log.info("当前价:{}", closePrice); |
| | | // log.info("当前价:{}", closePrice); |
| | | |
| | | lastKlinePrice = closePrice; |
| | | |
| | |
| | | } |
| | | |
| | | /** Gate 永续合约 taker 费率 0.05% */ |
| | | private static final BigDecimal TAKER_FEE_RATE = new BigDecimal("0.0005"); |
| | | private static final BigDecimal TAKER_FEE_RATE = new BigDecimal("0.001"); |
| | | private void checkProfitAndReset() { |
| | | if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) { |
| | | return; |
| | |
| | | BigDecimal target = initialPrincipal.add(config.getExpectedProfit()); |
| | | |
| | | FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE); |
| | | BigDecimal totalEquity = new BigDecimal(account.getTotal()).add(new BigDecimal(account.getUnrealisedPnl())); |
| | | // 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); |
| | | |
| | | // 埋点: PNL_SNAPSHOT — 每60秒发射一次 |
| | | long now = System.currentTimeMillis(); |
| | | if (now - lastPnlSnapshotTime >= 60_000) { |
| | | lastPnlSnapshotTime = now; |
| | | BigDecimal total = new BigDecimal(account.getTotal()); |
| | | emitStats("PNL_SNAPSHOT", mapOf( |
| | | "cumulativePnl", cumulativePnl.toPlainString(), |
| | | "unrealizedPnl", new BigDecimal(account.getUnrealisedPnl()).toPlainString(), |
| | | "totalEquity", total.toPlainString(), |
| | | "markPrice", markPrice.toPlainString() |
| | | )); |
| | | } |
| | | |
| | | if (totalEquity.compareTo(target) > 0) { |
| | | currentRound++; |
| | | |
| | | // 埋点: ROUND_COMPLETE |
| | | emitStats("ROUND_COMPLETE", mapOf( |
| | | "roundNum", currentRound, |
| | | "totalEquity", totalEquity.toPlainString() |
| | | )); |
| | | |
| | | int maxRounds = config.getRounds(); |
| | | log.info("[Gate] 盈亏达标(净权益{}>目标{}),第{}轮完成", totalEquity, target, currentRound); |
| | | 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); |
| | |
| | | int filledQty = Integer.parseInt(shortGridElement.getShortTraderParam().getQuantity()); |
| | | shortEntryTraderIdParam(shortGridElement, orderId, false); |
| | | |
| | | // 埋点: ENTRY_FILLED — 空仓加仓成交 |
| | | emitStats("ENTRY_FILLED", mapOf( |
| | | "direction", "short", |
| | | "gridId", shortGridElement.getId(), |
| | | "filledQty", 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.setExtendStopLossInProgress(true); |
| | | |
| | | accumulatedShortLossCount = 0; |
| | | 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 |
| | | if (config.isPlaceExcessTakeProfit()) { |
| | | placeExcessTakeProfit(posSize, false); |
| | | } |
| | | log.info("[Gate] 空单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize); |
| | | |
| | | |
| | | |
| | | } |
| | | } |
| | |
| | | |
| | | int filledQty = Integer.parseInt(longGridElement.getLongTraderParam().getQuantity()); |
| | | longEntryTraderIdParam(longGridElement, orderId, false); |
| | | |
| | | // 埋点: ENTRY_FILLED — 多仓加仓成交 |
| | | emitStats("ENTRY_FILLED", mapOf( |
| | | "direction", "long", |
| | | "gridId", longGridElement.getId(), |
| | | "filledQty", 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。 |
| | |
| | | } |
| | | longGridElement.setExtendStopLossInProgress(true); |
| | | |
| | | accumulatedLongLossCount = 0; |
| | | 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 |
| | | if (config.isPlaceExcessTakeProfit()) { |
| | | placeExcessTakeProfit(posSize, true); |
| | | } |
| | | log.info("[Gate] 多单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize); |
| | | |
| | | } |
| | |
| | | |
| | | if (newEntryGrid != null) { |
| | | |
| | | String quantity = String.valueOf(Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()) + Integer.parseInt(config.getQuantity())); |
| | | // 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; |
| | | } |
| | | |
| | | // 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) { |
| | |
| | | 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()) { |
| | | 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", |
| | |
| | | if (newEntryGrid != null) { |
| | | |
| | | // 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(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) { |
| | |
| | | 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()){ |
| | | 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", |
| | |
| | | } |
| | | } |
| | | |
| | | // ========== 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> |
| | | * divisor = addPositionInterval + 1 |
| | | * addMultiplier = floor(effectiveStopLossCount / divisor) |
| | | * 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 startThreshold = config.getAddPositionStartThreshold(); |
| | | if (startThreshold > 0) { |
| | | effectiveCount = Math.max(0, effectiveCount - startThreshold); |
| | | } |
| | | // divisor = interval + 1:interval=0→每次加仓, interval=1→每2次加仓(2,4,6...), interval=3→每4次加仓(4,8,12...) |
| | | int divisor = interval + 1; |
| | | int addMultiplier = interval >= 0 ? effectiveCount / divisor : 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); |
| | | |
| | |
| | | } |
| | | |
| | | 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)" : ""); |
| | | |
| | | // 埋点: STOP_LOSS_TRIGGERED |
| | | emitStats("STOP_LOSS_TRIGGERED", mapOf( |
| | | "direction", "long", |
| | | "gridId", gridId, |
| | | "lossCount", accumulatedLongLossCount |
| | | )); |
| | | int newEntryGridId = gridId + 1; |
| | | |
| | | GridElement newEntryGrid = GridElement.findById(newEntryGridId); |
| | |
| | | |
| | | // 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 = String.valueOf(Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()) + Integer.parseInt(config.getQuantity())); |
| | | 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); |
| | |
| | | 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)" : ""); |
| | | |
| | | // 埋点: STOP_LOSS_TRIGGERED |
| | | emitStats("STOP_LOSS_TRIGGERED", mapOf( |
| | | "direction", "short", |
| | | "gridId", gridId, |
| | | "lossCount", accumulatedShortLossCount |
| | | )); |
| | | int newEntryGridId = gridId - 1; |
| | | |
| | | GridElement newEntryGrid = GridElement.findById(newEntryGridId); |
| | |
| | | |
| | | // 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 = String.valueOf(Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue()) + Integer.parseInt(config.getQuantity())); |
| | | 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)); |
| | |
| | | public void setMarkPrice(BigDecimal markPrice) { this.markPrice = markPrice; } |
| | | /** @return 策略是否处于活跃状态(非 STOPPED 且非 WAITING_KLINE) */ |
| | | public boolean isStrategyActive() { return state != StrategyState.STOPPED && state != StrategyState.WAITING_KLINE; } |
| | | /** @return 当前已完成轮数 */ |
| | | public int getCurrentRound() { return currentRound; } |
| | | /** @return 累计已实现盈亏(平仓推送驱动累加) */ |
| | | public BigDecimal getCumulativePnl() { return cumulativePnl; } |
| | | /** @return 初始本金 */ |
| | | public BigDecimal getInitialPrincipal() { return initialPrincipal; } |
| | | /** @return 当前未实现盈亏(每根 K 线实时计算) */ |
| | | public BigDecimal getUnrealizedPnl() { return unrealizedPnl; } |
| | | /** @return Gate 用户 ID(用于私有频道订阅 payload) */ |
| | |
| | | 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; |
| | | } |
| | | |
| | | /** |
| | | * 挂单成交后,将超出基础仓位的部分挂止盈单,挂在对向仓位的第一止损位上。 |
| | | * |
| | | * <p>遍历所有 GridElement,找到对向仓位第一个有止损单的网格作为止盈挂单位置。 |
| | | * |
| | | * <p>例:空仓成交后持仓 8 张,基础 4 张 → 超出 4 张, |
| | | * 找到多仓第一止损位(如 gridId=-2)→ 在该位置挂空仓止盈单。 |
| | | * |
| | | * @param posSize 当前总持仓张数 |
| | | * @param isLong true=多仓成交,false=空仓成交 |
| | | */ |
| | | private void placeExcessTakeProfit(int posSize, boolean isLong) { |
| | | int baseQty = Integer.parseInt(config.getBaseQuantity()); |
| | | int excessQty = posSize - baseQty; |
| | | if (excessQty <= 0) { |
| | | return; |
| | | } |
| | | |
| | | // 遍历找到对向仓位第一个有止损单的网格 |
| | | GridElement tpElem = isLong ? findFirstShortStopLossGrid() : findFirstLongStopLossGrid(); |
| | | if (tpElem == null) { |
| | | log.warn("[Gate] {}止盈挂单失败:未找到对向仓止损位", isLong ? "多仓" : "空仓"); |
| | | return; |
| | | } |
| | | int tpGridId = tpElem.getId(); |
| | | |
| | | BigDecimal triggerPrice = tpElem.getGridPrice(); |
| | | String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT; |
| | | // 多仓止盈:价格≥触发价时平仓(NUMBER_1);空仓止盈:价格≤触发价时平仓(NUMBER_2) |
| | | FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1 |
| | | : FuturesPriceTrigger.RuleEnum.NUMBER_2; |
| | | String size = isLong ? negate(String.valueOf(excessQty)) : String.valueOf(excessQty); |
| | | |
| | | // if (isLong && tpElem.getLongTakeProfitOrderId() != null) { |
| | | // executor.cancelConditionalOrder(tpElem.getLongTakeProfitOrderId(), oid -> { |
| | | // longTakeProfitTraderIdParam(tpElem, null, false); |
| | | // log.info("[Gate] 取消旧止盈, gridId:{}, orderId:{}", tpGridId, oid); |
| | | // }); |
| | | // } else if (!isLong && tpElem.getShortTakeProfitOrderId() != null) { |
| | | // executor.cancelConditionalOrder(tpElem.getShortTakeProfitOrderId(), oid -> { |
| | | // shortTakeProfitTraderIdParam(tpElem, null, false); |
| | | // log.info("[Gate] 取消旧止盈, gridId:{}, orderId:{}", tpGridId, oid); |
| | | // }); |
| | | // } |
| | | |
| | | String finalSize = size; |
| | | int finalTpGridId = tpGridId; |
| | | executor.placeTakeProfit(triggerPrice, rule, orderType, size, |
| | | profitId -> { |
| | | if (isLong) { |
| | | longTakeProfitTraderIdParam(tpElem, profitId, true); |
| | | } else { |
| | | shortTakeProfitTraderIdParam(tpElem, profitId, true); |
| | | } |
| | | log.info("[Gate] {}止盈挂单, gridId:{}, 触发价:{}, 数量:{}, takeProfitId:{}", |
| | | isLong ? "多仓" : "空仓", finalTpGridId, triggerPrice, finalSize, profitId); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | /** |
| | | * 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); |
| | | } |
| | | ); |
| | | } |
| | | } |