| | |
| | | package com.xcong.excoin.modules.gateApi; |
| | | |
| | | import cn.hutool.core.collection.CollUtil; |
| | | import cn.hutool.core.util.StrUtil; |
| | | import com.xcong.excoin.utils.dingtalk.DingTalkUtils; |
| | | import com.google.gson.ExclusionStrategy; |
| | | import com.google.gson.FieldAttributes; |
| | | import com.google.gson.Gson; |
| | | import io.gate.gateapi.ApiClient; |
| | | import io.gate.gateapi.ApiException; |
| | | import io.gate.gateapi.GateApiException; |
| | | import io.gate.gateapi.JSON; |
| | | import io.gate.gateapi.api.AccountApi; |
| | | import io.gate.gateapi.api.FuturesApi; |
| | | import io.gate.gateapi.models.FuturesAccount; |
| | | import io.gate.gateapi.models.FuturesInitialOrder; |
| | | import io.gate.gateapi.models.FuturesOrder; |
| | | import io.gate.gateapi.models.FuturesPriceTrigger; |
| | | import io.gate.gateapi.models.FuturesPriceTriggeredOrder; |
| | | import io.gate.gateapi.models.TriggerOrderResponse; |
| | | import io.gate.gateapi.models.*; |
| | | import lombok.extern.slf4j.Slf4j; |
| | | |
| | | import java.io.IOException; |
| | | import java.math.BigDecimal; |
| | | import java.math.RoundingMode; |
| | | import java.util.List; |
| | | import java.util.*; |
| | | import java.util.concurrent.ConcurrentHashMap; |
| | | import java.util.concurrent.atomic.AtomicBoolean; |
| | | import java.util.concurrent.atomic.AtomicInteger; |
| | | |
| | | 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 网格交易服务类,使用 gate-api SDK 进行合约下单。 |
| | | * 策略:多空双开 → 设置止盈止损点位 → 网格循环交易 |
| | | * 网格交易策略引擎 — 多空对冲网格。 |
| | | * |
| | | * 测试参数: |
| | | * 品种: XAU_USDT(黄金) |
| | | * 杠杆: 100x(全仓) |
| | | * 数量: 0.01 XAU |
| | | * 网格: 0.0035(千分之三点五) |
| | | * 整体止盈: 0.5 USDT |
| | | * 循环次数: 3 |
| | | * 报警: 本金亏损 15%(初始本金 50 USDT) |
| | | * <h3>策略原理</h3> |
| | | * 以空仓基底入场价(shortBaseEntryPrice)为价格基准,向上/向下各生成一个价格网格队列。 |
| | | * 价格触发网格层级时挂条件单,成交后自动挂止盈单。每笔止盈盈利 = step - minTick。 |
| | | * |
| | | * <h3>完整生命周期</h3> |
| | | * <pre> |
| | | * init() → startGrid() → WAITING_KLINE |
| | | * ↓ |
| | | * onKline(首根K线) → OPENING → 异步市价双开基底(开多+开空) |
| | | * ↓ |
| | | * onPositionUpdate() → 基底成交 → baseLongOpened && baseShortOpened |
| | | * ↓ |
| | | * tryGenerateQueues() |
| | | * ├── generateShortQueue() ← 空仓价格队列(降序,基价×(1−gridRate) 等比向下) |
| | | * ├── generateLongQueue() ← 多仓价格队列(升序,基价×(1+gridRate) 等比向上) |
| | | * ├── updateGridElements() ← 构建 GridElement 列表 + TraderParam + 全局索引 |
| | | * ├── 挂基座止盈单(ID=0 的 long/short takeProfit) |
| | | * └── 挂初始条件单(up=-1 多单, down=1 空单) |
| | | * ↓ |
| | | * state = ACTIVE(每根K线反复执行以下循环) |
| | | * ↓ |
| | | * onKline() → processLongGrid() + processShortGrid() |
| | | * ├── 匹配队列元素 → 队列补偿 → 保证金检查 |
| | | * ├── 首元素方向:挂条件开仓单 → 订单ID + GridElement状态同步 |
| | | * └── 反向守卫:在 downGrid 位置挂对向单(价格区间+trigger方向校验) |
| | | * ↓ |
| | | * onOrderUpdate() ← futures.orders / futures.autoorders 推送 |
| | | * ├── 匹配止盈单ID → 清空止盈状态(已成交) |
| | | * └── 匹配挂单ID → 挂止盈条件单 → 止盈ID + GridElement状态同步 |
| | | * ↓ |
| | | * onPositionClose() → cumulativePnl 累加 |
| | | * ├── ≥ overallTp → STOPPED |
| | | * └── ≤ -maxLoss → STOPPED |
| | | * </pre> |
| | | * |
| | | * <h3>仓位线动态调整</h3> |
| | | * <pre> |
| | | * onPositionUpdate() 中仓位均价变化后: |
| | | * longEntryPrice ↑ → 取消 高于 longEntryPrice 的空仓挂单(避免逆势空单) |
| | | * shortEntryPrice ↓ → 取消 低于 shortEntryPrice 的多仓挂单(避免逆势多单) |
| | | * </pre> |
| | | * |
| | | * <h3>关键公式</h3> |
| | | * <pre> |
| | | * step = shortBaseEntryPrice × gridRate ← 首档间距(0档与±1档的距离度量) |
| | | * minTick = 10^(-priceScale) ← 交易所最小价格单位 |
| | | * 等比网格: 下一档 = 本档 × (1 ± gridRate) ← 向下×(1−r),向上×(1+r) |
| | | * 止盈价 = 本档价 × (1 ± gridRate)(与相邻网格价联动) ← 多仓向上,空仓向下 |
| | | * 单笔盈利 ≈ 档价 × gridRate × contractMultiplier × quantity(随网格位置浮动) |
| | | * </pre> |
| | | * |
| | | * <h3>线程模型</h3> |
| | | * 所有 WS 回调(onKline/onPositionUpdate/onOrderUpdate 等)在 WS 回调线程中串行执行。 |
| | | * 下单/撤单操作提交到 GateTradeExecutor 的单线程池异步执行,避免阻塞 WS 线程。 |
| | | * stopGrid() 会将 state 设为 STOPPED,后续所有 WS 回调直接返回不再处理。 |
| | | * |
| | | * @author Administrator |
| | | */ |
| | | @Slf4j |
| | | public class GateGridTradeService { |
| | | |
| | | private final ApiClient apiClient; |
| | | public enum StrategyState { |
| | | WAITING_KLINE, OPENING, ACTIVE, STOPPED |
| | | } |
| | | |
| | | /** |
| | | * 止盈条件单 order_type:仓位计划止盈止损 — 平多仓(支持部分平仓,size<0)。 |
| | | * 注意:不能用 close-long-position(仅支持全平且双仓需 auto_size), |
| | | * 必须用 plan-close-long-position 以支持指定张数部分平仓。 |
| | | */ |
| | | private static final String ORDER_TYPE_CLOSE_LONG = "plan-close-long-position"; |
| | | /** |
| | | * 止盈条件单 order_type:仓位计划止盈止损 — 平空仓(支持部分平仓,size>0)。 |
| | | * 注意:不能用 close-short-position(仅支持全平且双仓需 auto_size), |
| | | * 必须用 plan-close-short-position 以支持指定张数部分平仓。 |
| | | */ |
| | | 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 final String contract; |
| | | private final String leverage; |
| | | private final String marginMode; |
| | | private final BigDecimal gridRate; |
| | | private final BigDecimal overallTp; |
| | | private final int maxCycles; |
| | | private final BigDecimal maxLoss; |
| | | private final String quantity; |
| | | private final String positionMode; |
| | | /** 手动市价平仓遭遇价格保护(MARKET_PRICE_TOO_DEVIATED)后的重试次数 */ |
| | | private static final int CLOSE_POSITION_RETRY_MAX_ATTEMPTS = 3; |
| | | /** 手动市价平仓遭遇价格保护后的重试间隔(毫秒) */ |
| | | private static final long CLOSE_POSITION_RETRY_DELAY_MS = 800L; |
| | | |
| | | private volatile boolean strategyActive = false; |
| | | private int currentCycle = 0; |
| | | private BigDecimal totalProfit = BigDecimal.ZERO; |
| | | private BigDecimal longEntryPrice; |
| | | private BigDecimal shortEntryPrice; |
| | | private Long longOrderId; |
| | | private Long shortOrderId; |
| | | private Long longTpOrderId; |
| | | private Long longSlOrderId; |
| | | private Long shortTpOrderId; |
| | | private Long shortSlOrderId; |
| | | private volatile StrategyState state = StrategyState.WAITING_KLINE; |
| | | |
| | | private volatile BigDecimal lastClosePrice; |
| | | /** 空仓价格队列,降序排列(大→小),容量 gridQueueSize */ |
| | | 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<>()); |
| | | |
| | | public GateGridTradeService(String apiKey, String apiSecret, |
| | | String contract, String leverage, |
| | | String marginMode,String positionMode, |
| | | BigDecimal gridRate, BigDecimal overallTp, |
| | | int maxCycles, BigDecimal maxLoss, |
| | | String quantity) { |
| | | this.contract = contract; |
| | | this.leverage = leverage; |
| | | this.marginMode = marginMode; |
| | | this.gridRate = gridRate; |
| | | this.overallTp = overallTp; |
| | | this.maxCycles = maxCycles; |
| | | this.maxLoss = maxLoss; |
| | | this.quantity = quantity; |
| | | this.positionMode = positionMode; |
| | | /** 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<>()); |
| | | /** 当前空仓条件单映射: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> currentShortOrderIds = Collections.synchronizedMap(new LinkedHashMap<>()); |
| | | |
| | | this.apiClient = new ApiClient(); |
| | | this.apiClient.setBasePath("https://api-testnet.gateapi.io/api/v4"); |
| | | this.apiClient.setApiKeySecret(apiKey, apiSecret); |
| | | /** 基底空头入场价 */ |
| | | private BigDecimal shortBaseEntryPrice; |
| | | /** 基底多头入场价(仅记录,当前未被业务逻辑消费,保留以备后续使用) */ |
| | | private BigDecimal longBaseEntryPrice; |
| | | /** 基底多头是否已开 */ |
| | | private volatile boolean baseLongOpened = false; |
| | | /** 基底空头是否已开 */ |
| | | private volatile boolean baseShortOpened = false; |
| | | |
| | | /** 空头是否活跃(有仓位) */ |
| | | 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; |
| | | /** 自定义止损模式激活标记:true=尚未发生第一次止损触发,第一次触发后置 false(触发未触发侧重挂默认) */ |
| | | private final AtomicBoolean dualStopLossModeActive = new AtomicBoolean(false); |
| | | |
| | | /** 止盈触发对向加仓:多仓止盈→空仓开仓单ID → 网格ID(成交后在该网格+1挂空仓止损) */ |
| | | private final Map<String, Integer> tpOppositeShortOrderGridMap = new ConcurrentHashMap<>(); |
| | | /** 止盈触发对向加仓:空仓止盈→多仓开仓单ID → 网格ID(成交后在该网格-1挂多仓止损) */ |
| | | private final Map<String, Integer> tpOppositeLongOrderGridMap = new ConcurrentHashMap<>(); |
| | | |
| | | private volatile BigDecimal lastKlinePrice; |
| | | private volatile BigDecimal markPrice = BigDecimal.ZERO; |
| | | private volatile BigDecimal cumulativePnl = BigDecimal.ZERO; |
| | | private volatile BigDecimal unrealizedPnl = BigDecimal.ZERO; |
| | | private volatile BigDecimal longEntryPrice = BigDecimal.ZERO; |
| | | private volatile BigDecimal shortEntryPrice = BigDecimal.ZERO; |
| | | private volatile BigDecimal longPositionSize = BigDecimal.ZERO; |
| | | 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, StatsEventProducer statsProducer) { |
| | | this.config = config; |
| | | this.statsProducer = statsProducer; |
| | | ApiClient apiClient = new ApiClient(); |
| | | apiClient.setBasePath(config.getRestBasePath()); |
| | | apiClient.setApiKeySecret(config.getApiKey(), config.getApiSecret()); |
| | | // 修复 gate-api SDK finishAs 枚举不完整导致的反序列化失败(见 buildLenientJson) |
| | | apiClient.setJSON(buildLenientJson()); |
| | | this.futuresApi = new FuturesApi(apiClient); |
| | | this.executor = new GateTradeExecutor(apiClient, config.getContract()); |
| | | } |
| | | |
| | | /** |
| | | * 初始化账户:设置持仓模式 + 杠杆 |
| | | * 构建容错的 JSON 序列化器,跳过部分枚举不完整字段的反序列化。 |
| | | * |
| | | * <p>gate-api SDK 的枚举定义滞后于交易所实际返回值,反序列化未知枚举值时 |
| | | * {@code fromValue} 会抛 {@link IllegalArgumentException},导致接口被误判为失败。 |
| | | * 已确认业务不使用以下字段,因此通过 Gson 排除策略直接跳过其解析: |
| | | * <ul> |
| | | * <li>{@code finishAs}:{@code FuturesOrder.FinishAsEnum} 缺少 |
| | | * {@code price_rate_protected}(价格保护)等值(如日志 |
| | | * {@code Unexpected value 'price_rate_proteced'});</li> |
| | | * <li>{@code posMarginMode}:{@code FuturesPriceTriggeredOrder.PosMarginModeEnum} |
| | | * 只定义 {@code cross}/{@code dual},而 {@code cancelPriceTriggeredOrderList} |
| | | * 会返回组合值 {@code cross|dual}(如日志 {@code Unexpected value 'cross|dual'})。</li> |
| | | * </ul> |
| | | */ |
| | | private static JSON buildLenientJson() { |
| | | JSON json = new JSON(); |
| | | Gson gson = json.getGson().newBuilder() |
| | | .setExclusionStrategies(new ExclusionStrategy() { |
| | | @Override |
| | | public boolean shouldSkipField(FieldAttributes f) { |
| | | if ("finishAs".equals(f.getName())) { |
| | | return true; |
| | | } |
| | | // 仅跳过 FuturesPriceTriggeredOrder 的 posMarginMode,避免误伤 |
| | | // FuturesOrder / Position 的同名字段(二者语义为 isolated/cross) |
| | | return "posMarginMode".equals(f.getName()) |
| | | && FuturesPriceTriggeredOrder.class.equals(f.getDeclaringClass()); |
| | | } |
| | | |
| | | @Override |
| | | public boolean shouldSkipClass(Class<?> clazz) { |
| | | return false; |
| | | } |
| | | }) |
| | | .create(); |
| | | json.setGson(gson); |
| | | return json; |
| | | } |
| | | |
| | | // ---- 初始化 ---- |
| | | |
| | | /** |
| | | * 初始化策略环境。 |
| | | * |
| | | * <h3>执行顺序</h3> |
| | | * <ol> |
| | | * <li>获取用户 ID(用于私有频道订阅 payload)</li> |
| | | * <li>获取账户信息 → 记录初始本金</li> |
| | | * <li>如需要,切换为双向持仓模式</li> |
| | | * <li>如需要,调整持仓模式(single/dual)</li> |
| | | * <li>清除旧的止盈止损条件单</li> |
| | | * <li>平掉所有已有仓位</li> |
| | | * <li>设置杠杆倍数</li> |
| | | * </ol> |
| | | */ |
| | | public void init() { |
| | | try { |
| | | futuresApi.updateContractPositionLeverageCall( |
| | | SETTLE, contract, leverage, marginMode, positionMode, null); |
| | | log.info("[GateGrid] 已设置杠杆: {}x, 保证金模式: {}", leverage, marginMode); |
| | | ApiClient detailClient = new ApiClient(); |
| | | detailClient.setBasePath(config.getRestBasePath()); |
| | | detailClient.setApiKeySecret(config.getApiKey(), config.getApiSecret()); |
| | | AccountDetail detail = new AccountApi(detailClient).getAccountDetail(); |
| | | this.userId = detail.getUserId(); |
| | | log.info("[Gate] 用户ID: {}", userId); |
| | | |
| | | FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE); |
| | | log.info("[GateGrid] 账户可用余额: {}, 总资产: {}", |
| | | account.getAvailable(), account.getTotal()); |
| | | String positionModeSet = account.getPositionMode(); |
| | | if (!positionMode.equals(positionModeSet)){ |
| | | futuresApi.setPositionMode(SETTLE, positionMode); |
| | | this.initialPrincipal = new BigDecimal(account.getTotal()); |
| | | log.info("[Gate] 初始本金: {} USDT", initialPrincipal); |
| | | |
| | | futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract()); |
| | | log.info("[Gate] 旧条件单已清除"); |
| | | closeExistingPositions(); |
| | | |
| | | //设置持仓模式为双向持仓 |
| | | Boolean inDualMode = account.getInDualMode(); |
| | | if (!inDualMode) { |
| | | try { |
| | | futuresApi.setDualModeCall(SETTLE,true,null).execute(); |
| | | } catch (IOException e) { |
| | | e.printStackTrace(); |
| | | } |
| | | } |
| | | log.info("[GateGrid] 已设置双向持仓模式"); |
| | | |
| | | try { |
| | | futuresApi.updateDualModePositionLeverageCall( |
| | | SETTLE, config.getContract(), config.getLeverage(), |
| | | null, null).execute(); |
| | | } catch (IOException e) { |
| | | e.printStackTrace(); |
| | | } |
| | | |
| | | if (!config.getMarginMode().equals(account.getMarginMode())) { |
| | | |
| | | UpdateDualCompPositionCrossModeRequest updateDualCompPositionCrossModeRequest = new UpdateDualCompPositionCrossModeRequest(); |
| | | updateDualCompPositionCrossModeRequest.setMode(config.getMarginMode()); |
| | | updateDualCompPositionCrossModeRequest.setContract(config.getContract()); |
| | | try { |
| | | futuresApi.updateDualCompPositionCrossModeCall(SETTLE, updateDualCompPositionCrossModeRequest, null).execute(); |
| | | } catch (IOException e) { |
| | | e.printStackTrace(); |
| | | } |
| | | } |
| | | log.info("[Gate] 持仓模式: {} 余额: {}", config.getPositionMode(), account.getAvailable()); |
| | | log.info("[Gate] 杠杆: {}x {}", config.getLeverage(), config.getMarginMode()); |
| | | } catch (GateApiException e) { |
| | | log.error("[GateGrid] 初始化失败, label: {}, msg: {}", e.getErrorLabel(), e.getMessage()); |
| | | log.error("[Gate] 初始化失败, label:{}, msg:{}", e.getErrorLabel(), e.getMessage()); |
| | | } catch (ApiException e) { |
| | | log.error("[GateGrid] 初始化API调用失败, code: {}", e.getCode()); |
| | | log.error("[Gate] 初始化失败, code:{}", e.getCode()); |
| | | } |
| | | } |
| | | |
| | | /** |
| | | * 启动网格策略 |
| | | * 平掉当前合约的所有已有仓位。 |
| | | * |
| | | * <h3>平仓策略</h3> |
| | | * <ul> |
| | | * <li>单向持仓:size=相反数,reduceOnly=true,市价 IOC 平仓</li> |
| | | * <li>双向持仓:size=0,close=false,autoSize=LONG/SHORT,reduceOnly=true,市价 IOC 全平</li> |
| | | * </ul> |
| | | * |
| | | * <h3>注意事项</h3> |
| | | * 双向持仓模式下必须使用 autoSize 参数,不能直接传负数 size, |
| | | * 否则 Gate API 会拒绝(双向模式下空头 size 为负是正常的持仓方向)。 |
| | | */ |
| | | private void closeExistingPositions() { |
| | | try { |
| | | List<Position> positions = futuresApi.listPositions(SETTLE).execute(); |
| | | if (positions == null || positions.isEmpty()) { log.info("[Gate] 无已有仓位"); return; } |
| | | for (Position pos : positions) { |
| | | if (!config.getContract().equals(pos.getContract())) { |
| | | continue; |
| | | } |
| | | String sizeStr = pos.getSize(); |
| | | long size = Long.parseLong(sizeStr); |
| | | if (size == 0) { |
| | | continue; |
| | | } |
| | | String closeSize = size > 0 ? String.valueOf(-size) : String.valueOf(Math.abs(size)); |
| | | Position.ModeEnum mode = pos.getMode(); |
| | | FuturesOrder closeOrder = new FuturesOrder(); |
| | | closeOrder.setContract(config.getContract()); |
| | | closeOrder.setPrice("0"); |
| | | closeOrder.setTif(FuturesOrder.TifEnum.IOC); |
| | | closeOrder.setReduceOnly(true); |
| | | if (mode != null && mode.getValue() != null && mode.getValue().contains("dual")) { |
| | | closeOrder.setSize("0"); |
| | | closeOrder.setClose(false); |
| | | closeOrder.setAutoSize(size > 0 ? FuturesOrder.AutoSizeEnum.LONG : FuturesOrder.AutoSizeEnum.SHORT); |
| | | } else { |
| | | closeOrder.setSize(closeSize); |
| | | } |
| | | closeOrder.setText("t-grid-init-close"); |
| | | futuresApi.createFuturesOrder(SETTLE, closeOrder, null); |
| | | log.info("[Gate] 平已有仓位, 方向:{}, size:{}, mode:{}", size > 0 ? "多" : "空", sizeStr, mode); |
| | | } |
| | | } catch (GateApiException e) { |
| | | log.warn("[Gate] 平仓位失败, label:{}, msg:{}", e.getErrorLabel(), e.getMessage()); |
| | | } catch (Exception e) { |
| | | log.warn("[Gate] 平仓位异常", e); |
| | | } |
| | | } |
| | | |
| | | // ---- 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 ---- |
| | | |
| | | /** |
| | | * 启动网格策略。重置所有状态变量和队列,进入 WAITING_KLINE 等待首根 K 线。 |
| | | * 仅当当前状态为 WAITING_KLINE 或 STOPPED 时才允许启动。 |
| | | */ |
| | | public void startGrid() { |
| | | if (strategyActive) { |
| | | log.warn("[GateGrid] 策略已在运行中"); |
| | | if (state != StrategyState.WAITING_KLINE && state != StrategyState.STOPPED) { |
| | | log.warn("[Gate] 策略已在运行中, state:{}", state); |
| | | return; |
| | | } |
| | | strategyActive = true; |
| | | currentCycle = 0; |
| | | totalProfit = BigDecimal.ZERO; |
| | | log.info("[GateGrid] 网格策略启动, cycle: {}", currentCycle + 1); |
| | | dualOpenPositions(); |
| | | state = StrategyState.WAITING_KLINE; |
| | | cumulativePnl = BigDecimal.ZERO; |
| | | unrealizedPnl = BigDecimal.ZERO; |
| | | markPrice = BigDecimal.ZERO; |
| | | longEntryPrice = BigDecimal.ZERO; |
| | | shortEntryPrice = BigDecimal.ZERO; |
| | | longPositionSize = BigDecimal.ZERO; |
| | | shortPositionSize = BigDecimal.ZERO; |
| | | baseLongOpened = false; |
| | | baseShortOpened = false; |
| | | config.setBaseLongTraderParam(null); |
| | | config.setBaseShortTraderParam(null); |
| | | longActive = false; |
| | | shortActive = false; |
| | | accumulatedLongLossCount = 0; |
| | | accumulatedShortLossCount = 0; |
| | | lastLongStopLossGridId = Integer.MAX_VALUE; |
| | | lastShortStopLossGridId = Integer.MAX_VALUE; |
| | | dualStopLossModeActive.set(false); |
| | | 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); |
| | | |
| | | // 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); |
| | | } |
| | | |
| | | /** |
| | | * 停止网格策略 |
| | | * 重新获取当前账户权益作为初始本金。 |
| | | */ |
| | | private void refreshInitialPrincipal() { |
| | | try { |
| | | FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE); |
| | | this.initialPrincipal = new BigDecimal(account.getTotal()); |
| | | } catch (Exception e) { |
| | | log.warn("[Gate] 获取初始化本金失败,使用旧值: {}", initialPrincipal); |
| | | } |
| | | } |
| | | |
| | | /** |
| | | * 停止网格策略。取消所有条件单 → 关闭交易线程池。 |
| | | * 状态设为 STOPPED,K 线回调将直接返回不再处理。 |
| | | */ |
| | | public void stopGrid() { |
| | | strategyActive = false; |
| | | cancelTpSl(longTpOrderId); |
| | | cancelTpSl(longSlOrderId); |
| | | cancelTpSl(shortTpOrderId); |
| | | cancelTpSl(shortSlOrderId); |
| | | closeAllPositions(); |
| | | log.info("[GateGrid] 网格策略已停止, 总盈亏: {}, 循环: {}", totalProfit, currentCycle); |
| | | state = StrategyState.STOPPED; |
| | | |
| | | // 埋点: STRATEGY_STOP |
| | | emitStats("STRATEGY_STOP", mapOf( |
| | | "reason", "manual", |
| | | "rounds", currentRound, |
| | | "pnl", cumulativePnl.toPlainString() |
| | | )); |
| | | |
| | | executor.cancelAllPriceTriggeredOrders(); |
| | | closeExistingPositions(); |
| | | executor.shutdown(); |
| | | log.info("[Gate] 策略已停止, 累计盈亏: {}", cumulativePnl); |
| | | } |
| | | |
| | | // ---- K线回调 ---- |
| | | |
| | | /** |
| | | * K线回调:收到新的收盘价 |
| | | * K 线回调入口。由 {@link CandlestickChannelHandler} 在收到 WebSocket K 线推送时调用。 |
| | | * |
| | | * <h3>处理流程</h3> |
| | | * <ol> |
| | | * <li>更新 lastKlinePrice → 计算 unrealizedPnl(浮动盈亏)</li> |
| | | * <li>STOPPED → 直接返回(仅保留盈亏更新)</li> |
| | | * <li>WAITING_KLINE → 切换为 OPENING → 异步提交基底双开(开多+开空)</li> |
| | | * <li>OPENING → 等待仓位推送回调生成队列,此处返回</li> |
| | | * <li>ACTIVE → 执行 processShortGrid + processLongGrid</li> |
| | | * </ol> |
| | | * |
| | | * <h3>注意</h3> |
| | | * 基底双开下单提交到 GateTradeExecutor 的独立线程池中异步执行, |
| | | * 成交状态由 onPositionUpdate 回调驱动,不阻塞 WS 回调线程。 |
| | | * |
| | | * @param closePrice K 线收盘价(即当前最新成交价) |
| | | */ |
| | | public void onKline(BigDecimal closePrice, boolean isKlineClosed) { |
| | | lastClosePrice = closePrice; |
| | | if (!strategyActive || !isKlineClosed) { |
| | | 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 |
| | | if (state == StrategyState.WAITING_KLINE) { |
| | | if (wsClient == null || !wsClient.areAllSubscribed()) { |
| | | return; |
| | | } |
| | | |
| | | state = StrategyState.OPENING; |
| | | |
| | | String size = config.getBaseQuantity(); |
| | | log.info("[Gate] 首根K线到达,开基底仓位 多空各{}张...", size); |
| | | executor.openLong(size, (orderId) -> { |
| | | TraderParam baseLongTp = TraderParam.builder() |
| | | .entryOrderId(orderId) |
| | | .build(); |
| | | config.setBaseLongTraderParam(baseLongTp); |
| | | tryGenerateQueues(); |
| | | }, null); |
| | | executor.openShort(negate(size), (orderId) -> { |
| | | TraderParam baseShortTp = TraderParam.builder() |
| | | .entryOrderId(orderId) |
| | | .build(); |
| | | config.setBaseShortTraderParam(baseShortTp); |
| | | tryGenerateQueues(); |
| | | }, null); |
| | | return; |
| | | } |
| | | checkPositions(closePrice); |
| | | } |
| | | |
| | | /** |
| | | * 多空双开 |
| | | */ |
| | | private void dualOpenPositions() { |
| | | try { |
| | | FuturesOrder longOrder = new FuturesOrder(); |
| | | longOrder.setContract(contract); |
| | | longOrder.setSize(quantity); |
| | | longOrder.setPrice("0"); |
| | | longOrder.setTif(FuturesOrder.TifEnum.IOC); |
| | | longOrder.setText("t-grid-long-" + (currentCycle + 1)); |
| | | FuturesOrder longResult = futuresApi.createFuturesOrder(SETTLE, longOrder, null); |
| | | longOrderId = longResult.getId(); |
| | | longEntryPrice = safeDecimal(longResult.getFillPrice()); |
| | | log.info("[GateGrid] 开多成功, price: {}, id: {}", longEntryPrice, longOrderId); |
| | | placeLongTpSl(longEntryPrice); |
| | | // 异步检查盈亏,避免 REST 调用阻塞 WS 心跳导致 Socket closed |
| | | executor.submitTask(this::checkProfitAndReset); |
| | | |
| | | FuturesOrder shortOrder = new FuturesOrder(); |
| | | shortOrder.setContract(contract); |
| | | shortOrder.setSize(negateQuantity(quantity)); |
| | | shortOrder.setPrice("0"); |
| | | shortOrder.setTif(FuturesOrder.TifEnum.IOC); |
| | | shortOrder.setText("t-grid-short-" + (currentCycle + 1)); |
| | | FuturesOrder shortResult = futuresApi.createFuturesOrder(SETTLE, shortOrder, null); |
| | | shortOrderId = shortResult.getId(); |
| | | shortEntryPrice = safeDecimal(shortResult.getFillPrice()); |
| | | log.info("[GateGrid] 开空成功, price: {}, id: {}", shortEntryPrice, shortOrderId); |
| | | placeShortTpSl(shortEntryPrice); |
| | | if (state == StrategyState.ACTIVE && |
| | | config.isPriceDriveEnabled() && |
| | | longActive == false && |
| | | longPositionSize.compareTo(BigDecimal.ZERO) == 0){ |
| | | processLongGrid(closePrice); |
| | | } |
| | | |
| | | printGridInfo(); |
| | | } catch (GateApiException e) { |
| | | log.error("[GateGrid] 双开失败, label: {}, msg: {}", e.getErrorLabel(), e.getMessage()); |
| | | strategyActive = false; |
| | | } catch (Exception e) { |
| | | log.error("[GateGrid] 双开异常", e); |
| | | strategyActive = false; |
| | | |
| | | if (state == StrategyState.ACTIVE && |
| | | config.isPriceDriveEnabled() && |
| | | shortActive == false && |
| | | shortPositionSize.compareTo(BigDecimal.ZERO) == 0){ |
| | | processShortGrid(closePrice); |
| | | } |
| | | } |
| | | |
| | | private void placeLongTpSl(BigDecimal entryPrice) { |
| | | BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP); |
| | | BigDecimal slPrice = entryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP); |
| | | longTpOrderId = placePriceTriggeredOrder(tpPrice, FuturesPriceTrigger.RuleEnum.NUMBER_1, "close_long"); |
| | | longSlOrderId = placePriceTriggeredOrder(slPrice, FuturesPriceTrigger.RuleEnum.NUMBER_2, "close_long"); |
| | | log.info("[GateGrid] 多头TP/SL已设置, TP:{}, SL:{}, tpId:{}, slId:{}", tpPrice, slPrice, longTpOrderId, longSlOrderId); |
| | | } |
| | | |
| | | private void placeShortTpSl(BigDecimal entryPrice) { |
| | | BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP); |
| | | BigDecimal slPrice = entryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP); |
| | | shortTpOrderId = placePriceTriggeredOrder(tpPrice, FuturesPriceTrigger.RuleEnum.NUMBER_2, "close_short"); |
| | | shortSlOrderId = placePriceTriggeredOrder(slPrice, FuturesPriceTrigger.RuleEnum.NUMBER_1, "close_short"); |
| | | log.info("[GateGrid] 空头TP/SL已设置, TP:{}, SL:{}, tpId:{}, slId:{}", tpPrice, slPrice, shortTpOrderId, shortSlOrderId); |
| | | } |
| | | |
| | | private Long placePriceTriggeredOrder(BigDecimal triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum rule, |
| | | String autoSize) { |
| | | /** 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 { |
| | | FuturesPriceTrigger trigger = new FuturesPriceTrigger(); |
| | | trigger.setStrategyType(FuturesPriceTrigger.StrategyTypeEnum.NUMBER_0); |
| | | trigger.setPriceType(FuturesPriceTrigger.PriceTypeEnum.NUMBER_0); |
| | | trigger.setPrice(triggerPrice.toString()); |
| | | trigger.setRule(rule); |
| | | trigger.setExpiration(0); |
| | | |
| | | FuturesInitialOrder initial = new FuturesInitialOrder(); |
| | | initial.setContract(contract); |
| | | initial.setSize(0L); |
| | | initial.setPrice("0"); |
| | | initial.setTif(FuturesInitialOrder.TifEnum.IOC); |
| | | initial.setAutoSize(autoSize); |
| | | BigDecimal target = initialPrincipal.add(config.getExpectedProfit()); |
| | | |
| | | FuturesPriceTriggeredOrder order = new FuturesPriceTriggeredOrder(); |
| | | order.setTrigger(trigger); |
| | | order.setInitial(initial); |
| | | 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); |
| | | |
| | | TriggerOrderResponse response = futuresApi.createPriceTriggeredOrder(SETTLE, order); |
| | | log.info("[GateGrid] 条件单已创建, triggerPrice:{}, rule:{}, autoSize:{}, id:{}", |
| | | triggerPrice, rule, autoSize, response.getId()); |
| | | return response.getId(); |
| | | 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{}→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; |
| | | // 关键修复:取消+平仓+延时+重启必须整体放进 executor 队列末尾,让上一轮排队的 |
| | | // 挂单任务先执行完(挂到交易所),随后的 cancel 才能取消到它们。若 cancel 仍留在 |
| | | // WS 线程同步执行,会早于上一轮挂单任务,取消不到"尚未挂出"的单(竞态)。 |
| | | executor.submitTask(() -> { |
| | | try { |
| | | futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract()); |
| | | } catch (ApiException e) { |
| | | e.printStackTrace(); |
| | | } |
| | | closeExistingPositions(); |
| | | 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.error("[GateGrid] 创建条件单失败, triggerPrice:{}, rule:{}, autoSize:{}", |
| | | triggerPrice, rule, autoSize, e); |
| | | log.warn("[Gate] 盈亏检查失败", e); |
| | | } |
| | | } |
| | | |
| | | // ---- 仓位推送回调 ---- |
| | | |
| | | /** |
| | | * 仓位推送回调。由 {@link PositionsChannelHandler} 在收到 WebSocket 仓位更新时调用。 |
| | | * |
| | | * <h3>处理逻辑</h3> |
| | | * <ul> |
| | | * <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>仓位净减少(size.abs() < 之前记录值):止盈平仓后 → 检查反向条件单条件 → |
| | | * 满足时以 entryPrice ± step 为止盈价挂反向市价单(订单ID + 止盈价存入 Map)</li> |
| | | * </ul> |
| | | * </li> |
| | | * <li><b>无仓位 (size = 0)</b>:清空活跃标记和持仓量</li> |
| | | * <li><b>Map 截断</b>:currentLongOrderIds / currentShortOrderIds 超过 5 个时, |
| | | * 从 LinkedHashMap 头部删除最旧条目,保留最新 5 个</li> |
| | | * </ul> |
| | | * |
| | | * @param contract 合约名称 |
| | | * @param mode 持仓模式(DUAL_LONG / DUAL_SHORT) |
| | | * @param size 持仓张数(多头为正、空头为负) |
| | | * @param entryPrice 当前持仓加权均价(交易所计算) |
| | | */ |
| | | public void onPositionUpdate(String contract, Position.ModeEnum mode, BigDecimal size, |
| | | BigDecimal entryPrice) { |
| | | if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) { |
| | | return; |
| | | } |
| | | |
| | | boolean hasPosition = size.abs().compareTo(BigDecimal.ZERO) > 0; |
| | | if (state == StrategyState.OPENING){ |
| | | if (Position.ModeEnum.DUAL_LONG == mode && hasPosition && !baseLongOpened) { |
| | | longActive = true; |
| | | longPositionSize = size; |
| | | longEntryPrice = entryPrice; |
| | | longBaseEntryPrice = entryPrice; |
| | | baseLongOpened = true; |
| | | log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice); |
| | | tryGenerateQueues(); |
| | | } else if (Position.ModeEnum.DUAL_SHORT == mode && hasPosition && !baseShortOpened) { |
| | | shortActive = true; |
| | | shortPositionSize = size.abs(); |
| | | shortEntryPrice = entryPrice; |
| | | shortBaseEntryPrice = entryPrice; |
| | | baseShortOpened = true; |
| | | log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice); |
| | | tryGenerateQueues(); |
| | | } |
| | | } |
| | | |
| | | if (state == StrategyState.ACTIVE){ |
| | | if (Position.ModeEnum.DUAL_LONG == mode) { |
| | | if (hasPosition) { |
| | | longActive = true; |
| | | longPositionSize = size; |
| | | longEntryPrice = entryPrice; |
| | | } else { |
| | | |
| | | log.info("[Gate-0]多仓: {}", shortBaseEntryPrice); |
| | | longActive = false; |
| | | longPositionSize = BigDecimal.ZERO; |
| | | longEntryPrice = BigDecimal.ZERO; |
| | | } |
| | | } else if (Position.ModeEnum.DUAL_SHORT == mode) { |
| | | if (hasPosition) { |
| | | shortActive = true; |
| | | shortPositionSize = size.abs(); |
| | | shortEntryPrice = entryPrice; |
| | | } else { |
| | | |
| | | log.info("[Gate-0]空仓: {}", shortBaseEntryPrice); |
| | | shortActive = false; |
| | | shortPositionSize = BigDecimal.ZERO; |
| | | shortEntryPrice = BigDecimal.ZERO; |
| | | } |
| | | } |
| | | } |
| | | |
| | | if (state == StrategyState.ACTIVE && shortActive == false && longActive == false) { |
| | | try { |
| | | futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract()); |
| | | } catch (ApiException e) { |
| | | 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; |
| | | } |
| | | } |
| | | |
| | | // ---- 平仓推送回调 ---- |
| | | |
| | | /** |
| | | * 平仓推送回调。由 {@link PositionClosesChannelHandler} 在收到平仓推送时调用。 |
| | | * |
| | | * <h3>累加规则</h3> |
| | | * cumulativePnl += pnl。止盈平仓时 pnl > 0,止损平仓时 pnl < 0。 |
| | | * 累加后检查停止条件:≥ overallTp 或 ≤ -maxLoss。 |
| | | * |
| | | * @param contract 合约名称 |
| | | * @param side 平仓方向("long" / "short") |
| | | * @param pnl 本次平仓的盈亏金额 |
| | | */ |
| | | public void onPositionClose(String contract, String side, BigDecimal pnl) { |
| | | if (state == StrategyState.STOPPED) { |
| | | return; |
| | | } |
| | | cumulativePnl = cumulativePnl.add(pnl); |
| | | updateUnrealizedPnl(); |
| | | BigDecimal totalPnl = cumulativePnl.add(unrealizedPnl); |
| | | log.info("[Gate] 已实现:{}, 未实现:{}, 合计:{}", |
| | | cumulativePnl, unrealizedPnl, totalPnl); |
| | | if(totalPnl.compareTo(config.getMaxLoss().negate()) <= 0) { |
| | | String logMessage = StrUtil.format("[Gate] 已达亏损风险值(合计{}), 已实现:{}, 未实现:{}", |
| | | totalPnl, cumulativePnl, unrealizedPnl); |
| | | log.info(logMessage); |
| | | |
| | | DingTalkUtils.getDefault().sendActionCard("风险提醒", logMessage, config.getApiKey(), ""); |
| | | } |
| | | } |
| | | |
| | | |
| | | /** |
| | | * 自动订单(条件单)状态变更回调。 |
| | | * 由 {@link com.xcong.excoin.modules.gateApi.wsHandler.handler.AutoOrdersChannelHandler} |
| | | * 在收到 {@code futures.autoorders} 推送时调用。 |
| | | * |
| | | * @param orderId 条件单 ID |
| | | * @param status 订单状态(open / finished / cancelled) |
| | | * @param reason 变更原因 |
| | | * @param orderType 订单类型(plan-close-long-position 等) |
| | | */ |
| | | public void onAutoOrder(String orderId, String status, String reason, String orderType, String tradeId) { |
| | | if (state == StrategyState.STOPPED) { |
| | | return; |
| | | } |
| | | log.info("[Gate] 条件单状态变更, id:{}, status:{}, reason:{}, order_type:{}", |
| | | orderId, status, reason, orderType); |
| | | if (!"finished".equals(status)) { |
| | | return; |
| | | } |
| | | |
| | | GridElement longStopLossElem = GridElement.findByLongStopLossOrderId(orderId); |
| | | if (longStopLossElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) { |
| | | handleLongStopLossTriggered(longStopLossElem, orderId); |
| | | return; |
| | | } |
| | | GridElement shortStopLossElem = GridElement.findByShortStopLossOrderId(orderId); |
| | | if (shortStopLossElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) { |
| | | handleShortStopLossTriggered(shortStopLossElem, orderId); |
| | | return; |
| | | } |
| | | |
| | | // 止盈单成交 → 清理止盈状态,并按配置触发对向加仓 |
| | | GridElement longTpElem = GridElement.findByLongTakeProfitOrderId(orderId); |
| | | if (longTpElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) { |
| | | handleLongTakeProfitTriggered(longTpElem, orderId); |
| | | return; |
| | | } |
| | | GridElement shortTpElem = GridElement.findByShortTakeProfitOrderId(orderId); |
| | | if (shortTpElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) { |
| | | handleShortTakeProfitTriggered(shortTpElem, orderId); |
| | | return; |
| | | } |
| | | |
| | | GridElement shortGridElement = GridElement.findByShortOrderId(orderId); |
| | | if (shortGridElement != null) { |
| | | if (StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0") ){ |
| | | // 止盈触发的对向加仓空仓开仓单成交 → 在网格+1挂空仓止损 |
| | | Integer tpOppositeGridId = tpOppositeShortOrderGridMap.remove(orderId); |
| | | if (tpOppositeGridId != null) { |
| | | handleTpOppositeShortAddFilled(shortGridElement, tpOppositeGridId); |
| | | return; |
| | | } |
| | | 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.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/WS 持仓可能因交易所延迟返回旧值(仓位归零后重开甚至为 0), |
| | | // 与本次成交张数 filledQty 取最大值兜底,避免 posSize=0 导致止盈止损全部跳过 |
| | | int posSize = Math.max(Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()), filledQty); |
| | | 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 (GateConfig.EXCESS_TP_CONCENTRATED.equals(config.getPlaceExcessTakeProfit())) { |
| | | placeExcessTakeProfit(posSize, false); |
| | | } else if (GateConfig.EXCESS_TP_DISPERSED.equals(config.getPlaceExcessTakeProfit())) { |
| | | placeDispersedTakeProfit(posSize, false, shortGridElement.getId()); |
| | | } |
| | | // [Gate] 基础仓位止盈挂单:与超额止盈并行,独立于止盈模式 |
| | | placeBaseTakeProfit(posSize, false, shortGridElement.getId()); |
| | | log.info("[Gate] 空单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize); |
| | | |
| | | |
| | | |
| | | } |
| | | } |
| | | GridElement longGridElement = GridElement.findByLongOrderId(orderId); |
| | | if (longGridElement != null) { |
| | | if (StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")){ |
| | | |
| | | // 止盈触发的对向加仓多仓开仓单成交 → 在网格-1挂多仓止损 |
| | | Integer tpOppositeGridId = tpOppositeLongOrderGridMap.remove(orderId); |
| | | if (tpOppositeGridId != null) { |
| | | handleTpOppositeLongAddFilled(longGridElement, tpOppositeGridId); |
| | | return; |
| | | } |
| | | 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。 |
| | | 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/WS 持仓可能因交易所延迟返回旧值(仓位归零后重开甚至为 0), |
| | | // 与本次成交张数 filledQty 取最大值兜底,避免 posSize=0 导致止盈止损全部跳过 |
| | | int posSize = Math.max(Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue()), filledQty); |
| | | 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 (GateConfig.EXCESS_TP_CONCENTRATED.equals(config.getPlaceExcessTakeProfit())) { |
| | | placeExcessTakeProfit(posSize, true); |
| | | } else if (GateConfig.EXCESS_TP_DISPERSED.equals(config.getPlaceExcessTakeProfit())) { |
| | | placeDispersedTakeProfit(posSize, true, longGridElement.getId()); |
| | | } |
| | | // [Gate] 基础仓位止盈挂单:与超额止盈并行,独立于止盈模式 |
| | | placeBaseTakeProfit(posSize, true, longGridElement.getId()); |
| | | log.info("[Gate] 多单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize); |
| | | |
| | | } |
| | | } |
| | | } |
| | | |
| | | |
| | | /** |
| | | * 多仓止盈单成交:清理止盈状态,并按配置在对向(空仓)挂开仓单。 |
| | | * |
| | | * @param tpElem 触发止盈的网格元素 |
| | | * @param orderId 止盈单 ID |
| | | */ |
| | | private void handleLongTakeProfitTriggered(GridElement tpElem, String orderId) { |
| | | // 清理前判断:当前是否为该方向最后一个止盈单(最后一个不触发对向加仓) |
| | | boolean isLastTp = GridElement.getLongTakeProfitCount() <= 1; |
| | | // 清理止盈单状态(移除已成交的这笔止盈单) |
| | | longTakeProfitTraderIdParam(tpElem, orderId, false); |
| | | log.info("[Gate] 多仓止盈触发 gridId:{}, orderId:{}, 剩余止盈:{}", tpElem.getId(), orderId, |
| | | GridElement.getLongTakeProfitCount()); |
| | | |
| | | // 止盈依次上移:先取消之前挂的对向空开仓单,再挂新单 |
| | | cancelTpOppositeShortEntries(); |
| | | |
| | | if (!config.isTpTriggerOppositeAddEnabled()) { |
| | | return; |
| | | } |
| | | if (isLastTp) { |
| | | log.info("[Gate] 多仓止盈为最后一个, 不触发对向加仓, gridId:{}", tpElem.getId()); |
| | | return; |
| | | } |
| | | int qty = config.getTpTriggerOppositeAddQuantity(); |
| | | if (qty <= 0) { |
| | | return; |
| | | } |
| | | // 多仓止盈在 gridId=N 成交,对向空仓开仓单挂在 gridId=N-1 |
| | | int targetGridId = tpElem.getId() - 1; |
| | | GridElement target = GridElement.findById(targetGridId); |
| | | if (target == null) { |
| | | log.warn("[Gate] 止盈触发对向加仓: 目标网格不存在, 止盈gridId:{}, 目标gridId:{}", tpElem.getId(), targetGridId); |
| | | return; |
| | | } |
| | | placeOppositeAddShortEntry(target, tpElem, qty); |
| | | } |
| | | |
| | | /** |
| | | * 空仓止盈单成交:清理止盈状态,并按配置在对向(多仓)挂开仓单。 |
| | | * |
| | | * @param tpElem 触发止盈的网格元素 |
| | | * @param orderId 止盈单 ID |
| | | */ |
| | | private void handleShortTakeProfitTriggered(GridElement tpElem, String orderId) { |
| | | // 清理前判断:当前是否为该方向最后一个止盈单(最后一个不触发对向加仓) |
| | | boolean isLastTp = GridElement.getShortTakeProfitCount() <= 1; |
| | | // 清理止盈单状态(移除已成交的这笔止盈单) |
| | | shortTakeProfitTraderIdParam(tpElem, orderId, false); |
| | | log.info("[Gate] 空仓止盈触发 gridId:{}, orderId:{}, 剩余止盈:{}", tpElem.getId(), orderId, |
| | | GridElement.getShortTakeProfitCount()); |
| | | |
| | | // 止盈依次下移:先取消之前挂的对向多开仓单,再挂新单 |
| | | cancelTpOppositeLongEntries(); |
| | | |
| | | if (!config.isTpTriggerOppositeAddEnabled()) { |
| | | return; |
| | | } |
| | | if (isLastTp) { |
| | | log.info("[Gate] 空仓止盈为最后一个, 不触发对向加仓, gridId:{}", tpElem.getId()); |
| | | return; |
| | | } |
| | | int qty = config.getTpTriggerOppositeAddQuantity(); |
| | | if (qty <= 0) { |
| | | return; |
| | | } |
| | | // 空仓止盈在 gridId=N 成交,对向多仓开仓单挂在 gridId=N+1 |
| | | int targetGridId = tpElem.getId() + 1; |
| | | GridElement target = GridElement.findById(targetGridId); |
| | | if (target == null) { |
| | | log.warn("[Gate] 止盈触发对向加仓: 目标网格不存在, 止盈gridId:{}, 目标gridId:{}", tpElem.getId(), targetGridId); |
| | | return; |
| | | } |
| | | placeOppositeAddLongEntry(target, tpElem, qty); |
| | | } |
| | | |
| | | /** |
| | | * 取消所有已挂未成交的对向空仓开仓单(止盈依次上移时,取消旧位置的开仓单)。 |
| | | */ |
| | | private void cancelTpOppositeShortEntries() { |
| | | if (tpOppositeShortOrderGridMap.isEmpty()) { |
| | | return; |
| | | } |
| | | List<String> orderIds = new ArrayList<>(tpOppositeShortOrderGridMap.keySet()); |
| | | tpOppositeShortOrderGridMap.clear(); |
| | | for (String oid : orderIds) { |
| | | GridElement elem = GridElement.findByShortOrderId(oid); |
| | | if (elem != null) { |
| | | elem.removeShortOrderId(oid); |
| | | elem.setHasShortOrder(elem.hasShortOrderIds()); |
| | | } |
| | | executor.cancelConditionalOrder(oid, o -> {}); |
| | | log.info("[Gate] 取消对向空开仓单, orderId:{}", oid); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | } |
| | | |
| | | /** |
| | | * 取消所有已挂未成交的对向多仓开仓单(止盈依次下移时,取消旧位置的开仓单)。 |
| | | */ |
| | | private void cancelTpOppositeLongEntries() { |
| | | if (tpOppositeLongOrderGridMap.isEmpty()) { |
| | | return; |
| | | } |
| | | List<String> orderIds = new ArrayList<>(tpOppositeLongOrderGridMap.keySet()); |
| | | tpOppositeLongOrderGridMap.clear(); |
| | | for (String oid : orderIds) { |
| | | GridElement elem = GridElement.findByLongOrderId(oid); |
| | | if (elem != null) { |
| | | elem.removeLongOrderId(oid); |
| | | elem.setHasLongOrder(elem.hasLongOrderIds()); |
| | | } |
| | | executor.cancelConditionalOrder(oid, o -> {}); |
| | | log.info("[Gate] 取消对向多开仓单, orderId:{}", oid); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | } |
| | | |
| | | /** |
| | | * 在目标网格挂空仓对向开仓单,并记录订单ID→网格ID映射,供成交后挂止损。 |
| | | */ |
| | | private void placeOppositeAddShortEntry(GridElement target, GridElement tpElem, int qty) { |
| | | target.setHasShortOrder(true); |
| | | executor.placeConditionalEntryOrder( |
| | | target.getGridPrice(), |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | negate(String.valueOf(qty)), |
| | | orderId -> { |
| | | tpOppositeShortOrderGridMap.put(orderId, target.getId()); |
| | | shortEntryTraderIdParam(target, orderId, true); |
| | | log.info("[Gate] 多仓止盈触发对向加仓, 止盈gridId:{}, 空仓开仓gridId:{}, 数量:{}张, orderId:{}", |
| | | tpElem.getId(), target.getId(), qty, orderId); |
| | | }, |
| | | () -> { |
| | | if (!target.hasShortOrderIds()) { |
| | | target.setHasShortOrder(false); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.warn("[Gate] 多仓止盈触发对向加仓挂单失败, 止盈gridId:{}, 目标gridId:{}", |
| | | tpElem.getId(), target.getId()); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | /** |
| | | * 在目标网格挂多仓对向开仓单,并记录订单ID→网格ID映射,供成交后挂止损。 |
| | | */ |
| | | private void placeOppositeAddLongEntry(GridElement target, GridElement tpElem, int qty) { |
| | | target.setHasLongOrder(true); |
| | | executor.placeConditionalEntryOrder( |
| | | target.getGridPrice(), |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | String.valueOf(qty), |
| | | orderId -> { |
| | | tpOppositeLongOrderGridMap.put(orderId, target.getId()); |
| | | longEntryTraderIdParam(target, orderId, true); |
| | | log.info("[Gate] 空仓止盈触发对向加仓, 止盈gridId:{}, 多仓开仓gridId:{}, 数量:{}张, orderId:{}", |
| | | tpElem.getId(), target.getId(), qty, orderId); |
| | | }, |
| | | () -> { |
| | | if (!target.hasLongOrderIds()) { |
| | | target.setHasLongOrder(false); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.warn("[Gate] 空仓止盈触发对向加仓挂单失败, 止盈gridId:{}, 目标gridId:{}", |
| | | tpElem.getId(), target.getId()); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | /** |
| | | * 对向加仓空仓开仓单成交:在网格+1 挂空仓止损。 |
| | | * |
| | | * @param elem 开仓单成交的网格元素 |
| | | * @param oppositeGridId 记录的对向开仓网格ID |
| | | */ |
| | | private void handleTpOppositeShortAddFilled(GridElement elem, int oppositeGridId) { |
| | | int qty = Integer.parseInt(elem.getShortTraderParam().getQuantity()); |
| | | int stopLossGridId = oppositeGridId + 1; |
| | | GridElement slElem = GridElement.findById(stopLossGridId); |
| | | if (slElem == null) { |
| | | log.warn("[Gate] 对向加仓止损位置不存在, 开仓gridId:{}, 止损gridId:{}", oppositeGridId, stopLossGridId); |
| | | return; |
| | | } |
| | | executor.placeTakeProfit( |
| | | slElem.getGridPrice(), |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_SHORT, |
| | | String.valueOf(qty), |
| | | profitId -> { |
| | | slElem.addShortStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 对向加仓空仓止损已挂, 开仓gridId:{}, 止损gridId:{}, 数量:{}张, stopLossId:{}", |
| | | oppositeGridId, stopLossGridId, qty, profitId); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | /** |
| | | * 对向加仓多仓开仓单成交:在网格-1 挂多仓止损。 |
| | | * |
| | | * @param elem 开仓单成交的网格元素 |
| | | * @param oppositeGridId 记录的对向开仓网格ID |
| | | */ |
| | | private void handleTpOppositeLongAddFilled(GridElement elem, int oppositeGridId) { |
| | | int qty = Integer.parseInt(elem.getLongTraderParam().getQuantity()); |
| | | int stopLossGridId = oppositeGridId - 1; |
| | | GridElement slElem = GridElement.findById(stopLossGridId); |
| | | if (slElem == null) { |
| | | log.warn("[Gate] 对向加仓止损位置不存在, 开仓gridId:{}, 止损gridId:{}", oppositeGridId, stopLossGridId); |
| | | return; |
| | | } |
| | | executor.placeTakeProfit( |
| | | slElem.getGridPrice(), |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_LONG, |
| | | negate(String.valueOf(qty)), |
| | | profitId -> { |
| | | slElem.addLongStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 对向加仓多仓止损已挂, 开仓gridId:{}, 止损gridId:{}, 数量:{}张, stopLossId:{}", |
| | | oppositeGridId, stopLossGridId, qty, profitId); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | |
| | | /** |
| | | * 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 ---- |
| | | |
| | | /** |
| | | * 尝试生成网格队列。双基底(多+空)都成交后才触发: |
| | | * <ol> |
| | | * <li>生成空仓价格队列(降序)和多仓价格队列(升序)</li> |
| | | * <li>挂初始多仓条件单(触发价 = 多仓队列首元素,rule=NUMBER_1 ≥触发价时开多), |
| | | * 止盈价 = 触发价 + step,通过 onSuccess 回调将 orderId → 止盈价存入 currentLongOrderIds</li> |
| | | * <li>挂初始空仓条件单(触发价 = 空仓队列首元素,rule=NUMBER_2 ≤触发价时开空), |
| | | * 止盈价 = 触发价 − step,通过 onSuccess 回调将 orderId → 止盈价存入 currentShortOrderIds</li> |
| | | * <li>状态切换为 ACTIVE</li> |
| | | * </ol> |
| | | */ |
| | | private synchronized void tryGenerateQueues() { |
| | | // 幂等保护:生成队列后 state 切换为 ACTIVE,避免多线程重复执行 |
| | | if (state != StrategyState.OPENING) { |
| | | return; |
| | | } |
| | | TraderParam baseLongTraderParam = config.getBaseLongTraderParam(); |
| | | TraderParam baseShortTraderParam = config.getBaseShortTraderParam(); |
| | | // 需同时满足:多空基底均已成交,且两个下单参数(orderId)均已通过下单成功回调拿到。 |
| | | // IOC 市价单成交后 WS 持仓推送可能先于 REST 下单响应返回,必须等参数就绪再生成队列。 |
| | | if (!(baseLongOpened && baseShortOpened) |
| | | || baseLongTraderParam == null || baseShortTraderParam == null) { |
| | | return; |
| | | } |
| | | { |
| | | generateShortQueue(); |
| | | generateLongQueue(); |
| | | updateGridElements(); |
| | | |
| | | // // 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); |
| | | // } |
| | | // ); |
| | | // } |
| | | |
| | | if (config.isDualStopLossEnabled()) { |
| | | placeCustomStopLosses(); |
| | | } else { |
| | | placeDefaultStopLossLadders(); |
| | | } |
| | | |
| | | state = StrategyState.ACTIVE; |
| | | } |
| | | } |
| | | |
| | | // ========== 自定义止损(按触发价各挂一单) ========== |
| | | |
| | | /** |
| | | * 自定义止损初始化:按多空止损触发价匹配最近网格,各挂一张覆盖全仓位(baseQuantity)的止损单。 |
| | | * 多仓止损:NUMBER_2(价格 ≤ 触发价平多),空仓止损:NUMBER_1(价格 ≥ 触发价平空)。 |
| | | */ |
| | | private void placeCustomStopLosses() { |
| | | dualStopLossModeActive.set(true); |
| | | String baseQty = config.getBaseQuantity(); |
| | | BigDecimal longPrice = config.getLongStopLossPrice(); |
| | | BigDecimal shortPrice = config.getShortStopLossPrice(); |
| | | |
| | | if (longPrice != null && longPrice.compareTo(BigDecimal.ZERO) > 0) { |
| | | GridElement longElem = findNearestGridElementByPrice(longPrice); |
| | | if (longElem != null) { |
| | | BigDecimal triggerPrice = longElem.getGridPrice(); |
| | | executor.placeTakeProfit( |
| | | triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_LONG, |
| | | negate(baseQty), |
| | | profitId -> { |
| | | longElem.addLongStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 自定义多仓止损已挂, 目标价:{}, 匹配gridId:{}, 触发价:{}, stopLossId:{}", |
| | | longPrice, longElem.getId(), triggerPrice, profitId); |
| | | } |
| | | ); |
| | | } else { |
| | | log.warn("[Gate] 自定义多仓止损价:{} 未匹配到任何网格", longPrice); |
| | | } |
| | | } |
| | | |
| | | if (shortPrice != null && shortPrice.compareTo(BigDecimal.ZERO) > 0) { |
| | | GridElement shortElem = findNearestGridElementByPrice(shortPrice); |
| | | if (shortElem != null) { |
| | | BigDecimal triggerPrice = shortElem.getGridPrice(); |
| | | executor.placeTakeProfit( |
| | | triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_SHORT, |
| | | baseQty, |
| | | profitId -> { |
| | | shortElem.addShortStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 自定义空仓止损已挂, 目标价:{}, 匹配gridId:{}, 触发价:{}, stopLossId:{}", |
| | | shortPrice, shortElem.getId(), triggerPrice, profitId); |
| | | } |
| | | ); |
| | | } else { |
| | | log.warn("[Gate] 自定义空仓止损价:{} 未匹配到任何网格", shortPrice); |
| | | } |
| | | } |
| | | log.info("[Gate] 自定义止损初始化完成, 多仓止损价:{}, 空仓止损价:{}", longPrice, shortPrice); |
| | | } |
| | | |
| | | /** |
| | | * 默认止损阶梯(原有逻辑):空仓从 ID=2 向上、多仓从 ID=-2 向下,各挂 baseQuantity/quantity 格、每格 quantity 张。 |
| | | */ |
| | | private void placeDefaultStopLossLadders() { |
| | | placeDefaultShortStopLossLadder(); |
| | | placeDefaultLongStopLossLadder(); |
| | | int shortTime = Integer.parseInt(config.getBaseQuantity()) / Integer.parseInt(config.getQuantity()) + 1; |
| | | int longTime = Integer.parseInt(config.getBaseQuantity()) / Integer.parseInt(config.getQuantity()) + 1; |
| | | 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); |
| | | } |
| | | |
| | | /** |
| | | * 默认空仓止损阶梯:从 ID=2 向上挂,每格 quantity 张,NUMBER_1(价格 ≥ 触发价平空)。 |
| | | */ |
| | | private void placeDefaultShortStopLossLadder() { |
| | | 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 -> { |
| | | elem.addShortStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId); |
| | | } |
| | | ); |
| | | } |
| | | } |
| | | |
| | | /** |
| | | * 默认多仓止损阶梯:从 ID=-2 向下挂,每格 quantity 张,NUMBER_2(价格 ≤ 触发价平多)。 |
| | | */ |
| | | private void placeDefaultLongStopLossLadder() { |
| | | 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 -> { |
| | | elem.addLongStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId); |
| | | } |
| | | ); |
| | | } |
| | | } |
| | | |
| | | /** |
| | | * 按「价格 → 最近网格」匹配:返回 gridPrice 与目标价绝对值差最小的网格元素。 |
| | | */ |
| | | private GridElement findNearestGridElementByPrice(BigDecimal price) { |
| | | if (price == null || price.compareTo(BigDecimal.ZERO) <= 0) { |
| | | return null; |
| | | } |
| | | GridElement nearest = null; |
| | | BigDecimal minDiff = null; |
| | | for (GridElement e : config.getGridElements()) { |
| | | BigDecimal diff = e.getGridPrice().subtract(price).abs(); |
| | | if (minDiff == null || diff.compareTo(minDiff) < 0) { |
| | | minDiff = diff; |
| | | nearest = e; |
| | | } |
| | | } |
| | | return nearest; |
| | | } |
| | | |
| | | private void cancelTpSl(Long orderId) { |
| | | if (orderId == null) { |
| | | /** |
| | | * 只取消空仓止损单(保留空仓止盈),用于自定义止损首次触发时重挂未触发侧。 |
| | | */ |
| | | private void cancelAllShortStopLossesOnly() { |
| | | for (GridElement e : config.getGridElements()) { |
| | | 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损(保留止盈)"); |
| | | } |
| | | |
| | | /** |
| | | * 只取消多仓止损单(保留多仓止盈),用于自定义止损首次触发时重挂未触发侧。 |
| | | */ |
| | | private void cancelAllLongStopLossesOnly() { |
| | | for (GridElement e : config.getGridElements()) { |
| | | 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损(保留止盈)"); |
| | | } |
| | | |
| | | /** |
| | | * 更新基座止盈信息,将止盈价、订单ID等写入 TraderParam 并回填到 ID=0 的网格元素中。 |
| | | */ |
| | | private void longTakeProfitTraderIdParam( |
| | | GridElement baseElement,String profitId, boolean flag |
| | | ) { |
| | | TraderParam tp = baseElement.getLongTraderParam(); |
| | | if (flag && profitId != null) { |
| | | // 挂单成功:追加到止盈单列表(支持基础止盈 + 超额止盈并行挂单) |
| | | tp.setTakeProfitOrderId(profitId); |
| | | tp.setTakeProfitPlaced(true); |
| | | baseElement.addLongTakeProfitOrderId(profitId); |
| | | } else { |
| | | // 清理:profitId 非空移除指定止盈单,为空清空该网格全部止盈单 |
| | | tp.setTakeProfitPlaced(false); |
| | | if (profitId != null) { |
| | | baseElement.removeLongTakeProfitOrderId(profitId); |
| | | if (!baseElement.hasLongTakeProfitOrders()) { |
| | | tp.setTakeProfitOrderId(null); |
| | | } |
| | | } else { |
| | | baseElement.clearLongTakeProfitOrderIds(); |
| | | tp.setTakeProfitOrderId(null); |
| | | } |
| | | } |
| | | GridElement.refreshIndices(); |
| | | } |
| | | private void shortTakeProfitTraderIdParam( |
| | | GridElement baseElement,String profitId, boolean flag |
| | | ) { |
| | | TraderParam tp = baseElement.getShortTraderParam(); |
| | | if (flag && profitId != null) { |
| | | // 挂单成功:追加到止盈单列表(支持基础止盈 + 超额止盈并行挂单) |
| | | tp.setTakeProfitOrderId(profitId); |
| | | tp.setTakeProfitPlaced(true); |
| | | baseElement.addShortTakeProfitOrderId(profitId); |
| | | } else { |
| | | // 清理:profitId 非空移除指定止盈单,为空清空该网格全部止盈单 |
| | | tp.setTakeProfitPlaced(false); |
| | | if (profitId != null) { |
| | | baseElement.removeShortTakeProfitOrderId(profitId); |
| | | if (!baseElement.hasShortTakeProfitOrders()) { |
| | | tp.setTakeProfitOrderId(null); |
| | | } |
| | | } else { |
| | | baseElement.clearShortTakeProfitOrderIds(); |
| | | tp.setTakeProfitOrderId(null); |
| | | } |
| | | } |
| | | GridElement.refreshIndices(); |
| | | } |
| | | |
| | | private void longEntryTraderIdParam( |
| | | GridElement baseElement,String entryId,boolean flag |
| | | ) { |
| | | TraderParam tp = baseElement.getLongTraderParam(); |
| | | tp.setEntryOrderId(entryId); |
| | | tp.setEntryOrderPlaced(flag); |
| | | 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(); |
| | | } |
| | | |
| | | private void shortEntryTraderIdParam( |
| | | GridElement baseElement, String entryId, boolean flag |
| | | ) { |
| | | TraderParam tp = baseElement.getShortTraderParam(); |
| | | tp.setEntryOrderId(entryId); |
| | | tp.setEntryOrderPlaced(flag); |
| | | 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(); |
| | | } |
| | | |
| | | /** |
| | | * 生成空仓价格队列(等比 / 复合百分比网格)。 |
| | | * |
| | | * <p>每个网格价 = 上一档 × (1 − gridRate),即自 shortBaseEntryPrice 向下等比递减: |
| | | * <pre> |
| | | * 第1档 = shortBaseEntryPrice × (1 − gridRate) |
| | | * 第2档 = 第1档 × (1 − gridRate) |
| | | * ... |
| | | * </pre> |
| | | * 档间距 = 该档价格 × gridRate,随价格下降而收窄。 |
| | | * |
| | | * <p>同时将 step(= shortBaseEntryPrice × gridRate,即 0档 与 ±1档 的间距)注入 config, |
| | | * 供跨度重启等需要固定距离度量的功能使用。 |
| | | * |
| | | * <p>队列降序排列(大→小),方便 processShortGrid 中从头遍历。 |
| | | */ |
| | | private void generateShortQueue() { |
| | | shortPriceQueue.clear(); |
| | | totalShortPriceQueue.clear(); |
| | | totalLongPriceQueue.clear(); |
| | | int prec = config.getPriceScale(); |
| | | BigDecimal gridRate = config.getGridRate(); |
| | | // 首档间距 = 基价 × gridRate(0档与±1档的间距),保留作跨度等固定距离度量 |
| | | BigDecimal step = shortBaseEntryPrice.multiply(gridRate).setScale(prec, RoundingMode.HALF_UP); |
| | | config.setStep(step); |
| | | BigDecimal factor = BigDecimal.ONE.subtract(gridRate); |
| | | BigDecimal elem = shortBaseEntryPrice.multiply(factor).setScale(prec, RoundingMode.HALF_UP); |
| | | for (int i = 0; i < config.getGridQueueSize(); i++) { |
| | | shortPriceQueue.add(elem); |
| | | totalLongPriceQueue.add(elem); |
| | | totalShortPriceQueue.add(elem); |
| | | |
| | | elem = elem.multiply(factor).setScale(prec, RoundingMode.HALF_UP); |
| | | if (elem.compareTo(BigDecimal.ZERO) <= 0) { |
| | | break; |
| | | } |
| | | } |
| | | shortPriceQueue.sort((a, b) -> b.compareTo(a)); |
| | | log.info("[Gate] 空队列(等比):{}", shortPriceQueue); |
| | | } |
| | | |
| | | /** |
| | | * 生成多仓价格队列(等比 / 复合百分比网格)。 |
| | | * |
| | | * <p>每个网格价 = 上一档 × (1 + gridRate),即自 shortBaseEntryPrice 向上等比递增: |
| | | * <pre> |
| | | * 第1档 = shortBaseEntryPrice × (1 + gridRate) |
| | | * 第2档 = 第1档 × (1 + gridRate) |
| | | * ... |
| | | * </pre> |
| | | * 档间距 = 该档价格 × gridRate,随价格上升而放大; |
| | | * 与空仓队列(下方 ×(1−gridRate))关于基价对称,保证上下网格连续一致。 |
| | | * |
| | | * <p>队列升序排列(小→大),方便 processLongGrid 中从头遍历。 |
| | | */ |
| | | private void generateLongQueue() { |
| | | longPriceQueue.clear(); |
| | | int prec = config.getPriceScale(); |
| | | BigDecimal factor = BigDecimal.ONE.add(config.getGridRate()); |
| | | BigDecimal elem = shortBaseEntryPrice.multiply(factor).setScale(prec, RoundingMode.HALF_UP); |
| | | for (int i = 0; i < config.getGridQueueSize(); i++) { |
| | | longPriceQueue.add(elem); |
| | | totalLongPriceQueue.add(elem); |
| | | totalShortPriceQueue.add(elem); |
| | | elem = elem.multiply(factor).setScale(prec, RoundingMode.HALF_UP); |
| | | } |
| | | longPriceQueue.sort(BigDecimal::compareTo); |
| | | log.info("[Gate] 多队列(等比):{}", 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); |
| | | } |
| | | |
| | | /** |
| | | * 根据当前多空价格队列同步构建网格元素列表,写入 config。 |
| | | * |
| | | * <h3>ID 分配规则</h3> |
| | | * <ul> |
| | | * <li>空仓队列:id 从 -1 自减(-1, -2, -3...),第一个元素 upId=0,最后一个 downId=null</li> |
| | | * <li>位置 0:gridPrice=shortBaseEntryPrice,upId=-1,downId=1,其数据在基座开仓时更新</li> |
| | | * <li>多仓队列:id 从 1 自增(1, 2, 3...),第一个元素 upId=0,最后一个 downId=null</li> |
| | | * </ul> |
| | | * |
| | | * <h3>链表关系</h3> |
| | | * 所有元素通过 upId/downId 串成一条双向链表: |
| | | * ... → -3 → -2 → -1 → 0 → 1 → 2 → 3 → ... |
| | | */ |
| | | private void updateGridElements() { |
| | | List<GridElement> elements = new ArrayList<>(); |
| | | int shortSize = shortPriceQueue.size(); |
| | | int longSize = longPriceQueue.size(); |
| | | //根据精度转换成小数 |
| | | int prec = config.getPriceScale(); |
| | | // 等比网格:止盈价与本档相邻网格价联动 = 本档价 × (1 ± gridRate) |
| | | BigDecimal tpUpFactor = BigDecimal.ONE.add(config.getGridRate()); |
| | | BigDecimal tpDownFactor = BigDecimal.ONE.subtract(config.getGridRate()); |
| | | // 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++) { |
| | | int id = -(i + 1); |
| | | Integer upId = (i == 0) ? 0 : id + 1; |
| | | Integer downId = (i == shortSize - 1) ? null : id - 1; |
| | | BigDecimal price = shortPriceQueue.get(i); |
| | | TraderParam longParam = TraderParam.builder() |
| | | .direction(TraderParam.Direction.LONG) |
| | | .entryPrice(price) |
| | | .takeProfitPrice(price.multiply(tpUpFactor).setScale(prec, RoundingMode.HALF_UP)) |
| | | .quantity(qty) |
| | | .build(); |
| | | TraderParam shortParam = TraderParam.builder() |
| | | .direction(TraderParam.Direction.SHORT) |
| | | .entryPrice(price) |
| | | .takeProfitPrice(price.multiply(tpDownFactor).setScale(prec, RoundingMode.HALF_UP)) |
| | | .quantity(qty) |
| | | .build(); |
| | | elements.add(GridElement.builder() |
| | | .id(id) |
| | | .gridPrice(price) |
| | | .upId(upId) |
| | | .downId(downId) |
| | | .longTraderParam(longParam) |
| | | .shortTraderParam(shortParam) |
| | | .build()); |
| | | } |
| | | |
| | | // 位置 0:基底价格,数据在基座开仓时更新 |
| | | { |
| | | BigDecimal price = shortBaseEntryPrice; |
| | | TraderParam longParam = TraderParam.builder() |
| | | .direction(TraderParam.Direction.LONG) |
| | | .entryPrice(price) |
| | | .takeProfitPrice(price.multiply(tpUpFactor).setScale(prec, RoundingMode.HALF_UP)) |
| | | .quantity(qty) |
| | | .build(); |
| | | TraderParam shortParam = TraderParam.builder() |
| | | .direction(TraderParam.Direction.SHORT) |
| | | .entryPrice(price) |
| | | .takeProfitPrice(price.multiply(tpDownFactor).setScale(prec, RoundingMode.HALF_UP)) |
| | | .quantity(qty) |
| | | .build(); |
| | | elements.add(GridElement.builder() |
| | | .id(0) |
| | | .gridPrice(price) |
| | | .upId(longSize > 0 ? 1 : null) |
| | | .downId(shortSize > 0 ? -1 : null) |
| | | .longTraderParam(longParam) |
| | | .shortTraderParam(shortParam) |
| | | .build()); |
| | | } |
| | | |
| | | // 多仓队列:id 从 1 自增, longPriceQueue[i] → id=i+1 |
| | | for (int i = 0; i < longSize; i++) { |
| | | int id = i + 1; |
| | | Integer downId = (i == 0) ? 0 : id - 1; |
| | | Integer upId = (i == longSize - 1) ? null : id + 1; |
| | | BigDecimal price = longPriceQueue.get(i); |
| | | TraderParam longParam = TraderParam.builder() |
| | | .direction(TraderParam.Direction.LONG) |
| | | .entryPrice(price) |
| | | .takeProfitPrice(price.multiply(tpUpFactor).setScale(prec, RoundingMode.HALF_UP)) |
| | | .quantity(qty) |
| | | .build(); |
| | | TraderParam shortParam = TraderParam.builder() |
| | | .direction(TraderParam.Direction.SHORT) |
| | | .entryPrice(price) |
| | | .takeProfitPrice(price.multiply(tpDownFactor).setScale(prec, RoundingMode.HALF_UP)) |
| | | .quantity(qty) |
| | | .build(); |
| | | elements.add(GridElement.builder() |
| | | .id(id) |
| | | .gridPrice(price) |
| | | .upId(upId) |
| | | .downId(downId) |
| | | .longTraderParam(longParam) |
| | | .shortTraderParam(shortParam) |
| | | .build()); |
| | | } |
| | | |
| | | config.setGridElements(elements); |
| | | 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); |
| | | } |
| | | |
| | | |
| | | /** 多仓仓位归零后,在当前价上方最近网格重新挂多单(遍历 totalLongPriceQueue 升序)。 */ |
| | | private void processLongGrid(BigDecimal currentPrice) { |
| | | BigDecimal matched = BigDecimal.ZERO; |
| | | synchronized (totalLongPriceQueue) { |
| | | for (BigDecimal p : totalLongPriceQueue) { |
| | | if (p.compareTo(currentPrice) >= 0) { |
| | | matched = p; |
| | | 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; |
| | | } |
| | | |
| | | GridElement matchedUpGridElement = GridElement.findByPrice(matched); |
| | | if (matchedUpGridElement != null){ |
| | | if (!matchedUpGridElement.isHasLongOrder()){ |
| | | Integer upId = matchedUpGridElement.getUpId(); |
| | | GridElement newEntryGrid = GridElement.findById(upId); |
| | | |
| | | 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()); |
| | | |
| | | |
| | | String quantity = calculateEntryQuantity(true, false, 0); |
| | | // 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) { |
| | | 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); |
| | | } |
| | | } |
| | | } |
| | | } |
| | | } |
| | | |
| | | } |
| | | |
| | | /** 空仓仓位归零后,在当前价下方最近网格重新挂空单(遍历 totalShortPriceQueue 降序)。 */ |
| | | private void processShortGrid(BigDecimal currentPrice) { |
| | | BigDecimal matched = BigDecimal.ZERO; |
| | | synchronized (totalShortPriceQueue) { |
| | | for (BigDecimal p : totalShortPriceQueue) { |
| | | if (p.compareTo(currentPrice) <= 0) { |
| | | matched = p; |
| | | 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; |
| | | } |
| | | |
| | | GridElement matchedUpGridElement = GridElement.findByPrice(matched); |
| | | if (matchedUpGridElement != null){ |
| | | if(!matchedUpGridElement.isHasShortOrder()){ |
| | | Integer downId = matchedUpGridElement.getDownId(); |
| | | GridElement newEntryGrid = GridElement.findById(downId); |
| | | |
| | | 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(config.getBaseQuantity()); |
| | | |
| | | String quantity = calculateEntryQuantity(false, false, 0); |
| | | // 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:{}的空单{}", 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{}基础张空单", |
| | | newEntryGrid.getId(), size); |
| | | newEntryGrid.getShortTraderParam().setQuantity(size); |
| | | placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size)); |
| | | } |
| | | |
| | | } |
| | | } |
| | | } |
| | | } |
| | | } |
| | | |
| | | // ========== 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; |
| | | } |
| | | |
| | | /** |
| | | * 根据加仓配置计算入场/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, upperLimit) |
| | | * </pre> |
| | | * <p>上限 upperLimit:</p> |
| | | * <ul> |
| | | * <li>{@code respectCurrentPosition=false}:{@code upperLimit = maxPositionPerSide} |
| | | * (仓位归零重新入场,仅限制单次下单量)</li> |
| | | * <li>{@code respectCurrentPosition=true}:{@code upperLimit = maxPositionPerSide - 当前持仓} |
| | | * (止损追单,保证单边总持仓 ≤ maxPositionPerSide)</li> |
| | | * </ul> |
| | | * |
| | | * @param isLong {@code true}=多仓方向,{@code false}=空仓方向 |
| | | * @param respectCurrentPosition {@code true}=按「单边总持仓 ≤ maxPositionPerSide」扣减当前持仓;{@code false}=仅限制单次下单量 |
| | | * @param stopLossSize 本次止损单张数(仅止损追单场景传入,用于修正 REST 时序竞态;其余场景传 0) |
| | | * @return 实际下单张数(字符串) |
| | | */ |
| | | private String calculateEntryQuantity(boolean isLong, boolean respectCurrentPosition, int stopLossSize) { |
| | | 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) { |
| | | int upperLimit = maxPerSide; |
| | | if (respectCurrentPosition) { |
| | | // 止损追单:单边总持仓不得超过 maxPerSide,追单量 = maxPerSide - 当前持仓。 |
| | | // 止损单刚成交、REST 查询可能仍返回止损前持仓(时序竞态), |
| | | // 减去本次止损单张数得到止损后的真实持仓,避免追单量被错误扣减。 |
| | | int currentPos = isLong |
| | | ? queryPositionSize(Position.ModeEnum.DUAL_LONG) |
| | | : queryPositionSize(Position.ModeEnum.DUAL_SHORT); |
| | | if (stopLossSize > 0) { |
| | | currentPos = Math.max(0, currentPos - stopLossSize); |
| | | } |
| | | upperLimit = maxPerSide - currentPos; |
| | | } |
| | | if (upperLimit <= 0) { |
| | | totalQty = 0; |
| | | } else if (totalQty > upperLimit) { |
| | | totalQty = upperLimit; |
| | | } |
| | | } |
| | | |
| | | return String.valueOf(totalQty); |
| | | } |
| | | |
| | | private void handleLongStopLossTriggered(GridElement gridElement, String orderId) { |
| | | gridElement.removeLongStopLossOrderId(orderId); |
| | | |
| | | int gridId = gridElement.getId(); |
| | | boolean sameGrid = (gridId == lastLongStopLossGridId); |
| | | if (sameGrid) { |
| | | log.info("[Gate] 多仓止损触发 同网格, 忽略"); |
| | | return; |
| | | } |
| | | try { |
| | | futuresApi.cancelPriceTriggeredOrder(SETTLE, orderId); |
| | | log.info("[GateGrid] 已取消条件单, id:{}", orderId); |
| | | } catch (Exception e) { |
| | | log.warn("[GateGrid] 取消条件单失败, id:{}", orderId, e); |
| | | |
| | | 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); |
| | | if (newEntryGrid == null) { |
| | | log.warn("[Gate] 多仓止损触发 but gridId:{} 不存在", newEntryGridId); |
| | | GridElement.refreshIndices(); |
| | | 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 = calculateEntryQuantity(true, true, Integer.parseInt(config.getQuantity())); |
| | | 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()); |
| | | if (Integer.parseInt(size) <= 0) { |
| | | log.warn("[Gate] 多仓止损追单 当前持仓已达单边上限({}), 跳过挂单", config.getMaxPositionPerSide()); |
| | | } else { |
| | | 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); |
| | | }); |
| | | } |
| | | } |
| | | |
| | | // 自定义止损模式:第一次止损触发时,取消未触发侧(空仓)自定义止损单并重挂默认阶梯 |
| | | if (config.isDualStopLossEnabled() && dualStopLossModeActive.compareAndSet(true, false)) { |
| | | cancelAllShortStopLossesOnly(); |
| | | placeDefaultShortStopLossLadder(); |
| | | log.info("[Gate] 自定义止损首次触发(多仓), 已取消空仓自定义止损并重挂默认阶梯"); |
| | | } |
| | | |
| | | } |
| | | |
| | | private void handleShortStopLossTriggered(GridElement gridElement, String orderId) { |
| | | gridElement.removeShortStopLossOrderId(orderId); |
| | | |
| | | int gridId = gridElement.getId(); |
| | | 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)" : ""); |
| | | |
| | | // 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); |
| | | if (newEntryGrid == null) { |
| | | log.warn("[Gate] 空仓止损触发 but gridId:{} 不存在", newEntryGridId); |
| | | GridElement.refreshIndices(); |
| | | 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 = calculateEntryQuantity(false, true, Integer.parseInt(config.getQuantity())); |
| | | 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()); |
| | | if (Integer.parseInt(size) <= 0) { |
| | | log.warn("[Gate] 空仓止损追单 当前持仓已达单边上限({}), 跳过挂单", config.getMaxPositionPerSide()); |
| | | } else { |
| | | newEntryGrid.getShortTraderParam().setQuantity(size); |
| | | placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size)); |
| | | } |
| | | |
| | | // 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); |
| | | }); |
| | | } |
| | | } |
| | | |
| | | // 自定义止损模式:第一次止损触发时,取消未触发侧(多仓)自定义止损单并重挂默认阶梯 |
| | | if (config.isDualStopLossEnabled() && dualStopLossModeActive.compareAndSet(true, false)) { |
| | | cancelAllLongStopLossesOnly(); |
| | | placeDefaultLongStopLossLadder(); |
| | | log.info("[Gate] 自定义止损首次触发(空仓), 已取消多仓自定义止损并重挂默认阶梯"); |
| | | } |
| | | } |
| | | |
| | | // ========== 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(); |
| | | }); |
| | | } |
| | | } |
| | | |
| | | /** |
| | | * 检查多空仓位是否触及止盈止损 |
| | | * 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 checkPositions(BigDecimal currentPrice) { |
| | | if (longEntryPrice == null || shortEntryPrice == null) { |
| | | return; |
| | | private void cancelNearestLongStopLoss() { |
| | | GridElement nearest = null; |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (e.hasLongStopLossOrders()) { |
| | | if (nearest == null || e.getId() > nearest.getId()) { |
| | | nearest = e; |
| | | } |
| | | } |
| | | } |
| | | |
| | | BigDecimal longTp = longEntryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP); |
| | | BigDecimal longSl = longEntryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP); |
| | | BigDecimal shortTp = shortEntryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP); |
| | | BigDecimal shortSl = shortEntryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP); |
| | | |
| | | System.out.println("========== Gate 网格状态 =========="); |
| | | System.out.println("当前价格: " + currentPrice); |
| | | System.out.println("多头入场: " + longEntryPrice + " TP: " + longTp + " SL: " + longSl); |
| | | System.out.println("空头入场: " + shortEntryPrice + " TP: " + shortTp + " SL: " + shortSl); |
| | | System.out.println("累计盈亏: " + totalProfit + " 循环: " + currentCycle + "/" + maxCycles); |
| | | System.out.println("==================================="); |
| | | |
| | | // 多头止盈 |
| | | if (currentPrice.compareTo(longTp) >= 0) { |
| | | log.info("[GateGrid] 多头止盈触发! entry:{}, current:{}", longEntryPrice, currentPrice); |
| | | BigDecimal cnt = new BigDecimal(quantity); |
| | | BigDecimal profit = currentPrice.subtract(longEntryPrice).multiply(cnt); |
| | | totalProfit = totalProfit.add(profit); |
| | | log.info("[GateGrid] 多头止盈 profit:{}, totalProfit:{}", profit, totalProfit); |
| | | closeLongPosition(); |
| | | closeShortPosition(); |
| | | currentCycle++; |
| | | checkStopConditions(); |
| | | return; |
| | | } |
| | | // 多头止损 |
| | | if (currentPrice.compareTo(longSl) <= 0) { |
| | | log.info("[GateGrid] 多头止损触发! entry:{}, current:{}", longEntryPrice, currentPrice); |
| | | BigDecimal cnt = new BigDecimal(quantity); |
| | | BigDecimal loss = longEntryPrice.subtract(currentPrice).multiply(cnt); |
| | | totalProfit = totalProfit.subtract(loss); |
| | | log.info("[GateGrid] 多头止损 loss:{}, totalProfit:{}", loss, totalProfit); |
| | | closeLongPosition(); |
| | | currentCycle++; |
| | | checkStopConditions(); |
| | | return; |
| | | } |
| | | // 空头止盈 |
| | | if (currentPrice.compareTo(shortTp) <= 0) { |
| | | log.info("[GateGrid] 空头止盈触发! entry:{}, current:{}", shortEntryPrice, currentPrice); |
| | | BigDecimal cnt = new BigDecimal(quantity); |
| | | BigDecimal profit = shortEntryPrice.subtract(currentPrice).multiply(cnt); |
| | | totalProfit = totalProfit.add(profit); |
| | | log.info("[GateGrid] 空头止盈 profit:{}, totalProfit:{}", profit, totalProfit); |
| | | closeShortPosition(); |
| | | closeLongPosition(); |
| | | currentCycle++; |
| | | checkStopConditions(); |
| | | return; |
| | | } |
| | | // 空头止损 |
| | | if (currentPrice.compareTo(shortSl) >= 0) { |
| | | log.info("[GateGrid] 空头止损触发! entry:{}, current:{}", shortEntryPrice, currentPrice); |
| | | BigDecimal cnt = new BigDecimal(quantity); |
| | | BigDecimal loss = currentPrice.subtract(shortEntryPrice).multiply(cnt); |
| | | totalProfit = totalProfit.subtract(loss); |
| | | log.info("[GateGrid] 空头止损 loss:{}, totalProfit:{}", loss, totalProfit); |
| | | closeShortPosition(); |
| | | currentCycle++; |
| | | checkStopConditions(); |
| | | 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)); |
| | | } |
| | | } |
| | | |
| | | private void checkStopConditions() { |
| | | if (totalProfit.compareTo(overallTp) >= 0) { |
| | | log.info("[GateGrid] 达到整体止盈 {} USDT,停止策略", overallTp); |
| | | strategyActive = false; |
| | | return; |
| | | /** |
| | | * 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 (BigDecimal.ZERO.subtract(totalProfit).compareTo(maxLoss) >= 0) { |
| | | log.info("[GateGrid] 亏损 {} 达到上限 {} USDT,停止策略", totalProfit.negate(), maxLoss); |
| | | strategyActive = false; |
| | | return; |
| | | 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)); |
| | | } |
| | | if (currentCycle >= maxCycles) { |
| | | log.info("[GateGrid] 达到最大循环次数 {},停止策略", maxCycles); |
| | | strategyActive = false; |
| | | return; |
| | | } |
| | | log.info("[GateGrid] 进入下一轮循环: {}", currentCycle + 1); |
| | | dualOpenPositions(); |
| | | } |
| | | |
| | | private void closeLongPosition() { |
| | | if (longEntryPrice == null) { |
| | | /** |
| | | * 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()) { |
| | | for (String tpId : new ArrayList<>(e.getLongTakeProfitOrderIds())) { |
| | | executor.cancelConditionalOrder(tpId, oid -> {}); |
| | | } |
| | | e.clearLongTakeProfitOrderIds(); |
| | | if (e.getLongTraderParam() != null) { |
| | | e.getLongTraderParam().setTakeProfitPlaced(false); |
| | | e.getLongTraderParam().setTakeProfitOrderId(null); |
| | | } |
| | | for (String slId : new ArrayList<>(e.getLongStopLossOrderIds())) { |
| | | executor.cancelConditionalOrder(slId, oid -> {}); |
| | | } |
| | | e.clearLongStopLossOrderIds(); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 已提交取消所有多仓止盈+止损"); |
| | | } |
| | | |
| | | /** |
| | | * 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()) { |
| | | for (String tpId : new ArrayList<>(e.getShortTakeProfitOrderIds())) { |
| | | executor.cancelConditionalOrder(tpId, oid -> {}); |
| | | } |
| | | e.clearShortTakeProfitOrderIds(); |
| | | if (e.getShortTraderParam() != null) { |
| | | e.getShortTraderParam().setTakeProfitPlaced(false); |
| | | e.getShortTraderParam().setTakeProfitOrderId(null); |
| | | } |
| | | for (String slId : new ArrayList<>(e.getShortStopLossOrderIds())) { |
| | | executor.cancelConditionalOrder(slId, oid -> {}); |
| | | } |
| | | e.clearShortStopLossOrderIds(); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 已提交取消所有空仓止盈+止损"); |
| | | } |
| | | |
| | | /** |
| | | * 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); |
| | | if (tpElemLong != null) { |
| | | for (String tpId : new ArrayList<>(tpElemLong.getLongTakeProfitOrderIds())) { |
| | | executor.cancelConditionalOrder(tpId, oid -> {}); |
| | | } |
| | | tpElemLong.clearLongTakeProfitOrderIds(); |
| | | if (tpElemLong.getLongTraderParam() != null) { |
| | | tpElemLong.getLongTraderParam().setTakeProfitPlaced(false); |
| | | tpElemLong.getLongTraderParam().setTakeProfitOrderId(null); |
| | | } |
| | | } |
| | | |
| | | GridElement tpElemShort = GridElement.findById(-3); |
| | | if (tpElemShort != null) { |
| | | for (String tpId : new ArrayList<>(tpElemShort.getShortTakeProfitOrderIds())) { |
| | | executor.cancelConditionalOrder(tpId, oid -> {}); |
| | | } |
| | | tpElemShort.clearShortTakeProfitOrderIds(); |
| | | if (tpElemShort.getShortTraderParam() != null) { |
| | | tpElemShort.getShortTraderParam().setTakeProfitPlaced(false); |
| | | tpElemShort.getShortTraderParam().setTakeProfitOrderId(null); |
| | | } |
| | | } |
| | | 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; |
| | | } |
| | | |
| | | // [Gate] 止损只针对初始开仓仓位(baseQuantity),加仓部分只做止盈 |
| | | 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; |
| | | } |
| | | |
| | | // [Gate] 止损只针对初始开仓仓位(baseQuantity),加仓部分只做止盈 |
| | | 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, rule, orderType, size, |
| | | profitId -> { |
| | | if (isLong) { |
| | | elem.addLongStopLossOrderId(profitId); |
| | | } else { |
| | | elem.addShortStopLossOrderId(profitId); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] {}止损追加, gridId:{}, 触发价:{}, 第{}单, stopLossId:{}", |
| | | isLong ? "多仓" : "空仓", finalGridId, triggerPrice, finalI + 1, profitId); |
| | | // 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); |
| | | } |
| | | } |
| | | } |
| | | } |
| | | ); |
| | | } |
| | | } |
| | | |
| | | // ---- 工具 ---- |
| | | |
| | | /** |
| | | * 取反字符串数字。如 "1" → "-1","-2" → "2"。 |
| | | * 用于开空单时将正数张数转为负数。 |
| | | */ |
| | | private String negate(String qty) { |
| | | return qty.startsWith("-") ? qty.substring(1) : "-" + qty; |
| | | } |
| | | |
| | | /** |
| | | * 预设标志位后提交条件开仓单,防止异步回调导致的竞态重复挂单。 |
| | | * |
| | | * <p>在调用 {@link GateTradeExecutor#placeConditionalEntryOrder} 之前同步设置 |
| | | * {@code isHasLongOrder / isHasShortOrder},关闭 WS 线程与 Executor 线程之间的 |
| | | * 检查-下单时间窗口。API 失败时自动回滚标志位。 |
| | | * |
| | | * @param gridElement 目标网格元素 |
| | | * @param isLong true=多仓下单,false=空仓下单 |
| | | * @param triggerPrice 触发价 |
| | | * @param rule 触发规则 |
| | | * @param size 开仓张数 |
| | | */ |
| | | private void placeEntryOrderWithPreFlag(GridElement gridElement, boolean isLong, |
| | | BigDecimal triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum rule, |
| | | String size) { |
| | | if (isLong) { |
| | | gridElement.setHasLongOrder(true); |
| | | } else { |
| | | gridElement.setHasShortOrder(true); |
| | | } |
| | | executor.placeConditionalEntryOrder(triggerPrice, rule, size, |
| | | orderId -> { |
| | | if (isLong) { |
| | | longEntryTraderIdParam(gridElement, orderId, true); |
| | | } else { |
| | | shortEntryTraderIdParam(gridElement, orderId, true); |
| | | } |
| | | }, |
| | | () -> { |
| | | // 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) { |
| | | if (!gridElement.hasLongOrderIds()) { |
| | | gridElement.setHasLongOrder(false); |
| | | } |
| | | } else { |
| | | if (!gridElement.hasShortOrderIds()) { |
| | | gridElement.setHasShortOrder(false); |
| | | } |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.warn("[Gate] 条件单创建失败 gridId:{}, isLong:{}", gridElement.getId(), isLong); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | /** |
| | | * 根据持仓和当前价格计算未实现盈亏。 |
| | | * |
| | | * <h3>正向合约公式</h3> |
| | | * <pre> |
| | | * 多仓: 持仓量 × 合约乘数 × (计价价格 − 开仓均价) |
| | | * 空仓: 持仓量 × 合约乘数 × (开仓均价 − 计价价格) |
| | | * </pre> |
| | | * 计价价格由 {@link GateConfig.PnLPriceMode} 决定:LAST_PRICE 用最新成交价,MARK_PRICE 用标记价格。 |
| | | */ |
| | | private void updateUnrealizedPnl() { |
| | | BigDecimal price = resolvePnlPrice(); |
| | | if (price == null || price.compareTo(BigDecimal.ZERO) == 0) { |
| | | return; |
| | | } |
| | | BigDecimal multiplier = config.getContractMultiplier(); |
| | | BigDecimal longPnl = BigDecimal.ZERO; |
| | | BigDecimal shortPnl = BigDecimal.ZERO; |
| | | if (longPositionSize.compareTo(BigDecimal.ZERO) > 0 && longEntryPrice.compareTo(BigDecimal.ZERO) > 0) { |
| | | longPnl = longPositionSize.multiply(multiplier).multiply(price.subtract(longEntryPrice)); |
| | | } |
| | | if (shortPositionSize.compareTo(BigDecimal.ZERO) > 0 && shortEntryPrice.compareTo(BigDecimal.ZERO) > 0) { |
| | | shortPnl = shortPositionSize.multiply(multiplier).multiply(shortEntryPrice.subtract(price)); |
| | | } |
| | | unrealizedPnl = longPnl.add(shortPnl); |
| | | |
| | | log.info("[Gate] 未实现盈亏: {}", unrealizedPnl); |
| | | } |
| | | |
| | | /** |
| | | * 根据配置的 PnLPriceMode 返回计价价格。 |
| | | * MARK_PRICE 模式优先使用标记价格(外部注入),未注入时回退到最新成交价。 |
| | | * |
| | | * @return 计价价格,可能为 null |
| | | */ |
| | | private BigDecimal resolvePnlPrice() { |
| | | if (config.getUnrealizedPnlPriceMode() == GateConfig.PnLPriceMode.MARK_PRICE |
| | | && markPrice.compareTo(BigDecimal.ZERO) > 0) { |
| | | return markPrice; |
| | | } |
| | | return lastKlinePrice; |
| | | } |
| | | |
| | | /** @return 最新 K 线价格(每次 onKline 更新) */ |
| | | public BigDecimal getLastKlinePrice() { return lastKlinePrice; } |
| | | /** 设置标记价格(外部注入,MARK_PRICE 模式时用于盈亏计算) */ |
| | | 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 Long getUserId() { return userId; } |
| | | /** @return 当前策略状态 */ |
| | | 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; } |
| | | |
| | | // ========== 手动控制(Station 指令) ========== |
| | | |
| | | /** |
| | | * 手动取消多仓止盈 + 止损挂单,并同步清理对应 GridElement 的挂单记录。 |
| | | */ |
| | | public void cancelLongTakeProfitAndStopLoss() { |
| | | submitManualTask(this::cancelAllLongTakeProfitsAndStopLosses); |
| | | } |
| | | |
| | | /** |
| | | * 手动取消空仓止盈 + 止损挂单,并同步清理对应 GridElement 的挂单记录。 |
| | | */ |
| | | public void cancelShortTakeProfitAndStopLoss() { |
| | | submitManualTask(this::cancelAllShortTakeProfitsAndStopLosses); |
| | | } |
| | | |
| | | /** |
| | | * 手动重新生成多仓止盈 + 止损挂单,逻辑与挂单成交(onAutoOrder)一致: |
| | | * 先撤多仓所有止盈止损,再按交易所最新持仓重挂止损阶梯,超额部分挂止盈到空仓第一止损位。 |
| | | */ |
| | | public void rebuildLongTakeProfitAndStopLoss() { |
| | | submitManualTask(() -> { |
| | | cancelAllLongTakeProfitsAndStopLosses(); |
| | | int posSize = Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue()); |
| | | if (posSize <= 0) { |
| | | log.warn("[Gate] 生成多仓止盈止损失败:无多仓持仓"); |
| | | return; |
| | | } |
| | | extendLongStopLoss(posSize, 0); |
| | | if (GateConfig.EXCESS_TP_CONCENTRATED.equals(config.getPlaceExcessTakeProfit())) { |
| | | placeExcessTakeProfit(posSize, true); |
| | | } else if (GateConfig.EXCESS_TP_DISPERSED.equals(config.getPlaceExcessTakeProfit())) { |
| | | placeDispersedTakeProfit(posSize, true, 0); |
| | | } |
| | | placeBaseTakeProfit(posSize, true, 0); |
| | | log.info("[Gate] 生成多仓止盈止损完成, 仓位:{}张", posSize); |
| | | }); |
| | | } |
| | | |
| | | /** |
| | | * 手动重新生成空仓止盈 + 止损挂单,逻辑与挂单成交(onAutoOrder)一致: |
| | | * 先撤空仓所有止盈止损,再按交易所最新持仓重挂止损阶梯,超额部分挂止盈到多仓第一止损位。 |
| | | */ |
| | | public void rebuildShortTakeProfitAndStopLoss() { |
| | | submitManualTask(() -> { |
| | | cancelAllShortTakeProfitsAndStopLosses(); |
| | | int posSize = Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()); |
| | | if (posSize <= 0) { |
| | | log.warn("[Gate] 生成空仓止盈止损失败:无空仓持仓"); |
| | | return; |
| | | } |
| | | extendShortStopLoss(posSize, 0); |
| | | if (GateConfig.EXCESS_TP_CONCENTRATED.equals(config.getPlaceExcessTakeProfit())) { |
| | | placeExcessTakeProfit(posSize, false); |
| | | } else if (GateConfig.EXCESS_TP_DISPERSED.equals(config.getPlaceExcessTakeProfit())) { |
| | | placeDispersedTakeProfit(posSize, false, 0); |
| | | } |
| | | placeBaseTakeProfit(posSize, false, 0); |
| | | log.info("[Gate] 生成空仓止盈止损完成, 仓位:{}张", posSize); |
| | | }); |
| | | } |
| | | |
| | | /** |
| | | * 多单平仓:市价平掉多仓 → 撤多仓所有挂单并更新 GridElement → 交由价格驱动(onKline→processGrid)重新入场。 |
| | | */ |
| | | public void closeLongPosition() { |
| | | submitManualTask(() -> closePositionByMode(Position.ModeEnum.DUAL_LONG, true)); |
| | | } |
| | | |
| | | /** |
| | | * 空单平仓:市价平掉空仓 → 撤空仓所有挂单并更新 GridElement → 交由价格驱动(onKline→processGrid)重新入场。 |
| | | */ |
| | | public void closeShortPosition() { |
| | | submitManualTask(() -> closePositionByMode(Position.ModeEnum.DUAL_SHORT, false)); |
| | | } |
| | | |
| | | /** |
| | | * 统一提交手动操作任务。策略停止(executor 已关闭)时直接忽略,避免 RejectedExecutionException。 |
| | | */ |
| | | private void submitManualTask(Runnable task) { |
| | | if (state == StrategyState.STOPPED) { |
| | | log.warn("[Gate] 策略已停止,忽略手动操作"); |
| | | return; |
| | | } |
| | | executor.submitTask(task); |
| | | } |
| | | |
| | | /** |
| | | * 按持仓模式市价平仓(reduceOnly + IOC),随后撤该方向所有挂单(止盈/止损/入场单)、 |
| | | * 更新 GridElement,并清空 active 与持仓量标记,让价格驱动在下一根 K 线重新挂入场单。 |
| | | * |
| | | * @param mode 持仓模式(DUAL_LONG / DUAL_SHORT) |
| | | * @param isLong true=多仓,false=空仓 |
| | | */ |
| | | private void closePositionByMode(Position.ModeEnum mode, boolean isLong) { |
| | | String sideLabel = isLong ? "多" : "空"; |
| | | // 1. 市价平掉对应方向仓位(价格保护拒绝时重试) |
| | | try { |
| | | FuturesOrder closeOrder = new FuturesOrder(); |
| | | closeOrder.setContract(contract); |
| | | closeOrder.setSize(negateQuantity(quantity)); |
| | | closeOrder.setPrice("0"); |
| | | closeOrder.setTif(FuturesOrder.TifEnum.IOC); |
| | | closeOrder.setReduceOnly(true); |
| | | closeOrder.setText("t-grid-close-long"); |
| | | FuturesOrder result = futuresApi.createFuturesOrder(SETTLE, closeOrder, null); |
| | | log.info("[GateGrid] 平多成功, id: {}, fillPrice: {}", result.getId(), result.getFillPrice()); |
| | | Position pos = queryPosition(mode); |
| | | if (pos != null) { |
| | | String sizeStr = pos.getSize(); |
| | | long size = Long.parseLong(sizeStr); |
| | | if (size != 0) { |
| | | Position.ModeEnum posMode = pos.getMode(); |
| | | FuturesOrder closeOrder = new FuturesOrder(); |
| | | closeOrder.setContract(config.getContract()); |
| | | closeOrder.setPrice("0"); |
| | | closeOrder.setTif(FuturesOrder.TifEnum.IOC); |
| | | closeOrder.setReduceOnly(true); |
| | | if (posMode != null && posMode.getValue() != null && posMode.getValue().contains("dual")) { |
| | | closeOrder.setSize("0"); |
| | | closeOrder.setClose(false); |
| | | closeOrder.setAutoSize(size > 0 ? FuturesOrder.AutoSizeEnum.LONG : FuturesOrder.AutoSizeEnum.SHORT); |
| | | } else { |
| | | closeOrder.setSize(size > 0 ? String.valueOf(-size) : String.valueOf(Math.abs(size))); |
| | | } |
| | | closeOrder.setText("t-grid-manual-close"); |
| | | for (int attempt = 1; attempt <= CLOSE_POSITION_RETRY_MAX_ATTEMPTS; attempt++) { |
| | | try { |
| | | futuresApi.createFuturesOrder(SETTLE, closeOrder, null); |
| | | log.info("[Gate] 手动平{}仓, size:{}, mode:{}", sideLabel, sizeStr, posMode); |
| | | break; |
| | | } catch (Exception e) { |
| | | if (attempt < CLOSE_POSITION_RETRY_MAX_ATTEMPTS && isPriceProtectionRejected(e)) { |
| | | log.warn("[Gate] 手动平{}仓遭遇价格保护, 第{}次失败, {}ms后重试: {}", |
| | | sideLabel, attempt, CLOSE_POSITION_RETRY_DELAY_MS, e.getMessage()); |
| | | try { |
| | | Thread.sleep(CLOSE_POSITION_RETRY_DELAY_MS); |
| | | } catch (InterruptedException ie) { |
| | | Thread.currentThread().interrupt(); |
| | | break; |
| | | } |
| | | } else { |
| | | throw e; |
| | | } |
| | | } |
| | | } |
| | | } |
| | | } |
| | | } catch (Exception e) { |
| | | log.error("[GateGrid] 平多失败", e); |
| | | log.warn("[Gate] 手动平{}仓失败", sideLabel, e); |
| | | } |
| | | longEntryPrice = null; |
| | | longOrderId = null; |
| | | cancelTpSl(longTpOrderId); |
| | | cancelTpSl(longSlOrderId); |
| | | longTpOrderId = null; |
| | | longSlOrderId = null; |
| | | |
| | | // 2. 撤该方向所有挂单 + 更新 GridElement |
| | | if (isLong) { |
| | | cancelAllLongTakeProfitsAndStopLosses(); |
| | | cancelAllLongEntryOrders(); |
| | | longActive = false; |
| | | longPositionSize = BigDecimal.ZERO; |
| | | } else { |
| | | cancelAllShortTakeProfitsAndStopLosses(); |
| | | cancelAllShortEntryOrders(); |
| | | shortActive = false; |
| | | shortPositionSize = BigDecimal.ZERO; |
| | | } |
| | | log.info("[Gate] {}仓已平仓并清理挂单,交由价格驱动重新入场", sideLabel); |
| | | } |
| | | |
| | | private void closeShortPosition() { |
| | | if (shortEntryPrice == null) { |
| | | /** |
| | | * 判断异常是否为市价单价格保护拒绝({@code MARKET_PRICE_TOO_DEVIATED})。 |
| | | * |
| | | * <p>该错误是交易所对市价单的保护:当盘口价相对最新价偏离超过滑点比率时拒绝下单, |
| | | * 属于瞬时行情错误,等待行情稳定后重试通常可成功。 |
| | | */ |
| | | private boolean isPriceProtectionRejected(Exception e) { |
| | | if (e instanceof GateApiException) { |
| | | String label = ((GateApiException) e).getErrorLabel(); |
| | | return label != null && label.contains("PRICE_TOO_DEVIATED"); |
| | | } |
| | | return false; |
| | | } |
| | | |
| | | /** |
| | | * 取消所有多仓入场单(条件开仓单),并清空 GridElement 的多仓挂单记录。 |
| | | */ |
| | | private void cancelAllLongEntryOrders() { |
| | | for (GridElement e : config.getGridElements()) { |
| | | for (String oid : new ArrayList<>(e.getLongOrderIds())) { |
| | | executor.cancelConditionalOrder(oid, o -> {}); |
| | | } |
| | | e.getLongTraderParam().setEntryOrderId(null); |
| | | e.getLongTraderParam().setEntryOrderPlaced(false); |
| | | e.setHasLongOrder(false); |
| | | e.clearLongOrderIds(); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 已提交取消所有多仓入场单"); |
| | | } |
| | | |
| | | /** |
| | | * 取消所有空仓入场单(条件开仓单),并清空 GridElement 的空仓挂单记录。 |
| | | */ |
| | | private void cancelAllShortEntryOrders() { |
| | | for (GridElement e : config.getGridElements()) { |
| | | for (String oid : new ArrayList<>(e.getShortOrderIds())) { |
| | | executor.cancelConditionalOrder(oid, o -> {}); |
| | | } |
| | | e.getShortTraderParam().setEntryOrderId(null); |
| | | e.getShortTraderParam().setEntryOrderPlaced(false); |
| | | e.setHasShortOrder(false); |
| | | e.clearShortOrderIds(); |
| | | } |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 已提交取消所有空仓入场单"); |
| | | } |
| | | |
| | | // ========== 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; |
| | | } |
| | | try { |
| | | FuturesOrder closeOrder = new FuturesOrder(); |
| | | closeOrder.setContract(contract); |
| | | closeOrder.setSize(quantity); |
| | | closeOrder.setPrice("0"); |
| | | closeOrder.setTif(FuturesOrder.TifEnum.IOC); |
| | | closeOrder.setReduceOnly(true); |
| | | closeOrder.setText("t-grid-close-short"); |
| | | FuturesOrder result = futuresApi.createFuturesOrder(SETTLE, closeOrder, null); |
| | | log.info("[GateGrid] 平空成功, id: {}, fillPrice: {}", result.getId(), result.getFillPrice()); |
| | | } catch (Exception e) { |
| | | log.error("[GateGrid] 平空失败", e); |
| | | |
| | | // 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; |
| | | } |
| | | shortEntryPrice = null; |
| | | shortOrderId = null; |
| | | cancelTpSl(shortTpOrderId); |
| | | cancelTpSl(shortSlOrderId); |
| | | shortTpOrderId = null; |
| | | shortSlOrderId = null; |
| | | 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); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | private void closeAllPositions() { |
| | | closeLongPosition(); |
| | | closeShortPosition(); |
| | | } |
| | | |
| | | private void printGridInfo() { |
| | | BigDecimal longTp = BigDecimal.ZERO; |
| | | BigDecimal longSl = BigDecimal.ZERO; |
| | | BigDecimal shortTp = BigDecimal.ZERO; |
| | | BigDecimal shortSl = BigDecimal.ZERO; |
| | | if (longEntryPrice != null) { |
| | | longTp = longEntryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP); |
| | | longSl = longEntryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP); |
| | | /** |
| | | * 分散止盈:把超出基础仓位的部分,从入场网格下一格开始逐格挂止盈单, |
| | | * 一直挂到对手盘止损位(包含止损位那一格)。 |
| | | * |
| | | * <p>数量分配:每个网格至少挂 1 张;当 excessQty < 网格数时,张数不够则从起点逐格各挂 1 张、 |
| | | * 挂满 excessQty 张即停止;当 excessQty ≥ 网格数时,每格 excessQty÷n,余数堆最后一格(即止损位那一格)。 |
| | | * |
| | | * <p>方向:多仓成交向价格更高方向(id 递增)铺到空仓第一止损位; |
| | | * 空仓成交向价格更低方向(id 递减)铺到多仓第一止损位。 |
| | | * |
| | | * @param posSize 当前总持仓张数 |
| | | * @param isLong true=多仓成交,false=空仓成交 |
| | | * @param entryGridId 入场网格 ID |
| | | */ |
| | | private void placeDispersedTakeProfit(int posSize, boolean isLong, int entryGridId) { |
| | | int baseQty = Integer.parseInt(config.getBaseQuantity()); |
| | | int excessQty = posSize - baseQty; |
| | | if (excessQty <= 0) { |
| | | return; |
| | | } |
| | | if (shortEntryPrice != null) { |
| | | shortTp = shortEntryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP); |
| | | shortSl = shortEntryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP); |
| | | |
| | | GridElement endElem = isLong ? findFirstShortStopLossGrid() : findFirstLongStopLossGrid(); |
| | | if (endElem == null) { |
| | | log.warn("[Gate] {}分散止盈失败:未找到对手盘止损位", isLong ? "多仓" : "空仓"); |
| | | return; |
| | | } |
| | | System.out.println("========== Gate 网格开仓 =========="); |
| | | System.out.println("合约: " + contract + " 杠杆: " + leverage + "x " + marginMode); |
| | | System.out.println("多头入场: " + longEntryPrice + " TP: " + longTp + " SL: " + longSl); |
| | | System.out.println("空头入场: " + shortEntryPrice + " TP: " + shortTp + " SL: " + shortSl); |
| | | System.out.println("数量: " + quantity + " 网格间距: " + gridRate.multiply(new BigDecimal("100")) + "%"); |
| | | System.out.println("整体止盈: " + overallTp + " USDT 最大循环: " + maxCycles); |
| | | System.out.println("最大亏损: " + maxLoss + " USDT"); |
| | | System.out.println("====================================="); |
| | | } |
| | | int dir = isLong ? 1 : -1; |
| | | int startId = entryGridId + dir; |
| | | // 分配范围到止损位那一格截止(包含止损位) |
| | | int endId = endElem.getId(); |
| | | |
| | | private String negateQuantity(String qty) { |
| | | if (qty.startsWith("-")) { |
| | | return qty.substring(1); |
| | | // 终点必须在起点前进方向上,否则退化为集中止盈(全部挂对手盘止损位) |
| | | boolean valid = isLong ? (endId >= startId) : (endId <= startId); |
| | | if (!valid) { |
| | | placeExcessTakeProfit(posSize, isLong); |
| | | return; |
| | | } |
| | | return "-" + qty; |
| | | } |
| | | |
| | | private BigDecimal safeDecimal(String val) { |
| | | if (val == null || val.isEmpty()) { |
| | | return BigDecimal.ZERO; |
| | | // 收集区间内全部网格(含两端) |
| | | List<GridElement> gridList = new ArrayList<>(); |
| | | int id = startId; |
| | | while (true) { |
| | | GridElement e = GridElement.findById(id); |
| | | if (e == null) { |
| | | break; |
| | | } |
| | | gridList.add(e); |
| | | if (id == endId) { |
| | | break; |
| | | } |
| | | id += dir; |
| | | if (gridList.size() > config.getGridQueueSize() * 2 + 4) { |
| | | break; |
| | | } |
| | | } |
| | | return new BigDecimal(val); |
| | | if (gridList.isEmpty() || gridList.get(gridList.size() - 1).getId() != endId) { |
| | | // 未能铺满到终点(网格缺失),退化为集中止盈 |
| | | placeExcessTakeProfit(posSize, isLong); |
| | | return; |
| | | } |
| | | |
| | | int n = gridList.size(); |
| | | int perGrid = excessQty / n; |
| | | int remainder = excessQty % n; |
| | | |
| | | for (int i = 0; i < n; i++) { |
| | | int qty; |
| | | if (excessQty >= n) { |
| | | // 超额仓位 ≥ 网格数:每格 perGrid,余数堆最后一格(即止损位那一格) |
| | | qty = perGrid; |
| | | if (i == n - 1) { |
| | | qty += remainder; |
| | | } |
| | | } else { |
| | | // 超额仓位 < 网格数:前 excessQty 个网格各挂 1 张,其余不挂(避免退化为合并止盈) |
| | | qty = (i < excessQty) ? 1 : 0; |
| | | } |
| | | if (qty <= 0) { |
| | | continue; |
| | | } |
| | | final GridElement elem = gridList.get(i); |
| | | final int gid = elem.getId(); |
| | | final BigDecimal triggerPrice = elem.getGridPrice(); |
| | | final String size = isLong ? negate(String.valueOf(qty)) : String.valueOf(qty); |
| | | final String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT; |
| | | final FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1 |
| | | : FuturesPriceTrigger.RuleEnum.NUMBER_2; |
| | | executor.placeTakeProfit(triggerPrice, rule, orderType, size, |
| | | profitId -> { |
| | | if (isLong) { |
| | | longTakeProfitTraderIdParam(elem, profitId, true); |
| | | } else { |
| | | shortTakeProfitTraderIdParam(elem, profitId, true); |
| | | } |
| | | log.info("[Gate] 分散止盈 {} gridId:{}, 触发价:{}, 数量:{}, tpId:{}", |
| | | isLong ? "多仓" : "空仓", gid, triggerPrice, size, profitId); |
| | | } |
| | | ); |
| | | } |
| | | } |
| | | |
| | | public BigDecimal getLastClosePrice() { |
| | | return lastClosePrice; |
| | | /** |
| | | * 基础止盈:对基础仓位(baseQuantity)也挂止盈单,与超额止盈并行。 |
| | | * |
| | | * <p>规则:从入场网格下一格(entryGridId ± 1)开始,每格 baseTakeProfitPerGrid 张, |
| | | * 最多挂 baseTakeProfitGridCount 格,挂到止损位前 2 格截止(即对手盘仓位线)。 |
| | | * |
| | | * <p>边界:累计张数到 min(baseQuantity, 当前持仓) 即停(张数不足则最后一格挂剩余 = "挂几个算几个"); |
| | | * 网格不足时挂到停止位置结束。 |
| | | * |
| | | * @param posSize 当前总持仓张数 |
| | | * @param isLong true=多仓止盈,false=空仓止盈 |
| | | * @param entryGridId 入场网格 ID |
| | | */ |
| | | private void placeBaseTakeProfit(int posSize, boolean isLong, int entryGridId) { |
| | | BigDecimal perGrid = config.getBaseTakeProfitPerGrid(); |
| | | int gridCount = config.getBaseTakeProfitGridCount(); |
| | | if (perGrid == null || perGrid.compareTo(BigDecimal.ZERO) <= 0 || gridCount <= 0) { |
| | | return; |
| | | } |
| | | int baseQty = Integer.parseInt(config.getBaseQuantity()); |
| | | if (baseQty <= 0) { |
| | | return; |
| | | } |
| | | // 张数硬上限 = min(基础张数, 当前持仓),避免持仓不足 baseQuantity 时超挂 |
| | | int maxQty = Math.min(baseQty, posSize); |
| | | if (maxQty <= 0) { |
| | | return; |
| | | } |
| | | |
| | | GridElement endElem = isLong ? findFirstShortStopLossGrid() : findFirstLongStopLossGrid(); |
| | | if (endElem == null) { |
| | | log.warn("[Gate] {}基础止盈失败:未找到对手盘止损位", isLong ? "多仓" : "空仓"); |
| | | return; |
| | | } |
| | | int dir = isLong ? 1 : -1; |
| | | int startId = entryGridId + dir; |
| | | // 分配范围到止损位前 2 格截止(即对手盘仓位线) |
| | | int endId = endElem.getId() - 2 * dir; |
| | | |
| | | BigDecimal remaining = BigDecimal.valueOf(maxQty); |
| | | int placed = 0; |
| | | int id = startId; |
| | | while (placed < gridCount && remaining.compareTo(BigDecimal.ZERO) > 0) { |
| | | if (isLong ? id > endId : id < endId) { |
| | | break; |
| | | } |
| | | GridElement elem = GridElement.findById(id); |
| | | if (elem == null) { |
| | | break; |
| | | } |
| | | BigDecimal qty = perGrid.min(remaining); |
| | | final GridElement fe = elem; |
| | | final int gid = id; |
| | | final BigDecimal triggerPrice = elem.getGridPrice(); |
| | | final String size = isLong ? negate(qty.toPlainString()) : qty.toPlainString(); |
| | | final String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT; |
| | | final FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1 |
| | | : FuturesPriceTrigger.RuleEnum.NUMBER_2; |
| | | executor.placeTakeProfit(triggerPrice, rule, orderType, size, |
| | | profitId -> { |
| | | if (isLong) { |
| | | longTakeProfitTraderIdParam(fe, profitId, true); |
| | | } else { |
| | | shortTakeProfitTraderIdParam(fe, profitId, true); |
| | | } |
| | | log.info("[Gate] 基础止盈 {} gridId:{}, 触发价:{}, 数量:{}, tpId:{}", |
| | | isLong ? "多仓" : "空仓", gid, triggerPrice, size, profitId); |
| | | } |
| | | ); |
| | | remaining = remaining.subtract(qty); |
| | | placed++; |
| | | id += dir; |
| | | } |
| | | log.info("[Gate] 基础止盈 {} 挂单完成, 入场gridId:{}, 挂{}格, 剩余{}张", |
| | | isLong ? "多仓" : "空仓", entryGridId, placed, remaining); |
| | | } |
| | | |
| | | public boolean isStrategyActive() { |
| | | return strategyActive; |
| | | /** |
| | | * 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); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | public BigDecimal getTotalProfit() { |
| | | return totalProfit; |
| | | } |
| | | |
| | | public int getCurrentCycle() { |
| | | return currentCycle; |
| | | /** |
| | | * 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); |
| | | } |
| | | ); |
| | | } |
| | | } |