| | |
| | | // placeExcessTakeProfit(posSize, false); |
| | | log.info("[Gate] 空单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize); |
| | | |
| | | |
| | | |
| | | checkShortStopLongProfit(accumulatedShortLossCount, shortGridElement.getId() + 2); |
| | | |
| | | } |
| | | } |
| | | GridElement longGridElement = GridElement.findByLongOrderId(orderId); |
| | |
| | | } |
| | | longGridElement.setExtendStopLossInProgress(true); |
| | | |
| | | accumulatedLongLossCount = 0; |
| | | lastLongStopLossGridId = Integer.MAX_VALUE; |
| | | // [Gate-需求2] 加仓后先撤多仓所有止盈+止损,再查交易所持仓后重挂 |
| | | cancelAllLongTakeProfitsAndStopLosses(); |
| | |
| | | // [Gate] 止盈挂单:超出基础仓位的部分,挂在空仓第一止损位 |
| | | // placeExcessTakeProfit(posSize, true); |
| | | log.info("[Gate] 多单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize); |
| | | |
| | | |
| | | checkLongStopShortProfit(accumulatedLongLossCount, longGridElement.getId() -2); |
| | | |
| | | } |
| | | } |
| | |
| | | } |
| | | |
| | | lastLongStopLossGridId = gridId; |
| | | accumulatedLongLossCount++; |
| | | log.info("[Gate] 多仓止损触发 gridId:{}, 止损次数:{}{}, 开始追单", |
| | | gridId, accumulatedLongLossCount, sameGrid ? "(同网格)" : ""); |
| | | int newEntryGridId = gridId + 1; |
| | |
| | | |
| | | } |
| | | |
| | | // ========== 止损触发操作表 ========== |
| | | /** |
| | | * value = int[2]: {对手满仓止盈%, 基础仓位阈值%} |
| | | * <ul> |
| | | * <li>[0] 对手满仓:挂对手仓位此%做止盈;0=不挂</li> |
| | | * <li>[1] 基础仓位阈值(占maxPos的%):对手/己方仓位超出此阈值部分做止盈;0=不挂</li> |
| | | * </ul> |
| | | */ |
| | | private static final Map<Integer, int[]> STOP_LOSS_RULES = new LinkedHashMap<>(); |
| | | |
| | | static { |
| | | // times {满仓%, 阈值%} |
| | | put(1, new int[]{0, 0}); |
| | | put(2, new int[]{0, 0}); |
| | | put(3, new int[]{30, 0}); |
| | | put(4, new int[]{0, 0}); |
| | | put(5, new int[]{0, 0}); |
| | | put(6, new int[]{40, 40}); |
| | | put(7, new int[]{0, 0}); |
| | | put(8, new int[]{0, 0}); |
| | | put(9, new int[]{50, 50}); |
| | | put(10, new int[]{0, 0}); |
| | | put(11, new int[]{0, 0}); |
| | | put(12, new int[]{55, 60}); |
| | | put(13, new int[]{0, 0}); |
| | | put(14, new int[]{0, 0}); |
| | | put(15, new int[]{60, 60}); |
| | | put(16, new int[]{0, 0}); |
| | | put(17, new int[]{0, 0}); |
| | | put(18, new int[]{65, 65}); |
| | | put(19, new int[]{0, 0}); |
| | | put(20, new int[]{0, 0}); |
| | | put(21, new int[]{70, 70}); |
| | | put(22, new int[]{0, 0}); |
| | | put(23, new int[]{0, 0}); |
| | | put(24, new int[]{75, 75}); |
| | | put(25, new int[]{0, 0}); |
| | | put(26, new int[]{0, 0}); |
| | | put(27, new int[]{80, 80}); |
| | | put(28, new int[]{0, 0}); |
| | | put(29, new int[]{0, 0}); |
| | | put(30, new int[]{85, 85}); |
| | | put(31, new int[]{0, 0}); |
| | | put(32, new int[]{0, 0}); |
| | | } |
| | | |
| | | private static void put(int times, int[] rule) { STOP_LOSS_RULES.put(times, rule); } |
| | | |
| | | private static int[] ruleOf(int times) { |
| | | int[] r = STOP_LOSS_RULES.get(times); |
| | | return r != null ? r : STOP_LOSS_RULES.get(32); |
| | | } |
| | | |
| | | /** |
| | | * 多仓止损触发后,查表处理对手盘(空仓)盈止 + 己方盈止 + 激活。 |
| | | */ |
| | | private void checkLongStopShortProfit(int times, int gridId) { |
| | | int[] r = ruleOf(times); |
| | | int maxPos = config.getMaxPositionSize(); |
| | | if (maxPos <= 0) { |
| | | return; |
| | | } |
| | | |
| | | int fullTpPct = r[0]; // 对手满仓 → 止盈% |
| | | int fullTpPctNum = maxPos * (100- fullTpPct)/ 100; |
| | | int thresholdPct = r[1]; // 基础仓位阈值% |
| | | int thresholdPosNum = maxPos * (100- thresholdPct)/ 100; |
| | | |
| | | // ---------- 对手盘(空仓)盈止 ---------- |
| | | int oppPos = Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()); |
| | | boolean isFullTp = oppPos > fullTpPctNum; |
| | | if (isFullTp) { |
| | | // 对手仓位超出阈值:超额整个挂一笔止盈,位置在触发格 - 1 |
| | | int excess = oppPos - fullTpPctNum; |
| | | GridElement tpElem = GridElement.findById(gridId); |
| | | if (tpElem != null) { |
| | | placeTakeProfitAtGrid(tpElem, false, excess, times); |
| | | } |
| | | } |
| | | |
| | | // ---------- 己方(多仓)盈止(≥6次) ---------- |
| | | if (times >= 6 && thresholdPct > 0) { |
| | | int selfPos = Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue()); |
| | | int excess = selfPos - thresholdPosNum; |
| | | if (excess > 0) { |
| | | int perOrderQty = maxPos * 5 / 100; |
| | | if (perOrderQty <= 0) { |
| | | perOrderQty = 1; |
| | | } |
| | | int totalOrders = excess / perOrderQty; |
| | | if (totalOrders <= 0) { |
| | | totalOrders = 1; |
| | | } |
| | | int entryGridId = 0; // 多仓建仓格 |
| | | for (int i = 0; i < totalOrders; i++) { |
| | | int tpGridId = entryGridId + 2 * (i + 1); // 朝盈利方向(向上)间隔2格 |
| | | GridElement tpElem = GridElement.findById(tpGridId); |
| | | if (tpElem == null) { |
| | | break; |
| | | } |
| | | placeTakeProfitAtGrid(tpElem, true, perOrderQty, times); |
| | | } |
| | | log.info("[Gate] 止损{}→己方多仓止盈, excess:{}, 挂{}单, 每单{}张", |
| | | times, excess, totalOrders, perOrderQty); |
| | | } |
| | | } |
| | | |
| | | } |
| | | |
| | | /** |
| | | * 空仓止损触发后,查表处理对手盘(多仓)盈止 + 己方盈止。 |
| | | */ |
| | | private void checkShortStopLongProfit(int times, int gridId) { |
| | | int[] r = ruleOf(times); |
| | | int maxPos = config.getMaxPositionSize(); |
| | | if (maxPos <= 0) { |
| | | return; |
| | | } |
| | | |
| | | int fullTpPct = r[0]; // 对手满仓 → 止盈% |
| | | int fullTpPctNum = maxPos * (100 - fullTpPct) / 100; |
| | | int thresholdPct = r[1]; // 基础仓位阈值% |
| | | int thresholdPosNum = maxPos * (100 - thresholdPct) / 100; |
| | | |
| | | // ---------- 对手盘(多仓)盈止 ---------- |
| | | int oppPos = Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue()); |
| | | boolean isFullTp = oppPos > fullTpPctNum; |
| | | if (isFullTp) { |
| | | // 对手仓位超出阈值:超额整个挂一笔止盈,位置在触发格 |
| | | int excess = oppPos - fullTpPctNum; |
| | | GridElement tpElem = GridElement.findById(gridId); |
| | | if (tpElem != null) { |
| | | placeTakeProfitAtGrid(tpElem, true, excess, times); |
| | | } |
| | | } |
| | | |
| | | // ---------- 己方(空仓)盈止(≥6次) ---------- |
| | | if (times >= 6 && thresholdPct > 0) { |
| | | int selfPos = Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()); |
| | | int excess = selfPos - thresholdPosNum; |
| | | if (excess > 0) { |
| | | int perOrderQty = maxPos * 5 / 100; |
| | | if (perOrderQty <= 0) { |
| | | perOrderQty = 1; |
| | | } |
| | | int totalOrders = excess / perOrderQty; |
| | | if (totalOrders <= 0) { |
| | | totalOrders = 1; |
| | | } |
| | | int entryGridId = 0; // 空仓建仓格 |
| | | for (int i = 0; i < totalOrders; i++) { |
| | | int tpGridId = entryGridId - 2 * (i + 1); // 朝盈利方向(向下)间隔2格 |
| | | GridElement tpElem = GridElement.findById(tpGridId); |
| | | if (tpElem == null) { |
| | | break; |
| | | } |
| | | placeTakeProfitAtGrid(tpElem, false, perOrderQty, times); |
| | | } |
| | | log.info("[Gate] 止损{}→己方空仓止盈, excess:{}, 挂{}单, 每单{}张", |
| | | times, excess, totalOrders, perOrderQty); |
| | | } |
| | | } |
| | | |
| | | } |
| | | |
| | | private void handleShortStopLossTriggered(GridElement gridElement, String orderId) { |
| | | gridElement.removeShortStopLossOrderId(orderId); |
| | | |
| | |
| | | return; |
| | | } |
| | | lastShortStopLossGridId = gridId; |
| | | accumulatedShortLossCount++; |
| | | log.info("[Gate] 空仓止损触发 gridId:{}, 止损次数:{}{}, 开始追单", |
| | | gridId, accumulatedShortLossCount, sameGrid ? "(同网格)" : ""); |
| | | int newEntryGridId = gridId - 1; |
| | |
| | | } |
| | | |
| | | /** |
| | | * 挂单成交后,将超出基础仓位的部分挂止盈单,挂在对向仓位的第一止损位上。 |
| | | * |
| | | * <p>遍历所有 GridElement,找到对向仓位第一个有止损单的网格作为止盈挂单位置。 |
| | | * |
| | | * <p>例:空仓成交后持仓 8 张,基础 4 张 → 超出 4 张, |
| | | * 找到多仓第一止损位(如 gridId=-2)→ 在该位置挂空仓止盈单。 |
| | | * |
| | | * @param posSize 当前总持仓张数 |
| | | * @param isLong true=多仓成交,false=空仓成交 |
| | | */ |
| | | private void placeExcessTakeProfit(int posSize, boolean isLong) { |
| | | int baseQty = Integer.parseInt(config.getBaseQuantity()); |
| | | int excessQty = posSize - baseQty; |
| | | if (excessQty <= 0) { |
| | | return; |
| | | } |
| | | |
| | | // 遍历找到对向仓位第一个有止损单的网格 |
| | | GridElement tpElem = isLong ? findFirstShortStopLossGrid() : findFirstLongStopLossGrid(); |
| | | if (tpElem == null) { |
| | | log.warn("[Gate] {}止盈挂单失败:未找到对向仓止损位", isLong ? "多仓" : "空仓"); |
| | | return; |
| | | } |
| | | int tpGridId = tpElem.getId(); |
| | | |
| | | BigDecimal triggerPrice = tpElem.getGridPrice(); |
| | | String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT; |
| | | // 多仓止盈:价格≥触发价时平仓(NUMBER_1);空仓止盈:价格≤触发价时平仓(NUMBER_2) |
| | | FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1 |
| | | : FuturesPriceTrigger.RuleEnum.NUMBER_2; |
| | | String size = isLong ? negate(String.valueOf(excessQty)) : String.valueOf(excessQty); |
| | | |
| | | // if (isLong && tpElem.getLongTakeProfitOrderId() != null) { |
| | | // executor.cancelConditionalOrder(tpElem.getLongTakeProfitOrderId(), oid -> { |
| | | // longTakeProfitTraderIdParam(tpElem, null, false); |
| | | // log.info("[Gate] 取消旧止盈, gridId:{}, orderId:{}", tpGridId, oid); |
| | | // }); |
| | | // } else if (!isLong && tpElem.getShortTakeProfitOrderId() != null) { |
| | | // executor.cancelConditionalOrder(tpElem.getShortTakeProfitOrderId(), oid -> { |
| | | // shortTakeProfitTraderIdParam(tpElem, null, false); |
| | | // log.info("[Gate] 取消旧止盈, gridId:{}, orderId:{}", tpGridId, oid); |
| | | // }); |
| | | // } |
| | | |
| | | String finalSize = size; |
| | | int finalTpGridId = tpGridId; |
| | | executor.placeTakeProfit(triggerPrice, rule, orderType, size, |
| | | profitId -> { |
| | | if (isLong) { |
| | | longTakeProfitTraderIdParam(tpElem, profitId, true); |
| | | } else { |
| | | shortTakeProfitTraderIdParam(tpElem, profitId, true); |
| | | } |
| | | log.info("[Gate] {}止盈挂单, gridId:{}, 触发价:{}, 数量:{}, takeProfitId:{}", |
| | | isLong ? "多仓" : "空仓", finalTpGridId, triggerPrice, finalSize, profitId); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | /** |
| | | * 找到有长仓止损单且离 0 最近的网格(第一个多仓止损位)。 |
| | | */ |
| | | private GridElement findFirstLongStopLossGrid() { |
| | | GridElement first = null; |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (!e.getLongStopLossOrderIds().isEmpty()) { |
| | | // 多仓止损在负数区,取 id 最大(最靠近 0)的 |
| | | if (first == null || e.getId() > first.getId()) { |
| | | first = e; |
| | | } |
| | | } |
| | | } |
| | | return first; |
| | | } |
| | | |
| | | /** |
| | | * 找到有空仓止损单且离 0 最近的网格(第一个空仓止损位)。 |
| | | */ |
| | | private GridElement findFirstShortStopLossGrid() { |
| | | GridElement first = null; |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (!e.getShortStopLossOrderIds().isEmpty()) { |
| | | // 空仓止损在正数区,取 id 最小(最靠近 0)的 |
| | | if (first == null || e.getId() < first.getId()) { |
| | | first = e; |
| | | } |
| | | } |
| | | } |
| | | return first; |
| | | } |
| | | |
| | | /** |
| | | * 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。 |
| | | */ |
| | |
| | | public StrategyState getState() { return state; } |
| | | /** 注入WS客户端,用于订阅状态检查 */ |
| | | public void setWsClient(GateKlineWebSocketClient wsClient) { this.wsClient = wsClient; } |
| | | |
| | | // ========== 止损查表辅助方法 ========== |
| | | |
| | | /** 找到第一个有多仓止损单的网格(首个匹配即返回) */ |
| | | private GridElement findFirstLongStopLossGrid() { |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (!e.getLongStopLossOrderIds().isEmpty()) return e; |
| | | } |
| | | return null; |
| | | } |
| | | |
| | | /** 找到第一个有空仓止损单的网格(首个匹配即返回) */ |
| | | private GridElement findFirstShortStopLossGrid() { |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (!e.getShortStopLossOrderIds().isEmpty()) return e; |
| | | } |
| | | return null; |
| | | } |
| | | |
| | | /** |
| | | * 在指定网格挂一笔对手止盈单(非满仓超额止盈,挂在止损触发位的下一格)。 |
| | | */ |
| | | private void placeTakeProfitAtGrid(GridElement tpElem, boolean isLong, int qty, int times) { |
| | | BigDecimal triggerPrice = tpElem.getGridPrice(); |
| | | String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT; |
| | | FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1 |
| | | : FuturesPriceTrigger.RuleEnum.NUMBER_2; |
| | | String size = isLong ? negate(String.valueOf(qty)) : String.valueOf(qty); |
| | | int gridId = tpElem.getId(); |
| | | executor.placeTakeProfit(triggerPrice, rule, orderType, size, |
| | | profitId -> { |
| | | if (isLong) { |
| | | longTakeProfitTraderIdParam(tpElem, profitId, true); |
| | | } else { |
| | | shortTakeProfitTraderIdParam(tpElem, profitId, true); |
| | | } |
| | | log.info("[Gate] 止损{}→对手超额止盈 gridId:{}, 量:{}, tpId:{}", times, gridId, qty, profitId); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | /** |
| | | * 挂对手盘止盈单:在对向仓位第一止损位挂止盈。 |
| | | * @param isLong true=挂多仓止盈(对空仓), false=挂空仓止盈(对多仓) |
| | | */ |
| | | private void placeOpponentTakeProfit(boolean isLong, int tpQty, int times, int gridId) { |
| | | GridElement tpElem = GridElement.findById(isLong ? gridId + 1 : gridId - 1); |
| | | if (tpElem == null) { |
| | | log.warn("[Gate] 对手止盈挂单失败:未找到止损位"); |
| | | return; |
| | | } |
| | | int tpGridId = tpElem.getId(); |
| | | BigDecimal triggerPrice = tpElem.getGridPrice(); |
| | | String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT; |
| | | FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1 |
| | | : FuturesPriceTrigger.RuleEnum.NUMBER_2; |
| | | String size = isLong ? negate(String.valueOf(tpQty)) : String.valueOf(tpQty); |
| | | executor.placeTakeProfit(triggerPrice, rule, orderType, size, |
| | | profitId -> { |
| | | if (isLong) longTakeProfitTraderIdParam(tpElem, profitId, true); |
| | | else shortTakeProfitTraderIdParam(tpElem, profitId, true); |
| | | log.info("[Gate] 止损次数{}→对手{}止盈 gridId:{}, 量:{}, tpId:{}", |
| | | times, isLong ? "多仓" : "空仓", tpGridId, size, profitId); |
| | | } |
| | | ); |
| | | } |
| | | } |