| | |
| | | //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) { |
| | | state = StrategyState.OPENING; |
| | | log.info("[Gate] 首根K线到达,开基底仓位..."); |
| | | executor.openLong(config.getQuantity(), (orderId) -> { |
| | | log.info("[Gate] 首根K线到达,开基底仓位 多空各{}张...", config.getBaseQuantity()); |
| | | executor.openLong(config.getBaseQuantity(), (orderId) -> { |
| | | TraderParam baseLongTp = TraderParam.builder() |
| | | .entryOrderId(orderId) |
| | | .build(); |
| | | config.setBaseLongTraderParam(baseLongTp); |
| | | }, null); |
| | | executor.openShort(negate(config.getQuantity()), (orderId) -> { |
| | | executor.openShort(negate(config.getBaseQuantity()), (orderId) -> { |
| | | TraderParam baseShortTp = TraderParam.builder() |
| | | .entryOrderId(orderId) |
| | | .build(); |
| | |
| | | if (state != StrategyState.ACTIVE) { |
| | | return; |
| | | } |
| | | processLongGrid(closePrice); |
| | | processShortGrid(closePrice); |
| | | checkProfitAndReset(); |
| | | } |
| | | |
| | | // ---- 仓位推送回调 ---- |
| | |
| | | checkLongEntryOrderToCancel(); |
| | | } |
| | | } else { |
| | | if (longActive && state == StrategyState.ACTIVE) { |
| | | log.info("[Gate] 多仓持仓归零,重置策略"); |
| | | handlePositionZeroAndReset("多仓"); |
| | | } |
| | | longActive = false; |
| | | longPositionSize = BigDecimal.ZERO; |
| | | } |
| | |
| | | checkLongEntryOrderToCancel(); |
| | | } |
| | | } else { |
| | | if (shortActive && state == StrategyState.ACTIVE) { |
| | | log.info("[Gate] 空仓持仓归零,重置策略"); |
| | | handlePositionZeroAndReset("空仓"); |
| | | } |
| | | shortActive = false; |
| | | shortPositionSize = BigDecimal.ZERO; |
| | | } |
| | |
| | | return; |
| | | } |
| | | |
| | | /** |
| | | * 匹配止盈单止盈 |
| | | */ |
| | | GridElement longStopLossElem = GridElement.findByLongStopLossOrderId(orderId); |
| | | if (longStopLossElem != null) { |
| | | handleLongStopLossTriggered(longStopLossElem); |
| | | return; |
| | | } |
| | | GridElement shortStopLossElem = GridElement.findByShortStopLossOrderId(orderId); |
| | | if (shortStopLossElem != null) { |
| | | handleShortStopLossTriggered(shortStopLossElem); |
| | | return; |
| | | } |
| | | |
| | | GridElement byShortTakeProfitOrderId = GridElement.findByShortTakeProfitOrderId(orderId); |
| | | if (byShortTakeProfitOrderId != null){ |
| | | shortTakeProfitTraderIdParam( |
| | |
| | | TPonUserTradeLongEntry(byLongTakeProfitOrderId); |
| | | } |
| | | |
| | | /** |
| | | * 匹配挂单 |
| | | */ |
| | | |
| | | GridElement shortGridElement = GridElement.findByShortOrderId(orderId); |
| | | if (shortGridElement != null) { |
| | | if (shortGridElement.isHasShortOrder() && !tradeId.equals("0")){ |
| | | |
| | | onUserTradeShortEntry(shortGridElement); |
| | | if (shortGridElement.getShortTakeProfitOrderId() == null){ |
| | | BigDecimal shortTp = shortGridElement.getShortTraderParam().getTakeProfitPrice(); |
| | | if (shortTp != null) { |
| | | executor.placeTakeProfit(shortTp, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_SHORT, |
| | | config.getQuantity(), |
| | | (profitId) -> { |
| | | shortTakeProfitTraderIdParam( |
| | | shortGridElement, |
| | | profitId, |
| | | true |
| | | ); |
| | | }); |
| | | log.info("[Gate] 空单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, shortTp, config.getQuantity()); |
| | | } |
| | | } |
| | | int filledQty = Integer.parseInt(shortGridElement.getShortTraderParam().getQuantity()); |
| | | shortEntryTraderIdParam(shortGridElement, null, false); |
| | | extendShortStopLoss(filledQty); |
| | | log.info("[Gate] 空单成交 gridId:{}, qty:{}, 追挂止损", shortGridElement.getId(), filledQty); |
| | | } |
| | | } |
| | | GridElement longGridElement = GridElement.findByLongOrderId(orderId); |
| | | if (longGridElement != null) { |
| | | if (longGridElement.isHasLongOrder() && !tradeId.equals("0")){ |
| | | |
| | | onUserTradeLongEntry(longGridElement); |
| | | if (longGridElement.getLongTakeProfitOrderId() == null){ |
| | | BigDecimal longTp = longGridElement.getLongTraderParam().getTakeProfitPrice(); |
| | | if (longTp != null) { |
| | | executor.placeTakeProfit(longTp, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_LONG, |
| | | negate(config.getQuantity()), |
| | | (profitId) -> { |
| | | longTakeProfitTraderIdParam( |
| | | longGridElement, |
| | | profitId, |
| | | true |
| | | ); |
| | | }); |
| | | log.info("[Gate] 多单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, longTp, negate(config.getQuantity())); |
| | | } |
| | | } |
| | | int filledQty = Integer.parseInt(longGridElement.getLongTraderParam().getQuantity()); |
| | | longEntryTraderIdParam(longGridElement, null, false); |
| | | extendLongStopLoss(filledQty); |
| | | log.info("[Gate] 多单成交 gridId:{}, qty:{}, 追挂止损", longGridElement.getId(), filledQty); |
| | | } |
| | | } |
| | | } |
| | |
| | | */ |
| | | private void tryGenerateQueues() { |
| | | if (baseLongOpened && baseShortOpened) { |
| | | //初始化空仓队列 |
| | | generateShortQueue(); |
| | | //初始化多仓队列 |
| | | generateLongQueue(); |
| | | //初始化网格数据 |
| | | updateGridElements(); |
| | | |
| | | /** |
| | | * 挂初始位置多空仓条件单 |
| | | * 0位置的多单止盈 |
| | | * 0位置的空单止盈 |
| | | */ |
| | | GridElement baseGridElement = GridElement.findById(0); |
| | | TraderParam baseLongTraderParam = config.getBaseLongTraderParam(); |
| | | baseGridElement.setLongOrderId(baseLongTraderParam.getEntryOrderId()); |
| | | baseGridElement.setHasLongOrder(true); |
| | | //0位置的网格的多单止盈 |
| | | BigDecimal upTakeProfitPrice = baseGridElement.getLongTraderParam().getTakeProfitPrice(); |
| | | executor.placeTakeProfit( |
| | | upTakeProfitPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_LONG, |
| | | negate(config.getQuantity()), |
| | | profitId -> { |
| | | longTakeProfitTraderIdParam( |
| | | baseGridElement, |
| | | profitId, |
| | | true |
| | | ); |
| | | } |
| | | ); |
| | | //0位置的网格的空单止盈 |
| | | TraderParam baseShortTraderParam = config.getBaseShortTraderParam(); |
| | | baseGridElement.setShortOrderId(baseShortTraderParam.getEntryOrderId()); |
| | | baseGridElement.setHasShortOrder(true); |
| | | BigDecimal downTakeProfitPrice = baseGridElement.getShortTraderParam().getTakeProfitPrice(); |
| | | executor.placeTakeProfit( |
| | | downTakeProfitPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_SHORT, |
| | | config.getQuantity(), |
| | | profitId -> { |
| | | shortTakeProfitTraderIdParam( |
| | | baseGridElement, |
| | | profitId, |
| | | true |
| | | ); |
| | | } |
| | | ); |
| | | |
| | | /** |
| | | * 挂初始位置的up位置的多单 |
| | | * 挂初始位置的down位置的空单 |
| | | */ |
| | | Integer upId = baseGridElement.getUpId(); |
| | | GridElement upGridElementOne = GridElement.findById(upId); |
| | | BigDecimal longTp = upGridElementOne.getGridPrice(); |
| | | placeEntryOrderWithPreFlag(upGridElementOne, true, |
| | | longTp, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | config.getQuantity()); |
| | | Integer downId = baseGridElement.getDownId(); |
| | | GridElement downGridElementOne = GridElement.findById(downId); |
| | | BigDecimal shortTp = downGridElementOne.getGridPrice(); |
| | | placeEntryOrderWithPreFlag(downGridElementOne, false, |
| | | shortTp, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | negate(config.getQuantity())); |
| | | for (int id = 2; id <= 11; id++) { |
| | | GridElement elem = GridElement.findById(id); |
| | | if (elem == null) { |
| | | continue; |
| | | } |
| | | BigDecimal triggerPrice = elem.getGridPrice(); |
| | | int finalId = id; |
| | | executor.placeTakeProfit( |
| | | triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_SHORT, |
| | | "1", |
| | | profitId -> { |
| | | elem.setShortStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | for (int id = -2; id >= -11; id--) { |
| | | GridElement elem = GridElement.findById(id); |
| | | if (elem == null) { |
| | | continue; |
| | | } |
| | | BigDecimal triggerPrice = elem.getGridPrice(); |
| | | int finalId = id; |
| | | executor.placeTakeProfit( |
| | | triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_LONG, |
| | | "-1", |
| | | profitId -> { |
| | | elem.setLongStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId); |
| | | } |
| | | ); |
| | | } |
| | | |
| | | log.info("[Gate] 止损单已全部挂完, 空仓止损: 2~11, 多仓止损: -2~-11"); |
| | | state = StrategyState.ACTIVE; |
| | | } |
| | | } |
| | |
| | | } |
| | | } |
| | | |
| | | private void handleLongStopLossTriggered(GridElement gridElement) { |
| | | int gridId = gridElement.getId(); |
| | | int N = Math.abs(gridId); |
| | | gridElement.setLongStopLossOrderId(null); |
| | | log.info("[Gate] 多仓止损触发 gridId:{}, 开始追单", gridId); |
| | | |
| | | int newEntryGridId = -(N - 1); |
| | | int entryQty = N - 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; |
| | | } |
| | | |
| | | if (N > 2) { |
| | | int cancelGridId = -(N - 2); |
| | | GridElement cancelGrid = GridElement.findById(cancelGridId); |
| | | if (cancelGrid != null && cancelGrid.isHasLongOrder()) { |
| | | executor.cancelConditionalOrder(cancelGrid.getLongOrderId(), oid -> { |
| | | longEntryTraderIdParam(cancelGrid, null, false); |
| | | log.info("[Gate] 多仓止损触发, 取消gridId:{}的多单", cancelGridId); |
| | | }); |
| | | } |
| | | } |
| | | |
| | | String size = String.valueOf(entryQty); |
| | | BigDecimal triggerPrice = newEntryGrid.getGridPrice(); |
| | | log.info("[Gate] 多仓止损触发 gridId:{}, 在gridId:{}挂{}张多单", gridId, newEntryGridId, entryQty); |
| | | newEntryGrid.getLongTraderParam().setQuantity(size); |
| | | placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, size); |
| | | } |
| | | |
| | | private void handleShortStopLossTriggered(GridElement gridElement) { |
| | | int gridId = gridElement.getId(); |
| | | int N = gridId; |
| | | gridElement.setShortStopLossOrderId(null); |
| | | log.info("[Gate] 空仓止损触发 gridId:{}, 开始追单", gridId); |
| | | |
| | | int newEntryGridId = N - 1; |
| | | int entryQty = N - 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; |
| | | } |
| | | |
| | | if (N > 2) { |
| | | int cancelGridId = N - 2; |
| | | GridElement cancelGrid = GridElement.findById(cancelGridId); |
| | | if (cancelGrid != null && cancelGrid.isHasShortOrder()) { |
| | | executor.cancelConditionalOrder(cancelGrid.getShortOrderId(), oid -> { |
| | | shortEntryTraderIdParam(cancelGrid, null, false); |
| | | log.info("[Gate] 空仓止损触发, 取消gridId:{}的空单", cancelGridId); |
| | | }); |
| | | } |
| | | } |
| | | |
| | | String size = String.valueOf(entryQty); |
| | | BigDecimal triggerPrice = newEntryGrid.getGridPrice(); |
| | | log.info("[Gate] 空仓止损触发 gridId:{}, 在gridId:{}挂{}张空单", gridId, newEntryGridId, entryQty); |
| | | newEntryGrid.getShortTraderParam().setQuantity(size); |
| | | placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, negate(size)); |
| | | } |
| | | |
| | | private void extendLongStopLoss(int filledQty) { |
| | | int furthestSlId = 0; |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (e.getLongStopLossOrderId() != null && e.getId() < furthestSlId) { |
| | | furthestSlId = e.getId(); |
| | | } |
| | | } |
| | | if (furthestSlId == 0) { |
| | | furthestSlId = -11; |
| | | } |
| | | log.info("[Gate] 多仓追挂止损, 当前最远止损gridId:{}, 追加{}张", furthestSlId, filledQty); |
| | | for (int i = 0; i < filledQty; i++) { |
| | | int newSlId = furthestSlId - i - 1; |
| | | GridElement elem = GridElement.findById(newSlId); |
| | | if (elem == null) { |
| | | continue; |
| | | } |
| | | BigDecimal triggerPrice = elem.getGridPrice(); |
| | | int finalSlId = newSlId; |
| | | executor.placeTakeProfit( |
| | | triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_2, |
| | | ORDER_TYPE_CLOSE_LONG, |
| | | "-1", |
| | | profitId -> { |
| | | elem.setLongStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 多仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId); |
| | | } |
| | | ); |
| | | } |
| | | } |
| | | |
| | | private void extendShortStopLoss(int filledQty) { |
| | | int furthestSlId = 0; |
| | | for (GridElement e : config.getGridElements()) { |
| | | if (e.getShortStopLossOrderId() != null && e.getId() > furthestSlId) { |
| | | furthestSlId = e.getId(); |
| | | } |
| | | } |
| | | if (furthestSlId == 0) { |
| | | furthestSlId = 11; |
| | | } |
| | | log.info("[Gate] 空仓追挂止损, 当前最远止损gridId:{}, 追加{}张", furthestSlId, filledQty); |
| | | for (int i = 0; i < filledQty; i++) { |
| | | int newSlId = furthestSlId + i + 1; |
| | | GridElement elem = GridElement.findById(newSlId); |
| | | if (elem == null) { |
| | | continue; |
| | | } |
| | | BigDecimal triggerPrice = elem.getGridPrice(); |
| | | int finalSlId = newSlId; |
| | | executor.placeTakeProfit( |
| | | triggerPrice, |
| | | FuturesPriceTrigger.RuleEnum.NUMBER_1, |
| | | ORDER_TYPE_CLOSE_SHORT, |
| | | "1", |
| | | profitId -> { |
| | | elem.setShortStopLossOrderId(profitId); |
| | | GridElement.refreshIndices(); |
| | | log.info("[Gate] 空仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId); |
| | | } |
| | | ); |
| | | } |
| | | } |
| | | |
| | | private void checkProfitAndReset() { |
| | | try { |
| | | FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE); |
| | | BigDecimal unrealisedPnl = new BigDecimal(account.getCrossUnrealisedPnl()); |
| | | BigDecimal available = new BigDecimal(account.getCrossAvailable()); |
| | | BigDecimal totalEquity = unrealisedPnl.add(available); |
| | | BigDecimal target = initialPrincipal.add(config.getExpectedProfit()); |
| | | log.info("[Gate] 盈亏检查 cross_unrealised_pnl:{}, cross_available:{}, 合计:{}, 目标:{}", |
| | | unrealisedPnl, available, totalEquity, target); |
| | | if (totalEquity.compareTo(target) > 0) { |
| | | log.info("[Gate] 盈亏达标({}>{}),重置策略", totalEquity, target); |
| | | closeExistingPositions(); |
| | | futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract()); |
| | | startGrid(); |
| | | } |
| | | } catch (Exception e) { |
| | | log.warn("[Gate] 盈亏检查失败", e); |
| | | } |
| | | } |
| | | |
| | | private void handlePositionZeroAndReset(String direction) { |
| | | try { |
| | | futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract()); |
| | | } catch (Exception e) { |
| | | log.warn("[Gate] {}持仓归零后取消条件单失败", direction, e); |
| | | } |
| | | closeExistingPositions(); |
| | | startGrid(); |
| | | } |
| | | |
| | | // ---- 保证金安全阀 ---- |
| | | |
| | | /** |