From 05c48c8c5fd2570ed078d99c2231e2cf7cf28a4f Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Tue, 09 Jun 2026 10:08:59 +0800
Subject: [PATCH] ``` feat(gateApi): 添加网格交易最大持仓限制功能
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 373 ++++++++++++++++++++++++++++-------------------------
1 files changed, 196 insertions(+), 177 deletions(-)
diff --git a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
index 3a9d417..df29b87 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -409,6 +409,20 @@
return;
}
checkProfitAndReset();
+
+
+ if (state == StrategyState.ACTIVE &&
+ longActive == false &&
+ longPositionSize.compareTo(BigDecimal.ZERO) == 0){
+ processShortGrid(closePrice);
+ }
+
+
+ if (state == StrategyState.ACTIVE &&
+ shortActive == false &&
+ shortPositionSize.compareTo(BigDecimal.ZERO) == 0){
+ processLongGrid(closePrice);
+ }
}
// ---- 仓位推送回调 ----
@@ -461,8 +475,8 @@
}
} else {
if (longActive && state == StrategyState.ACTIVE) {
- log.info("[Gate] 多仓持仓归零，重置策略");
- handlePositionZeroAndReset("多仓");
+// log.info("[Gate] 多仓持仓归零，重置策略");
+// handlePositionZeroAndReset("多仓");
}
longActive = false;
longPositionSize = BigDecimal.ZERO;
@@ -484,8 +498,8 @@
}
} else {
if (shortActive && state == StrategyState.ACTIVE) {
- log.info("[Gate] 空仓持仓归零，重置策略");
- handlePositionZeroAndReset("空仓");
+// log.info("[Gate] 空仓持仓归零，重置策略");
+// handlePositionZeroAndReset("空仓");
}
shortActive = false;
shortPositionSize = BigDecimal.ZERO;
@@ -793,6 +807,7 @@
shortEntryQty = 1;
extendShortStopLoss(filledQty);
log.info("[Gate] 空单成交 gridId:{}, qty:{}, 追挂止损", shortGridElement.getId(), filledQty);
+// checkMaxPositionAndPlaceTakeProfit(false, shortGridElement.getId());
}
}
GridElement longGridElement = GridElement.findByLongOrderId(orderId);
@@ -803,6 +818,7 @@
longEntryQty = 1;
extendLongStopLoss(filledQty);
log.info("[Gate] 多单成交 gridId:{}, qty:{}, 追挂止损", longGridElement.getId(), filledQty);
+// checkMaxPositionAndPlaceTakeProfit(true, longGridElement.getId());
}
}
}
@@ -926,7 +942,8 @@
baseGridElement.setShortOrderId(baseShortTraderParam.getEntryOrderId());
baseGridElement.setHasShortOrder(true);
- for (int id = 2; id <= 11; id++) {
+ int shortTime = Integer.parseInt(config.getBaseQuantity()) + 1;
+ for (int id = 2; id <= shortTime; id++) {
GridElement elem = GridElement.findById(id);
if (elem == null) {
continue;
@@ -946,7 +963,9 @@
);
}
- for (int id = -2; id >= -11; id--) {
+
+ int longTime = Integer.parseInt(config.getBaseQuantity()) + 1;
+ for (int id = -2; id >= -longTime; id--) {
GridElement elem = GridElement.findById(id);
if (elem == null) {
continue;
@@ -966,7 +985,7 @@
);
}
- log.info("[Gate] 止损单已全部挂完, 空仓止损: 2~11, 多仓止损: -2~-11");
+ log.info("[Gate] 止损单已全部挂完, 空仓止损: 2~{}, 多仓止损: -2~-{}", shortTime, longTime);
state = StrategyState.ACTIVE;
}
}
@@ -1167,210 +1186,97 @@
}
private void processShortGrid(BigDecimal currentPrice) {
- int prec = config.getPriceScale();
- List<BigDecimal> matched = new ArrayList<>();
+ BigDecimal matched = BigDecimal.ZERO;
synchronized (shortPriceQueue) {
for (BigDecimal p : shortPriceQueue) {
if (p.compareTo(currentPrice) >= 0) {
- matched.add(p);
+ matched = p;
} else {
break;
}
}
}
- if (matched.isEmpty()) {
+ if (BigDecimal.ZERO.compareTo( matched) == 0) {
return;
}
- log.info("[Gate] 空仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
+ log.info("[Gate] 空仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
- synchronized (shortPriceQueue) {
- shortPriceQueue.removeAll(matched);
- BigDecimal min = shortPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : shortPriceQueue.get(shortPriceQueue.size() - 1);
- BigDecimal gridStep = config.getStep();
- for (int i = 0; i < matched.size(); i++) {
- min = min.subtract(gridStep).setScale(prec, RoundingMode.HALF_UP);
- shortPriceQueue.add(min);
- }
- shortPriceQueue.sort((a, b) -> b.compareTo(a));
- }
+ GridElement matchedUpGridElement = GridElement.findByPrice(matched);
- synchronized (longPriceQueue) {
- BigDecimal first = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(0);
- BigDecimal gridStep = config.getStep();
- for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.subtract(gridStep.multiply(BigDecimal.valueOf(i))).setScale(prec, RoundingMode.HALF_UP);
- longPriceQueue.add(elem);
- }
- longPriceQueue.sort(BigDecimal::compareTo);
- while (longPriceQueue.size() > config.getGridQueueSize()) {
- longPriceQueue.remove(longPriceQueue.size() - 1);
- }
- }
+ Integer upId = matchedUpGridElement.getUpId();
+ GridElement newEntryGrid = GridElement.findById(upId);
- if (!isMarginSafe()) {
- log.warn("[Gate] 保证金超限，跳过挂条件单");
- } else {
+ if (newEntryGrid != null) {
+ GridElement cancelGridElement = GridElement.findById(newEntryGrid.getUpId());
- /**
- * 下一个开仓位置
- * 获取队列第一个元素的价格对应的网格
- * 判断网格是否能开空仓，如果不能则跳过
- * 前进方向挂空仓条件单
- * 后置方向挂多空条件单
- */
- //下一个开仓位置
- BigDecimal newLongFirst = shortPriceQueue.get(0);
- GridElement UpGridElement = GridElement.findByPrice(newLongFirst);
+ if (cancelGridElement != null) {
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ String size = cancelGridElement.getLongTraderParam().getQuantity();
+ 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);
- // 判断网格是否能开空仓，如果不能则跳过
- if (UpGridElement != null) {
-// if (!UpGridElement.isHasShortOrder() && shortEntryPrice.compareTo(newLongFirst) > 0) {
-//
-// TraderParam upShortTraderParam = UpGridElement.getShortTraderParam();
-// placeEntryOrderWithPreFlag(UpGridElement, false,
-// upShortTraderParam.getEntryPrice(),
-// FuturesPriceTrigger.RuleEnum.NUMBER_2,
-// negate(upShortTraderParam.getQuantity()));
-// }
- int i = UpGridElement.getId() + 2;
- GridElement downGridElement = GridElement.findById(i);
- if (downGridElement != null){
-
- BigDecimal downGridPrice = downGridElement.getGridPrice();
-
-// TraderParam downShortTraderParam = downGridElement.getShortTraderParam();
-// if (
-// !downGridElement.isHasShortOrder() &&
-// downGridPrice.compareTo(longEntryPrice) <= 0 &&
-// downGridPrice.compareTo(shortEntryPrice) >= 0
-// ){
-// placeEntryOrderWithPreFlag(downGridElement, false,
-// downShortTraderParam.getEntryPrice(),
-// FuturesPriceTrigger.RuleEnum.NUMBER_1,
-// negate(downShortTraderParam.getQuantity()));
-//
-// }
-
- TraderParam downLongTraderParam = downGridElement.getLongTraderParam();
- if (
- !downGridElement.isHasLongOrder() &&
- downGridPrice.compareTo(longEntryPrice) <= 0
- ){
- placeEntryOrderWithPreFlag(downGridElement, true,
- downLongTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- downLongTraderParam.getQuantity());
- }
+ /**
+ * 看是否有多仓挂单，有就取消
+ */
+ if (cancelGridElement != null && cancelGridElement.isHasLongOrder()) {
+ executor.cancelConditionalOrder(cancelGridElement.getLongOrderId(), oid -> {
+ longEntryTraderIdParam(cancelGridElement, null, false);
+ log.info("[Gate] 多仓仓位归零, 取消gridId:{}的多单", cancelGridElement);
+ });
}
}
}
}
private void processLongGrid(BigDecimal currentPrice) {
- int prec = config.getPriceScale();
- List<BigDecimal> matched = new ArrayList<>();
+ BigDecimal matched = BigDecimal.ZERO;
synchronized (longPriceQueue) {
for (BigDecimal p : longPriceQueue) {
if (p.compareTo(currentPrice) <= 0) {
- matched.add(p);
+ matched = p;
} else {
break;
}
}
}
- if (matched.isEmpty()) {
+ if (BigDecimal.ZERO.compareTo( matched) == 0) {
return;
}
- log.info("[Gate] 多仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
+ log.info("[Gate] 多仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
- /**
- * 匹配到元素后，
- * 多仓队列更新
- * 空仓队列更新
- */
- synchronized (longPriceQueue) {
- longPriceQueue.removeAll(matched);
- BigDecimal max = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(longPriceQueue.size() - 1);
- BigDecimal gridStep = config.getStep();
- for (int i = 0; i < matched.size(); i++) {
- max = max.add(gridStep).setScale(prec, RoundingMode.HALF_UP);
- longPriceQueue.add(max);
- }
- longPriceQueue.sort(BigDecimal::compareTo);
- }
- synchronized (shortPriceQueue) {
- BigDecimal first = shortPriceQueue.isEmpty() ? matched.get(0) : shortPriceQueue.get(0);
- BigDecimal gridStep = config.getStep();
- for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.add(gridStep.multiply(BigDecimal.valueOf(i))).setScale(prec, RoundingMode.HALF_UP);
- shortPriceQueue.add(elem);
- }
- shortPriceQueue.sort((a, b) -> b.compareTo(a));
- while (shortPriceQueue.size() > config.getGridQueueSize()) {
- shortPriceQueue.remove(shortPriceQueue.size() - 1);
- }
- }
+ GridElement matchedUpGridElement = GridElement.findByPrice(matched);
- if (!isMarginSafe()) {
- log.warn("[Gate] 保证金超限，跳过挂条件单");
- } else {
+ Integer downId = matchedUpGridElement.getDownId();
+ GridElement newEntryGrid = GridElement.findById(downId);
- /**
- * 下一个开仓位置
- * 获取队列第一个元素的价格对应的网格
- * 判断网格是否能开多仓，如果不能则跳过
- * 前进方向挂多仓条件单
- * 后置方向挂多空条件单
- */
- //下一个开仓位置
- BigDecimal newLongFirst = longPriceQueue.get(0);
- GridElement UpGridElement = GridElement.findByPrice(newLongFirst);
+ if (newEntryGrid != null) {
+ GridElement cancelGridElement = GridElement.findById(newEntryGrid.getDownId());
- // 判断网格是否能开多仓，如果不能则跳过
- if (UpGridElement != null) {
+ if (cancelGridElement != null) {
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ String size = cancelGridElement.getShortTraderParam().getQuantity();
+ log.info("[Gate] 空仓仓位归零 gridId:{}, 挂{}基础张多单",
+ newEntryGrid.getId(), size);
+ newEntryGrid.getShortTraderParam().setQuantity(size);
+ placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size));
-// if (!UpGridElement.isHasLongOrder() && longEntryPrice.compareTo(newLongFirst) < 0) {
-// TraderParam upLongTraderParam = UpGridElement.getLongTraderParam();
-// placeEntryOrderWithPreFlag(UpGridElement, true,
-// upLongTraderParam.getEntryPrice(),
-// FuturesPriceTrigger.RuleEnum.NUMBER_1,
-// config.getQuantity());
-// }
-
- int i = UpGridElement.getId() - 2;
- GridElement downGridElement = GridElement.findById(i);
- if (downGridElement != null){
-
- BigDecimal downGridPrice = downGridElement.getGridPrice();
-
-// TraderParam downLongTraderParam = downGridElement.getLongTraderParam();
-// if (
-// !downGridElement.isHasLongOrder() &&
-// downGridPrice.compareTo(shortEntryPrice) >= 0 &&
-// downGridPrice.compareTo(longEntryPrice) <= 0
-// ){
-// placeEntryOrderWithPreFlag(downGridElement, true,
-// downLongTraderParam.getEntryPrice(),
-// FuturesPriceTrigger.RuleEnum.NUMBER_2,
-// config.getQuantity());
-//
-// }
-
- TraderParam shortTraderParam = downGridElement.getShortTraderParam();
- if (
- !downGridElement.isHasShortOrder() &&
- downGridPrice.compareTo(shortEntryPrice) >= 0
- ){
-
- placeEntryOrderWithPreFlag(downGridElement, false,
- shortTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- negate(config.getQuantity()));
- }
+ /**
+ * 看是否有空仓挂单，有就取消
+ */
+ if (cancelGridElement != null && cancelGridElement.isHasShortOrder()) {
+ executor.cancelConditionalOrder(cancelGridElement.getShortOrderId(), oid -> {
+ shortEntryTraderIdParam(cancelGridElement, null, false);
+ log.info("[Gate] 空仓仓位归零, 取消gridId:{}的多单", cancelGridElement);
+ });
}
}
+
}
}
@@ -1403,6 +1309,24 @@
BigDecimal triggerPrice = newEntryGrid.getGridPrice();
longEntryQty++;
int entryQty = longEntryQty;
+
+ // 最大持仓限制：已持仓+本次挂单 ≤ maxPositionSize
+ int maxPos = config.getMaxPositionSize();
+ if (maxPos > 0) {
+ int currentPos = longPositionSize.intValue();
+ int maxAllowed = maxPos - currentPos;
+ if (maxAllowed <= 0) {
+ log.warn("[Gate] 多仓止损触发 gridId:{}, 已达最大持仓{}，跳过挂单", gridId, maxPos);
+ longEntryQty = 1;
+ return;
+ }
+ if (entryQty > maxAllowed) {
+ log.info("[Gate] 多仓止损触发 gridId:{}, 挂单{}张超限, 截断为{}张", gridId, entryQty, maxAllowed);
+ entryQty = maxAllowed;
+ longEntryQty = 1;
+ }
+ }
+
String size = new BigDecimal(String.valueOf(entryQty)).multiply(new BigDecimal(config.getQuantity())).toString();
log.info("[Gate] 多仓止损触发 gridId:{}, 在gridId:{}挂{}基础张多单(计数器:{}, size:{})",
gridId, newEntryGridId, entryQty, longEntryQty, size);
@@ -1442,6 +1366,24 @@
BigDecimal triggerPrice = newEntryGrid.getGridPrice();
shortEntryQty++;
int entryQty = shortEntryQty;
+
+ // 最大持仓限制：已持仓+本次挂单 ≤ maxPositionSize
+ int maxPos = config.getMaxPositionSize();
+ if (maxPos > 0) {
+ int currentPos = shortPositionSize.intValue();
+ int maxAllowed = maxPos - currentPos;
+ if (maxAllowed <= 0) {
+ log.warn("[Gate] 空仓止损触发 gridId:{}, 已达最大持仓{}，跳过挂单", gridId, maxPos);
+ shortEntryQty = 1;
+ return;
+ }
+ if (entryQty > maxAllowed) {
+ log.info("[Gate] 空仓止损触发 gridId:{}, 挂单{}张超限, 截断为{}张", gridId, entryQty, maxAllowed);
+ entryQty = maxAllowed;
+ shortEntryQty = 1;
+ }
+ }
+
String size = new BigDecimal(String.valueOf(entryQty)).multiply(new BigDecimal(config.getQuantity())).toString();
log.info("[Gate] 空仓止损触发 gridId:{}, 在gridId:{}挂{}基础张空单(计数器:{}, size:{})",
gridId, newEntryGridId, entryQty, shortEntryQty, size);
@@ -1516,24 +1458,101 @@
}
}
+ /**
+ * 通过 REST API 查询实时持仓，超限则在下一网格挂止盈单。
+ * 使用异步执行避免阻塞 WS 回调线程。
+ *
+ * @param isLong 是否为多仓方向
+ * @param gridId 当前挂单成交的网格 ID
+ */
+ private void checkMaxPositionAndPlaceTakeProfit(boolean isLong, int gridId) {
+ int maxPos = config.getMaxPositionSize();
+ if (maxPos <= 0) return;
+
+ executor.submitTask(() -> {
+ try {
+ List<Position> positions = futuresApi.listPositions(SETTLE).execute();
+ if (positions == null) return;
+
+ long actualPosSize = 0;
+ String targetMode = isLong ? "dual_long" : "dual_short";
+ for (Position pos : positions) {
+ if (!config.getContract().equals(pos.getContract())) continue;
+ Position.ModeEnum mode = pos.getMode();
+ if (mode != null && mode.getValue() != null && targetMode.equals(mode.getValue())) {
+ actualPosSize = Math.abs(Long.parseLong(pos.getSize()));
+ break;
+ }
+ }
+
+ if (actualPosSize <= maxPos) {
+ log.debug("[Gate] 持仓检查 {}方向 实际持仓:{} ≤ 上限:{}, 无需止盈", targetMode, actualPosSize, maxPos);
+ return;
+ }
+
+ // 下一网格 ID：空仓 N→N-1（向基底方向，更低价），多仓 -N→-(N-1)（向基底方向，更高价）
+ int nextGridId = isLong ? -(Math.abs(gridId) - 1) : gridId - 1;
+ GridElement nextGrid = GridElement.findById(nextGridId);
+ if (nextGrid == null) {
+ log.warn("[Gate] 持仓超限 but 下一网格{}不存在", nextGridId);
+ return;
+ }
+
+ BigDecimal tpPrice = nextGrid.getGridPrice();
+ final long finalPosSize = actualPosSize;
+ final int finalNextGridId = nextGridId;
+ if (isLong) {
+ executor.placeTakeProfit(tpPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ ORDER_TYPE_CLOSE_LONG,
+ negate(config.getQuantity()),
+ profitId -> log.info("[Gate] 多仓超限止盈已挂(持仓:{})>, gridId:{}, tpPrice:{}, id:{}",
+ finalPosSize, finalNextGridId, tpPrice, profitId));
+ } else {
+ executor.placeTakeProfit(tpPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ ORDER_TYPE_CLOSE_SHORT,
+ config.getQuantity(),
+ profitId -> log.info("[Gate] 空仓超限止盈已挂(持仓:{})>, gridId:{}, tpPrice:{}, id:{}",
+ finalPosSize, finalNextGridId, tpPrice, profitId));
+ }
+ } catch (Exception e) {
+ log.warn("[Gate] 通过API查询持仓超限检查失败", e);
+ }
+ });
+ }
+
+ /** Gate 永续合约 taker 费率 0.05% */
+ private static final BigDecimal TAKER_FEE_RATE = new BigDecimal("0.0005");
+ /** ETH_USDT 合约面值（每张=0.01 ETH） */
+ private static final BigDecimal CT_VAL = new BigDecimal("0.01");
+
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);
+
+ // 估算平仓手续费：(多仓张数+空仓张数) × 合约面值 × 当前价 × taker费率
+ BigDecimal totalSize = longPositionSize.abs().add(shortPositionSize.abs());
+ BigDecimal closeContractValue =
+ totalSize.multiply(CT_VAL).multiply(lastKlinePrice != null ? lastKlinePrice : BigDecimal.ZERO);
+ BigDecimal estimatedFee = closeContractValue.multiply(TAKER_FEE_RATE);
+ BigDecimal netEquity = totalEquity.subtract(estimatedFee);
+
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);
+ log.info("[Gate] 盈亏检查,总张数：{}, upl:{}, avail:{}, 合计:{}, 估手续费:{}, 净权益:{}, 目标:{}",
+ totalSize,unrealisedPnl, available, totalEquity, estimatedFee, netEquity, target);
+ if (netEquity.compareTo(target) > 0) {
+ log.info("[Gate] 盈亏达标(净权益{}>目标{})，重置策略", netEquity, target);
state = StrategyState.STOPPED;
closeExistingPositions();
futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
// 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(30000); } catch (InterruptedException e) { Thread.currentThread().interrupt(); }
+ try { Thread.sleep(3000); } catch (InterruptedException e) { Thread.currentThread().interrupt(); }
startGrid();
});
}
@@ -1552,7 +1571,7 @@
closeExistingPositions();
// 提交到 executor 末尾：单线程FIFO保证前面所有平仓/取消任务完成后才重置
executor.submitTask(() -> {
- try { Thread.sleep(30000); } catch (InterruptedException e) { Thread.currentThread().interrupt(); }
+ try { Thread.sleep(3000); } catch (InterruptedException e) { Thread.currentThread().interrupt(); }
startGrid();
});
}
--
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