From 1b5c1005f3b46e60cbf08d5ae7924b23765084eb Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Tue, 26 May 2026 10:08:02 +0800
Subject: [PATCH] fix(gateApi): 修复网格交易中多空仓位订单取消逻辑错误
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 848 ++++++++++++++++++++++++++++++++++++--------------------
1 files changed, 547 insertions(+), 301 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 9c720ec..4e0776f 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -1,5 +1,6 @@
package com.xcong.excoin.modules.gateApi;
+import cn.hutool.core.collection.CollUtil;
import io.gate.gateapi.ApiClient;
import io.gate.gateapi.ApiException;
import io.gate.gateapi.GateApiException;
@@ -13,7 +14,6 @@
import java.math.RoundingMode;
import java.util.ArrayList;
import java.util.Collections;
-import java.util.Iterator;
import java.util.LinkedHashMap;
import java.util.List;
import java.util.Map;
@@ -23,79 +23,63 @@
import com.xcong.excoin.modules.gateApi.wsHandler.handler.PositionsChannelHandler;
/**
- * Gate 网格交易服务 — 策略核心。
+ * 网格交易策略引擎 — 多空对冲网格。
*
- * <h3>策略概述</h3>
- * 多空双开基底 → 生成价格网格队列 → 条件单监控 → 触发成交后队列动态转移。
- * 每根 K 线更新未实现盈亏（unrealizedPnl），平仓后累加已实现盈亏（cumulativePnl）。
+ * <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>核心机制</h3>
- * <ul>
- * <li><b>条件开仓单</b>：使用 Gate API {@code FuturesPriceTriggeredOrder}，服务器监控价格，
- * 达到触发价后以市价 IOC 开仓。相比限价单，条件单仅在触发价到达时才执行，避免提前成交。</li>
- * <li><b>条件单 ID 映射</b>（currentLongOrderIds / currentShortOrderIds）：
- * 用同步 Map 管理所有活跃的条件单（订单ID → 止盈价格）。挂条件单时通过回调存入，
- * 订单成交后通过 {@code futures.orders} 推送匹配止盈价并挂止盈单。</li>
- * <li><b>订单订阅（futures.orders）</b>：订单成交（status=finished, finish_as=filled）时，
- * 通过 {@link #onOrderUpdate(String, String, String)} 从 Map 中取出止盈价，
- * 调用 {@code executor.placeTakeProfit} 创建止盈条件单。</li>
- * <li><b>反向条件单</b>：当新网格首元素价格夹在多/空持仓均价之间，
- * 且反向持仓张数不超过 3 张时，额外挂一张反向市价单，通过订单订阅自动挂止盈。</li>
- * </ul>
- *
- * <h3>状态机</h3>
+ * <h3>完整生命周期</h3>
* <pre>
- * WAITING_KLINE → (首K线) → 异步双开基底
- *
- * 仓位推送(dual_long/dual_short) → 基底成交 → 记录入场价
- * → 双基底都成交 → 生成队列 + 初始条件单 + 止盈队列 → ACTIVE
- *
- * ACTIVE:
- * ├─ 每根K线 → 更新 unrealizedPnl → 方向判断
- * │ ├─ closePrice > longPriceQueue[0] → processLongGrid
- * │ └─ closePrice < shortPriceQueue[0] → processShortGrid
- * ├─ processShortGrid: 匹配空仓队列 → 本队补充 → 挂空仓+多仓条件单（止盈价存入Map）
- * ├─ processLongGrid: 匹配多仓队列 → 本队补充 → 挂多仓+空仓条件单（止盈价存入Map）
- * ├─ 订单推送(futures.orders) → onOrderUpdate → Map 匹配止盈价 → 挂止盈条件单
- * ├─ 仓位推送 → 更新均价/持仓量、仓位减少时处理反向单
- * ├─ 平仓推送 → 累加 cumulativePnl
- * ├─ 保证金安全阀 → 超限跳过挂单，队列照常更新
- * └─ cumulativePnl ≥ overallTp 或 ≤ -maxLoss → STOPPED
+ * 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，从 shortBaseEntryPrice-step 向下）
+ * ├── generateLongQueue() ← 多仓价格队列（升序，从 shortBaseEntryPrice+step 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>队列转移规则</h3>
- * <ul>
- * <li><b>空仓队列触发</b>（processShortGrid）：matched 元素从空仓队列移除，
- * 尾部递减 step 补充新元素；多仓队列以首元素（最小价）递减 step 生成新元素加入。</li>
- * <li><b>多仓队列触发</b>（processLongGrid）：matched 元素从多仓队列移除，
- * 尾部递增 step 补充新元素；空仓队列以首元素（最高价）递增 step 生成新元素加入。</li>
- * <li>队列容量超限时截断尾部，保持固定容量。</li>
- * </ul>
- *
- * <h3>止盈机制</h3>
- * <ul>
- * <li>网格触发时，挂条件单的回调中将订单 ID 和止盈价存入 currentLongOrderIds / currentShortOrderIds Map。</li>
- * <li>条件单成交后，{@code futures.orders} 推送触发 {@link #onOrderUpdate}，
- * 通过订单 ID 取出止盈价，创建止盈条件单（plan-close-*-position）。</li>
- * <li>止盈条件单：以触发价监控（price_type=最新价，strategy_type=价格触发），
- * 到达后以市价 IOC 平仓（reduce_only=true，price="0"）。</li>
- * </ul>
- *
- * <h3>反向条件单条件</h3>
+ * <h3>仓位线动态调整</h3>
* <pre>
- * newFirstPrice > shortEntryPrice AND newFirstPrice < longEntryPrice
- * AND 反向持仓张数 < 3
+ * 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>
- * 满足条件时以 newFirstPrice ± step 为止盈价直接挂市价单，通过订单订阅自动挂止盈。
*
- * <h3>未实现盈亏公式（正向合约）</h3>
+ * <h3>关键公式</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)
+ * step = shortBaseEntryPrice × gridRate ← 网格绝对步长
+ * minTick = 10^(-priceScale) ← 交易所最小价格单位
+ * 多止盈 = gridPrice + (step - minTick) ← 多仓止盈价
+ * 空止盈 = gridPrice - (step - minTick) ← 空仓止盈价
+ * 单笔盈利 = (step - minTick) × contractMultiplier × quantity ← USDT
* </pre>
- * 计价价格支持切换：{@link GateConfig.PnLPriceMode#LAST_PRICE 最新成交价} 或
- * {@link GateConfig.PnLPriceMode#MARK_PRICE 标记价格}（通过 {@link #setMarkPrice(BigDecimal)} 注入）。
- * 入场价和持仓量由 {@link #onPositionUpdate(String, Position.ModeEnum, BigDecimal, BigDecimal)} 实时更新。
+ *
+ * <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
*/
@@ -357,6 +341,16 @@
lastKlinePrice = closePrice;
updateUnrealizedPnl();
if (state == StrategyState.STOPPED) {
+ try {
+ futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
+ } catch (ApiException e) {
+ e.printStackTrace();
+ }
+ closeExistingPositions();
+
+ BigDecimal totalPnl = cumulativePnl.add(unrealizedPnl);
+ log.info("[Gate] 已实现:{}, 未实现:{}, 合计:{}",
+ cumulativePnl, unrealizedPnl, totalPnl);
return;
}
@@ -432,6 +426,35 @@
tryGenerateQueues();
}else {
longPositionSize = size;
+ //取消多仓位线以上的开多仓挂单
+ List<GridElement> allShortOrders = GridElement.findAllShortOrders(longEntryPrice);
+ if (CollUtil.isNotEmpty(allShortOrders)){
+ for (GridElement e : allShortOrders) {
+ executor.cancelConditionalOrder(
+ e.getLongOrderId(),
+ orderId -> {
+ longEntryTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+
+ if (e.getLongTakeProfitOrderId() != null){
+ executor.cancelConditionalOrder(
+ e.getLongTakeProfitOrderId(),
+ orderId -> {
+ longTakeProfitTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+ }
+ }
+ }
}
} else {
longActive = false;
@@ -449,6 +472,34 @@
tryGenerateQueues();
}else {
shortPositionSize = size.abs();
+ //取消空仓仓位线以下的开空仓挂单
+ List<GridElement> allLongOrders = GridElement.findAllLongOrders(shortEntryPrice);
+ if (CollUtil.isNotEmpty(allLongOrders)){
+ for (GridElement e : allLongOrders) {
+ executor.cancelConditionalOrder(
+ e.getShortOrderId(),
+ orderId -> {
+ shortEntryTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+ if (e.getShortTakeProfitOrderId() != null){
+ executor.cancelConditionalOrder(
+ e.getShortTakeProfitOrderId(),
+ orderId -> {
+ shortTakeProfitTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+ }
+ }
+ }
}
} else {
shortActive = false;
@@ -475,13 +526,18 @@
return;
}
cumulativePnl = cumulativePnl.add(pnl);
- log.info("[Gate] 盈亏累加:{}, 方向:{}, 累计:{}", pnl, side, cumulativePnl);
+ updateUnrealizedPnl();
+ BigDecimal totalPnl = cumulativePnl.add(unrealizedPnl);
+ log.info("[Gate] 已实现:{}, 未实现:{}, 合计:{}",
+ cumulativePnl, unrealizedPnl, totalPnl);
- if (cumulativePnl.compareTo(config.getOverallTp()) >= 0) {
- log.info("[Gate] 已达止盈目标 {}→已停止", cumulativePnl);
+ if (totalPnl.compareTo(config.getOverallTp()) >= 0) {
+ log.info("[Gate] 已达止盈目标(合计{})→已停止, 已实现:{}, 未实现:{}",
+ totalPnl, cumulativePnl, unrealizedPnl);
state = StrategyState.STOPPED;
- } else if (cumulativePnl.compareTo(config.getMaxLoss().negate()) <= 0) {
- log.info("[Gate] 已达亏损上限 {}→已停止", cumulativePnl);
+ } else if (totalPnl.compareTo(config.getMaxLoss().negate()) <= 0) {
+ log.info("[Gate] 已达亏损上限(合计{})→已停止, 已实现:{}, 未实现:{}",
+ totalPnl, cumulativePnl, unrealizedPnl);
state = StrategyState.STOPPED;
}
}
@@ -515,11 +571,11 @@
null,
false
);
- longEntryTraderIdParam(
- byLongTakeProfitOrderId,
- null,
- false
- );
+// longEntryTraderIdParam(
+// byLongTakeProfitOrderId,
+// null,
+// false
+// );
}
GridElement byShortTakeProfitOrderId = GridElement.findByShortTakeProfitOrderId(orderId);
if (byShortTakeProfitOrderId != null){
@@ -528,11 +584,11 @@
null,
false
);
- shortEntryTraderIdParam(
- byShortTakeProfitOrderId,
- null,
- false
- );
+// shortEntryTraderIdParam(
+// byShortTakeProfitOrderId,
+// null,
+// false
+// );
}
/**
@@ -541,6 +597,11 @@
GridElement longGridElement = GridElement.findByLongOrderId(orderId);
if (longGridElement != null) {
if (longGridElement.isHasLongOrder()){
+ longEntryTraderIdParam(
+ longGridElement,
+ null,
+ false
+ );
if (longGridElement.getLongTakeProfitOrderId() == null){
BigDecimal longTp = longGridElement.getLongTraderParam().getTakeProfitPrice();
if (longTp != null) {
@@ -564,6 +625,11 @@
GridElement shortGridElement = GridElement.findByShortOrderId(orderId);
if (shortGridElement != null) {
if (shortGridElement.isHasShortOrder()){
+ shortEntryTraderIdParam(
+ shortGridElement,
+ null,
+ false
+ );
if (shortGridElement.getShortTakeProfitOrderId() == null){
BigDecimal shortTp = shortGridElement.getShortTraderParam().getTakeProfitPrice();
if (shortTp != null) {
@@ -580,6 +646,258 @@
});
log.info("[Gate] 空单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, shortTp, config.getQuantity());
}
+ }
+ }
+ }
+ }
+
+ /**
+ * 用户私有成交回调。由 {@link com.xcong.excoin.modules.gateApi.wsHandler.handler.UserTradesChannelHandler}
+ * 在收到 {@code futures.usertrades} 推送时调用。
+ *
+ * @param contract 合约名称
+ * @param orderId 订单 ID
+ * @param price 成交价格
+ * @param size 成交数量
+ * @param role 用户角色（maker / taker）
+ * @param fee 手续费
+ */
+ public void onUserTrade(String contract, String orderId, BigDecimal price, String size, String role, BigDecimal fee) {
+ if (state == StrategyState.STOPPED) {
+ return;
+ }
+ log.info("[Gate] 成交明细, 合约:{}, 订单ID:{}, 价格:{}, 数量:{}, 角色:{}, 手续费:{}",
+ contract, orderId, price, size, role, fee);
+ }
+
+ /**
+ * 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;
+ }
+
+ /**
+ * 匹配止盈单止盈
+ */
+ GridElement byShortTakeProfitOrderId = GridElement.findByShortTakeProfitOrderId(orderId);
+ if (byShortTakeProfitOrderId != null){
+ shortTakeProfitTraderIdParam(
+ byShortTakeProfitOrderId,
+ null,
+ false
+ );
+ shortEntryTraderIdParam(
+ byShortTakeProfitOrderId,
+ null,
+ false
+ );
+// TPonUserTradeShortEntry(byShortTakeProfitOrderId);
+ }
+ GridElement byLongTakeProfitOrderId = GridElement.findByLongTakeProfitOrderId(orderId);
+ if (byLongTakeProfitOrderId != null){
+ longTakeProfitTraderIdParam(
+ byLongTakeProfitOrderId,
+ null,
+ false
+ );
+ longEntryTraderIdParam(
+ byLongTakeProfitOrderId,
+ null,
+ false
+ );
+// 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());
+ }
+ }
+ }
+ }
+ 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()));
+ }
+ }
+ }
+ }
+ }
+
+ private void TPonUserTradeShortEntry(GridElement gridElement) {
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+
+ /**
+ * 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 gridPrice = gridElement.getGridPrice();
+
+ // 判断网格是否能开空仓，如果不能则跳过
+ if (gridElement != null) {
+ TraderParam downShortTraderParam = gridElement.getShortTraderParam();
+ if (
+ !gridElement.isHasShortOrder() &&
+ gridPrice.compareTo(longEntryPrice) <= 0 &&
+ gridPrice.compareTo(shortEntryPrice) >= 0
+ ){
+ placeEntryOrderWithPreFlag(gridElement, false,
+ downShortTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ negate(downShortTraderParam.getQuantity()));
+
+ }
+
+ TraderParam downLongTraderParam = gridElement.getLongTraderParam();
+ if (
+ !gridElement.isHasLongOrder() &&
+ gridPrice.compareTo(longEntryPrice) <= 0
+ ){
+ placeEntryOrderWithPreFlag(gridElement, true,
+ downLongTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ downLongTraderParam.getQuantity());
+ }
+
+ }
+ }
+ }
+
+ private void TPonUserTradeLongEntry(GridElement gridElement) {
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ BigDecimal newLongFirst = gridElement.getGridPrice() ;
+
+ // 判断网格是否能开多空仓，如果不能则跳过
+ if (gridElement != null) {
+
+// TraderParam downLongTraderParam = gridElement.getLongTraderParam();
+// if (
+// !gridElement.isHasLongOrder() &&
+// newLongFirst.compareTo(shortEntryPrice) >= 0 &&
+// newLongFirst.compareTo(longEntryPrice) <= 0
+// ){
+// placeEntryOrderWithPreFlag(gridElement, true,
+// downLongTraderParam.getEntryPrice(),
+// FuturesPriceTrigger.RuleEnum.NUMBER_2,
+// config.getQuantity());
+//
+// }
+
+ TraderParam shortTraderParam = gridElement.getShortTraderParam();
+ if (
+ !gridElement.isHasShortOrder() &&
+ newLongFirst.compareTo(shortEntryPrice) >= 0
+ ){
+
+ placeEntryOrderWithPreFlag(gridElement, false,
+ shortTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ negate(config.getQuantity()));
+ }
+ }
+ }
+ }
+
+ private void onUserTradeShortEntry(GridElement gridElement) {
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ //下一个开仓位置
+ GridElement UpGridElement = GridElement.findById(gridElement.getDownId());
+ BigDecimal newLongFirst = UpGridElement.getGridPrice();
+
+ // 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()));
+ }
+ }
+ }
+ }
+
+ private void onUserTradeLongEntry(GridElement gridElement) {
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ //下一个开仓位置
+ GridElement UpGridElement = GridElement.findById(gridElement.getUpId());
+ BigDecimal newLongFirst = UpGridElement.getGridPrice() ;
+
+ // 判断网格是否能开多仓，如果不能则跳过
+ if (UpGridElement != null) {
+
+ if (!UpGridElement.isHasLongOrder() && longEntryPrice.compareTo(newLongFirst) < 0) {
+ TraderParam upLongTraderParam = UpGridElement.getLongTraderParam();
+ placeEntryOrderWithPreFlag(UpGridElement, true,
+ upLongTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ config.getQuantity());
}
}
}
@@ -616,6 +934,7 @@
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(
@@ -634,6 +953,7 @@
//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,
@@ -656,33 +976,17 @@
Integer upId = baseGridElement.getUpId();
GridElement upGridElementOne = GridElement.findById(upId);
BigDecimal longTp = upGridElementOne.getGridPrice();
- executor.placeConditionalEntryOrder(
+ placeEntryOrderWithPreFlag(upGridElementOne, true,
longTp,
FuturesPriceTrigger.RuleEnum.NUMBER_1,
- config.getQuantity(),
- orderId -> {
- longEntryTraderIdParam(
- upGridElementOne,
- orderId,
- true
- );
- },
- null);
+ config.getQuantity());
Integer downId = baseGridElement.getDownId();
GridElement downGridElementOne = GridElement.findById(downId);
BigDecimal shortTp = downGridElementOne.getGridPrice();
- executor.placeConditionalEntryOrder(
+ placeEntryOrderWithPreFlag(downGridElementOne, false,
shortTp,
FuturesPriceTrigger.RuleEnum.NUMBER_2,
- negate(config.getQuantity()),
- orderId -> {
- shortEntryTraderIdParam(
- downGridElementOne,
- orderId,
- true
- );
- },
- null);
+ negate(config.getQuantity()));
state = StrategyState.ACTIVE;
}
@@ -740,12 +1044,13 @@
*/
private void generateShortQueue() {
shortPriceQueue.clear();
- BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
+ int prec = config.getPriceScale();
+ BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(prec, RoundingMode.HALF_UP);
config.setStep(step);
- BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(1, RoundingMode.HALF_UP);
+ BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(prec, RoundingMode.HALF_UP);
for (int i = 0; i < config.getGridQueueSize(); i++) {
shortPriceQueue.add(elem);
- elem = elem.subtract(step).setScale(1, RoundingMode.HALF_UP);
+ elem = elem.subtract(step).setScale(prec, RoundingMode.HALF_UP);
if (elem.compareTo(BigDecimal.ZERO) <= 0) {
break;
}
@@ -761,11 +1066,12 @@
*/
private void generateLongQueue() {
longPriceQueue.clear();
+ int prec = config.getPriceScale();
BigDecimal step = config.getStep();
- BigDecimal elem = shortBaseEntryPrice.add(step).setScale(1, RoundingMode.HALF_UP);
+ BigDecimal elem = shortBaseEntryPrice.add(step).setScale(prec, RoundingMode.HALF_UP);
for (int i = 0; i < config.getGridQueueSize(); i++) {
longPriceQueue.add(elem);
- elem = elem.add(step).setScale(1, RoundingMode.HALF_UP);
+ elem = elem.add(step).setScale(prec, RoundingMode.HALF_UP);
}
longPriceQueue.sort(BigDecimal::compareTo);
log.info("[Gate] 多队列:{}", longPriceQueue);
@@ -789,7 +1095,11 @@
List<GridElement> elements = new ArrayList<>();
int shortSize = shortPriceQueue.size();
int longSize = longPriceQueue.size();
- BigDecimal step = config.getStep().subtract(config.getContractMultiplier());
+ //根据精度转换成小数
+ int prec = config.getPriceScale();
+// BigDecimal minTick = BigDecimal.ONE.scaleByPowerOfTen(-prec);
+// BigDecimal step = config.getStep().subtract(minTick);
+ BigDecimal step = config.getStep();
String qty = config.getQuantity();
// 空仓队列：id 从 -1 自减, shortPriceQueue[i] → id=-(i+1)
@@ -801,13 +1111,13 @@
TraderParam longParam = TraderParam.builder()
.direction(TraderParam.Direction.LONG)
.entryPrice(price)
- .takeProfitPrice(price.add(step).setScale(1, RoundingMode.HALF_UP))
+ .takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP))
.quantity(qty)
.build();
TraderParam shortParam = TraderParam.builder()
.direction(TraderParam.Direction.SHORT)
.entryPrice(price)
- .takeProfitPrice(price.subtract(step).setScale(1, RoundingMode.HALF_UP))
+ .takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP))
.quantity(qty)
.build();
elements.add(GridElement.builder()
@@ -826,13 +1136,13 @@
TraderParam longParam = TraderParam.builder()
.direction(TraderParam.Direction.LONG)
.entryPrice(price)
- .takeProfitPrice(price.add(step).setScale(1, RoundingMode.HALF_UP))
+ .takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP))
.quantity(qty)
.build();
TraderParam shortParam = TraderParam.builder()
.direction(TraderParam.Direction.SHORT)
.entryPrice(price)
- .takeProfitPrice(price.subtract(step).setScale(1, RoundingMode.HALF_UP))
+ .takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP))
.quantity(qty)
.build();
elements.add(GridElement.builder()
@@ -854,13 +1164,13 @@
TraderParam longParam = TraderParam.builder()
.direction(TraderParam.Direction.LONG)
.entryPrice(price)
- .takeProfitPrice(price.add(step).setScale(1, RoundingMode.HALF_UP))
+ .takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP))
.quantity(qty)
.build();
TraderParam shortParam = TraderParam.builder()
.direction(TraderParam.Direction.SHORT)
.entryPrice(price)
- .takeProfitPrice(price.subtract(step).setScale(1, RoundingMode.HALF_UP))
+ .takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP))
.quantity(qty)
.build();
elements.add(GridElement.builder()
@@ -877,35 +1187,12 @@
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);
}
- /**
- * 空仓网格处理（当前价跌破空仓队列元素）。
- *
- * <h3>匹配规则</h3>
- * 遍历空仓队列（降序排列，大→小），收集所有大于当前价的元素为 matched。
- * 降序排列保证一旦遇到 price ≤ currentPrice 即可停止遍历。
- *
- * <h3>执行流程</h3>
- * <ol>
- * <li>匹配队列元素 → 为空则直接返回，不触发</li>
- * <li>空仓队列：移除 matched 元素，从尾部递减 step 补充等量新元素，重新降序排序</li>
- * <li>多仓队列：<b>不再更新</b>（队列转移逻辑已移除）</li>
- * <li>保证金检查 → 不安全则跳过挂单（队列照常更新），安全则继续</li>
- * <li>挂新空仓条件单（触发价 = newShortFirst，rule=NUMBER_2，止盈 = newShortFirst − step，
- * orderId → 止盈价存入 currentShortOrderIds）</li>
- * <li>多仓条件单守卫：newLongFirst = newShortFirst + step × 2，
- * 若 newLongFirst < longEntryPrice → 挂多仓条件单（止盈 = newLongFirst + step，
- * orderId → 止盈价存入 currentLongOrderIds）</li>
- * </ol>
- * 条件单成交后由 {@link #onOrderUpdate} 匹配止盈价并挂止盈条件单。
- * 反向条件单不再在此处理，改为在 {@link #onPositionUpdate} 仓位净减少时触发。
- *
- * @param currentPrice 当前 K 线收盘价（最新成交价）
- */
private void processShortGrid(BigDecimal currentPrice) {
+ int prec = config.getPriceScale();
List<BigDecimal> matched = new ArrayList<>();
synchronized (shortPriceQueue) {
for (BigDecimal p : shortPriceQueue) {
- if (p.compareTo(currentPrice) > 0) {
+ if (p.compareTo(currentPrice) >= 0) {
matched.add(p);
} else {
break;
@@ -922,7 +1209,7 @@
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(1, RoundingMode.HALF_UP);
+ min = min.subtract(gridStep).setScale(prec, RoundingMode.HALF_UP);
shortPriceQueue.add(min);
}
shortPriceQueue.sort((a, b) -> b.compareTo(a));
@@ -932,7 +1219,7 @@
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(1, RoundingMode.HALF_UP);
+ BigDecimal elem = first.subtract(gridStep.multiply(BigDecimal.valueOf(i))).setScale(prec, RoundingMode.HALF_UP);
longPriceQueue.add(elem);
}
longPriceQueue.sort(BigDecimal::compareTo);
@@ -959,109 +1246,54 @@
// 判断网格是否能开空仓，如果不能则跳过
if (UpGridElement != null) {
- if (!UpGridElement.isHasShortOrder()) {
+// 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){
- //挂空仓条件单
- TraderParam upShortTraderParam = UpGridElement.getShortTraderParam();
- executor.placeConditionalEntryOrder(
- upShortTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- negate(upShortTraderParam.getQuantity()),
- orderId ->
- {
- shortEntryTraderIdParam(
- UpGridElement,
- orderId,
- true
- );
- },
- 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());
+ }
}
}
-
-
-
- int i = UpGridElement.getId() + 2;
- GridElement downGridElement = GridElement.findById(i);
- if (downGridElement != null){
-
- TraderParam downLongTraderParam = downGridElement.getLongTraderParam();
- if (!downGridElement.isHasShortOrder()){
- executor.placeConditionalEntryOrder(
- downLongTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- downLongTraderParam.getQuantity(),
- orderId ->
- {
- longEntryTraderIdParam(
- downGridElement,
- orderId,
- true
- );
- },
- null
- );
- }
-
- TraderParam downShortTraderParam = downGridElement.getShortTraderParam();
- BigDecimal downGridPrice = downGridElement.getGridPrice();
- if (
- !downGridElement.isHasShortOrder() &&
- downGridPrice.compareTo(longEntryPrice) <= 0 &&
- downGridPrice.compareTo(shortEntryPrice) >= 0
- ){
- executor.placeConditionalEntryOrder(
- downShortTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- negate(downShortTraderParam.getQuantity()),
- orderId ->
- {
- shortEntryTraderIdParam(
- downGridElement,
- orderId,
- true
- );
- },
- null
- );
-
- }
- }
-
}
-
}
- /**
- * 多仓网格处理（当前价涨破多仓队列元素）。
- *
- * <h3>匹配规则</h3>
- * 遍历多仓队列（升序排列，小→大），收集所有小于当前价的元素为 matched。
- * 升序排列保证一旦遇到 price ≥ currentPrice 即可停止遍历。
- *
- * <h3>执行流程</h3>
- * <ol>
- * <li>匹配队列元素 → 为空则直接返回，不触发</li>
- * <li>多仓队列：移除 matched 元素，从尾部递增 step 补充等量新元素，重新升序排序</li>
- * <li>空仓队列：<b>不再更新</b>（队列转移逻辑已移除）</li>
- * <li>保证金检查 → 不安全则跳过挂单（队列照常更新），安全则继续</li>
- * <li>挂新多仓条件单（触发价 = newLongFirst，rule=NUMBER_1，止盈 = newLongFirst + step，
- * orderId → 止盈价存入 currentLongOrderIds）</li>
- * <li>空仓条件单守卫：newShortFirst = newLongFirst − step × 2，
- * 若 newShortFirst > shortEntryPrice → 挂空仓条件单（止盈 = newShortFirst − step，
- * orderId → 止盈价存入 currentShortOrderIds）</li>
- * </ol>
- * 条件单成交后由 {@link #onOrderUpdate} 匹配止盈价并挂止盈条件单。
- * 反向条件单不再在此处理，改为在 {@link #onPositionUpdate} 仓位净减少时触发。
- *
- * @param currentPrice 当前 K 线收盘价（最新成交价）
- */
private void processLongGrid(BigDecimal currentPrice) {
+ int prec = config.getPriceScale();
List<BigDecimal> matched = new ArrayList<>();
synchronized (longPriceQueue) {
for (BigDecimal p : longPriceQueue) {
- if (p.compareTo(currentPrice) < 0) {
+ if (p.compareTo(currentPrice) <= 0) {
matched.add(p);
} else {
break;
@@ -1084,7 +1316,7 @@
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(1, RoundingMode.HALF_UP);
+ max = max.add(gridStep).setScale(prec, RoundingMode.HALF_UP);
longPriceQueue.add(max);
}
longPriceQueue.sort(BigDecimal::compareTo);
@@ -1093,7 +1325,7 @@
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(1, RoundingMode.HALF_UP);
+ BigDecimal elem = first.add(gridStep.multiply(BigDecimal.valueOf(i))).setScale(prec, RoundingMode.HALF_UP);
shortPriceQueue.add(elem);
}
shortPriceQueue.sort((a, b) -> b.compareTo(a));
@@ -1120,77 +1352,47 @@
// 判断网格是否能开多仓，如果不能则跳过
if (UpGridElement != null) {
- if (!UpGridElement.isHasLongOrder()) {
- //挂多仓条件单
- TraderParam upLongTraderParam = UpGridElement.getLongTraderParam();
- executor.placeConditionalEntryOrder(
- upLongTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- config.getQuantity(),
- orderId ->
- {
- longEntryTraderIdParam(
- UpGridElement,
- orderId,
- true
- );
- },
- null
- );
+// 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()));
+ }
}
}
-
-
-
- int i = UpGridElement.getId() - 2;
- GridElement downGridElement = GridElement.findById(i);
- if (downGridElement != null){
-
- TraderParam shortTraderParam = downGridElement.getShortTraderParam();
- if (!downGridElement.isHasShortOrder()){
- executor.placeConditionalEntryOrder(
- shortTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- negate(config.getQuantity()),
- orderId ->
- {
- shortEntryTraderIdParam(
- downGridElement,
- orderId,
- true
- );
- },
- null
- );
- }
-
- TraderParam downLongTraderParam = downGridElement.getLongTraderParam();
- BigDecimal downGridPrice = downGridElement.getGridPrice();
- if (
- !downGridElement.isHasLongOrder() &&
- downGridPrice.compareTo(longEntryPrice) <= 0 &&
- downGridPrice.compareTo(shortEntryPrice) >= 0
- ){
- executor.placeConditionalEntryOrder(
- downLongTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- config.getQuantity(),
- orderId ->
- {
- longEntryTraderIdParam(
- downGridElement,
- orderId,
- true
- );
- },
- null
- );
-
- }
- }
-
}
-
}
// ---- 保证金安全阀 ----
@@ -1229,6 +1431,50 @@
}
/**
+ * 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);
+ }
+ },
+ () -> {
+ if (isLong) {
+ gridElement.setHasLongOrder(false);
+ gridElement.setLongOrderId(null);
+ } else {
+ gridElement.setHasShortOrder(false);
+ gridElement.setShortOrderId(null);
+ }
+ GridElement.refreshIndices();
+ log.warn("[Gate] 条件单创建失败，回滚标志位 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>
--
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