From 2ba5828bc900a5a3646d9dfe78f53ff68e444fd4 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Tue, 12 May 2026 16:19:38 +0800
Subject: [PATCH] feat(gateApi): 更新网格交易逻辑文档和参数配置
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 789 ++++++++++++++++++++++++++++++++++++++++++++++---------
1 files changed, 657 insertions(+), 132 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 f5b7f62..e791e63 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -5,32 +5,69 @@
import io.gate.gateapi.GateApiException;
import io.gate.gateapi.api.AccountApi;
import io.gate.gateapi.api.FuturesApi;
-import io.gate.gateapi.models.AccountDetail;
-import io.gate.gateapi.models.FuturesAccount;
-import io.gate.gateapi.models.FuturesOrder;
-import io.gate.gateapi.models.FuturesPriceTrigger;
-import io.gate.gateapi.models.Position;
+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.ArrayList;
+import java.util.Collections;
+import java.util.List;
/**
- * Gate 网格交易服务类。使用 Gate SDK 通过 REST API 下单。
+ * Gate 网格交易服务 — 策略核心。
+ *
+ * <h3>策略</h3>
+ * 多空双开基底 → 生成价格网格队列 → K线触达网格线 → 开仓+设止盈 → 队列动态转移。
+ * 每根 K 线更新 {@code unrealizedPnl}（浮动盈亏），平仓后累加到 {@code cumulativePnl}（已实现盈亏）。
+ *
+ * <h3>未实现盈亏公式（正向合约）</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>状态机</h3>
* <pre>
- * WAITING_KLINE → (首次 K 线) → OPENING → ACTIVE
- * 双开失败 → STOPPED
+ * 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 → ACTIVE
*
* ACTIVE:
- * ├─ 仓位 size=0 且方向活跃 → REOPENING_L/S → ACTIVE
- * │ 补仓失败 → 重试 → 仍失败 → STOPPED
+ * ├─ 每根K线 → 更新 unrealizedPnl + processShortGrid + processLongGrid
+ * │ ├─ 当前价 < 空仓队列元素 → 匹配 → 开空 + 以多仓队列首元素为种子生成新元素加入多仓队列
+ * │ └─ 当前价 > 多仓队列元素 → 匹配 → 开多 + 以空仓队列首元素为种子生成新元素加入空仓队列
+ * ├─ 仓位推送(非基底) → 设止盈条件单 entry × (1±gridRate)，使用 plan-close-*-position
+ * ├─ 保证金≥初始本金 marginRatioLimit → 跳过开仓，队列照常更新
+ * ├─ 额外反向开仓：触发价夹在多/空持仓均价之间且多持仓均价>空持仓均价时，额外反向开仓一次
* └─ cumulativePnl ≥ overallTp 或 ≤ -maxLoss → STOPPED
* </pre>
*
- * <h3>架构</h3>
- * REST 下单委派给 {@link GateTradeExecutor}（独立线程池，避免阻塞 WS 回调线程）。
+ * <h3>队列转移规则</h3>
+ * 触发后不再简单复制 matched 元素到对方队列，而是以对方队列首元素为种子，生成新元素：
+ * <ul>
+ * <li>空仓队列触发 → 多仓队列新增：以多仓队列首元素（最小价）为基准，生成递减元素</li>
+ * <li>多仓队列触发 → 空仓队列新增：以空仓队列首元素（最高价）为基准，生成递增元素</li>
+ * </ul>
+ *
+ * <h3>贴近持仓均价过滤</h3>
+ * 转移生成新元素时，若新元素与对应方向持仓均价的差距小于 gridRate，则跳过该元素，
+ * 避免在持仓成本附近生成无效网格线。
+ *
+ * <h3>额外反向开仓条件</h3>
+ * 当触发价在空仓均价和回撤后的多仓均价之间（即多>空且价格夹在中间），额外反向开仓一次：
+ * <ul>
+ * <li>空仓队列触发 → 额外开多：需满足 shortEntryPrice < currentPrice < longEntryPrice × (1 − gridRate)</li>
+ * <li>多仓队列触发 → 额外开空：需满足 shortEntryPrice × (1 + gridRate) < currentPrice < longEntryPrice</li>
+ * </ul>
+ *
+ * <h3>止盈条件单</h3>
+ * 使用 Gate API 的 plan-close-long-position / plan-close-short-position（仓位计划止盈止损），
+ * 支持指定张数部分平仓。每次网格触发开仓 quantity 张，只为该批张数创建独立条件单，互不覆盖。
*
* @author Administrator
*/
@@ -38,8 +75,21 @@
public class GateGridTradeService {
public enum StrategyState {
- WAITING_KLINE, OPENING, ACTIVE, REOPENING_LONG, REOPENING_SHORT, STOPPED
+ 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 GateTradeExecutor executor;
@@ -48,19 +98,45 @@
private volatile StrategyState state = StrategyState.WAITING_KLINE;
- /** 多头是否活跃（有仓位） */
- private volatile boolean longActive = false;
+ /** 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<>());
+
+ /** 多仓止盈队列，升序排列（小→大），仓位推送时消费 */
+ private final List<BigDecimal> longTakeProfitQueue = Collections.synchronizedList(new ArrayList<>());
+ /** 空仓止盈队列，降序排列（大→小），仓位推送时消费 */
+ private final List<BigDecimal> shortTakeProfitQueue = Collections.synchronizedList(new ArrayList<>());
+
+ /** 当前多仓限价单 ID，用于取消旧单 */
+ private volatile String currentLongOrderId;
+ /** 当前空仓限价单 ID，用于取消旧单 */
+ private volatile String currentShortOrderId;
+
+ /** 基底空头入场价 */
+ private BigDecimal shortBaseEntryPrice;
+ /** 基底多头入场价 */
+ 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;
- private BigDecimal longEntryPrice;
- private BigDecimal shortEntryPrice;
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 int longReopenFails = 0;
- private int shortReopenFails = 0;
+ private volatile BigDecimal initialPrincipal = BigDecimal.ZERO;
public GateGridTradeService(GateConfig config) {
this.config = config;
@@ -71,6 +147,22 @@
this.executor = new GateTradeExecutor(apiClient, config.getContract());
}
+ // ---- 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 {
ApiClient detailClient = new ApiClient();
@@ -81,19 +173,43 @@
log.info("[Gate] 用户ID: {}", userId);
FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
- if (!config.getPositionMode().equals(account.getPositionMode())) {
- futuresApi.setPositionMode(SETTLE, config.getPositionMode());
- }
- log.info("[Gate] 持仓模式: {} 余额: {}", config.getPositionMode(), account.getAvailable());
+ 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();
- futuresApi.updateContractPositionLeverageCall(
- SETTLE, config.getContract(), config.getLeverage(),
- config.getMarginMode(), config.getPositionMode(), null);
+ //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();
+ }
+ }
+
+ 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("[Gate] 初始化失败, label:{}, msg:{}", e.getErrorLabel(), e.getMessage());
@@ -103,17 +219,22 @@
}
/**
- * 平掉当前合约所有已有仓位。
- * 策略启动前的准备工作，确保从零持仓状态开始运行。
+ * 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 {
- java.util.List<Position> positions = futuresApi.listPositions(SETTLE).execute();
- if (positions == null || positions.isEmpty()) {
- log.info("[Gate] 无已有仓位，无需平仓");
- return;
- }
-
+ 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;
@@ -123,31 +244,37 @@
if (size == 0) {
continue;
}
-
String closeSize = size > 0 ? String.valueOf(-size) : String.valueOf(Math.abs(size));
- boolean isLong = size > 0;
Position.ModeEnum mode = pos.getMode();
-
FuturesOrder closeOrder = new FuturesOrder();
closeOrder.setContract(config.getContract());
- closeOrder.setSize(closeSize);
closeOrder.setPrice("0");
closeOrder.setTif(FuturesOrder.TifEnum.IOC);
closeOrder.setReduceOnly(true);
if (mode != null && mode.getValue() != null && mode.getValue().contains("dual")) {
- closeOrder.setAutoSize(isLong ? FuturesOrder.AutoSizeEnum.LONG : FuturesOrder.AutoSizeEnum.SHORT);
+ 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] 已平掉已有仓位, 方向:{}, sizes:{}, mode:{}", isLong ? "多头" : "空头", sizeStr, mode);
+ log.info("[Gate] 平已有仓位, 方向:{}, size:{}, mode:{}", size > 0 ? "多" : "空", sizeStr, mode);
}
} catch (GateApiException e) {
- log.warn("[Gate] 平已有仓位失败, label:{}, msg:{}, 可能无仓位", e.getErrorLabel(), e.getMessage());
+ log.warn("[Gate] 平仓位失败, label:{}, msg:{}", e.getErrorLabel(), e.getMessage());
} catch (Exception e) {
- log.warn("[Gate] 平已有仓位异常, 可能无仓位", e);
+ log.warn("[Gate] 平仓位异常", e);
}
}
+ // ---- 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 (state != StrategyState.WAITING_KLINE && state != StrategyState.STOPPED) {
log.warn("[Gate] 策略已在运行中, state:{}", state);
@@ -155,13 +282,29 @@
}
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;
longActive = false;
shortActive = false;
- longReopenFails = 0;
- shortReopenFails = 0;
+ shortPriceQueue.clear();
+ longPriceQueue.clear();
+ longTakeProfitQueue.clear();
+ shortTakeProfitQueue.clear();
+ currentLongOrderId = null;
+ currentShortOrderId = null;
log.info("[Gate] 网格策略已启动");
}
+ /**
+ * 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() {
state = StrategyState.STOPPED;
executor.cancelAllPriceTriggeredOrders();
@@ -169,74 +312,171 @@
log.info("[Gate] 策略已停止, 累计盈亏: {}", cumulativePnl);
}
+ // ---- K线回调 ----
+
/**
- * K 线回调。首次价格就绪 → 异步双开。
+ * 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) {
lastKlinePrice = closePrice;
- if (state != StrategyState.WAITING_KLINE) {
+ updateUnrealizedPnl();
+ if (state == StrategyState.STOPPED) {
return;
}
- state = StrategyState.OPENING;
- log.info("[Gate] 首根K线到达，开始双开...");
+ 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(), () -> {
+ log.info("[Gate] 基底多单已提交");
+ }, null);
+ executor.openShort(negate(config.getQuantity()), () -> {
+ log.info("[Gate] 基底空单已提交");
+ }, null);
+ return;
+ }
- executor.openLong(config.getQuantity(), () -> {
- synchronized (this) {
- longEntryPrice = lastKlinePrice;
- longActive = true;
- }
- executor.placeTakeProfit(longTpPrice(), FuturesPriceTrigger.RuleEnum.NUMBER_1,
- "close-long-position", "close_long");
- });
- executor.openShort(negate(config.getQuantity()), () -> {
- synchronized (this) {
- shortEntryPrice = lastKlinePrice;
- shortActive = true;
- }
- executor.placeTakeProfit(shortTpPrice(), FuturesPriceTrigger.RuleEnum.NUMBER_2,
- "close-short-position", "close_short");
- if (longActive && shortActive && state != StrategyState.STOPPED) {
- state = StrategyState.ACTIVE;
- log.info("[Gate] 已激活, 多头入场:{}, 空头入场:{}, 多头止盈:{}, 空头止盈:{}",
- longEntryPrice, shortEntryPrice, longTpPrice(), shortTpPrice());
- }
- });
+ if (state != StrategyState.ACTIVE) {
+ return;
+ }
+ if (!longPriceQueue.isEmpty() && closePrice.compareTo(longPriceQueue.get(0)) > 0) {
+ processLongGrid(closePrice);
+ } else if (!shortPriceQueue.isEmpty() && closePrice.compareTo(shortPriceQueue.get(0)) < 0) {
+ processShortGrid(closePrice);
+ }
}
+ // ---- 仓位推送回调 ----
+
/**
- * 仓位推送回调。检测 size=0 触发补仓。
+ * 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>仓位净增加（size > 之前记录值）：说明网格触发了新开仓 → 取对应方向队列首元素为止盈价，设止盈条件单</li>
+ * <li>仓位减少或不变（止盈平仓后）：仅更新 positionSize，不重复设止盈</li>
+ * </ul>
+ * </li>
+ * <li><b>无仓位 (size = 0)</b>：清空活跃标记和持仓量</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, String mode, BigDecimal size, BigDecimal entryPrice) {
+ 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 ("dual_long".equals(mode)) {
- if (longActive && !hasPosition) {
- log.info("[Gate] 多头已平仓");
- longActive = false;
- tryReopenLong(0);
- } else if (hasPosition) {
+ if (Position.ModeEnum.DUAL_LONG == mode) {
+ if (hasPosition) {
longActive = true;
longEntryPrice = entryPrice;
+ if (!baseLongOpened) {
+ longPositionSize = size;
+ longBaseEntryPrice = entryPrice;
+ baseLongOpened = true;
+ log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice);
+ tryGenerateQueues();
+ } else if (size.compareTo(longPositionSize) > 0) {
+ BigDecimal unitQty = new BigDecimal(config.getQuantity());
+ long prevUnits = longPositionSize.divide(unitQty, 0, RoundingMode.DOWN).longValue();
+ longPositionSize = size;
+ long nowUnits = size.divide(unitQty, 0, RoundingMode.DOWN).longValue();
+ long newUnits = nowUnits - prevUnits;
+ for (int i = 0; i < newUnits; i++) {
+ BigDecimal tpPrice;
+ if (!longTakeProfitQueue.isEmpty()) {
+ tpPrice = longTakeProfitQueue.remove(0);
+ } else {
+ tpPrice = longEntryPrice.add(config.getStep()).setScale(1, RoundingMode.HALF_UP);
+ log.warn("[Gate] 多止盈队列为空, 兜底止盈价:{}", tpPrice);
+ }
+ executor.placeTakeProfit(tpPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, negate(config.getQuantity()));
+ log.info("[Gate] 多单止盈已设, tp:{}, size:{}", tpPrice, negate(config.getQuantity()));
+ }
+ } else {
+ longPositionSize = size;
+ }
+ } else {
+ longActive = false;
+ longPositionSize = BigDecimal.ZERO;
}
- } else if ("dual_short".equals(mode)) {
- if (shortActive && !hasPosition) {
- log.info("[Gate] 空头已平仓");
- shortActive = false;
- tryReopenShort(0);
- } else if (hasPosition) {
+ } else if (Position.ModeEnum.DUAL_SHORT == mode) {
+ if (hasPosition) {
shortActive = true;
shortEntryPrice = entryPrice;
+ if (!baseShortOpened) {
+ shortPositionSize = size.abs();
+ shortBaseEntryPrice = entryPrice;
+ baseShortOpened = true;
+ log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice);
+ tryGenerateQueues();
+ } else if (size.abs().compareTo(shortPositionSize) > 0) {
+ BigDecimal unitQty = new BigDecimal(config.getQuantity());
+ long prevUnits = shortPositionSize.divide(unitQty, 0, RoundingMode.DOWN).longValue();
+ BigDecimal nowAbsSize = size.abs();
+ shortPositionSize = nowAbsSize;
+ long nowUnits = nowAbsSize.divide(unitQty, 0, RoundingMode.DOWN).longValue();
+ long newUnits = nowUnits - prevUnits;
+ for (int i = 0; i < newUnits; i++) {
+ BigDecimal tpPrice;
+ if (!shortTakeProfitQueue.isEmpty()) {
+ tpPrice = shortTakeProfitQueue.remove(0);
+ } else {
+ tpPrice = shortEntryPrice.subtract(config.getStep()).setScale(1, RoundingMode.HALF_UP);
+ log.warn("[Gate] 空止盈队列为空, 兜底止盈价:{}", tpPrice);
+ }
+ executor.placeTakeProfit(tpPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
+ log.info("[Gate] 空单止盈已设, tp:{}, size:{}", tpPrice, config.getQuantity());
+ }
+ } else {
+ shortPositionSize = size.abs();
+ }
+ } else {
+ shortActive = false;
+ shortPositionSize = BigDecimal.ZERO;
}
}
}
+ // ---- 平仓推送回调 ----
+
/**
- * 平仓推送回调。累加 pnl 并检查停止条件。
+ * 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) {
@@ -254,76 +494,361 @@
}
}
- // ---- 补仓（含重试） ----
+ // ---- 网格队列处理 ----
- private void tryReopenLong(int retry) {
- if (state == StrategyState.STOPPED) {
+ /**
+ * 尝试生成网格队列。双基底（多+空）都成交后才触发：
+ * 生成空仓队列 + 多仓队列 → 状态切换为 ACTIVE。
+ */
+ private void tryGenerateQueues() {
+ if (baseLongOpened && baseShortOpened) {
+ generateShortQueue();
+ generateLongQueue();
+
+ BigDecimal step = config.getStep();
+ BigDecimal longTp = longPriceQueue.get(0).add(step).setScale(1, RoundingMode.HALF_UP);
+ BigDecimal shortTp = shortPriceQueue.get(0).subtract(step).setScale(1, RoundingMode.HALF_UP);
+ longTakeProfitQueue.add(longTp);
+ shortTakeProfitQueue.add(shortTp);
+ log.info("[Gate] 多止盈队列:{}", longTakeProfitQueue);
+ log.info("[Gate] 空止盈队列:{}", shortTakeProfitQueue);
+
+ executor.placeGridLimitOrder(longPriceQueue.get(0), config.getQuantity(),
+ orderId -> { currentLongOrderId = orderId; log.info("[Gate] 初始限价多单已挂, id:{}", orderId); },
+ null);
+ executor.placeGridLimitOrder(shortPriceQueue.get(0), negate(config.getQuantity()),
+ orderId -> { currentShortOrderId = orderId; log.info("[Gate] 初始限价空单已挂, id:{}", orderId); },
+ null);
+
+ state = StrategyState.ACTIVE;
+ log.info("[Gate] 网格队列已生成, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, step:{}, 已激活",
+ shortPriceQueue.get(0), shortPriceQueue.get(shortPriceQueue.size() - 1),
+ longPriceQueue.get(0), longPriceQueue.get(longPriceQueue.size() - 1),
+ step);
+ }
+ }
+
+ /**
+ * 生成空仓价格队列。
+ * 以 shortBaseEntryPrice × gridRate 作为绝对步长 step，存到 config。
+ * 第1个元素 = shortBaseEntryPrice − step，后续依次递减 step，共 gridQueueSize 个。
+ * 队列降序排列（大→小），方便 processShortGrid 中从头遍历。
+ */
+ private void generateShortQueue() {
+ shortPriceQueue.clear();
+ BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
+ config.setStep(step);
+ BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(1, RoundingMode.HALF_UP);
+ for (int i = 0; i < config.getGridQueueSize(); i++) {
+ shortPriceQueue.add(elem);
+ elem = elem.subtract(step).setScale(1, RoundingMode.HALF_UP);
+ }
+ shortPriceQueue.sort((a, b) -> b.compareTo(a));
+ log.info("[Gate] 空队列:{}", shortPriceQueue);
+ }
+
+ /**
+ * 生成多仓价格队列。
+ * 以 shortBaseEntryPrice + step 为首元素，后续依次递增 step，共 gridQueueSize 个。
+ * 队列升序排列（小→大），方便 processLongGrid 中从头遍历。
+ */
+ private void generateLongQueue() {
+ longPriceQueue.clear();
+ BigDecimal step = config.getStep();
+ BigDecimal elem = shortBaseEntryPrice.add(step).setScale(1, RoundingMode.HALF_UP);
+ for (int i = 0; i < config.getGridQueueSize(); i++) {
+ longPriceQueue.add(elem);
+ elem = elem.add(step).setScale(1, RoundingMode.HALF_UP);
+ }
+ longPriceQueue.sort(BigDecimal::compareTo);
+ log.info("[Gate] 多队列:{}", longPriceQueue);
+ }
+
+ /**
+ * 空仓网格处理（价格跌破空仓队列中的高价）。
+ *
+ * <h3>匹配规则</h3>
+ * 遍历空仓队列（降序），收集所有大于当前价的元素为 matched。
+ * 队列为降序排列，一旦遇 price ≤ currentPrice 即停止遍历。
+ *
+ * <h3>执行流程</h3>
+ * <ol>
+ * <li>匹配队列元素 → 为空则直接返回</li>
+ * <li>空仓队列：移除 matched 元素，尾部补充新元素（尾价 − step 循环递减）</li>
+ * <li>多仓队列：以多仓队列首元素（最小价）为种子，递减 step 生成 matched.size() 个元素加入</li>
+ * <li>保证金检查 → 安全则开空一次</li>
+ * <li>额外反向开多：若多仓均价 > 空仓均价 且 当前价夹在中间且远离多仓均价</li>
+ * </ol>
+ *
+ * <h3>多仓队列转移过滤</h3>
+ * 新增元素若与多仓持仓均价差距小于 gridRate，则跳过该元素（避免在持仓成本附近生成无效网格线）。
+ */
+ private void processShortGrid(BigDecimal currentPrice) {
+ List<BigDecimal> matched = new ArrayList<>();
+ synchronized (shortPriceQueue) {
+ for (BigDecimal p : shortPriceQueue) {
+ if (p.compareTo(currentPrice) > 0) {
+ matched.add(p);
+ } else {
+ break;
+ }
+ }
+ }
+ log.info("[Gate] 原空队列:{}", shortPriceQueue);
+ if (matched.isEmpty()) {
+ log.info("[Gate] 空仓队列未触发, 当前价:{}", currentPrice);
return;
}
- if (longActive) {
+ log.info("[Gate] 空仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), 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(1, RoundingMode.HALF_UP);
+ shortPriceQueue.add(min);
+ log.info("[Gate] 空队列增加:{}", min);
+ }
+ shortPriceQueue.sort((a, b) -> b.compareTo(a));
+ log.info("[Gate] 现空队列:{}", shortPriceQueue);
+ }
+
+ 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(1, RoundingMode.HALF_UP);
+ longPriceQueue.add(elem);
+ log.info("[Gate] 多队列增加:{}", elem);
+ }
+ longPriceQueue.sort(BigDecimal::compareTo);
+ while (longPriceQueue.size() > config.getGridQueueSize()) {
+ longPriceQueue.remove(longPriceQueue.size() - 1);
+ }
+ log.info("[Gate] 现多队列:{}", longPriceQueue);
+ }
+
+ BigDecimal newShortFirst = shortPriceQueue.get(0);
+ BigDecimal newLongFirst = longPriceQueue.get(0);
+ BigDecimal step = config.getStep();
+ BigDecimal stpElem = newShortFirst.subtract(step).setScale(1, RoundingMode.HALF_UP);
+ shortTakeProfitQueue.add(stpElem);
+ shortTakeProfitQueue.sort((a, b) -> b.compareTo(a));
+ log.info("[Gate] 空止盈队列增加:{}, 现止盈队列:{}", stpElem, shortTakeProfitQueue);
+
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂限价单");
+ } else {
+ String oldLongId = currentLongOrderId;
+ executor.cancelOrder(oldLongId);
+ executor.placeGridLimitOrder(newShortFirst, negate(config.getQuantity()),
+ orderId -> { currentShortOrderId = orderId; log.info("[Gate] 新限价空单, id:{}, price:{}", orderId, newShortFirst); },
+ null);
+ executor.placeGridLimitOrder(newLongFirst, config.getQuantity(),
+ orderId -> { currentLongOrderId = orderId; log.info("[Gate] 新限价多单, id:{}, price:{}", orderId, newLongFirst); },
+ null);
+ }
+
+ if (isMarginSafe()
+ && shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
+ && longEntryPrice.compareTo(BigDecimal.ZERO) > 0
+ && longEntryPrice.compareTo(shortEntryPrice) > 0
+ && currentPrice.compareTo(shortEntryPrice) > 0
+ && currentPrice.compareTo(longEntryPrice) < 0) {
+ executor.openLong(config.getQuantity(), null, null);
+ log.info("[Gate] 额外反向开多, 当前价:{} 在[{},{}]之间", currentPrice, shortEntryPrice, longEntryPrice);
+ }
+ }
+
+ /**
+ * 多仓网格处理（价格涨破多仓队列中的低价）。
+ *
+ * <h3>匹配规则</h3>
+ * 遍历多仓队列（升序），收集所有小于当前价的元素为 matched。
+ * 队列为升序排列，一旦遇 price ≥ currentPrice 即停止遍历。
+ *
+ * <h3>执行流程</h3>
+ * <ol>
+ * <li>匹配队列元素 → 为空则直接返回</li>
+ * <li>多仓队列：移除 matched 元素，尾部补充新元素（尾价 + step 循环递增）</li>
+ * <li>空仓队列：以空仓队列首元素（最高价）为种子，递增 step 生成 matched.size() 个元素加入</li>
+ * <li>保证金检查 → 安全则开多一次</li>
+ * <li>额外反向开空：若多仓均价 > 空仓均价 且 当前价夹在中间且远离空仓均价</li>
+ * </ol>
+ *
+ * <h3>空仓队列转移过滤</h3>
+ * 新增元素若与空仓持仓均价差距小于 gridRate，则跳过该元素（避免在持仓成本附近生成无效网格线）。
+ */
+ private void processLongGrid(BigDecimal currentPrice) {
+ List<BigDecimal> matched = new ArrayList<>();
+ synchronized (longPriceQueue) {
+ for (BigDecimal p : longPriceQueue) {
+ if (p.compareTo(currentPrice) < 0) {
+ matched.add(p);
+ } else {
+ break;
+ }
+ }
+ }
+ log.info("[Gate] 原多队列:{}", longPriceQueue);
+ if (matched.isEmpty()) {
+ log.info("[Gate] 多仓队列未触发, 当前价:{}", currentPrice);
return;
}
- state = StrategyState.REOPENING_LONG;
- executor.openLong(config.getQuantity(), () -> {
- synchronized (this) {
- longEntryPrice = lastKlinePrice;
- longActive = true;
- }
- executor.placeTakeProfit(longTpPrice(), FuturesPriceTrigger.RuleEnum.NUMBER_1,
- "close-long-position", "close_long");
- longReopenFails = 0;
- if (state != StrategyState.STOPPED) {
- state = StrategyState.ACTIVE;
- }
- log.info("[Gate] 多头已补开, 价格:{}", longEntryPrice);
- });
- }
+ log.info("[Gate] 多仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
- private void tryReopenShort(int retry) {
- if (state == StrategyState.STOPPED) {
- return;
- }
- if (shortActive) {
- return;
+ 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(1, RoundingMode.HALF_UP);
+ longPriceQueue.add(max);
+ log.info("[Gate] 多队列增加:{}", max);
+ }
+ longPriceQueue.sort(BigDecimal::compareTo);
+ log.info("[Gate] 现多队列:{}", longPriceQueue);
}
- state = StrategyState.REOPENING_SHORT;
- executor.openShort(negate(config.getQuantity()), () -> {
- synchronized (this) {
- shortEntryPrice = lastKlinePrice;
- shortActive = true;
+ 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(1, RoundingMode.HALF_UP);
+ shortPriceQueue.add(elem);
+ log.info("[Gate] 空队列增加:{}", elem);
}
- executor.placeTakeProfit(shortTpPrice(), FuturesPriceTrigger.RuleEnum.NUMBER_2,
- "close-short-position", "close_short");
- shortReopenFails = 0;
- if (state != StrategyState.STOPPED) {
- state = StrategyState.ACTIVE;
+ shortPriceQueue.sort((a, b) -> b.compareTo(a));
+ while (shortPriceQueue.size() > config.getGridQueueSize()) {
+ shortPriceQueue.remove(shortPriceQueue.size() - 1);
}
- log.info("[Gate] 空头已补开, 价格:{}", shortEntryPrice);
- });
+ log.info("[Gate] 现空队列:{}", shortPriceQueue);
+ }
+
+ BigDecimal newLongFirst = longPriceQueue.get(0);
+ BigDecimal newShortFirst = shortPriceQueue.get(0);
+ BigDecimal step = config.getStep();
+ BigDecimal ltpElem = newLongFirst.add(step).setScale(1, RoundingMode.HALF_UP);
+ longTakeProfitQueue.add(ltpElem);
+ longTakeProfitQueue.sort(BigDecimal::compareTo);
+ log.info("[Gate] 多止盈队列增加:{}, 现止盈队列:{}", ltpElem, longTakeProfitQueue);
+
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂限价单");
+ } else {
+ String oldShortId = currentShortOrderId;
+ executor.cancelOrder(oldShortId);
+ executor.placeGridLimitOrder(newLongFirst, config.getQuantity(),
+ orderId -> { currentLongOrderId = orderId; log.info("[Gate] 新限价多单, id:{}, price:{}", orderId, newLongFirst); },
+ null);
+ executor.placeGridLimitOrder(newShortFirst, negate(config.getQuantity()),
+ orderId -> { currentShortOrderId = orderId; log.info("[Gate] 新限价空单, id:{}, price:{}", orderId, newShortFirst); },
+ null);
+ }
+
+ if (isMarginSafe()
+ && shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
+ && longEntryPrice.compareTo(BigDecimal.ZERO) > 0
+ && longEntryPrice.compareTo(shortEntryPrice) > 0
+ && currentPrice.compareTo(shortEntryPrice) > 0
+ && currentPrice.compareTo(longEntryPrice) < 0) {
+ executor.openShort(negate(config.getQuantity()), null, null);
+ log.info("[Gate] 额外反向开空, 当前价:{} 在[{},{}]之间", currentPrice, shortEntryPrice, longEntryPrice);
+ }
}
- // ---- 止盈价格计算 ----
+ // ---- 保证金安全阀 ----
- private BigDecimal longTpPrice() {
- return lastKlinePrice.multiply(BigDecimal.ONE.add(config.getGridRate()))
- .setScale(1, RoundingMode.HALF_UP);
+ /**
+ * 保证金安全阀检查。
+ *
+ * <p>实时查询当前保证金占用额（positionInitialMargin），计算其占初始本金的比例。
+ * 比例 ≥ marginRatioLimit（默认 20%）时拒绝开仓，但仍照常更新队列。
+ *
+ * <p>查询失败时默认放行（返回 true），避免因 REST API 异常导致策略完全停滞。
+ *
+ * @return true=安全可开仓 / false=保证金超限跳过开仓
+ */
+ private boolean isMarginSafe() {
+ try {
+ FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
+ BigDecimal margin = new BigDecimal(account.getPositionInitialMargin());
+ BigDecimal ratio = margin.divide(initialPrincipal, 4, RoundingMode.HALF_UP);
+ log.debug("[Gate] 保证金比例: {}/{}={}", margin, initialPrincipal, ratio);
+ return ratio.compareTo(config.getMarginRatioLimit()) < 0;
+ } catch (Exception e) {
+ log.warn("[Gate] 查保证金失败，默认放行", e);
+ return true;
+ }
}
- private BigDecimal shortTpPrice() {
- return lastKlinePrice.multiply(BigDecimal.ONE.subtract(config.getGridRate()))
- .setScale(1, RoundingMode.HALF_UP);
- }
+ // ---- 工具 ----
- /** 对数量取反（开多用正数，开空用负数） */
+ /**
+ * 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;
}
+ /**
+ * 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 累计已实现盈亏（平仓推送驱动累加） */
public BigDecimal getCumulativePnl() { return cumulativePnl; }
+ /** @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; }
}
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