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 | 240 ++++++++++++++++++++++++++++++++++++++++-------------------
1 files changed, 162 insertions(+), 78 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 ee9b68d..e791e63 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -103,6 +103,16 @@
/** 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 */
@@ -284,6 +294,10 @@
shortActive = false;
shortPriceQueue.clear();
longPriceQueue.clear();
+ longTakeProfitQueue.clear();
+ shortTakeProfitQueue.clear();
+ currentLongOrderId = null;
+ currentShortOrderId = null;
log.info("[Gate] 网格策略已启动");
}
@@ -340,8 +354,11 @@
if (state != StrategyState.ACTIVE) {
return;
}
- processShortGrid(closePrice);
- processLongGrid(closePrice);
+ 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 ----
@@ -354,7 +371,7 @@
* <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 → 设止盈条件单</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>
@@ -385,11 +402,23 @@
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;
- BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.add(config.getGridRate())).setScale(1, RoundingMode.HALF_UP);
- executor.placeTakeProfit(tpPrice,
- FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, negate(config.getQuantity()));
- log.info("[Gate] 多单止盈已设, entry:{}, tp:{}, size:{}", entryPrice, tpPrice, negate(config.getQuantity()));
+ 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;
}
@@ -408,11 +437,24 @@
log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice);
tryGenerateQueues();
} else if (size.abs().compareTo(shortPositionSize) > 0) {
- shortPositionSize = size.abs();
- BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.subtract(config.getGridRate())).setScale(1, RoundingMode.HALF_UP);
- executor.placeTakeProfit(tpPrice,
- FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
- log.info("[Gate] 空单止盈已设, entry:{}, tp:{}, size:{}", entryPrice, tpPrice, config.getQuantity());
+ 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();
}
@@ -462,41 +504,61 @@
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:{}, 已激活",
+ 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));
+ longPriceQueue.get(0), longPriceQueue.get(longPriceQueue.size() - 1),
+ step);
}
}
/**
* 生成空仓价格队列。
- * 以空头基底入场价 shortBaseEntryPrice 为基准，按 gridRate 递减生成 gridQueueSize 个价格元素：
- * <pre>shortBaseEntryPrice × (1 − gridRate × i), i=1..gridQueueSize</pre>
+ * 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 = config.getGridRate();
- for (int i = 1; i <= config.getGridQueueSize(); i++) {
- shortPriceQueue.add(shortBaseEntryPrice.multiply(BigDecimal.ONE.subtract(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP));
+ 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));
- //输出队列：shortPriceQueue;
log.info("[Gate] 空队列:{}", shortPriceQueue);
}
/**
* 生成多仓价格队列。
- * 以多头基底入场价 longBaseEntryPrice 为基准，按 gridRate 递增生成 gridQueueSize 个价格元素：
- * <pre>longBaseEntryPrice × (1 + gridRate × i), i=1..gridQueueSize</pre>
+ * 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.getGridRate();
- for (int i = 1; i <= config.getGridQueueSize(); i++) {
- longPriceQueue.add(longBaseEntryPrice.multiply(BigDecimal.ONE.add(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP));
+ 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);
@@ -512,10 +574,10 @@
* <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>
- * <li>空仓队列：移除 matched 元素，尾部补充新元素（尾价 × (1 − gridRate) 循环递减）</li>
- * <li>多仓队列：以多仓队列首元素（最小价）为种子，生成 matched.size() 个递减元素加入</li>
* </ol>
*
* <h3>多仓队列转移过滤</h3>
@@ -538,45 +600,25 @@
return;
}
log.info("[Gate] 空仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
- if (!isMarginSafe()) {
- log.warn("[Gate] 保证金超限，跳过空单开仓");
- } else {
- executor.openShort(negate(config.getQuantity()), null, null);
- if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && longEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && longEntryPrice.compareTo(shortEntryPrice) > 0
- && currentPrice.compareTo(shortEntryPrice) > 0
- && currentPrice.compareTo(longEntryPrice.multiply(BigDecimal.ONE.subtract(config.getGridRate()))) < 0) {
- executor.openLong(config.getQuantity(), null, null);
- log.info("[Gate] 触发价在多/空持仓价之间且多>空且远离多仓均价, 额外开多一次, 当前价:{}", currentPrice);
- }
- }
synchronized (shortPriceQueue) {
shortPriceQueue.removeAll(matched);
BigDecimal min = shortPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : shortPriceQueue.get(shortPriceQueue.size() - 1);
- BigDecimal step = config.getGridRate();
+ BigDecimal gridStep = config.getStep();
for (int i = 0; i < matched.size(); i++) {
- min = min.multiply(BigDecimal.ONE.subtract(step)).setScale(1, RoundingMode.HALF_UP);
+ 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 step = config.getGridRate();
+ BigDecimal gridStep = config.getStep();
for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.multiply(BigDecimal.ONE.subtract(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP);
- if (longEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && currentPrice.subtract(longEntryPrice).abs().compareTo(longEntryPrice.multiply(step)) < 0) {
- log.info("[Gate] 多队列跳过(price≈longEntry):{}", elem);
- continue;
- }
+ 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);
}
@@ -585,6 +627,37 @@
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);
}
}
@@ -598,10 +671,10 @@
* <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>
- * <li>多仓队列：移除 matched 元素，尾部补充新元素（尾价 × (1 + gridRate) 循环递增）</li>
- * <li>空仓队列：以空仓队列首元素（最高价）为种子，生成 matched.size() 个递增元素加入</li>
* </ol>
*
* <h3>空仓队列转移过滤</h3>
@@ -620,50 +693,30 @@
}
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);
+ log.info("[Gate] 多仓队列未触发, 当前价:{}", currentPrice);
return;
}
log.info("[Gate] 多仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
- if (!isMarginSafe()) {
- log.warn("[Gate] 保证金超限，跳过多单开仓");
- } else {
- executor.openLong(config.getQuantity(), null, null);
- if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && longEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && longEntryPrice.compareTo(shortEntryPrice) > 0
- && currentPrice.compareTo(shortEntryPrice.multiply(BigDecimal.ONE.add(config.getGridRate()))) > 0
- && currentPrice.compareTo(longEntryPrice) < 0) {
- executor.openShort(negate(config.getQuantity()), null, null);
- log.info("[Gate] 触发价在多/空持仓价之间且多>空且远离空仓均价, 额外开空一次, 当前价:{}", currentPrice);
- }
- }
synchronized (longPriceQueue) {
longPriceQueue.removeAll(matched);
BigDecimal max = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(longPriceQueue.size() - 1);
- BigDecimal step = config.getGridRate();
+ BigDecimal gridStep = config.getStep();
for (int i = 0; i < matched.size(); i++) {
- max = max.multiply(BigDecimal.ONE.add(step)).setScale(1, RoundingMode.HALF_UP);
+ 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);
}
synchronized (shortPriceQueue) {
BigDecimal first = shortPriceQueue.isEmpty() ? matched.get(0) : shortPriceQueue.get(0);
- BigDecimal step = config.getGridRate();
+ BigDecimal gridStep = config.getStep();
for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.multiply(BigDecimal.ONE.add(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP);
- if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && currentPrice.subtract(shortEntryPrice).abs().compareTo(shortEntryPrice.multiply(step)) < 0) {
- log.info("[Gate] 空队列跳过(price≈shortEntry):{}", elem);
- continue;
- }
+ 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);
}
@@ -673,6 +726,37 @@
}
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);
+ }
}
// ---- 保证金安全阀 ----
--
Gitblit v1.9.1