From 4cb8c93cf1784a8e33458000156e6db22271b500 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Thu, 14 May 2026 15:40:21 +0800
Subject: [PATCH] refactor(gateApi): 重构网格交易策略核心逻辑
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 361 ++++++++++++++++++++-------------------------------
1 files changed, 144 insertions(+), 217 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 c32da8a..409f59c 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -13,7 +13,10 @@
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;
import com.xcong.excoin.modules.gateApi.wsHandler.handler.CandlestickChannelHandler;
import com.xcong.excoin.modules.gateApi.wsHandler.handler.PositionClosesChannelHandler;
@@ -30,14 +33,14 @@
* <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>止盈队列</b>（longTakeProfitQueue / shortTakeProfitQueue）：每次网格触发时，
- * 将新队列首元素加减 step 作为止盈价加入止盈队列。仓位推送回调中检测到净增张数后，
- * 从止盈队列头部取出止盈价，创建止盈条件单。</li>
- * <li><b>条件单 ID 集合</b>（currentLongOrderIds / currentShortOrderIds）：
- * 用同步列表管理所有活跃的条件单 ID。每次网格触发时，取消对方方向的旧条件单（防止堆积），
- * 再挂新的条件单。反向条件单的 ID 也存入对应方向集合统一管理。</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，额外挂一张反向条件单并加入对方止盈队列。</li>
+ * 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>
@@ -51,11 +54,10 @@
* ├─ 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 → 队列转移 → 止盈入队 →
- * │ 取消旧多仓条件单 → 挂新空仓+多仓条件单 → 条件满足挂反向多单
- * ├─ processLongGrid: 匹配多仓队列 → 队列转移 → 止盈入队 →
- * │ 取消旧空仓条件单 → 挂新多仓+空仓条件单 → 条件满足挂反向空单
- * ├─ 仓位推送(净增张数) → 从止盈队列取止盈价 → 创建止盈条件单（plan-close-*-position）
+ * ├─ 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
@@ -72,11 +74,11 @@
*
* <h3>止盈机制</h3>
* <ul>
- * <li>网格触发时，新队列首元素 ± step 作为止盈价加入止盈队列。</li>
- * <li>仓位推送检测到净增张数时，从止盈队列头部取止盈价创建止盈条件单。</li>
+ * <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>
- * <li>止盈队列为空时兜底：entryPrice ± step 作为止盈价。</li>
* </ul>
*
* <h3>反向条件单条件</h3>
@@ -84,7 +86,7 @@
* newFirstPrice > shortEntryPrice AND newFirstPrice < longEntryPrice
* AND 反向持仓张数 < 3
* </pre>
- * 满足条件时以 newFirstPrice 为触发价挂反向条件单，同时将 newFirstPrice ± step 加入对方止盈队列。
+ * 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>
* <pre>
@@ -129,19 +131,14 @@
/** 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<>());
-
- /** 当前多仓条件单 ID 集合，用于取消旧单 */
- private final List<String> currentLongOrderIds = Collections.synchronizedList(new ArrayList<>());
- /** 当前空仓条件单 ID 集合，用于取消旧单 */
- private final List<String> currentShortOrderIds = Collections.synchronizedList(new ArrayList<>());
+ /** 当前多仓条件单映射：订单ID → 止盈价格，订单成交后通过订单订阅推送匹配止盈 */
+ private final Map<String, BigDecimal> currentLongOrderIds = Collections.synchronizedMap(new LinkedHashMap<>());
+ /** 当前空仓条件单映射：订单ID → 止盈价格，订单成交后通过订单订阅推送匹配止盈 */
+ private final Map<String, BigDecimal> currentShortOrderIds = Collections.synchronizedMap(new LinkedHashMap<>());
/** 基底空头入场价 */
private BigDecimal shortBaseEntryPrice;
- /** 基底多头入场价 */
+ /** 基底多头入场价（仅记录，当前未被业务逻辑消费，保留以备后续使用） */
private BigDecimal longBaseEntryPrice;
/** 基底多头是否已开 */
private volatile boolean baseLongOpened = false;
@@ -320,8 +317,6 @@
shortActive = false;
shortPriceQueue.clear();
longPriceQueue.clear();
- longTakeProfitQueue.clear();
- shortTakeProfitQueue.clear();
currentLongOrderIds.clear();
currentShortOrderIds.clear();
log.info("[Gate] 网格策略已启动");
@@ -368,11 +363,11 @@
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");
+ executor.openLong(config.getQuantity(), (orderId) -> {
+ log.info("[Gate] 基底多单已提交{}", orderId);
}, null);
- executor.openShort(negate(config.getQuantity()), () -> {
- log.info("[Gate] 基底空单已提交");
+ executor.openShort(negate(config.getQuantity()), (orderId) -> {
+ log.info("[Gate] 基底空单已提交{}",orderId);
}, null);
return;
}
@@ -394,11 +389,14 @@
* <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>
+ * <li>仓位净减少（size.abs() < 之前记录值）：止盈平仓后 → 检查反向条件单条件 →
+ * 满足时以 entryPrice ± step 为止盈价挂反向市价单（订单ID + 止盈价存入 Map）</li>
+ * <li>仓位净增加或不变：仅更新 positionSize，止盈由 {@link #onOrderUpdate} 通过订单订阅匹配处理</li>
* </ul>
* </li>
* <li><b>无仓位 (size = 0)</b>：清空活跃标记和持仓量</li>
+ * <li><b>Map 截断</b>：currentLongOrderIds / currentShortOrderIds 超过 5 个时，
+ * 从 LinkedHashMap 头部删除最旧条目，保留最新 5 个</li>
* </ul>
*
* @param contract 合约名称
@@ -424,36 +422,15 @@
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 if(size.compareTo(longPositionSize) < 0){
+ } else if(size.compareTo(longPositionSize) < 0){
if (entryPrice.compareTo(shortEntryPrice) > 0
&& entryPrice.compareTo(longEntryPrice) < 0
&& shortPositionSize.compareTo(new BigDecimal("3")) < 0) {
- executor.openShort(negate(config.getQuantity()), () -> {
- log.info("[Gate] 反向空单");
- }, null);
-
BigDecimal reverseShortTp = entryPrice.subtract(config.getStep()).setScale(1, RoundingMode.HALF_UP);
- executor.placeTakeProfit(reverseShortTp,
- FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
+ executor.openShort(negate(config.getQuantity()),
+ orderId -> { currentShortOrderIds.put(orderId, reverseShortTp);},
+ null);
log.info("[Gate] 反向条件空单已挂, trigger:{}, size:{}, 止盈:{}", entryPrice, negate(config.getQuantity()), reverseShortTp);
}
} else {
@@ -462,6 +439,15 @@
} else {
longActive = false;
longPositionSize = BigDecimal.ZERO;
+ }
+ synchronized (currentLongOrderIds) {
+ if (currentLongOrderIds.size() > 5) {
+ Iterator<String> it = currentLongOrderIds.keySet().iterator();
+ for (int i = 0, remove = currentLongOrderIds.size() - 5; i < remove; i++) {
+ it.next();
+ it.remove();
+ }
+ }
}
} else if (Position.ModeEnum.DUAL_SHORT == mode) {
if (hasPosition) {
@@ -473,36 +459,15 @@
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 if(size.abs().compareTo(shortPositionSize) < 0){
+ } else if(size.abs().compareTo(shortPositionSize) < 0){
if (entryPrice.compareTo(shortEntryPrice) > 0
&& entryPrice.compareTo(longEntryPrice) < 0
&& longPositionSize.compareTo(new BigDecimal("3")) < 0) {
- executor.openLong(config.getQuantity(), () -> {
- log.info("[Gate] 反向多单");
- }, null);
BigDecimal reverseLongTp = entryPrice.add(config.getStep()).setScale(1, RoundingMode.HALF_UP);
- executor.placeTakeProfit(reverseLongTp,
- FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, negate(config.getQuantity()));
+ executor.openLong(config.getQuantity(),
+ orderId -> { currentLongOrderIds.put(orderId, reverseLongTp);},
+ null);
log.info("[Gate] 反向条件多单已挂, trigger:{}, size:{}, 止盈:{}", entryPrice, negate(config.getQuantity()), reverseLongTp);
}
} else {
@@ -511,6 +476,15 @@
} else {
shortActive = false;
shortPositionSize = BigDecimal.ZERO;
+ }
+ synchronized (currentShortOrderIds) {
+ if (currentShortOrderIds.size() > 5) {
+ Iterator<String> it = currentShortOrderIds.keySet().iterator();
+ for (int i = 0, remove = currentShortOrderIds.size() - 5; i < remove; i++) {
+ it.next();
+ it.remove();
+ }
+ }
}
}
}
@@ -544,18 +518,52 @@
}
}
+ // ---- 订单推送回调 ----
+
+ /**
+ * 订单推送回调。由 OrdersChannelHandler 在收到订单更新推送时调用。
+ *
+ * <h3>处理逻辑</h3>
+ * 当订单状态为 finished 且 finish_as 为 filled 时，
+ * 从 {@link #currentLongOrderIds} / {@link #currentShortOrderIds} 中匹配订单ID，
+ * 取出止盈价格并挂止盈单。匹配成功后从 Map 中移除该条目，防止重复挂单。
+ *
+ * @param orderId 订单 ID
+ * @param status 订单状态（open / finished）
+ * @param finishAs 订单结束方式（filled / cancelled / ioc 等）
+ */
+ public void onOrderUpdate(String orderId, String status, String finishAs) {
+ if (!"finished".equals(status) || !"filled".equals(finishAs)) {
+ return;
+ }
+ BigDecimal longTp = currentLongOrderIds.remove(orderId);
+ if (longTp != null) {
+ executor.placeTakeProfit(longTp,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, negate(config.getQuantity()));
+ log.info("[Gate] 多单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, longTp, negate(config.getQuantity()));
+ return;
+ }
+ BigDecimal shortTp = currentShortOrderIds.remove(orderId);
+ if (shortTp != null) {
+ executor.placeTakeProfit(shortTp,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
+ log.info("[Gate] 空单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, shortTp, config.getQuantity());
+ }
+ }
+
// ---- 网格队列处理 ----
/**
* 尝试生成网格队列。双基底（多+空）都成交后才触发：
* <ol>
* <li>生成空仓价格队列（降序）和多仓价格队列（升序）</li>
- * <li>初始化止盈队列：多仓首元素 + step、空仓首元素 − step</li>
- * <li>挂初始多仓条件单（触发价 = 多仓队列首元素，rule=NUMBER_1 ≥触发价时开多）</li>
- * <li>挂初始空仓条件单（触发价 = 空仓队列首元素，rule=NUMBER_2 ≤触发价时开空）</li>
- * <li>条件单 ID 存入对应 currentXxxOrderIds 集合</li>
+ * <li>挂初始多仓条件单（触发价 = 多仓队列首元素，rule=NUMBER_1 ≥触发价时开多），
+ * 止盈价 = 触发价 + step，通过 onSuccess 回调将 orderId → 止盈价存入 currentLongOrderIds</li>
+ * <li>挂初始空仓条件单（触发价 = 空仓队列首元素，rule=NUMBER_2 ≤触发价时开空），
+ * 止盈价 = 触发价 − step，通过 onSuccess 回调将 orderId → 止盈价存入 currentShortOrderIds</li>
* <li>状态切换为 ACTIVE</li>
* </ol>
+ * 条件单成交后由 {@link #onOrderUpdate} 匹配止盈价并挂止盈条件单。
*/
private void tryGenerateQueues() {
if (baseLongOpened && baseShortOpened) {
@@ -563,27 +571,28 @@
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.placeConditionalEntryOrder(longPriceQueue.get(0),
+ BigDecimal longPriceQueueOne = longPriceQueue.get(0);
+ BigDecimal longTp = longPriceQueueOne.add(step).setScale(1, RoundingMode.HALF_UP);
+ executor.placeConditionalEntryOrder(longPriceQueueOne,
FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
- orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 初始条件多单已挂, id:{}, trigger:{}", orderId, longPriceQueue.get(0)); },
- null);
- executor.placeConditionalEntryOrder(shortPriceQueue.get(0),
- FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
- orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 初始条件空单已挂, id:{}, trigger:{}", orderId, shortPriceQueue.get(0)); },
+ orderId -> { currentLongOrderIds.put(orderId, longTp); log.info("[Gate] 初始条件多单已挂, id:{}, trigger:{}, 止盈:{}", orderId, longPriceQueue.get(0), longTp); },
null);
- state = StrategyState.ACTIVE;
+
+ BigDecimal shortPriceQueueOne = shortPriceQueue.get(0);
+ BigDecimal shortTp = shortPriceQueueOne.subtract(step).setScale(1, RoundingMode.HALF_UP);
+ executor.placeConditionalEntryOrder(shortPriceQueueOne,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
+ orderId -> { currentShortOrderIds.put(orderId, shortTp); log.info("[Gate] 初始条件空单已挂, id:{}, trigger:{}, 止盈:{}", orderId, shortPriceQueue.get(0), shortTp); },
+ null);
+
+
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),
+ shortPriceQueueOne, shortPriceQueue.get(shortPriceQueue.size() - 1),
+ longPriceQueueOne, longPriceQueue.get(longPriceQueue.size() - 1),
step);
+ state = StrategyState.ACTIVE;
}
}
@@ -633,20 +642,17 @@
* <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，从尾部最小值递减 step 补充等量新元素，重新降序排序</li>
- * <li>多仓队列：以多仓首元素（最小价）为基准递减 step，生成 matched.size() 个新元素加入，
- * 升序排序，超限截尾</li>
- * <li>空仓止盈队列：始终加入新空仓首元素 − step（降序排序），不受守卫限制</li>
- * <li>保证金检查 → 不安全则跳过挂单（队列和止盈队列照常更新），安全则继续</li>
- * <li>挂新空仓条件单（触发价 = 新空仓首元素，rule=NUMBER_2 ≤触发价时开空，size=负）</li>
- * <li>多仓条件单守卫：newLongFirst < longEntryPrice 时才执行
- * → 取消所有旧多仓条件单（currentLongOrderIds） → 清空集合 →
- * 多仓止盈队列加入 newLongFirst + step →
- * 挂新多仓条件单（触发价 = newLongFirst，rule=NUMBER_1 ≥触发价时开多，size=正）；
- * 不满足时保持旧多仓条件单不变，也不更新多仓止盈队列</li>
- * <li>反向开多判断：newShortFirst > shortEntryPrice 且 < longEntryPrice 且 longPositionSize < 3
- * → 挂反向条件多单（触发价 = newShortFirst），止盈价 = newShortFirst + step 加入多仓止盈队列</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）
*/
@@ -661,9 +667,7 @@
}
}
}
- 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;
}
log.info("[Gate] 空仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
@@ -675,18 +679,9 @@
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);
}
-
- BigDecimal newShortFirst = shortPriceQueue.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);
// synchronized (longPriceQueue) {
// BigDecimal first = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(0);
@@ -694,63 +689,35 @@
// 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);
// }
if (!isMarginSafe()) {
log.warn("[Gate] 保证金超限，跳过挂条件单");
} else {
-// synchronized (currentShortOrderIds) {
-// for (String id : currentShortOrderIds) {
-// executor.cancelConditionalOrder(id);
-// }
-// currentShortOrderIds.clear();
-// }
- currentShortOrderIds.clear();
+ BigDecimal newShortFirst = shortPriceQueue.get(0);
+ BigDecimal step = config.getStep();
+ BigDecimal stpElem = newShortFirst.subtract(step).setScale(1, RoundingMode.HALF_UP);
executor.placeConditionalEntryOrder(newShortFirst,
FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
- orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 新条件空单, id:{}, trigger:{}", orderId, newShortFirst); },
+ orderId -> { currentShortOrderIds.put(orderId, stpElem); log.info("[Gate] 新条件空单, id:{}, trigger:{}, 止盈:{}", orderId, newShortFirst, stpElem); },
null);
BigDecimal newLongFirst = newShortFirst.add( step.multiply(new BigDecimal("2")));
if (newLongFirst.compareTo(longEntryPrice) < 0) {
-// synchronized (currentLongOrderIds) {
-// for (String id : currentLongOrderIds) {
-// executor.cancelConditionalOrder(id);
-// }
-// currentLongOrderIds.clear();
-// }
- currentLongOrderIds.clear();
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);
executor.placeConditionalEntryOrder(newLongFirst,
FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
- orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 新条件多单, id:{}, trigger:{}", orderId, newLongFirst); },
+ orderId -> { currentLongOrderIds.put(orderId, ltpElem); log.info("[Gate] 新条件多单, id:{}, trigger:{}, 止盈:{}", orderId, newLongFirst, ltpElem); },
null);
}
-// if (newShortFirst.compareTo(shortEntryPrice) > 0
-// && newShortFirst.compareTo(longEntryPrice) < 0
-// && longPositionSize.compareTo(new BigDecimal("3")) < 0) {
-// BigDecimal reverseLongTp = newShortFirst.add(step).setScale(1, RoundingMode.HALF_UP);
-// longTakeProfitQueue.add(reverseLongTp);
-// longTakeProfitQueue.sort(BigDecimal::compareTo);
-// executor.placeConditionalEntryOrder(newShortFirst,
-// FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
-// orderId -> { currentLongOrderIds.add(orderId); },
-// null);
-// log.info("[Gate] 反向条件多单已挂, trigger:{}, size:{}, 止盈:{}", newShortFirst, config.getQuantity(), reverseLongTp);
-// }
}
}
@@ -765,20 +732,17 @@
* <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，从尾部最大值递增 step 补充等量新元素，重新升序排序</li>
- * <li>空仓队列：以空仓首元素（最高价）为基准递增 step，生成 matched.size() 个新元素加入，
- * 降序排序，超限截尾</li>
- * <li>多仓止盈队列：始终加入新多仓首元素 + step（升序排序），不受守卫限制</li>
- * <li>保证金检查 → 不安全则跳过挂单（队列和止盈队列照常更新），安全则继续</li>
- * <li>挂新多仓条件单（触发价 = 新多仓首元素，rule=NUMBER_1 ≥触发价时开多，size=正）</li>
- * <li>空仓条件单守卫：newShortFirst > shortEntryPrice 时才执行
- * → 取消所有旧空仓条件单（currentShortOrderIds） → 清空集合 →
- * 空仓止盈队列加入 newShortFirst − step →
- * 挂新空仓条件单（触发价 = newShortFirst，rule=NUMBER_2 ≤触发价时开空，size=负）；
- * 不满足时保持旧空仓条件单不变，也不更新空仓止盈队列</li>
- * <li>反向开空判断：newLongFirst > shortEntryPrice 且 < longEntryPrice 且 shortPositionSize < 3
- * → 挂反向条件空单（触发价 = newLongFirst），止盈价 = newLongFirst − step 加入空仓止盈队列</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）
*/
@@ -793,9 +757,7 @@
}
}
}
- 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;
}
@@ -808,18 +770,9 @@
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);
}
-
- BigDecimal newLongFirst = longPriceQueue.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);
// synchronized (shortPriceQueue) {
// BigDecimal first = shortPriceQueue.isEmpty() ? matched.get(0) : shortPriceQueue.get(0);
@@ -827,13 +780,11 @@
// 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);
// }
// shortPriceQueue.sort((a, b) -> b.compareTo(a));
// while (shortPriceQueue.size() > config.getGridQueueSize()) {
// shortPriceQueue.remove(shortPriceQueue.size() - 1);
// }
-// log.info("[Gate] 现空队列:{}", shortPriceQueue);
// }
@@ -841,51 +792,27 @@
if (!isMarginSafe()) {
log.warn("[Gate] 保证金超限，跳过挂条件单");
} else {
-// synchronized (currentLongOrderIds) {
-// for (String id : currentLongOrderIds) {
-// executor.cancelConditionalOrder(id);
-// }
-// currentLongOrderIds.clear();
-// }
- currentLongOrderIds.clear();
+
+ BigDecimal step = config.getStep();
+
+ BigDecimal newLongFirst = longPriceQueue.get(0);
+ BigDecimal ltpElem = newLongFirst.add(step).setScale(1, RoundingMode.HALF_UP);
executor.placeConditionalEntryOrder(newLongFirst,
FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
- orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 新条件多单, id:{}, trigger:{}", orderId, newLongFirst); },
+ orderId -> { currentLongOrderIds.put(orderId, ltpElem); log.info("[Gate] 新条件多单, id:{}, trigger:{}, 止盈:{}", orderId, newLongFirst, ltpElem); },
null);
BigDecimal newShortFirst = newLongFirst.subtract( step.multiply(new BigDecimal("2")));
if (newShortFirst.compareTo(shortEntryPrice) > 0){
-// synchronized (currentShortOrderIds) {
-// for (String id : currentShortOrderIds) {
-// executor.cancelConditionalOrder(id);
-// }
-// currentShortOrderIds.clear();
-// }
- currentShortOrderIds.clear();
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);
executor.placeConditionalEntryOrder(newShortFirst,
FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
- orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 新条件空单, id:{}, trigger:{}", orderId, newShortFirst); },
+ orderId -> { currentShortOrderIds.put(orderId, stpElem); log.info("[Gate] 新条件空单, id:{}, trigger:{}, 止盈:{}", orderId, newShortFirst, stpElem); },
null);
}
-// if (newLongFirst.compareTo(shortEntryPrice) > 0
-// && newLongFirst.compareTo(longEntryPrice) < 0
-// && shortPositionSize.compareTo(new BigDecimal("3")) < 0) {
-// BigDecimal reverseShortTp = newLongFirst.subtract(step).setScale(1, RoundingMode.HALF_UP);
-// shortTakeProfitQueue.add(reverseShortTp);
-// shortTakeProfitQueue.sort((a, b) -> b.compareTo(a));
-// executor.placeConditionalEntryOrder(newLongFirst,
-// FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
-// orderId -> { currentShortOrderIds.add(orderId); },
-// null);
-// log.info("[Gate] 反向条件空单已挂, trigger:{}, size:{}, 止盈:{}", newLongFirst, negate(config.getQuantity()), reverseShortTp);
-// }
}
}
--
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