From 4de6caf5ec9f4ea93ccf683dfef8a2e46583f057 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Wed, 10 Jun 2026 22:16:16 +0800
Subject: [PATCH] ``` feat(gate): 添加网格交易服务调试日志
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 990 ++++++++++++++++++++++-----------------------------------
1 files changed, 384 insertions(+), 606 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 88a5545..ab4d414 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -1,6 +1,8 @@
package com.xcong.excoin.modules.gateApi;
import cn.hutool.core.collection.CollUtil;
+import cn.hutool.core.util.StrUtil;
+import com.xcong.excoin.utils.dingtalk.DingTalkUtils;
import io.gate.gateapi.ApiClient;
import io.gate.gateapi.ApiException;
import io.gate.gateapi.GateApiException;
@@ -14,7 +16,6 @@
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;
@@ -115,6 +116,8 @@
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<>());
+ private final List<BigDecimal> totalLongPriceQueue = Collections.synchronizedList(new ArrayList<>());
+ private final List<BigDecimal> totalShortPriceQueue = 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<>());
@@ -145,6 +148,7 @@
private volatile BigDecimal shortPositionSize = BigDecimal.ZERO;
private Long userId;
private volatile BigDecimal initialPrincipal = BigDecimal.ZERO;
+ private volatile GateKlineWebSocketClient wsClient;
public GateGridTradeService(GateConfig config) {
this.config = config;
@@ -304,7 +308,22 @@
longPriceQueue.clear();
currentLongOrderIds.clear();
currentShortOrderIds.clear();
- log.info("[Gate] 网格策略已启动");
+ // 每次重启重新获取当前本金
+ refreshInitialPrincipal();
+
+ log.info("[Gate] 网格策略已启动, 当前本金: {} USDT", initialPrincipal);
+ }
+
+ /**
+ * 重新获取当前账户权益作为初始本金。
+ */
+ private void refreshInitialPrincipal() {
+ try {
+ FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
+ this.initialPrincipal = new BigDecimal(account.getTotal());
+ } catch (Exception e) {
+ log.warn("[Gate] 获取初始化本金失败，使用旧值: {}", initialPrincipal);
+ }
}
/**
@@ -314,6 +333,7 @@
public void stopGrid() {
state = StrategyState.STOPPED;
executor.cancelAllPriceTriggeredOrders();
+ closeExistingPositions();
executor.shutdown();
log.info("[Gate] 策略已停止, 累计盈亏: {}", cumulativePnl);
}
@@ -340,36 +360,44 @@
*/
public void onKline(BigDecimal closePrice) {
lastKlinePrice = closePrice;
- updateUnrealizedPnl();
- if (state == StrategyState.STOPPED) {
- return;
- }
//初始化0位置的开仓，并且用空的开仓价格，作为价格基准来划分网格
if (state == StrategyState.WAITING_KLINE) {
+ if (wsClient == null || !wsClient.areAllSubscribed()) {
+ return;
+ }
+
state = StrategyState.OPENING;
- log.info("[Gate] 首根K线到达，开基底仓位...");
- executor.openLong(config.getQuantity(), (orderId) -> {
+
+ String size = config.getBaseQuantity();
+ log.info("[Gate] 首根K线到达，开基底仓位 多空各{}张...", size);
+ executor.openLong(size, (orderId) -> {
TraderParam baseLongTp = TraderParam.builder()
.entryOrderId(orderId)
.build();
config.setBaseLongTraderParam(baseLongTp);
}, null);
- executor.openShort(negate(config.getQuantity()), (orderId) -> {
+ executor.openShort(negate(size), (orderId) -> {
TraderParam baseShortTp = TraderParam.builder()
.entryOrderId(orderId)
.build();
config.setBaseShortTraderParam(baseShortTp);
}, null);
-
return;
}
- if (state != StrategyState.ACTIVE) {
- return;
+ if (state == StrategyState.ACTIVE &&
+ longActive == false &&
+ longPositionSize.compareTo(BigDecimal.ZERO) == 0){
+ processShortGrid(closePrice);
}
- processLongGrid(closePrice);
- processShortGrid(closePrice);
+
+
+ if (state == StrategyState.ACTIVE &&
+ shortActive == false &&
+ shortPositionSize.compareTo(BigDecimal.ZERO) == 0){
+ processLongGrid(closePrice);
+ }
}
// ---- 仓位推送回调 ----
@@ -384,7 +412,6 @@
* <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>
@@ -404,73 +431,70 @@
}
boolean hasPosition = size.abs().compareTo(BigDecimal.ZERO) > 0;
-
- if (Position.ModeEnum.DUAL_LONG == mode) {
- if (hasPosition) {
+ if (state == StrategyState.OPENING){
+ if (Position.ModeEnum.DUAL_LONG == mode && hasPosition && !baseLongOpened) {
longActive = true;
+ longPositionSize = size;
longEntryPrice = entryPrice;
- if (!baseLongOpened) {
- longPositionSize = size;
- longBaseEntryPrice = entryPrice;
- baseLongOpened = true;
- log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice);
- tryGenerateQueues();
- }else {
- longPositionSize = size;
- //取消多仓位线以上的开空仓挂单
- List<GridElement> allShortOrders = GridElement.findAllShortOrders(longEntryPrice);
- if (CollUtil.isNotEmpty(allShortOrders)){
- for (GridElement e : allShortOrders) {
- executor.cancelOrder(
- e.getShortOrderId(),
- orderId -> {
- shortEntryTraderIdParam(
- e,
- null,
- false
- );
- }
- );
- }
- }
- }
- } else {
- longActive = false;
- longPositionSize = BigDecimal.ZERO;
- }
- } else if (Position.ModeEnum.DUAL_SHORT == mode) {
- if (hasPosition) {
+ longBaseEntryPrice = entryPrice;
+ baseLongOpened = true;
+ log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice);
+ tryGenerateQueues();
+ } else if (Position.ModeEnum.DUAL_SHORT == mode && hasPosition && !baseShortOpened) {
shortActive = true;
+ shortPositionSize = size.abs();
shortEntryPrice = entryPrice;
- if (!baseShortOpened) {
- shortPositionSize = size.abs();
- shortBaseEntryPrice = entryPrice;
- baseShortOpened = true;
- log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice);
- tryGenerateQueues();
- }else {
- shortPositionSize = size.abs();
- //取消空仓仓位线以下的开多仓挂单
- List<GridElement> allLongOrders = GridElement.findAllLongOrders(shortEntryPrice);
- if (CollUtil.isNotEmpty(allLongOrders)){
- for (GridElement e : allLongOrders) {
- executor.cancelOrder(
- e.getLongOrderId(),
- orderId -> {
- shortEntryTraderIdParam(
- e,
- null,
- false
- );
- }
- );
- }
- }
- }
- } else {
- shortActive = false;
- shortPositionSize = BigDecimal.ZERO;
+ shortBaseEntryPrice = entryPrice;
+ baseShortOpened = true;
+ log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice);
+ tryGenerateQueues();
}
+ }
+
+ if (state == StrategyState.ACTIVE){
+ if (Position.ModeEnum.DUAL_LONG == mode) {
+ if (hasPosition) {
+ longActive = true;
+ longPositionSize = size;
+ longEntryPrice = entryPrice;
+ } else {
+
+ log.info("[Gate-0]多仓: {}", shortBaseEntryPrice);
+ longActive = false;
+ longPositionSize = BigDecimal.ZERO;
+ longEntryPrice = BigDecimal.ZERO;
+ }
+ } else if (Position.ModeEnum.DUAL_SHORT == mode) {
+ if (hasPosition) {
+ shortActive = true;
+ shortPositionSize = size.abs();
+ shortEntryPrice = entryPrice;
+ } else {
+
+ log.info("[Gate-0]空仓: {}", shortBaseEntryPrice);
+ shortActive = false;
+ shortPositionSize = BigDecimal.ZERO;
+ shortEntryPrice = BigDecimal.ZERO;
+ }
+ }
+ }
+
+ if (state == StrategyState.ACTIVE && shortActive == false && longActive == false) {
+ try {
+ futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
+ } catch (ApiException e) {
+ e.printStackTrace();
+ }
+ closeExistingPositions();
+
+ state = StrategyState.STOPPED;
+ // 提交到 executor 末尾：单线程FIFO保证前面所有平仓/取消任务完成后才重置
+ executor.submitTask(() -> {
+ try { Thread.sleep(3000); } catch (InterruptedException e) { Thread.currentThread().interrupt(); }
+ startGrid();
+ });
+ log.info("[Gate] 重置策略");
+ return;
}
}
@@ -492,134 +516,19 @@
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(totalPnl.compareTo(config.getMaxLoss().negate()) <= 0) {
+ String logMessage = StrUtil.format("[Gate] 已达亏损风险值(合计{}), 已实现:{}, 未实现:{}",
+ totalPnl, cumulativePnl, unrealizedPnl);
+ log.info(logMessage);
- if (cumulativePnl.compareTo(config.getOverallTp()) >= 0) {
- log.info("[Gate] 已达止盈目标 {}→已停止", cumulativePnl);
- state = StrategyState.STOPPED;
- } else if (cumulativePnl.compareTo(config.getMaxLoss().negate()) <= 0) {
- log.info("[Gate] 已达亏损上限 {}→已停止", cumulativePnl);
- state = StrategyState.STOPPED;
+ DingTalkUtils.getDefault().sendActionCard("风险提醒", logMessage, config.getApiKey(), "");
}
}
- // ---- 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;
- }
-
- /**
- * 匹配止盈单止盈
- */
- GridElement byLongTakeProfitOrderId = GridElement.findByLongTakeProfitOrderId(orderId);
- if (byLongTakeProfitOrderId != null){
- longTakeProfitTraderIdParam(
- byLongTakeProfitOrderId,
- null,
- false
- );
- longEntryTraderIdParam(
- byLongTakeProfitOrderId,
- null,
- false
- );
- }
- GridElement byShortTakeProfitOrderId = GridElement.findByShortTakeProfitOrderId(orderId);
- if (byShortTakeProfitOrderId != null){
- shortTakeProfitTraderIdParam(
- byShortTakeProfitOrderId,
- null,
- false
- );
- shortEntryTraderIdParam(
- byShortTakeProfitOrderId,
- null,
- false
- );
- }
-
- /**
- * 匹配挂单
- */
- GridElement longGridElement = GridElement.findByLongOrderId(orderId);
- if (longGridElement != null) {
- if (longGridElement.isHasLongOrder()){
- 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()));
- return;
- }
- }
- }
- }
- GridElement shortGridElement = GridElement.findByShortOrderId(orderId);
- if (shortGridElement != null) {
- if (shortGridElement.isHasShortOrder()){
- 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());
- }
- }
- }
- }
- }
-
- /**
- * 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。
@@ -631,7 +540,7 @@
* @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) {
+ public void onAutoOrder(String orderId, String status, String reason, String orderType, String tradeId) {
if (state == StrategyState.STOPPED) {
return;
}
@@ -641,85 +550,41 @@
return;
}
- /**
- * 匹配止盈单止盈
- */
- GridElement byLongTakeProfitOrderId = GridElement.findByLongTakeProfitOrderId(orderId);
- if (byLongTakeProfitOrderId != null){
- longTakeProfitTraderIdParam(
- byLongTakeProfitOrderId,
- null,
- false
- );
- longEntryTraderIdParam(
- byLongTakeProfitOrderId,
- null,
- false
- );
+ GridElement longStopLossElem = GridElement.findByLongStopLossOrderId(orderId);
+// if (longStopLossElem != null && longPositionSize.compareTo(BigDecimal.ZERO) > 0 && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
+ if (longStopLossElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
+ handleLongStopLossTriggered(longStopLossElem);
+ return;
}
- GridElement byShortTakeProfitOrderId = GridElement.findByShortTakeProfitOrderId(orderId);
- if (byShortTakeProfitOrderId != null){
- shortTakeProfitTraderIdParam(
- byShortTakeProfitOrderId,
- null,
- false
- );
- shortEntryTraderIdParam(
- byShortTakeProfitOrderId,
- null,
- false
- );
+ GridElement shortStopLossElem = GridElement.findByShortStopLossOrderId(orderId);
+// if (shortStopLossElem != null && shortPositionSize.compareTo(BigDecimal.ZERO) > 0 && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
+ if (shortStopLossElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
+ handleShortStopLossTriggered(shortStopLossElem);
+ return;
}
- /**
- * 匹配挂单
- */
- GridElement longGridElement = GridElement.findByLongOrderId(orderId);
- if (longGridElement != null) {
- if (longGridElement.isHasLongOrder()){
- 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()));
- return;
- }
- }
- }
- }
GridElement shortGridElement = GridElement.findByShortOrderId(orderId);
if (shortGridElement != null) {
- if (shortGridElement.isHasShortOrder()){
- 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());
- }
- }
+ if (shortGridElement.isHasShortOrder() && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0") ){
+ shortEntryTraderIdParam(shortGridElement, null, false);
+
+ int filledQty = shortGridElement.getId();
+ extendShortStopLoss(filledQty);
+ log.info("[Gate] 空单成交 gridId:{}", filledQty);
+ }
+ }
+ GridElement longGridElement = GridElement.findByLongOrderId(orderId);
+ if (longGridElement != null) {
+ if (longGridElement.isHasLongOrder() && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")){
+ longEntryTraderIdParam(longGridElement, null, false);
+
+ int filledQty = longGridElement.getId();
+ extendLongStopLoss(filledQty);
+ log.info("[Gate] 多单成交 gridId:{}", filledQty);
}
}
}
+
// ---- 网格队列处理 ----
@@ -733,94 +598,59 @@
* 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) {
- //初始化空仓队列
generateShortQueue();
- //初始化多仓队列
generateLongQueue();
- //初始化网格数据
updateGridElements();
- /**
- * 挂初始位置多空仓条件单
- * 0位置的多单止盈
- * 0位置的空单止盈
- */
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(
- upTakeProfitPrice,
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- ORDER_TYPE_CLOSE_LONG,
- negate(config.getQuantity()),
- profitId -> {
- longTakeProfitTraderIdParam(
- baseGridElement,
- profitId,
- true
- );
- }
- );
- //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,
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- ORDER_TYPE_CLOSE_SHORT,
- config.getQuantity(),
- profitId -> {
- shortTakeProfitTraderIdParam(
- baseGridElement,
- profitId,
- true
- );
- }
- );
- /**
- * 挂初始位置的up位置的多单
- * 挂初始位置的down位置的空单
- */
- Integer upId = baseGridElement.getUpId();
- GridElement upGridElementOne = GridElement.findById(upId);
- BigDecimal longTp = upGridElementOne.getGridPrice();
- executor.placeConditionalEntryOrder(
- longTp,
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- config.getQuantity(),
- orderId -> {
- longEntryTraderIdParam(
- upGridElementOne,
- orderId,
- true
- );
- },
- null);
- Integer downId = baseGridElement.getDownId();
- GridElement downGridElementOne = GridElement.findById(downId);
- BigDecimal shortTp = downGridElementOne.getGridPrice();
- executor.placeConditionalEntryOrder(
- shortTp,
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- negate(config.getQuantity()),
- orderId -> {
- shortEntryTraderIdParam(
- downGridElementOne,
- orderId,
- true
- );
- },
- null);
+ int shortTime = 2;
+ GridElement elemShort = GridElement.findById(shortTime);
+ if (elemShort != null) {
+ BigDecimal triggerPrice = elemShort.getGridPrice();
+ String size = config.getBaseQuantity();
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ ORDER_TYPE_CLOSE_SHORT,
+ size,
+ profitId -> {
+ elemShort.setShortStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", shortTime, triggerPrice, profitId);
+ }
+ );
+ }
+
+
+ int longTime = -2;
+ GridElement elemLong = GridElement.findById(longTime);
+ if (elemLong != null) {
+ BigDecimal triggerPrice = elemLong.getGridPrice();
+ String size = config.getBaseQuantity();
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ ORDER_TYPE_CLOSE_LONG,
+ negate(size),
+ profitId -> {
+ elemLong.setLongStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", longTime, triggerPrice, profitId);
+ }
+ );
+ }
+
+ log.info("[Gate] 止损单已全部挂完, 空仓止损: 2~{}, 多仓止损: -2~-{}", shortTime, longTime);
state = StrategyState.ACTIVE;
}
@@ -884,6 +714,9 @@
BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(prec, RoundingMode.HALF_UP);
for (int i = 0; i < config.getGridQueueSize(); i++) {
shortPriceQueue.add(elem);
+ totalLongPriceQueue.add( elem);
+ totalShortPriceQueue.add( elem);
+
elem = elem.subtract(step).setScale(prec, RoundingMode.HALF_UP);
if (elem.compareTo(BigDecimal.ZERO) <= 0) {
break;
@@ -905,10 +738,16 @@
BigDecimal elem = shortBaseEntryPrice.add(step).setScale(prec, RoundingMode.HALF_UP);
for (int i = 0; i < config.getGridQueueSize(); i++) {
longPriceQueue.add(elem);
+ totalLongPriceQueue.add( elem);
+ totalShortPriceQueue.add( elem);
elem = elem.add(step).setScale(prec, RoundingMode.HALF_UP);
}
longPriceQueue.sort(BigDecimal::compareTo);
log.info("[Gate] 多队列:{}", longPriceQueue);
+ totalShortPriceQueue.sort((a, b) -> b.compareTo(a));
+ log.info("[Gate] 队列从大到小:{}", totalShortPriceQueue);
+ totalLongPriceQueue.sort(BigDecimal::compareTo);
+ log.info("[Gate] 队列从小到大:{}", totalLongPriceQueue);
}
/**
@@ -931,9 +770,8 @@
int longSize = longPriceQueue.size();
//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);
- String qty = config.getQuantity();
+ BigDecimal step = config.getStep();
+ String qty = config.getBaseQuantity();
// 空仓队列：id 从 -1 自减, shortPriceQueue[i] → id=-(i+1)
for (int i = 0; i < shortSize; i++) {
@@ -1021,297 +859,191 @@
}
private void processShortGrid(BigDecimal currentPrice) {
- int prec = config.getPriceScale();
- List<BigDecimal> matched = new ArrayList<>();
- synchronized (shortPriceQueue) {
- for (BigDecimal p : shortPriceQueue) {
+ BigDecimal matched = BigDecimal.ZERO;
+ synchronized (totalLongPriceQueue) {
+ for (BigDecimal p : totalLongPriceQueue) {
if (p.compareTo(currentPrice) >= 0) {
- matched.add(p);
+ matched = p;
} else {
break;
}
}
- }
- if (matched.isEmpty()) {
- return;
- }
- 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(prec, RoundingMode.HALF_UP);
- shortPriceQueue.add(min);
+ log.info("[Gate-1] 多仓仓位归零 空仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
+ if (BigDecimal.ZERO.compareTo( matched) == 0) {
+ return;
}
- shortPriceQueue.sort((a, b) -> b.compareTo(a));
- }
- synchronized (longPriceQueue) {
- BigDecimal first = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(0);
- BigDecimal gridStep = config.getStep();
- for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.subtract(gridStep.multiply(BigDecimal.valueOf(i))).setScale(prec, RoundingMode.HALF_UP);
- longPriceQueue.add(elem);
- }
- longPriceQueue.sort(BigDecimal::compareTo);
- while (longPriceQueue.size() > config.getGridQueueSize()) {
- longPriceQueue.remove(longPriceQueue.size() - 1);
- }
- }
+ GridElement matchedUpGridElement = GridElement.findByPrice(matched);
+ if (matchedUpGridElement != null){
+ if (!matchedUpGridElement.isHasLongOrder()){
+ Integer upId = matchedUpGridElement.getUpId();
+ GridElement newEntryGrid = GridElement.findById(upId);
- if (!isMarginSafe()) {
- log.warn("[Gate] 保证金超限，跳过挂条件单");
- } else {
+ if (newEntryGrid != null) {
+ log.info("[Gate-2] 多仓仓位归零 空仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
+ if (!newEntryGrid.isHasLongOrder()) {
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ String size = config.getBaseQuantity();
+ log.info("[Gate] 多仓仓位归零 gridId:{}, 挂{}基础张多单",
+ newEntryGrid.getId(), size);
+ newEntryGrid.getLongTraderParam().setQuantity(size);
+ placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, size);
+ }
- /**
- * 下一个开仓位置
- * 获取队列第一个元素的价格对应的网格
- * 判断网格是否能开空仓，如果不能则跳过
- * 前进方向挂空仓条件单
- * 后置方向挂多空条件单
- */
- //下一个开仓位置
- BigDecimal newLongFirst = shortPriceQueue.get(0);
- GridElement UpGridElement = GridElement.findByPrice(newLongFirst);
- // 判断网格是否能开空仓，如果不能则跳过
- if (UpGridElement != null) {
-
- if (!UpGridElement.isHasShortOrder()) {
-
- //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
- );
- }
- int i = UpGridElement.getId() + 2;
- GridElement downGridElement = GridElement.findById(i);
- if (downGridElement != null){
-
- BigDecimal downGridPrice = downGridElement.getGridPrice();
-
- TraderParam downShortTraderParam = downGridElement.getShortTraderParam();
- if (
- !downGridElement.isHasShortOrder() &&
- downGridPrice.compareTo(longEntryPrice) <= 0 &&
- downGridPrice.compareTo(shortEntryPrice) >= 0
- ){
- executor.placeConditionalEntryOrder(
- downShortTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- negate(downShortTraderParam.getQuantity()),
- orderId ->
- {
- shortEntryTraderIdParam(
- downGridElement,
- orderId,
- true
- );
- },
- null
- );
-
- }
-
- TraderParam downLongTraderParam = downGridElement.getLongTraderParam();
- if (
- !downGridElement.isHasLongOrder() &&
- downGridPrice.compareTo(longEntryPrice) <= 0
- ){
- executor.placeConditionalEntryOrder(
- downLongTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- downLongTraderParam.getQuantity(),
- orderId ->
- {
- longEntryTraderIdParam(
- downGridElement,
- orderId,
- true
- );
- },
- null
- );
+ GridElement cancelGridElement = GridElement.findById(newEntryGrid.getUpId());
+ if (cancelGridElement != null && cancelGridElement.isHasLongOrder()) {
+ String longOrderId = cancelGridElement.getLongOrderId();
+ longEntryTraderIdParam(cancelGridElement, null, false);
+ executor.cancelConditionalOrder(longOrderId, oid -> {
+ log.info("[Gate] 多仓仓位归零, 取消gridId:{}的多单,{}", cancelGridElement.getId(),longOrderId);
+ });
+ }
}
}
}
}
+
}
private void processLongGrid(BigDecimal currentPrice) {
- int prec = config.getPriceScale();
- List<BigDecimal> matched = new ArrayList<>();
- synchronized (longPriceQueue) {
- for (BigDecimal p : longPriceQueue) {
+ BigDecimal matched = BigDecimal.ZERO;
+ synchronized (totalShortPriceQueue) {
+ for (BigDecimal p : totalShortPriceQueue) {
if (p.compareTo(currentPrice) <= 0) {
- matched.add(p);
+ matched = p;
} else {
break;
}
}
- }
- if (matched.isEmpty()) {
- return;
- }
-
- log.info("[Gate] 多仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
-
- /**
- * 匹配到元素后，
- * 多仓队列更新
- * 空仓队列更新
- */
- synchronized (longPriceQueue) {
- longPriceQueue.removeAll(matched);
- BigDecimal max = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(longPriceQueue.size() - 1);
- BigDecimal gridStep = config.getStep();
- for (int i = 0; i < matched.size(); i++) {
- max = max.add(gridStep).setScale(prec, RoundingMode.HALF_UP);
- longPriceQueue.add(max);
+ log.info("[Gate-3] 空仓仓位归零 多仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
+ if (BigDecimal.ZERO.compareTo( matched) == 0) {
+ return;
}
- longPriceQueue.sort(BigDecimal::compareTo);
- }
- synchronized (shortPriceQueue) {
- BigDecimal first = shortPriceQueue.isEmpty() ? matched.get(0) : shortPriceQueue.get(0);
- BigDecimal gridStep = config.getStep();
- for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.add(gridStep.multiply(BigDecimal.valueOf(i))).setScale(prec, RoundingMode.HALF_UP);
- shortPriceQueue.add(elem);
- }
- shortPriceQueue.sort((a, b) -> b.compareTo(a));
- while (shortPriceQueue.size() > config.getGridQueueSize()) {
- shortPriceQueue.remove(shortPriceQueue.size() - 1);
- }
- }
- if (!isMarginSafe()) {
- log.warn("[Gate] 保证金超限，跳过挂条件单");
- } else {
+ GridElement matchedUpGridElement = GridElement.findByPrice(matched);
+ if (matchedUpGridElement != null){
+ if(!matchedUpGridElement.isHasShortOrder()){
+ Integer downId = matchedUpGridElement.getDownId();
+ GridElement newEntryGrid = GridElement.findById(downId);
- /**
- * 下一个开仓位置
- * 获取队列第一个元素的价格对应的网格
- * 判断网格是否能开多仓，如果不能则跳过
- * 前进方向挂多仓条件单
- * 后置方向挂多空条件单
- */
- //下一个开仓位置
- BigDecimal newLongFirst = longPriceQueue.get(0);
- GridElement UpGridElement = GridElement.findByPrice(newLongFirst);
+ if (newEntryGrid != null) {
+ log.info("[Gate-4] 空仓仓位归零 多仓队列触发, 匹配：{}，当前价：{}", matched, currentPrice);
+ if (!newEntryGrid.isHasShortOrder()){
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ String size = config.getBaseQuantity();
+ log.info("[Gate] 空仓仓位归零 gridId:{}, 挂{}基础张多单",
+ newEntryGrid.getId(), size);
+ newEntryGrid.getShortTraderParam().setQuantity(size);
+ placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size));
+ }
- // 判断网格是否能开多仓，如果不能则跳过
- if (UpGridElement != null) {
+ GridElement cancelGridElement = GridElement.findById(newEntryGrid.getDownId());
+ /**
+ * 看是否有空仓挂单，有就取消
+ */
+ if (cancelGridElement != null && cancelGridElement.isHasShortOrder()) {
+ String shortOrderId = cancelGridElement.getShortOrderId();
+ shortEntryTraderIdParam(cancelGridElement, null, false);
+ executor.cancelConditionalOrder(shortOrderId, oid -> {
+ log.info("[Gate] 空仓仓位归零, 取消gridId:{}的多单{}", cancelGridElement.getId(),shortOrderId);
+ });
+ }
- 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
- );
- }
-
- 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
- ){
- executor.placeConditionalEntryOrder(
- downLongTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- config.getQuantity(),
- orderId ->
- {
- longEntryTraderIdParam(
- downGridElement,
- orderId,
- true
- );
- },
- null
- );
-
- }
-
- TraderParam shortTraderParam = downGridElement.getShortTraderParam();
- if (
- !downGridElement.isHasShortOrder() &&
- downGridPrice.compareTo(shortEntryPrice) >= 0
- ){
-
- executor.placeConditionalEntryOrder(
- shortTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- negate(config.getQuantity()),
- orderId ->
- {
- shortEntryTraderIdParam(
- downGridElement,
- orderId,
- true
- );
- },
- null
- );
}
}
}
}
}
- // ---- 保证金安全阀 ----
+ private void handleLongStopLossTriggered(GridElement gridElement) {
+ gridElement.setLongStopLossOrderId(null);
- /**
- * 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;
+ int gridId = gridElement.getId();
+ log.info("[Gate] 多仓止损触发 gridId:{}, 开始追单", gridId);
+ int newEntryGridId = gridId + 1;
+
+ GridElement newEntryGrid = GridElement.findById(newEntryGridId);
+ if (newEntryGrid == null) {
+ log.warn("[Gate] 多仓止损触发 but gridId:{} 不存在", newEntryGridId);
+ GridElement.refreshIndices();
+ return;
+ }
+
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ String size = config.getBaseQuantity();
+ log.info("[Gate] 多仓止损触发 gridId:{}, 在gridId:{}挂{}基础张多单=",
+ gridId, newEntryGridId, size);
+ placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, size);
+ }
+
+ private void handleShortStopLossTriggered(GridElement gridElement) {
+ gridElement.setShortStopLossOrderId(null);
+
+ int gridId = gridElement.getId();
+ log.info("[Gate] 空仓止损触发 gridId:{}, 开始追单", gridId);
+ int newEntryGridId = gridId - 1;
+
+ GridElement newEntryGrid = GridElement.findById(newEntryGridId);
+ if (newEntryGrid == null) {
+ log.warn("[Gate] 空仓止损触发 but gridId:{} 不存在", newEntryGridId);
+ GridElement.refreshIndices();
+ return;
+ }
+
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ String size =config.getBaseQuantity();
+ log.info("[Gate] 空仓止损触发 gridId:{}, 在gridId:{}挂{}基础张空单",
+ gridId, newEntryGridId, size);
+ newEntryGrid.getShortTraderParam().setQuantity(size);
+ placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size));
+ }
+
+ private void extendLongStopLoss(int filledQty) {
+ int furthestSlId = filledQty - 2;
+ log.info("[Gate] 多仓追挂止损, 当前最远止损gridId:{}", furthestSlId);
+ GridElement elem = GridElement.findById(furthestSlId);
+ if (elem != null) {
+ BigDecimal triggerPrice = elem.getGridPrice();
+ int finalSlId = elem.getId();
+ String size = config.getBaseQuantity();
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ ORDER_TYPE_CLOSE_LONG,
+ negate(size),
+ profitId -> {
+ elem.setLongStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 多仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId);
+ }
+ );
+ }
+ }
+
+ private void extendShortStopLoss(int filledQty) {
+ int furthestSlId = filledQty + 2;
+ log.info("[Gate] 空仓追挂止损, 当前最远止损gridId:{}", furthestSlId);
+ GridElement elem = GridElement.findById(furthestSlId);
+ if (elem != null) {
+ BigDecimal triggerPrice = elem.getGridPrice();
+ int finalSlId = elem.getId();
+ String size = config.getBaseQuantity();
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ ORDER_TYPE_CLOSE_SHORT,
+ size,
+ profitId -> {
+ elem.setShortStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 空仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId);
+ }
+ );
}
}
@@ -1323,6 +1055,50 @@
*/
private String negate(String qty) {
return qty.startsWith("-") ? qty.substring(1) : "-" + qty;
+ }
+
+ /**
+ * 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);
+ }
+ );
}
/**
@@ -1382,4 +1158,6 @@
public Long getUserId() { return userId; }
/** @return 当前策略状态 */
public StrategyState getState() { return state; }
+ /** 注入WS客户端，用于订阅状态检查 */
+ public void setWsClient(GateKlineWebSocketClient wsClient) { this.wsClient = wsClient; }
}
--
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