From 526dc9bd7e7e71e5e18c4dd966d3996e628ae6fa Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Thu, 21 May 2026 10:14:33 +0800
Subject: [PATCH] fix(gateApi): 更新网格交易盈亏计算逻辑
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 1042 ++++++++++++++++++++++++++++++++++++++++++++-------------
1 files changed, 801 insertions(+), 241 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 e791e63..4fd0216 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -1,5 +1,6 @@
package com.xcong.excoin.modules.gateApi;
+import cn.hutool.core.collection.CollUtil;
import io.gate.gateapi.ApiClient;
import io.gate.gateapi.ApiException;
import io.gate.gateapi.GateApiException;
@@ -13,61 +14,73 @@
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;
+import com.xcong.excoin.modules.gateApi.wsHandler.handler.PositionsChannelHandler;
/**
- * Gate 网格交易服务 — 策略核心。
+ * 网格交易策略引擎 — 多空对冲网格。
*
- * <h3>策略</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>策略原理</h3>
+ * 以空仓基底入场价（shortBaseEntryPrice）为价格基准，向上/向下各生成一个价格网格队列。
+ * 价格触发网格层级时挂条件单，成交后自动挂止盈单。每笔止盈盈利 = step - minTick。
*
- * <h3>未实现盈亏公式（正向合约）</h3>
+ * <h3>完整生命周期</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:
- * ├─ 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
+ * init() → startGrid() → WAITING_KLINE
+ * ↓
+ * onKline(首根K线) → OPENING → 异步市价双开基底（开多+开空）
+ * ↓
+ * onPositionUpdate() → 基底成交 → baseLongOpened && baseShortOpened
+ * ↓
+ * tryGenerateQueues()
+ * ├── generateShortQueue() ← 空仓价格队列（降序，从 shortBaseEntryPrice-step 向下）
+ * ├── generateLongQueue() ← 多仓价格队列（升序，从 shortBaseEntryPrice+step 向上）
+ * ├── updateGridElements() ← 构建 GridElement 列表 + TraderParam + 全局索引
+ * ├── 挂基座止盈单（ID=0 的 long/short takeProfit）
+ * └── 挂初始条件单（up=-1 多单, down=1 空单）
+ * ↓
+ * state = ACTIVE（每根K线反复执行以下循环）
+ * ↓
+ * onKline() → processLongGrid() + processShortGrid()
+ * ├── 匹配队列元素 → 队列补偿 → 保证金检查
+ * ├── 首元素方向：挂条件开仓单 → 订单ID + GridElement状态同步
+ * └── 反向守卫：在 downGrid 位置挂对向单（价格区间+trigger方向校验）
+ * ↓
+ * onOrderUpdate() ← futures.orders / futures.autoorders 推送
+ * ├── 匹配止盈单ID → 清空止盈状态（已成交）
+ * └── 匹配挂单ID → 挂止盈条件单 → 止盈ID + GridElement状态同步
+ * ↓
+ * onPositionClose() → cumulativePnl 累加
+ * ├── ≥ overallTp → STOPPED
+ * └── ≤ -maxLoss → STOPPED
* </pre>
*
- * <h3>队列转移规则</h3>
- * 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>仓位线动态调整</h3>
+ * <pre>
+ * onPositionUpdate() 中仓位均价变化后：
+ * longEntryPrice ↑ → 取消 高于 longEntryPrice 的空仓挂单（避免逆势空单）
+ * shortEntryPrice ↓ → 取消 低于 shortEntryPrice 的多仓挂单（避免逆势多单）
+ * </pre>
*
- * <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>关键公式</h3>
+ * <pre>
+ * step = shortBaseEntryPrice × gridRate ← 网格绝对步长
+ * minTick = 10^(-priceScale) ← 交易所最小价格单位
+ * 多止盈 = gridPrice + (step - minTick) ← 多仓止盈价
+ * 空止盈 = gridPrice - (step - minTick) ← 空仓止盈价
+ * 单笔盈利 = (step - minTick) × contractMultiplier × quantity ← USDT
+ * </pre>
*
- * <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。
+ * <h3>线程模型</h3>
+ * 所有 WS 回调（onKline/onPositionUpdate/onOrderUpdate 等）在 WS 回调线程中串行执行。
+ * 下单/撤单操作提交到 GateTradeExecutor 的单线程池异步执行，避免阻塞 WS 线程。
+ * stopGrid() 会将 state 设为 STOPPED，后续所有 WS 回调直接返回不再处理。
*
* @author Administrator
*/
@@ -103,19 +116,14 @@
/** 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;
+ /** 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;
@@ -294,10 +302,8 @@
shortActive = false;
shortPriceQueue.clear();
longPriceQueue.clear();
- longTakeProfitQueue.clear();
- shortTakeProfitQueue.clear();
- currentLongOrderId = null;
- currentShortOrderId = null;
+ currentLongOrderIds.clear();
+ currentShortOrderIds.clear();
log.info("[Gate] 网格策略已启动");
}
@@ -339,26 +345,31 @@
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) {
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) -> {
+ TraderParam baseLongTp = TraderParam.builder()
+ .entryOrderId(orderId)
+ .build();
+ config.setBaseLongTraderParam(baseLongTp);
}, null);
- executor.openShort(negate(config.getQuantity()), () -> {
- log.info("[Gate] 基底空单已提交");
+ executor.openShort(negate(config.getQuantity()), (orderId) -> {
+ TraderParam baseShortTp = TraderParam.builder()
+ .entryOrderId(orderId)
+ .build();
+ config.setBaseShortTraderParam(baseShortTp);
}, null);
+
return;
}
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);
- }
+ processLongGrid(closePrice);
+ processShortGrid(closePrice);
}
// ---- 仓位推送回调 ----
@@ -371,11 +382,14 @@
* <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
@@ -401,26 +415,37 @@
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();
+ }else {
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);
+ //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.cancelConditionalOrder(
+ e.getShortOrderId(),
+ orderId -> {
+ shortEntryTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+
+ if (e.getShortTakeProfitOrderId() != null){
+ executor.cancelConditionalOrder(
+ e.getShortTakeProfitOrderId(),
+ orderId -> {
+ shortTakeProfitTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+ }
}
- 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;
@@ -436,27 +461,36 @@
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 {
+ }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.cancelConditionalOrder(
+ e.getLongOrderId(),
+ orderId -> {
+ longEntryTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+ if (e.getLongTakeProfitOrderId() != null){
+ executor.cancelConditionalOrder(
+ e.getLongTakeProfitOrderId(),
+ orderId -> {
+ longTakeProfitTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+ }
+ }
+ }
}
} else {
shortActive = false;
@@ -483,14 +517,236 @@
return;
}
cumulativePnl = cumulativePnl.add(pnl);
- log.info("[Gate] 盈亏累加:{}, 方向:{}, 累计:{}", pnl, side, cumulativePnl);
+ BigDecimal totalPnl = cumulativePnl.add(unrealizedPnl);
+ log.info("[Gate] 盈亏累加:{}, 方向:{}, 已实现:{}, 未实现:{}, 合计:{}",
+ pnl, side, cumulativePnl, unrealizedPnl, totalPnl);
- if (cumulativePnl.compareTo(config.getOverallTp()) >= 0) {
- log.info("[Gate] 已达止盈目标 {}→已停止", cumulativePnl);
+ if (totalPnl.compareTo(config.getOverallTp()) >= 0) {
+ log.info("[Gate] 已达止盈目标(合计{})→已停止, 已实现:{}, 未实现:{}",
+ totalPnl, cumulativePnl, unrealizedPnl);
state = StrategyState.STOPPED;
- } else if (cumulativePnl.compareTo(config.getMaxLoss().negate()) <= 0) {
- log.info("[Gate] 已达亏损上限 {}→已停止", cumulativePnl);
+ } else if (totalPnl.compareTo(config.getMaxLoss().negate()) <= 0) {
+ log.info("[Gate] 已达亏损上限(合计{})→已停止, 已实现:{}, 未实现:{}",
+ totalPnl, cumulativePnl, unrealizedPnl);
state = StrategyState.STOPPED;
+ }
+ }
+
+ // ---- 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。
+ * 由 {@link com.xcong.excoin.modules.gateApi.wsHandler.handler.AutoOrdersChannelHandler}
+ * 在收到 {@code futures.autoorders} 推送时调用。
+ *
+ * @param orderId 条件单 ID
+ * @param status 订单状态（open / finished / cancelled）
+ * @param reason 变更原因
+ * @param orderType 订单类型（plan-close-long-position 等）
+ */
+ public void onAutoOrder(String orderId, String status, String reason, String orderType, String tradeId) {
+ if (state == StrategyState.STOPPED) {
+ return;
+ }
+ log.info("[Gate] 条件单状态变更, id:{}, status:{}, reason:{}, order_type:{}",
+ orderId, status, reason, orderType);
+ if (!"finished".equals(status)) {
+ return;
+ }
+
+ /**
+ * 匹配止盈单止盈
+ */
+ GridElement 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() && !tradeId.equals("0")){
+ 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() && !tradeId.equals("0")){
+ 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());
+ }
+ }
+ }
}
}
@@ -498,34 +754,149 @@
/**
* 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。
+ * <ol>
+ * <li>生成空仓价格队列（降序）和多仓价格队列（升序）</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) {
+ //初始化空仓队列
generateShortQueue();
+ //初始化多仓队列
generateLongQueue();
+ //初始化网格数据
+ updateGridElements();
- 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);
+ /**
+ * 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
+ );
+ }
+ );
- executor.placeGridLimitOrder(longPriceQueue.get(0), config.getQuantity(),
- orderId -> { currentLongOrderId = orderId; log.info("[Gate] 初始限价多单已挂, id:{}", orderId); },
+ /**
+ * 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);
- executor.placeGridLimitOrder(shortPriceQueue.get(0), negate(config.getQuantity()),
- orderId -> { currentShortOrderId = orderId; log.info("[Gate] 初始限价空单已挂, id:{}", orderId); },
+ 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);
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);
}
+ }
+
+ /**
+ * 更新基座止盈信息，将止盈价、订单ID等写入 TraderParam 并回填到 ID=0 的网格元素中。
+ */
+ private void longTakeProfitTraderIdParam(
+ GridElement baseElement,String profitId, boolean flag
+ ) {
+ TraderParam tp = baseElement.getLongTraderParam();
+ tp.setTakeProfitOrderId(profitId);
+ tp.setTakeProfitPlaced(flag);
+ baseElement.setLongTakeProfitOrderId(profitId);
+ GridElement.refreshIndices();
+ }
+ private void shortTakeProfitTraderIdParam(
+ GridElement baseElement,String profitId, boolean flag
+ ) {
+ TraderParam tp = baseElement.getShortTraderParam();
+ tp.setTakeProfitOrderId(profitId);
+ tp.setTakeProfitPlaced(flag);
+ baseElement.setShortTakeProfitOrderId(profitId);
+ GridElement.refreshIndices();
+ }
+
+ private void longEntryTraderIdParam(
+ GridElement baseElement,String entryId,boolean flag
+ ) {
+ TraderParam tp = baseElement.getLongTraderParam();
+ tp.setEntryOrderId(entryId);
+ tp.setEntryOrderPlaced(flag);
+ baseElement.setHasLongOrder(flag);
+ baseElement.setLongOrderId(entryId);
+ GridElement.refreshIndices();
+ }
+
+ private void shortEntryTraderIdParam(
+ GridElement baseElement, String entryId, boolean flag
+ ) {
+ TraderParam tp = baseElement.getShortTraderParam();
+ tp.setEntryOrderId(entryId);
+ tp.setEntryOrderPlaced(flag);
+ baseElement.setHasShortOrder(flag);
+ baseElement.setShortOrderId(entryId);
+ GridElement.refreshIndices();
}
/**
@@ -536,13 +907,17 @@
*/
private void generateShortQueue() {
shortPriceQueue.clear();
- BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
+ int prec = config.getPriceScale();
+ BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(prec, RoundingMode.HALF_UP);
config.setStep(step);
- BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(1, RoundingMode.HALF_UP);
- for (int i = 0; i < config.getGridQueueSize(); i++) {
- shortPriceQueue.add(elem);
- elem = elem.subtract(step).setScale(1, RoundingMode.HALF_UP);
- }
+ BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(prec, RoundingMode.HALF_UP);
+ for (int i = 0; i < config.getGridQueueSize(); i++) {
+ shortPriceQueue.add(elem);
+ elem = elem.subtract(step).setScale(prec, RoundingMode.HALF_UP);
+ if (elem.compareTo(BigDecimal.ZERO) <= 0) {
+ break;
+ }
+ }
shortPriceQueue.sort((a, b) -> b.compareTo(a));
log.info("[Gate] 空队列:{}", shortPriceQueue);
}
@@ -554,49 +929,139 @@
*/
private void generateLongQueue() {
longPriceQueue.clear();
+ int prec = config.getPriceScale();
BigDecimal step = config.getStep();
- BigDecimal elem = shortBaseEntryPrice.add(step).setScale(1, RoundingMode.HALF_UP);
+ BigDecimal elem = shortBaseEntryPrice.add(step).setScale(prec, RoundingMode.HALF_UP);
for (int i = 0; i < config.getGridQueueSize(); i++) {
longPriceQueue.add(elem);
- elem = elem.add(step).setScale(1, RoundingMode.HALF_UP);
+ elem = elem.add(step).setScale(prec, RoundingMode.HALF_UP);
}
longPriceQueue.sort(BigDecimal::compareTo);
log.info("[Gate] 多队列:{}", longPriceQueue);
}
/**
- * 空仓网格处理（价格跌破空仓队列中的高价）。
+ * 根据当前多空价格队列同步构建网格元素列表，写入 config。
*
- * <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>ID 分配规则</h3>
+ * <ul>
+ * <li>空仓队列：id 从 -1 自减（-1, -2, -3...），第一个元素 upId=0，最后一个 downId=null</li>
+ * <li>位置 0：gridPrice=shortBaseEntryPrice，upId=-1，downId=1，其数据在基座开仓时更新</li>
+ * <li>多仓队列：id 从 1 自增（1, 2, 3...），第一个元素 upId=0，最后一个 downId=null</li>
+ * </ul>
*
- * <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）。
+ * <h3>链表关系</h3>
+ * 所有元素通过 upId/downId 串成一条双向链表：
+ * ... → -3 → -2 → -1 → 0 → 1 → 2 → 3 → ...
*/
+ private void updateGridElements() {
+ List<GridElement> elements = new ArrayList<>();
+ int shortSize = shortPriceQueue.size();
+ 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();
+
+ // 空仓队列：id 从 -1 自减, shortPriceQueue[i] → id=-(i+1)
+ for (int i = 0; i < shortSize; i++) {
+ int id = -(i + 1);
+ Integer upId = (i == 0) ? 0 : id + 1;
+ Integer downId = (i == shortSize - 1) ? null : id - 1;
+ BigDecimal price = shortPriceQueue.get(i);
+ TraderParam longParam = TraderParam.builder()
+ .direction(TraderParam.Direction.LONG)
+ .entryPrice(price)
+ .takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ TraderParam shortParam = TraderParam.builder()
+ .direction(TraderParam.Direction.SHORT)
+ .entryPrice(price)
+ .takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ elements.add(GridElement.builder()
+ .id(id)
+ .gridPrice(price)
+ .upId(upId)
+ .downId(downId)
+ .longTraderParam(longParam)
+ .shortTraderParam(shortParam)
+ .build());
+ }
+
+ // 位置 0：基底价格，数据在基座开仓时更新
+ {
+ BigDecimal price = shortBaseEntryPrice;
+ TraderParam longParam = TraderParam.builder()
+ .direction(TraderParam.Direction.LONG)
+ .entryPrice(price)
+ .takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ TraderParam shortParam = TraderParam.builder()
+ .direction(TraderParam.Direction.SHORT)
+ .entryPrice(price)
+ .takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ elements.add(GridElement.builder()
+ .id(0)
+ .gridPrice(price)
+ .upId(shortSize > 0 ? 1 : null)
+ .downId(longSize > 0 ? -1 : null)
+ .longTraderParam(longParam)
+ .shortTraderParam(shortParam)
+ .build());
+ }
+
+ // 多仓队列：id 从 1 自增, longPriceQueue[i] → id=i+1
+ for (int i = 0; i < longSize; i++) {
+ int id = i + 1;
+ Integer downId = (i == 0) ? 0 : id - 1;
+ Integer upId = (i == longSize - 1) ? null : id + 1;
+ BigDecimal price = longPriceQueue.get(i);
+ TraderParam longParam = TraderParam.builder()
+ .direction(TraderParam.Direction.LONG)
+ .entryPrice(price)
+ .takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ TraderParam shortParam = TraderParam.builder()
+ .direction(TraderParam.Direction.SHORT)
+ .entryPrice(price)
+ .takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ elements.add(GridElement.builder()
+ .id(id)
+ .gridPrice(price)
+ .upId(upId)
+ .downId(downId)
+ .longTraderParam(longParam)
+ .shortTraderParam(shortParam)
+ .build());
+ }
+
+ config.setGridElements(elements);
+ log.info("[Gate] 网格元素列表已构建, 共{}个元素 (空仓:{} 位置:0 多仓:{})", elements.size(), shortSize, longSize);
+ }
+
private void processShortGrid(BigDecimal currentPrice) {
+ int prec = config.getPriceScale();
List<BigDecimal> matched = new ArrayList<>();
synchronized (shortPriceQueue) {
for (BigDecimal p : shortPriceQueue) {
- if (p.compareTo(currentPrice) > 0) {
+ if (p.compareTo(currentPrice) >= 0) {
matched.add(p);
} else {
break;
}
}
}
- 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);
@@ -606,156 +1071,251 @@
BigDecimal min = shortPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : shortPriceQueue.get(shortPriceQueue.size() - 1);
BigDecimal gridStep = config.getStep();
for (int i = 0; i < matched.size(); i++) {
- min = min.subtract(gridStep).setScale(1, RoundingMode.HALF_UP);
+ min = min.subtract(gridStep).setScale(prec, RoundingMode.HALF_UP);
shortPriceQueue.add(min);
- 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);
+ BigDecimal elem = first.subtract(gridStep.multiply(BigDecimal.valueOf(i))).setScale(prec, 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");
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
} 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);
+ /**
+ * 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
+ );
+ }
+ }
+ }
}
}
- /**
- * 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) {
+ int prec = config.getPriceScale();
List<BigDecimal> matched = new ArrayList<>();
synchronized (longPriceQueue) {
for (BigDecimal p : longPriceQueue) {
- if (p.compareTo(currentPrice) < 0) {
+ if (p.compareTo(currentPrice) <= 0) {
matched.add(p);
} else {
break;
}
}
}
- 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;
}
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(1, RoundingMode.HALF_UP);
+ max = max.add(gridStep).setScale(prec, 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 gridStep = config.getStep();
for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.add(gridStep.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP);
+ BigDecimal elem = first.add(gridStep.multiply(BigDecimal.valueOf(i))).setScale(prec, RoundingMode.HALF_UP);
shortPriceQueue.add(elem);
- 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);
}
-
- 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");
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
} 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);
+ /**
+ * 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);
+
+ // 判断网格是否能开多仓，如果不能则跳过
+ if (UpGridElement != null) {
+
+ if (!UpGridElement.isHasLongOrder()) {
+ //挂多仓条件单
+ TraderParam upLongTraderParam = UpGridElement.getLongTraderParam();
+ executor.placeConditionalEntryOrder(
+ upLongTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ config.getQuantity(),
+ orderId ->
+ {
+ longEntryTraderIdParam(
+ UpGridElement,
+ orderId,
+ true
+ );
+ },
+ null
+ );
+ }
+
+ 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
+ );
+ }
+ }
+ }
}
}
--
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