From 7bfe2cff1fadeffc71b77dc366a0b80c526d46b2 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Mon, 21 Sep 2026 09:54:56 +0800
Subject: [PATCH] feat(gate): 添加网格交易手动控制功能
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 2580 +++++++++++++++++++++++++++++++++++++++++++++++++++++------
1 files changed, 2,297 insertions(+), 283 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 a09714d..3b1fde1 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 +1,8 @@
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;
@@ -11,63 +14,72 @@
import java.io.IOException;
import java.math.BigDecimal;
import java.math.RoundingMode;
-import java.util.ArrayList;
-import java.util.Collections;
-import java.util.List;
+import java.util.*;
+import java.util.concurrent.atomic.AtomicBoolean;
+import java.util.concurrent.atomic.AtomicInteger;
+
+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，基价×(1−gridRate) 等比向下）
+ * ├── generateLongQueue() ← 多仓价格队列（升序，基价×(1+gridRate) 等比向上）
+ * ├── 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 ← 首档间距（0档与±1档的距离度量）
+ * minTick = 10^(-priceScale) ← 交易所最小价格单位
+ * 等比网格: 下一档 = 本档 × (1 ± gridRate) ← 向下×(1−r)，向上×(1+r)
+ * 止盈价 = 本档价 × (1 ± gridRate)（与相邻网格价联动） ← 多仓向上，空仓向下
+ * 单笔盈利 ≈ 档价 × gridRate × contractMultiplier × quantity（随网格位置浮动）
+ * </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
*/
@@ -92,6 +104,8 @@
private static final String ORDER_TYPE_CLOSE_SHORT = "plan-close-short-position";
private final GateConfig config;
+ private final StatsEventProducer statsProducer;
+ private String apiKeyMd5;
private final GateTradeExecutor executor;
private final FuturesApi futuresApi;
private static final String SETTLE = "usdt";
@@ -102,10 +116,17 @@
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<>());
+ /** 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;
@@ -117,6 +138,20 @@
/** 多头是否活跃（有仓位） */
private volatile boolean longActive = false;
+ /** 当前已完成轮数，每次盈利重启时+1 */
+ private volatile int currentRound = 0;
+
+ /** 多头累计止损次数（始终递增，加仓订单成交后归零） */
+ private volatile int accumulatedLongLossCount = 0;
+ /** 空头累计止损次数（始终递增，加仓订单成交后归零） */
+ private volatile int accumulatedShortLossCount = 0;
+ /** 最近触发止损的多头网格ID */
+ private volatile int lastLongStopLossGridId = Integer.MAX_VALUE;
+ /** 最近触发止损的空头网格ID */
+ private volatile int lastShortStopLossGridId = Integer.MAX_VALUE;
+ /** 自定义止损模式激活标记：true=尚未发生第一次止损触发，第一次触发后置 false（触发未触发侧重挂默认） */
+ private final AtomicBoolean customStopLossModeActive = new AtomicBoolean(false);
+
private volatile BigDecimal lastKlinePrice;
private volatile BigDecimal markPrice = BigDecimal.ZERO;
private volatile BigDecimal cumulativePnl = BigDecimal.ZERO;
@@ -127,9 +162,13 @@
private volatile BigDecimal shortPositionSize = BigDecimal.ZERO;
private Long userId;
private volatile BigDecimal initialPrincipal = BigDecimal.ZERO;
+ /** 上次 PNL 快照时间（毫秒），用于控制 PNL_SNAPSHOT 埋点频率 */
+ private volatile long lastPnlSnapshotTime = 0;
+ private volatile GateKlineWebSocketClient wsClient;
- public GateGridTradeService(GateConfig config) {
+ public GateGridTradeService(GateConfig config, StatsEventProducer statsProducer) {
this.config = config;
+ this.statsProducer = statsProducer;
ApiClient apiClient = new ApiClient();
apiClient.setBasePath(config.getRestBasePath());
apiClient.setApiKeySecret(config.getApiKey(), config.getApiSecret());
@@ -139,6 +178,20 @@
// ---- 初始化 ----
+ /**
+ * 初始化策略环境。
+ *
+ * <h3>执行顺序</h3>
+ * <ol>
+ * <li>获取用户 ID（用于私有频道订阅 payload）</li>
+ * <li>获取账户信息 → 记录初始本金</li>
+ * <li>如需要，切换为双向持仓模式</li>
+ * <li>如需要，调整持仓模式（single/dual）</li>
+ * <li>清除旧的止盈止损条件单</li>
+ * <li>平掉所有已有仓位</li>
+ * <li>设置杠杆倍数</li>
+ * </ol>
+ */
public void init() {
try {
ApiClient detailClient = new ApiClient();
@@ -194,6 +247,19 @@
}
}
+ /**
+ * 平掉当前合约的所有已有仓位。
+ *
+ * <h3>平仓策略</h3>
+ * <ul>
+ * <li>单向持仓：size=相反数，reduceOnly=true，市价 IOC 平仓</li>
+ * <li>双向持仓：size=0，close=false，autoSize=LONG/SHORT，reduceOnly=true，市价 IOC 全平</li>
+ * </ul>
+ *
+ * <h3>注意事项</h3>
+ * 双向持仓模式下必须使用 autoSize 参数，不能直接传负数 size，
+ * 否则 Gate API 会拒绝（双向模式下空头 size 为负是正常的持仓方向）。
+ */
private void closeExistingPositions() {
try {
List<Position> positions = futuresApi.listPositions(SETTLE).execute();
@@ -232,8 +298,50 @@
}
}
+ // ---- 埋点 ----
+
+ private String apiKeyMd5() {
+ if (apiKeyMd5 == null) {
+ try {
+ java.security.MessageDigest md = java.security.MessageDigest.getInstance("MD5");
+ byte[] digest = md.digest(config.getApiKey().getBytes(java.nio.charset.StandardCharsets.UTF_8));
+ StringBuilder sb = new StringBuilder();
+ for (byte b : digest) sb.append(String.format("%02x", b));
+ apiKeyMd5 = sb.toString();
+ } catch (Exception e) {
+ apiKeyMd5 = Integer.toHexString(config.getApiKey().hashCode());
+ }
+ }
+ return apiKeyMd5;
+ }
+
+ private void emitStats(String type, Object payload) {
+ if (statsProducer == null) return;
+ try {
+ statsProducer.sendStats(statsProducer.newStats(type, apiKeyMd5(), payload));
+ } catch (Exception e) {
+ log.warn("[Gate] 埋点发送失败, type={}", type, e);
+ }
+ }
+
+ /**
+ * Java 8 兼容的 Map 构造工具（Map.of 为 Java 9 API，此处手动实现）。
+ * 接受偶数个参数：key1, value1, key2, value2, ...
+ */
+ private static Map<String, Object> mapOf(Object... kv) {
+ Map<String, Object> m = new LinkedHashMap<>();
+ for (int i = 0; i < kv.length; i += 2) {
+ m.put((String) kv[i], kv[i + 1]);
+ }
+ return m;
+ }
+
// ---- 启动/停止 ----
+ /**
+ * 启动网格策略。重置所有状态变量和队列，进入 WAITING_KLINE 等待首根 K 线。
+ * 仅当当前状态为 WAITING_KLINE 或 STOPPED 时才允许启动。
+ */
public void startGrid() {
if (state != StrategyState.WAITING_KLINE && state != StrategyState.STOPPED) {
log.warn("[Gate] 策略已在运行中, state:{}", state);
@@ -249,50 +357,245 @@
shortPositionSize = BigDecimal.ZERO;
baseLongOpened = false;
baseShortOpened = false;
+ config.setBaseLongTraderParam(null);
+ config.setBaseShortTraderParam(null);
longActive = false;
shortActive = false;
+ accumulatedLongLossCount = 0;
+ accumulatedShortLossCount = 0;
+ lastLongStopLossGridId = Integer.MAX_VALUE;
+ lastShortStopLossGridId = Integer.MAX_VALUE;
+ customStopLossModeActive.set(false);
shortPriceQueue.clear();
longPriceQueue.clear();
- log.info("[Gate] 网格策略已启动");
+ totalShortPriceQueue.clear();
+ totalLongPriceQueue.clear();
+ currentLongOrderIds.clear();
+ currentShortOrderIds.clear();
+ // 每次重启重新获取当前本金
+ refreshInitialPrincipal();
+ currentRound = 0;
+
+ log.info("[Gate] 网格策略已启动, 当前本金: {} USDT", initialPrincipal);
+
+ // 埋点: STRATEGY_START — 附全量配置快照
+ GateConfigDTO snapshot = GateConfigDTO.from(config);
+ Map<String, Object> params = snapshot.toParamsMap();
+ params.put("principal", initialPrincipal.toPlainString());
+ params.put("contract", config.getContract());
+ emitStats("STRATEGY_START", params);
}
+ /**
+ * 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);
+ }
+ }
+
+ /**
+ * 停止网格策略。取消所有条件单 → 关闭交易线程池。
+ * 状态设为 STOPPED，K 线回调将直接返回不再处理。
+ */
public void stopGrid() {
state = StrategyState.STOPPED;
+
+ // 埋点: STRATEGY_STOP
+ emitStats("STRATEGY_STOP", mapOf(
+ "reason", "manual",
+ "rounds", currentRound,
+ "pnl", cumulativePnl.toPlainString()
+ ));
+
executor.cancelAllPriceTriggeredOrders();
+ closeExistingPositions();
executor.shutdown();
log.info("[Gate] 策略已停止, 累计盈亏: {}", cumulativePnl);
}
// ---- K线回调 ----
+ /**
+ * K 线回调入口。由 {@link CandlestickChannelHandler} 在收到 WebSocket K 线推送时调用。
+ *
+ * <h3>处理流程</h3>
+ * <ol>
+ * <li>更新 lastKlinePrice → 计算 unrealizedPnl（浮动盈亏）</li>
+ * <li>STOPPED → 直接返回（仅保留盈亏更新）</li>
+ * <li>WAITING_KLINE → 切换为 OPENING → 异步提交基底双开（开多+开空）</li>
+ * <li>OPENING → 等待仓位推送回调生成队列，此处返回</li>
+ * <li>ACTIVE → 执行 processShortGrid + processLongGrid</li>
+ * </ol>
+ *
+ * <h3>注意</h3>
+ * 基底双开下单提交到 GateTradeExecutor 的独立线程池中异步执行，
+ * 成交状态由 onPositionUpdate 回调驱动，不阻塞 WS 回调线程。
+ *
+ * @param closePrice K 线收盘价（即当前最新成交价）
+ */
public void onKline(BigDecimal closePrice) {
+
+// log.info("当前价：{}", 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(), () -> {
- log.info("[Gate] 基底多单已提交");
+
+ 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);
+ tryGenerateQueues();
}, null);
- executor.openShort(negate(config.getQuantity()), () -> {
- log.info("[Gate] 基底空单已提交");
+ executor.openShort(negate(size), (orderId) -> {
+ TraderParam baseShortTp = TraderParam.builder()
+ .entryOrderId(orderId)
+ .build();
+ config.setBaseShortTraderParam(baseShortTp);
+ tryGenerateQueues();
}, null);
return;
}
- if (state != StrategyState.ACTIVE) {
+ // 异步检查盈亏，避免 REST 调用阻塞 WS 心跳导致 Socket closed
+ executor.submitTask(this::checkProfitAndReset);
+
+ if (state == StrategyState.ACTIVE &&
+ config.isPriceDriveEnabled() &&
+ longActive == false &&
+ longPositionSize.compareTo(BigDecimal.ZERO) == 0){
+ processShortGrid(closePrice);
+ }
+
+
+ if (state == StrategyState.ACTIVE &&
+ config.isPriceDriveEnabled() &&
+ shortActive == false &&
+ shortPositionSize.compareTo(BigDecimal.ZERO) == 0){
+ processLongGrid(closePrice);
+ }
+ }
+
+ /** Gate 永续合约 taker 费率 0.05% */
+ private static final BigDecimal TAKER_FEE_RATE = new BigDecimal("0.001");
+ private void checkProfitAndReset() {
+ if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) {
return;
}
- processShortGrid(closePrice);
- processLongGrid(closePrice);
+ try {
+
+ BigDecimal target = initialPrincipal.add(config.getExpectedProfit());
+
+ FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
+ // 预估平仓手续费 = 持仓量 × 合约乘数 × 入场价 × taker费率
+ BigDecimal multiplier = config.getContractMultiplier();
+ BigDecimal longCloseFee = BigDecimal.ZERO;
+ if (longPositionSize.compareTo(BigDecimal.ZERO) > 0 && longEntryPrice.compareTo(BigDecimal.ZERO) > 0) {
+ longCloseFee = longPositionSize.multiply(multiplier).multiply(longEntryPrice).multiply(TAKER_FEE_RATE);
+ }
+ BigDecimal shortCloseFee = BigDecimal.ZERO;
+ if (shortPositionSize.compareTo(BigDecimal.ZERO) > 0 && shortEntryPrice.compareTo(BigDecimal.ZERO) > 0) {
+ shortCloseFee = shortPositionSize.multiply(multiplier).multiply(shortEntryPrice).multiply(TAKER_FEE_RATE);
+ }
+ BigDecimal estimatedCloseFee = longCloseFee.add(shortCloseFee);
+
+ BigDecimal totalEquity = new BigDecimal(account.getTotal())
+ .add(new BigDecimal(account.getUnrealisedPnl()))
+ .subtract(estimatedCloseFee);
+
+ // 埋点: PNL_SNAPSHOT — 每60秒发射一次
+ long now = System.currentTimeMillis();
+ if (now - lastPnlSnapshotTime >= 60_000) {
+ lastPnlSnapshotTime = now;
+ BigDecimal total = new BigDecimal(account.getTotal());
+ emitStats("PNL_SNAPSHOT", mapOf(
+ "cumulativePnl", cumulativePnl.toPlainString(),
+ "unrealizedPnl", new BigDecimal(account.getUnrealisedPnl()).toPlainString(),
+ "totalEquity", total.toPlainString(),
+ "markPrice", markPrice.toPlainString()
+ ));
+ }
+
+ if (totalEquity.compareTo(target) > 0) {
+ currentRound++;
+
+ // 埋点: ROUND_COMPLETE
+ emitStats("ROUND_COMPLETE", mapOf(
+ "roundNum", currentRound,
+ "totalEquity", totalEquity.toPlainString()
+ ));
+
+ int maxRounds = config.getRounds();
+ log.info("[Gate] 盈亏达标(净权益{}→含手续费-{}=实际{}>目标{})，第{}轮完成",
+ new BigDecimal(account.getTotal()).add(new BigDecimal(account.getUnrealisedPnl())),
+ estimatedCloseFee, totalEquity, target, currentRound);
+
+ if (maxRounds > 0 && currentRound >= maxRounds) {
+ log.info("[Gate] 已达到运行轮数上限({})，策略停止", maxRounds);
+ stopGrid();
+ return;
+ }
+
+ log.info("[Gate] 重置策略，开始第{}轮...", currentRound);
+ state = StrategyState.STOPPED;
+ try {
+ futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
+ } catch (ApiException e) {
+ e.printStackTrace();
+ }
+ closeExistingPositions();
+ // 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(); }
+ // 注意：startGrid() 会将 currentRound 归零，这里需要保留
+ int savedRound = currentRound;
+ startGrid();
+ currentRound = savedRound;
+ });
+ }
+ } catch (Exception e) {
+ log.warn("[Gate] 盈亏检查失败", e);
+ }
}
// ---- 仓位推送回调 ----
+ /**
+ * 仓位推送回调。由 {@link PositionsChannelHandler} 在收到 WebSocket 仓位更新时调用。
+ *
+ * <h3>处理逻辑</h3>
+ * <ul>
+ * <li><b>有仓位 (size ≠ 0)</b>：
+ * <ul>
+ * <li>首次开仓（基底）：标记 baseOpened=true，记录基底入场价，双基底都成交后生成网格队列</li>
+ * <li>仓位净减少（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>
+ * </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
+ * @param mode 持仓模式（DUAL_LONG / DUAL_SHORT）
+ * @param size 持仓张数（多头为正、空头为负）
+ * @param entryPrice 当前持仓加权均价（交易所计算）
+ */
public void onPositionUpdate(String contract, Position.ModeEnum mode, BigDecimal size,
BigDecimal entryPrice) {
if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) {
@@ -300,303 +603,1609 @@
}
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 if (size.compareTo(longPositionSize) > 0) {
- longPositionSize = size;
- BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.add(config.getGridRate())).setScale(1, RoundingMode.HALF_UP);
- executor.placeTakeProfit(tpPrice,
- FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, negate(config.getQuantity()));
- log.info("[Gate] 多单止盈已设, entry:{}, tp:{}, size:{}", entryPrice, tpPrice, negate(config.getQuantity()));
- } else {
- longPositionSize = size;
- }
- } 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 if (size.abs().compareTo(shortPositionSize) > 0) {
- shortPositionSize = size.abs();
- BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.subtract(config.getGridRate())).setScale(1, RoundingMode.HALF_UP);
- executor.placeTakeProfit(tpPrice,
- FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
- log.info("[Gate] 空单止盈已设, entry:{}, tp:{}, size:{}", entryPrice, tpPrice, config.getQuantity());
- } else {
- shortPositionSize = size.abs();
- }
- } 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(); }
+ int savedRound = currentRound;
+ startGrid();
+ currentRound = savedRound;
+ });
+ log.info("[Gate] 重置策略");
+ return;
}
}
// ---- 平仓推送回调 ----
+ /**
+ * 平仓推送回调。由 {@link PositionClosesChannelHandler} 在收到平仓推送时调用。
+ *
+ * <h3>累加规则</h3>
+ * cumulativePnl += pnl。止盈平仓时 pnl > 0，止损平仓时 pnl < 0。
+ * 累加后检查停止条件：≥ overallTp 或 ≤ -maxLoss。
+ *
+ * @param contract 合约名称
+ * @param side 平仓方向（"long" / "short"）
+ * @param pnl 本次平仓的盈亏金额
+ */
public void onPositionClose(String contract, String side, BigDecimal pnl) {
if (state == StrategyState.STOPPED) {
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(), "");
}
+ }
+
+
+ /**
+ * 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;
+ }
+
+ GridElement longStopLossElem = GridElement.findByLongStopLossOrderId(orderId);
+ if (longStopLossElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
+ handleLongStopLossTriggered(longStopLossElem, orderId);
+ return;
+ }
+ GridElement shortStopLossElem = GridElement.findByShortStopLossOrderId(orderId);
+ if (shortStopLossElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
+ handleShortStopLossTriggered(shortStopLossElem, orderId);
+ return;
+ }
+
+ GridElement shortGridElement = GridElement.findByShortOrderId(orderId);
+ if (shortGridElement != null) {
+ if (StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0") ){
+ int filledQty = Integer.parseInt(shortGridElement.getShortTraderParam().getQuantity());
+ shortEntryTraderIdParam(shortGridElement, orderId, false);
+
+ // 埋点: ENTRY_FILLED — 空仓加仓成交
+ emitStats("ENTRY_FILLED", mapOf(
+ "direction", "short",
+ "gridId", shortGridElement.getId(),
+ "filledQty", filledQty
+ ));
+
+ // 防重入：同一网格存在多个入场单且相近时间成交时，只处理第一次 extend，
+ // 后续成交打标 pendingReExtend，延展完成后自动用最新仓位重挂一次。
+ if (shortGridElement.isExtendStopLossInProgress()) {
+ shortGridElement.setPendingStopLossReExtend(true);
+ log.info("[Gate] 空单成交 gridId:{}, 止损追单已在进行中，标记待重挂, orderId:{}",
+ shortGridElement.getId(), orderId);
+ return;
+ }
+ shortGridElement.setExtendStopLossInProgress(true);
+
+ lastShortStopLossGridId = Integer.MAX_VALUE;
+ // [Gate-需求2] 加仓后先撤空仓所有止盈+止损，再查交易所持仓后重挂
+ cancelAllShortTakeProfitsAndStopLosses();
+ // REST 查询可能因交易所延迟返回旧值，与 WS 本地缓存取最大值兜底
+ int posSize = Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue());
+ extendShortStopLoss(posSize, shortGridElement.getId());
+ // [Gate] 止盈挂单：超出基础仓位的部分，挂在多仓第一止损位
+ if (GateConfig.EXCESS_TP_CONCENTRATED.equals(config.getPlaceExcessTakeProfit())) {
+ placeExcessTakeProfit(posSize, false);
+ } else if (GateConfig.EXCESS_TP_DISPERSED.equals(config.getPlaceExcessTakeProfit())) {
+ placeDispersedTakeProfit(posSize, false, shortGridElement.getId());
+ }
+ log.info("[Gate] 空单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize);
+
+
+
+ }
+ }
+ GridElement longGridElement = GridElement.findByLongOrderId(orderId);
+ if (longGridElement != null) {
+ if (StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")){
+
+ int filledQty = Integer.parseInt(longGridElement.getLongTraderParam().getQuantity());
+ longEntryTraderIdParam(longGridElement, orderId, false);
+
+ // 埋点: ENTRY_FILLED — 多仓加仓成交
+ emitStats("ENTRY_FILLED", mapOf(
+ "direction", "long",
+ "gridId", longGridElement.getId(),
+ "filledQty", filledQty
+ ));
+
+ // 防重入：同一网格存在多个入场单且相近时间成交时，只处理第一次 extend，
+ // 后续成交打标 pendingReExtend，延展完成后自动用最新仓位重挂一次。
+ if (longGridElement.isExtendStopLossInProgress()) {
+ longGridElement.setPendingStopLossReExtend(true);
+ log.info("[Gate] 多单成交 gridId:{}, 止损追单已在进行中，标记待重挂, orderId:{}",
+ longGridElement.getId(), orderId);
+ return;
+ }
+ longGridElement.setExtendStopLossInProgress(true);
+
+ lastLongStopLossGridId = Integer.MAX_VALUE;
+ // [Gate-需求2] 加仓后先撤多仓所有止盈+止损，再查交易所持仓后重挂
+ cancelAllLongTakeProfitsAndStopLosses();
+ // REST 查询可能因交易所延迟返回旧值，与 WS 本地缓存取最大值兜底
+ int posSize = Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue());
+ extendLongStopLoss(posSize, longGridElement.getId());
+ // [Gate] 止盈挂单：超出基础仓位的部分，挂在空仓第一止损位
+ if (GateConfig.EXCESS_TP_CONCENTRATED.equals(config.getPlaceExcessTakeProfit())) {
+ placeExcessTakeProfit(posSize, true);
+ } else if (GateConfig.EXCESS_TP_DISPERSED.equals(config.getPlaceExcessTakeProfit())) {
+ placeDispersedTakeProfit(posSize, true, longGridElement.getId());
+ }
+ log.info("[Gate] 多单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize);
+
+ }
+ }
+ }
+
+
+ /**
+ * 查询交易所当前持仓张数（绝对值）。加仓/开仓后重挂止盈止损时调用，
+ * 绕过本地 WS 推送缓存避免时序竞态，直接拿到交易所权威数据。
+ *
+ * @param mode 持仓模式（DUAL_LONG / DUAL_SHORT）
+ * @return 持仓张数（绝对值），查询失败返回 0
+ */
+ private int queryPositionSize(Position.ModeEnum mode) {
+ Position p = queryPosition(mode);
+ if (p != null) {
+ return new BigDecimal(p.getSize()).abs().intValue();
+ }
+ return 0;
+ }
+
+ /**
+ * 查询交易所当前持仓均价，绕过本地 WS 推送缓存避免时序竞态。
+ *
+ * @param mode 持仓模式（DUAL_LONG / DUAL_SHORT）
+ * @return 持仓均价，无持仓或查询失败返回 BigDecimal.ZERO
+ */
+ private BigDecimal queryEntryPrice(Position.ModeEnum mode) {
+ Position p = queryPosition(mode);
+ if (p != null && p.getEntryPrice() != null) {
+ return new BigDecimal(p.getEntryPrice());
+ }
+ return BigDecimal.ZERO;
+ }
+
+ /**
+ * 查询指定模式的持仓对象。
+ */
+ private Position queryPosition(Position.ModeEnum mode) {
+ try {
+ List<Position> positions = futuresApi.listPositions(SETTLE).execute();
+ if (positions != null) {
+ for (Position p : positions) {
+ if (mode == p.getMode() && config.getContract().equals(p.getContract())) {
+ return p;
+ }
+ }
+ }
+ } catch (Exception e) {
+ log.warn("[Gate] 查询{}持仓失败", mode, e);
+ }
+ return null;
}
// ---- 网格队列处理 ----
- private void tryGenerateQueues() {
- if (baseLongOpened && baseShortOpened) {
+ /**
+ * 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>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>
+ */
+ private synchronized void tryGenerateQueues() {
+ // 幂等保护：生成队列后 state 切换为 ACTIVE，避免多线程重复执行
+ if (state != StrategyState.OPENING) {
+ return;
+ }
+ TraderParam baseLongTraderParam = config.getBaseLongTraderParam();
+ TraderParam baseShortTraderParam = config.getBaseShortTraderParam();
+ // 需同时满足：多空基底均已成交，且两个下单参数(orderId)均已通过下单成功回调拿到。
+ // IOC 市价单成交后 WS 持仓推送可能先于 REST 下单响应返回，必须等参数就绪再生成队列。
+ if (!(baseLongOpened && baseShortOpened)
+ || baseLongTraderParam == null || baseShortTraderParam == null) {
+ return;
+ }
+ {
generateShortQueue();
generateLongQueue();
+ updateGridElements();
+
+ GridElement baseGridElement = GridElement.findById(0);
+ baseGridElement.setLongOrderId(baseLongTraderParam.getEntryOrderId());
+ baseGridElement.setHasLongOrder(true);
+ baseGridElement.setShortOrderId(baseShortTraderParam.getEntryOrderId());
+ baseGridElement.setHasShortOrder(true);
+
+// // 空仓止损对应的多仓止盈：多仓止盈挂在ID=3
+// int tpGridIdLong = 3;
+// GridElement tpElemLong = GridElement.findById(tpGridIdLong);
+// BigDecimal triggerPriceLong = tpElemLong.getGridPrice();
+// String sizeLong = config.getBaseQuantity();
+// executor.placeTakeProfit(
+// triggerPriceLong,
+// FuturesPriceTrigger.RuleEnum.NUMBER_1,
+// ORDER_TYPE_CLOSE_LONG,
+// negate(sizeLong),
+// profitId -> {
+// tpElemLong.setLongTakeProfitOrderId(profitId);
+// GridElement.refreshIndices();
+// log.info("[Gate] 多仓止盈已挂(gridId:{}多止盈), 触发价:{}, takeProfitId:{}",
+// tpGridIdLong, triggerPriceLong, profitId);
+// }
+// );
+//
+//
+// // 多仓止损对应的空仓止盈：空仓止盈挂在ID=-3
+// int tpGridIdShort = -3;
+// GridElement tpElemShort = GridElement.findById(tpGridIdShort);
+// BigDecimal triggerPriceShort = tpElemShort.getGridPrice();
+// String sizeShort = config.getBaseQuantity();
+// executor.placeTakeProfit(
+// triggerPriceShort,
+// FuturesPriceTrigger.RuleEnum.NUMBER_2,
+// ORDER_TYPE_CLOSE_SHORT,
+// sizeShort,
+// profitId -> {
+// tpElemShort.setShortTakeProfitOrderId(profitId);
+// GridElement.refreshIndices();
+// log.info("[Gate] 空仓止盈已挂(gridId:{}空止盈), 触发价:{}, takeProfitId:{}",
+// tpGridIdShort, triggerPriceShort, profitId);
+// }
+// );
+
+// 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.addShortStopLossOrderId(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.addLongStopLossOrderId(profitId);
+// GridElement.refreshIndices();
+// log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", longTime, triggerPrice, profitId);
+// }
+// );
+// }
+
+ if (config.isCustomStopLossEnabled()) {
+ placeCustomStopLosses();
+ } else {
+ placeDefaultStopLossLadders();
+ }
+
state = StrategyState.ACTIVE;
- log.info("[Gate] 网格队列已生成, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, 已激活",
- shortPriceQueue.get(0), shortPriceQueue.get(shortPriceQueue.size() - 1),
- longPriceQueue.get(0), longPriceQueue.get(longPriceQueue.size() - 1));
}
}
+ // ========== 自定义止损（按触发价各挂一单） ==========
+
+ /**
+ * 自定义止损初始化：按多空止损触发价匹配最近网格，各挂一张覆盖全仓位（baseQuantity）的止损单。
+ * 多仓止损：NUMBER_2（价格 ≤ 触发价平多），空仓止损：NUMBER_1（价格 ≥ 触发价平空）。
+ */
+ private void placeCustomStopLosses() {
+ customStopLossModeActive.set(true);
+ String baseQty = config.getBaseQuantity();
+ BigDecimal longPrice = config.getLongCustomStopLossPrice();
+ BigDecimal shortPrice = config.getShortCustomStopLossPrice();
+
+ if (longPrice != null && longPrice.compareTo(BigDecimal.ZERO) > 0) {
+ GridElement longElem = findNearestGridElementByPrice(longPrice);
+ if (longElem != null) {
+ BigDecimal triggerPrice = longElem.getGridPrice();
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ ORDER_TYPE_CLOSE_LONG,
+ negate(baseQty),
+ profitId -> {
+ longElem.addLongStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 自定义多仓止损已挂, 目标价:{}, 匹配gridId:{}, 触发价:{}, stopLossId:{}",
+ longPrice, longElem.getId(), triggerPrice, profitId);
+ }
+ );
+ } else {
+ log.warn("[Gate] 自定义多仓止损价:{} 未匹配到任何网格", longPrice);
+ }
+ }
+
+ if (shortPrice != null && shortPrice.compareTo(BigDecimal.ZERO) > 0) {
+ GridElement shortElem = findNearestGridElementByPrice(shortPrice);
+ if (shortElem != null) {
+ BigDecimal triggerPrice = shortElem.getGridPrice();
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ ORDER_TYPE_CLOSE_SHORT,
+ baseQty,
+ profitId -> {
+ shortElem.addShortStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 自定义空仓止损已挂, 目标价:{}, 匹配gridId:{}, 触发价:{}, stopLossId:{}",
+ shortPrice, shortElem.getId(), triggerPrice, profitId);
+ }
+ );
+ } else {
+ log.warn("[Gate] 自定义空仓止损价:{} 未匹配到任何网格", shortPrice);
+ }
+ }
+ log.info("[Gate] 自定义止损初始化完成, 多仓止损价:{}, 空仓止损价:{}", longPrice, shortPrice);
+ }
+
+ /**
+ * 默认止损阶梯（原有逻辑）：空仓从 ID=2 向上、多仓从 ID=-2 向下，各挂 baseQuantity/quantity 格、每格 quantity 张。
+ */
+ private void placeDefaultStopLossLadders() {
+ placeDefaultShortStopLossLadder();
+ placeDefaultLongStopLossLadder();
+ int shortTime = Integer.parseInt(config.getBaseQuantity()) / Integer.parseInt(config.getQuantity()) + 1;
+ int longTime = Integer.parseInt(config.getBaseQuantity()) / Integer.parseInt(config.getQuantity()) + 1;
+ log.info("[Gate] 止损止盈单已全部挂完, 空仓止损:2~{}, 多仓止损:-2~-{}", shortTime, longTime);
+ }
+
+ /**
+ * 默认空仓止损阶梯：从 ID=2 向上挂，每格 quantity 张，NUMBER_1（价格 ≥ 触发价平空）。
+ */
+ private void placeDefaultShortStopLossLadder() {
+ int shortTime = Integer.parseInt(config.getBaseQuantity()) / Integer.parseInt(config.getQuantity()) + 1;
+ for (int id = 2; id <= shortTime; id++) {
+ GridElement elem = GridElement.findById(id);
+ if (elem == null) {
+ continue;
+ }
+ BigDecimal triggerPrice = elem.getGridPrice();
+ String size = config.getQuantity();
+ int finalId = id;
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ ORDER_TYPE_CLOSE_SHORT,
+ size,
+ profitId -> {
+ elem.addShortStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
+ }
+ );
+ }
+ }
+
+ /**
+ * 默认多仓止损阶梯：从 ID=-2 向下挂，每格 quantity 张，NUMBER_2（价格 ≤ 触发价平多）。
+ */
+ private void placeDefaultLongStopLossLadder() {
+ int longTime = Integer.parseInt(config.getBaseQuantity()) / Integer.parseInt(config.getQuantity()) + 1;
+ for (int id = -2; id >= -longTime; id--) {
+ GridElement elem = GridElement.findById(id);
+ if (elem == null) {
+ continue;
+ }
+ BigDecimal triggerPrice = elem.getGridPrice();
+ String size = config.getQuantity();
+ int finalId = id;
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ ORDER_TYPE_CLOSE_LONG,
+ negate(size),
+ profitId -> {
+ elem.addLongStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
+ }
+ );
+ }
+ }
+
+ /**
+ * 按「价格 → 最近网格」匹配：返回 gridPrice 与目标价绝对值差最小的网格元素。
+ */
+ private GridElement findNearestGridElementByPrice(BigDecimal price) {
+ if (price == null || price.compareTo(BigDecimal.ZERO) <= 0) {
+ return null;
+ }
+ GridElement nearest = null;
+ BigDecimal minDiff = null;
+ for (GridElement e : config.getGridElements()) {
+ BigDecimal diff = e.getGridPrice().subtract(price).abs();
+ if (minDiff == null || diff.compareTo(minDiff) < 0) {
+ minDiff = diff;
+ nearest = e;
+ }
+ }
+ return nearest;
+ }
+
+ /**
+ * 只取消空仓止损单（保留空仓止盈），用于自定义止损首次触发时重挂未触发侧。
+ */
+ private void cancelAllShortStopLossesOnly() {
+ for (GridElement e : config.getGridElements()) {
+ for (String slId : new ArrayList<>(e.getShortStopLossOrderIds())) {
+ executor.cancelConditionalOrder(slId, oid -> {});
+ }
+ e.clearShortStopLossOrderIds();
+ }
+ GridElement.refreshIndices();
+ log.info("[Gate] 已提交取消所有空仓止损（保留止盈）");
+ }
+
+ /**
+ * 只取消多仓止损单（保留多仓止盈），用于自定义止损首次触发时重挂未触发侧。
+ */
+ private void cancelAllLongStopLossesOnly() {
+ for (GridElement e : config.getGridElements()) {
+ for (String slId : new ArrayList<>(e.getLongStopLossOrderIds())) {
+ executor.cancelConditionalOrder(slId, oid -> {});
+ }
+ e.clearLongStopLossOrderIds();
+ }
+ GridElement.refreshIndices();
+ log.info("[Gate] 已提交取消所有多仓止损（保留止盈）");
+ }
+
+ /**
+ * 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);
+ if (flag && entryId != null) {
+ baseElement.addLongOrderId(entryId);
+ baseElement.setHasLongOrder(true);
+ } else if (!flag && entryId != null) {
+ baseElement.removeLongOrderId(entryId);
+ // 只有列表全部清空才关闭预置标志，避免还有未成交挂单时被 processGrid 误判
+ baseElement.setHasLongOrder(baseElement.hasLongOrderIds());
+ }
+ GridElement.refreshIndices();
+ }
+
+ private void shortEntryTraderIdParam(
+ GridElement baseElement, String entryId, boolean flag
+ ) {
+ TraderParam tp = baseElement.getShortTraderParam();
+ tp.setEntryOrderId(entryId);
+ tp.setEntryOrderPlaced(flag);
+ if (flag && entryId != null) {
+ baseElement.addShortOrderId(entryId);
+ baseElement.setHasShortOrder(true);
+ } else if (!flag && entryId != null) {
+ baseElement.removeShortOrderId(entryId);
+ // 只有列表全部清空才关闭预置标志，避免还有未成交挂单时被 processGrid 误判
+ baseElement.setHasShortOrder(baseElement.hasShortOrderIds());
+ }
+ GridElement.refreshIndices();
+ }
+
+ /**
+ * 生成空仓价格队列（等比 / 复合百分比网格）。
+ *
+ * <p>每个网格价 = 上一档 × (1 − gridRate)，即自 shortBaseEntryPrice 向下等比递减：
+ * <pre>
+ * 第1档 = shortBaseEntryPrice × (1 − gridRate)
+ * 第2档 = 第1档 × (1 − gridRate)
+ * ...
+ * </pre>
+ * 档间距 = 该档价格 × gridRate，随价格下降而收窄。
+ *
+ * <p>同时将 step（= shortBaseEntryPrice × gridRate，即 0档 与 ±1档 的间距）注入 config，
+ * 供跨度重启等需要固定距离度量的功能使用。
+ *
+ * <p>队列降序排列（大→小），方便 processShortGrid 中从头遍历。
+ */
private void generateShortQueue() {
shortPriceQueue.clear();
- BigDecimal step = config.getGridRate();
- for (int i = 1; i <= config.getGridQueueSize(); i++) {
- shortPriceQueue.add(shortBaseEntryPrice.multiply(BigDecimal.ONE.subtract(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP));
+ totalShortPriceQueue.clear();
+ totalLongPriceQueue.clear();
+ int prec = config.getPriceScale();
+ BigDecimal gridRate = config.getGridRate();
+ // 首档间距 = 基价 × gridRate（0档与±1档的间距），保留作跨度等固定距离度量
+ BigDecimal step = shortBaseEntryPrice.multiply(gridRate).setScale(prec, RoundingMode.HALF_UP);
+ config.setStep(step);
+ BigDecimal factor = BigDecimal.ONE.subtract(gridRate);
+ BigDecimal elem = shortBaseEntryPrice.multiply(factor).setScale(prec, RoundingMode.HALF_UP);
+ for (int i = 0; i < config.getGridQueueSize(); i++) {
+ shortPriceQueue.add(elem);
+ totalLongPriceQueue.add(elem);
+ totalShortPriceQueue.add(elem);
+
+ elem = elem.multiply(factor).setScale(prec, RoundingMode.HALF_UP);
+ if (elem.compareTo(BigDecimal.ZERO) <= 0) {
+ break;
+ }
}
shortPriceQueue.sort((a, b) -> b.compareTo(a));
- //输出队列：shortPriceQueue;
- log.info("[Gate] 空队列:{}", shortPriceQueue);
+ log.info("[Gate] 空队列(等比):{}", shortPriceQueue);
}
+ /**
+ * 生成多仓价格队列（等比 / 复合百分比网格）。
+ *
+ * <p>每个网格价 = 上一档 × (1 + gridRate)，即自 shortBaseEntryPrice 向上等比递增：
+ * <pre>
+ * 第1档 = shortBaseEntryPrice × (1 + gridRate)
+ * 第2档 = 第1档 × (1 + gridRate)
+ * ...
+ * </pre>
+ * 档间距 = 该档价格 × gridRate，随价格上升而放大；
+ * 与空仓队列（下方 ×(1−gridRate)）关于基价对称，保证上下网格连续一致。
+ *
+ * <p>队列升序排列（小→大），方便 processLongGrid 中从头遍历。
+ */
private void generateLongQueue() {
longPriceQueue.clear();
- BigDecimal step = config.getGridRate();
- for (int i = 1; i <= config.getGridQueueSize(); i++) {
- longPriceQueue.add(longBaseEntryPrice.multiply(BigDecimal.ONE.add(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP));
+ int prec = config.getPriceScale();
+ BigDecimal factor = BigDecimal.ONE.add(config.getGridRate());
+ BigDecimal elem = shortBaseEntryPrice.multiply(factor).setScale(prec, RoundingMode.HALF_UP);
+ for (int i = 0; i < config.getGridQueueSize(); i++) {
+ longPriceQueue.add(elem);
+ totalLongPriceQueue.add(elem);
+ totalShortPriceQueue.add(elem);
+ elem = elem.multiply(factor).setScale(prec, RoundingMode.HALF_UP);
}
longPriceQueue.sort(BigDecimal::compareTo);
- log.info("[Gate] 多队列:{}", longPriceQueue);
+ log.info("[Gate] 多队列(等比):{}", 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);
}
/**
- * 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>保证金检查 → 安全则开空一次</li>
- * <li>额外反向开多：若多仓均价 > 空仓均价 且 当前价夹在中间且远离多仓均价</li>
- * <li>空仓队列：移除 matched 元素，尾部补充新元素（尾价 × (1 − gridRate) 循环递减）</li>
- * <li>多仓队列：以多仓队列首元素（最小价）为种子，生成 matched.size() 个递减元素加入</li>
- * </ol>
- *
- * <h3>多仓队列转移过滤</h3>
- * 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();
+ // 等比网格：止盈价与本档相邻网格价联动 = 本档价 × (1 ± gridRate)
+ BigDecimal tpUpFactor = BigDecimal.ONE.add(config.getGridRate());
+ BigDecimal tpDownFactor = BigDecimal.ONE.subtract(config.getGridRate());
+// String qty = config.getBaseQuantity();
+ 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.multiply(tpUpFactor).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ TraderParam shortParam = TraderParam.builder()
+ .direction(TraderParam.Direction.SHORT)
+ .entryPrice(price)
+ .takeProfitPrice(price.multiply(tpDownFactor).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.multiply(tpUpFactor).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ TraderParam shortParam = TraderParam.builder()
+ .direction(TraderParam.Direction.SHORT)
+ .entryPrice(price)
+ .takeProfitPrice(price.multiply(tpDownFactor).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ elements.add(GridElement.builder()
+ .id(0)
+ .gridPrice(price)
+ .upId(longSize > 0 ? 1 : null)
+ .downId(shortSize > 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.multiply(tpUpFactor).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ TraderParam shortParam = TraderParam.builder()
+ .direction(TraderParam.Direction.SHORT)
+ .entryPrice(price)
+ .takeProfitPrice(price.multiply(tpDownFactor).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) {
- List<BigDecimal> matched = new ArrayList<>();
- synchronized (shortPriceQueue) {
- for (BigDecimal p : shortPriceQueue) {
- if (p.compareTo(currentPrice) > 0) {
- matched.add(p);
- } else {
+ BigDecimal matched = BigDecimal.ZERO;
+ synchronized (totalLongPriceQueue) {
+ for (BigDecimal p : totalLongPriceQueue) {
+ if (p.compareTo(currentPrice) >= 0) {
+ matched = p;
break;
}
}
+// 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;
+ }
+
+ GridElement matchedUpGridElement = GridElement.findByPrice(matched);
+ if (matchedUpGridElement != null){
+ if (!matchedUpGridElement.isHasLongOrder()){
+ Integer upId = matchedUpGridElement.getUpId();
+ GridElement newEntryGrid = GridElement.findById(upId);
+
+ if (newEntryGrid != null) {
+
+// String quantity = String.valueOf(Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue()) + Integer.parseInt(config.getQuantity()));
+// String quantity = String.valueOf(config.getBaseQuantity());
+
+
+ String quantity = calculateEntryQuantity(true);
+ // 向下检查是否已有多单挂在更低价格网格，有则跳过（防止价格回升后重复挂单）
+ boolean hasLongOrderBelow = false;
+ GridElement checkDownCursor = GridElement.findById(newEntryGrid.getDownId());
+ while (checkDownCursor != null) {
+ if (checkDownCursor.isHasLongOrder()) {
+ hasLongOrderBelow = true;
+ log.info("[Gate] 多仓仓位归零 gridId:{}, 下方gridId:{}已有多单, 跳过本次挂单",
+ newEntryGrid.getId(), checkDownCursor.getId());
+ break;
+ }
+ Integer nextDownId = checkDownCursor.getDownId();
+ checkDownCursor = nextDownId != null ? GridElement.findById(nextDownId) : null;
+ }
+
+ // 向上遍历取消所有遗留多单（跳过基础入场网格0）
+ GridElement cancelCursor = GridElement.findById(newEntryGrid.getUpId());
+ while (cancelCursor != null) {
+ if (cancelCursor.isHasLongOrder()) {
+ for (String longOrderId : new ArrayList<>(cancelCursor.getLongOrderIds())) {
+ GridElement finalCancelCursor = cancelCursor;
+ executor.cancelConditionalOrder(longOrderId, oid -> {
+ longEntryTraderIdParam(finalCancelCursor, longOrderId, false);
+ log.info("[Gate] 多仓仓位归零, 取消gridId:{}的多单,{}", finalCancelCursor.getId(), longOrderId);
+ });
+ }
+ }
+ Integer nextUpId = cancelCursor.getUpId();
+ cancelCursor = nextUpId != null ? GridElement.findById(nextUpId) : 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() && !hasLongOrderBelow) {
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ String size = quantity;
+ 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);
+ }
+ }
+ }
+ }
}
- 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);
+
+ }
+
+ private void processLongGrid(BigDecimal currentPrice) {
+ BigDecimal matched = BigDecimal.ZERO;
+ synchronized (totalShortPriceQueue) {
+ for (BigDecimal p : totalShortPriceQueue) {
+ if (p.compareTo(currentPrice) <= 0) {
+ matched = p;
+ break;
+ }
+ }
+// 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;
+ }
+
+ GridElement matchedUpGridElement = GridElement.findByPrice(matched);
+ if (matchedUpGridElement != null){
+ if(!matchedUpGridElement.isHasShortOrder()){
+ Integer downId = matchedUpGridElement.getDownId();
+ GridElement newEntryGrid = GridElement.findById(downId);
+
+ if (newEntryGrid != null) {
+
+// String quantity = String.valueOf((accumulatedShortLossCount + 1) * Integer.parseInt(config.getQuantity()));
+// String quantity = String.valueOf(Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue()) + Integer.parseInt(config.getQuantity()));
+// String quantity = String.valueOf(config.getBaseQuantity());
+
+ String quantity = calculateEntryQuantity(false);
+ // 向上检查是否已有空单挂在更高价格网格，有则跳过（防止价格回落后重复挂单）
+ boolean hasShortOrderAbove = false;
+ GridElement checkUpCursor = GridElement.findById(newEntryGrid.getUpId());
+ while (checkUpCursor != null) {
+ if (checkUpCursor.isHasShortOrder()) {
+ hasShortOrderAbove = true;
+ log.info("[Gate] 空仓仓位归零 gridId:{}, 上方gridId:{}已有空单, 跳过本次挂单",
+ newEntryGrid.getId(), checkUpCursor.getId());
+ break;
+ }
+ Integer nextUpId = checkUpCursor.getUpId();
+ checkUpCursor = nextUpId != null ? GridElement.findById(nextUpId) : null;
+ }
+
+ // 向下遍历取消所有遗留空单（跳过基础入场网格0）
+ GridElement cancelCursor = GridElement.findById(newEntryGrid.getDownId());
+ while (cancelCursor != null) {
+ if (cancelCursor.isHasShortOrder()) {
+ for (String shortOrderId : new ArrayList<>(cancelCursor.getShortOrderIds())) {
+ GridElement finalCancelCursor = cancelCursor;
+ executor.cancelConditionalOrder(shortOrderId, oid -> {
+ shortEntryTraderIdParam(finalCancelCursor, shortOrderId, false);
+ log.info("[Gate] 空仓仓位归零, 取消gridId:{}的多单{}", finalCancelCursor.getId(), shortOrderId);
+ });
+ }
+ }
+ Integer nextDownId = cancelCursor.getDownId();
+ cancelCursor = nextDownId != null ? GridElement.findById(nextDownId) : 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() && !hasShortOrderAbove){
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ String size = quantity;
+ 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));
+ }
+
+ }
+ }
+ }
+ }
+ }
+
+ // ========== 加仓计算 ==========
+
+ /**
+ * 根据 {@code stopLossCountMode} 计算当前有效的止损次数。
+ * <ul>
+ * <li>{@code "single"}（单向）：返回该方向的累计止损次数</li>
+ * <li>{@code "dual"}（双向）：返回多空双向累计总次数</li>
+ * </ul>
+ *
+ * @param isLong {@code true}=多仓方向，{@code false}=空仓方向
+ * @return 有效止损次数
+ */
+ private int getEffectiveStopLossCount(boolean isLong) {
+ if ("single".equals(config.getStopLossCountMode())) {
+ return isLong ? accumulatedLongLossCount : accumulatedShortLossCount;
+ }
+ // "dual" — 双向总次数
+ return accumulatedLongLossCount + accumulatedShortLossCount;
+ }
+
+ /**
+ * 根据加仓配置计算止损追单时的实际下单量。
+ * <p>公式：</p>
+ * <pre>
+ * divisor = addPositionInterval + 1
+ * addMultiplier = floor(effectiveStopLossCount / divisor)
+ * addQty = addMultiplier × addPositionQuantity
+ * finalQty = min(baseQuantity + addQty, maxPositionPerSide > 0 ? maxPositionPerSide : ∞)
+ * </pre>
+ *
+ * @param isLong {@code true}=多仓方向，{@code false}=空仓方向
+ * @return 实际下单张数（字符串）
+ */
+ private String calculateEntryQuantity(boolean isLong) {
+ int baseQty = Integer.parseInt(config.getBaseQuantity());
+ int interval = config.getAddPositionInterval();
+ int addQtyPerUnit = config.getAddPositionQuantity();
+ int maxPerSide = config.getMaxPositionPerSide();
+
+ int effectiveCount = getEffectiveStopLossCount(isLong);
+ int startThreshold = config.getAddPositionStartThreshold();
+ if (startThreshold > 0) {
+ effectiveCount = Math.max(0, effectiveCount - startThreshold);
+ }
+ // divisor = interval + 1：interval=0→每次加仓, interval=1→每2次加仓(2,4,6...), interval=3→每4次加仓(4,8,12...)
+ int divisor = interval + 1;
+ int addMultiplier = interval >= 0 ? effectiveCount / divisor : 0;
+ int addQty = addMultiplier * addQtyPerUnit;
+ int totalQty = baseQty + addQty;
+
+ if (maxPerSide > 0 && totalQty > maxPerSide) {
+ totalQty = maxPerSide;
+ }
+
+ return String.valueOf(totalQty);
+ }
+
+ private void handleLongStopLossTriggered(GridElement gridElement, String orderId) {
+ gridElement.removeLongStopLossOrderId(orderId);
+
+ int gridId = gridElement.getId();
+ boolean sameGrid = (gridId == lastLongStopLossGridId);
+ if (sameGrid) {
+ log.info("[Gate] 多仓止损触发 同网格, 忽略");
return;
}
- log.info("[Gate] 空仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
- if (!isMarginSafe()) {
- log.warn("[Gate] 保证金超限，跳过空单开仓");
- } else {
- executor.openShort(negate(config.getQuantity()), null, null);
- if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && longEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && longEntryPrice.compareTo(shortEntryPrice) > 0
- && currentPrice.compareTo(shortEntryPrice) > 0
- && currentPrice.compareTo(longEntryPrice.multiply(BigDecimal.ONE.subtract(config.getGridRate()))) < 0) {
- executor.openLong(config.getQuantity(), null, null);
- log.info("[Gate] 触发价在多/空持仓价之间且多>空且远离多仓均价, 额外开多一次, 当前价:{}", currentPrice);
+
+ lastLongStopLossGridId = gridId;
+
+ accumulatedLongLossCount++;
+ log.info("[Gate] 多仓止损触发 gridId:{}, 止损次数:{}{}, 开始追单",
+ gridId, accumulatedLongLossCount, sameGrid ? "(同网格)" : "");
+
+ // 埋点: STOP_LOSS_TRIGGERED
+ emitStats("STOP_LOSS_TRIGGERED", mapOf(
+ "direction", "long",
+ "gridId", gridId,
+ "lossCount", accumulatedLongLossCount
+ ));
+ 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;
+ }
+
+ // 止损追单：同一网格可有多笔挂单，不判断 isHasLongOrder，直接挂单
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ String size = calculateEntryQuantity(true);
+ log.info("[Gate] 多仓止损追单 有效次数:{}, 基础:{}张 → 实际:{}张, 模式:{}",
+ getEffectiveStopLossCount(true), config.getBaseQuantity(), size, config.getStopLossCountMode());
+ newEntryGrid.getLongTraderParam().setQuantity(size);
+ placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, size);
+
+ // 取消 gridId+2 位置的所有多单
+ int cancelGridId = gridId + 2;
+ GridElement cancelGrid = GridElement.findById(cancelGridId);
+ if (cancelGrid != null && cancelGrid.isHasLongOrder()) {
+ for (String cancelOrderId : new ArrayList<>(cancelGrid.getLongOrderIds())) {
+ executor.cancelConditionalOrder(cancelOrderId, oid -> {
+ longEntryTraderIdParam(cancelGrid, cancelOrderId, false);
+ log.info("[Gate] 多仓止损触发, 取消gridId:{}的多单,{}", cancelGridId, cancelOrderId);
+ });
}
}
- synchronized (shortPriceQueue) {
- shortPriceQueue.removeAll(matched);
- BigDecimal min = shortPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : shortPriceQueue.get(shortPriceQueue.size() - 1);
- BigDecimal step = config.getGridRate();
- for (int i = 0; i < matched.size(); i++) {
- min = min.multiply(BigDecimal.ONE.subtract(step)).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);
+ // 自定义止损模式：第一次止损触发时，取消未触发侧（空仓）自定义止损单并重挂默认阶梯
+ if (config.isCustomStopLossEnabled() && customStopLossModeActive.compareAndSet(true, false)) {
+ cancelAllShortStopLossesOnly();
+ placeDefaultShortStopLossLadder();
+ log.info("[Gate] 自定义止损首次触发(多仓), 已取消空仓自定义止损并重挂默认阶梯");
}
- synchronized (longPriceQueue) {
- BigDecimal first = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(0);
- BigDecimal step = config.getGridRate();
- for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.multiply(BigDecimal.ONE.subtract(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP);
- if (longEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && elem.subtract(longEntryPrice).abs().compareTo(longEntryPrice.multiply(step)) < 0) {
- log.info("[Gate] 多队列跳过:{}", elem);
- continue;
- }
- longPriceQueue.add(elem);
+ }
- log.info("[Gate] 多队列增加:{}", elem);
+ private void handleShortStopLossTriggered(GridElement gridElement, String orderId) {
+ gridElement.removeShortStopLossOrderId(orderId);
+
+ int gridId = gridElement.getId();
+ boolean sameGrid = (gridId == lastShortStopLossGridId);
+ if (sameGrid) {
+ log.info("[Gate] 空仓止损触发 同网格, 忽略");
+ return;
+ }
+ lastShortStopLossGridId = gridId;
+ accumulatedShortLossCount++;
+ log.info("[Gate] 空仓止损触发 gridId:{}, 止损次数:{}{}, 开始追单",
+ gridId, accumulatedShortLossCount, sameGrid ? "(同网格)" : "");
+
+ // 埋点: STOP_LOSS_TRIGGERED
+ emitStats("STOP_LOSS_TRIGGERED", mapOf(
+ "direction", "short",
+ "gridId", gridId,
+ "lossCount", accumulatedShortLossCount
+ ));
+ 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;
+ }
+
+ // 止损追单：同一网格可有多笔挂单，不判断 isHasShortOrder，直接挂单
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ String size = calculateEntryQuantity(false);
+ log.info("[Gate] 空仓止损追单 有效次数:{}, 基础:{}张 → 实际:{}张, 模式:{}",
+ getEffectiveStopLossCount(false), config.getBaseQuantity(), size, config.getStopLossCountMode());
+ newEntryGrid.getShortTraderParam().setQuantity(size);
+ placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size));
+
+ // 取消 gridId-2 位置的所有空单
+ int cancelGridId = gridId - 2;
+ GridElement cancelGrid = GridElement.findById(cancelGridId);
+ if (cancelGrid != null && cancelGrid.isHasShortOrder()) {
+ for (String cancelOrderId : new ArrayList<>(cancelGrid.getShortOrderIds())) {
+ executor.cancelConditionalOrder(cancelOrderId, oid -> {
+ shortEntryTraderIdParam(cancelGrid, cancelOrderId, false);
+ log.info("[Gate] 空仓止损触发, 取消gridId:{}的空单,{}", cancelGridId, cancelOrderId);
+ });
}
- longPriceQueue.sort(BigDecimal::compareTo);
- while (longPriceQueue.size() > config.getGridQueueSize()) {
- longPriceQueue.remove(longPriceQueue.size() - 1);
+ }
+
+ // 自定义止损模式：第一次止损触发时，取消未触发侧（多仓）自定义止损单并重挂默认阶梯
+ if (config.isCustomStopLossEnabled() && customStopLossModeActive.compareAndSet(true, false)) {
+ cancelAllLongStopLossesOnly();
+ placeDefaultLongStopLossLadder();
+ log.info("[Gate] 自定义止损首次触发(空仓), 已取消多仓自定义止损并重挂默认阶梯");
+ }
+ }
+
+ // ========== 止盈/止损取消辅助方法 ==========
+
+ /**
+ * 止盈触发后检查跨度是否达至要求，满足条件则重启策略。
+ *
+ * <h3>跨度定义</h3>
+ * {@code restartGridSpan} 表示多少倍的绝对步长 step（= 短基价 × gridRate）。
+ *
+ * <h3>判断逻辑</h3>
+ * <ol>
+ * <li>多空双边均有持仓：longEntryPrice − shortEntryPrice > span × step</li>
+ * <li>仅持多仓：currentPrice − longEntryPrice > span × step</li>
+ * <li>仅持空仓：shortEntryPrice − currentPrice > span × step</li>
+ * </ol>
+ * restartGridSpan=0 时禁用此功能。重启复用仓位归零模式：取消全部条件单 → 平仓 → 延迟启动。
+ */
+ private void checkLastTakeProfitAndRestart() {
+ int span = config.getRestartGridSpan();
+ if (span <= 0) {
+ return;
+ }
+
+ // 检查是否还有剩余止盈单，只有多空止盈全部清空才继续
+ if (GridElement.getLongTakeProfitCount() > 0 || GridElement.getShortTakeProfitCount() > 0) {
+ log.info("[Gate] 尚有未触发止盈单, 暂不检查跨度重启 longTpCount:{}, shortTpCount:{}",
+ GridElement.getLongTakeProfitCount(), GridElement.getShortTakeProfitCount());
+ return;
+ }
+
+ BigDecimal step = config.getStep();
+ if (step == null || step.compareTo(BigDecimal.ZERO) == 0) {
+ return;
+ }
+ BigDecimal threshold = step.multiply(new BigDecimal(span));
+
+ BigDecimal currentPrice = lastKlinePrice;
+ if (currentPrice == null || currentPrice.compareTo(BigDecimal.ZERO) == 0) {
+ return;
+ }
+
+ // 查交易所获取最新持仓均价和持仓量，不用本地缓存避免 WS 时序竞态
+ Position longPos = queryPosition(Position.ModeEnum.DUAL_LONG);
+ Position shortPos = queryPosition(Position.ModeEnum.DUAL_SHORT);
+ boolean hasLong = longPos != null && Math.abs(Integer.parseInt(longPos.getSize())) > 0;
+ boolean hasShort = shortPos != null && Math.abs(Integer.parseInt(shortPos.getSize())) > 0;
+ BigDecimal longAvgPrice = (longPos != null && longPos.getEntryPrice() != null)
+ ? new BigDecimal(longPos.getEntryPrice()) : BigDecimal.ZERO;
+ BigDecimal shortAvgPrice = (shortPos != null && shortPos.getEntryPrice() != null)
+ ? new BigDecimal(shortPos.getEntryPrice()) : BigDecimal.ZERO;
+
+ boolean shouldRestart = false;
+ String reason = "";
+
+ if (hasLong && hasShort) {
+ // 多空双边持仓：|多均价 − 空均价| > span × step
+ BigDecimal gap = shortAvgPrice.subtract(longAvgPrice);
+ if (gap.compareTo(threshold) >= 0) {
+ shouldRestart = true;
+ reason = StrUtil.format("双边跨度 |多均价:{} − 空均价:{}| = {} >= {} (span:{}×step:{})",
+ longAvgPrice, shortAvgPrice, gap, threshold, span, step);
}
- log.info("[Gate] 现多队列:{}", longPriceQueue);
+ } else if (hasLong) {
+ // 仅持多仓：当前价 − 多均价 > span × step
+ BigDecimal gap = currentPrice.subtract(longAvgPrice);
+ if (gap.compareTo(threshold) >= 0) {
+ shouldRestart = true;
+ reason = StrUtil.format("多仓跨度 当前价:{} − 多均价:{} = {} > {} (span:{}×step:{})",
+ currentPrice, longAvgPrice, gap, threshold, span, step);
+ }
+ } else if (hasShort) {
+ // 仅持空仓：空均价 − 当前价 > span × step
+ BigDecimal gap = shortAvgPrice.subtract(currentPrice);
+ if (gap.compareTo(threshold) >= 0) {
+ shouldRestart = true;
+ reason = StrUtil.format("空仓跨度 空均价:{} − 当前价:{} = {} > {} (span:{}×step:{})",
+ shortAvgPrice, currentPrice, gap, threshold, span, step);
+ }
+ }
+
+ if (shouldRestart) {
+ log.info("[Gate] 跨度已达要求 → {}，最后一个止盈触发策略重启", reason);
+ try {
+ futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
+ } catch (ApiException ex) {
+ log.warn("[Gate] 重启前清理条件单失败", ex);
+ }
+ closeExistingPositions();
+ state = StrategyState.STOPPED;
+ executor.submitTask(() -> {
+ try { Thread.sleep(3000); } catch (InterruptedException ex) { Thread.currentThread().interrupt(); }
+ startGrid();
+ });
}
}
/**
- * 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>保证金检查 → 安全则开多一次</li>
- * <li>额外反向开空：若多仓均价 > 空仓均价 且 当前价夹在中间且远离空仓均价</li>
- * <li>多仓队列：移除 matched 元素，尾部补充新元素（尾价 × (1 + gridRate) 循环递增）</li>
- * <li>空仓队列：以空仓队列首元素（最高价）为种子，生成 matched.size() 个递增元素加入</li>
- * </ol>
- *
- * <h3>空仓队列转移过滤</h3>
- * 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）。
+ * 取消最近的多仓止损订单（A 位置，gridId 最大即最接近 0）。
+ * 多仓止损在 gridId 负方向，A = gridId-2，是三个位置中 ID 最大（最接近 0）的那个。
*/
- private void processLongGrid(BigDecimal currentPrice) {
- List<BigDecimal> matched = new ArrayList<>();
- synchronized (longPriceQueue) {
- for (BigDecimal p : longPriceQueue) {
- if (p.compareTo(currentPrice) < 0) {
- matched.add(p);
- } else {
- break;
+ private void cancelNearestLongStopLoss() {
+ GridElement nearest = null;
+ for (GridElement e : config.getGridElements()) {
+ if (e.hasLongStopLossOrders()) {
+ if (nearest == null || e.getId() > nearest.getId()) {
+ nearest = e;
}
}
}
- 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);
- if (!isMarginSafe()) {
- log.warn("[Gate] 保证金超限，跳过多单开仓");
- } else {
- executor.openLong(config.getQuantity(), null, null);
- if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && longEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && longEntryPrice.compareTo(shortEntryPrice) > 0
- && currentPrice.compareTo(shortEntryPrice.multiply(BigDecimal.ONE.add(config.getGridRate()))) > 0
- && currentPrice.compareTo(longEntryPrice) < 0) {
- executor.openShort(negate(config.getQuantity()), null, null);
- log.info("[Gate] 触发价在多/空持仓价之间且多>空且远离空仓均价, 额外开空一次, 当前价:{}", currentPrice);
- }
- }
-
- synchronized (longPriceQueue) {
- longPriceQueue.removeAll(matched);
- BigDecimal max = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(longPriceQueue.size() - 1);
- BigDecimal step = config.getGridRate();
- for (int i = 0; i < matched.size(); i++) {
- max = max.multiply(BigDecimal.ONE.add(step)).setScale(1, RoundingMode.HALF_UP);
- longPriceQueue.add(max);
-
- log.info("[Gate] 多队列增加:{}", max);
- }
- longPriceQueue.sort(BigDecimal::compareTo);
-
- log.info("[Gate] 现多队列:{}", longPriceQueue);
- }
-
- synchronized (shortPriceQueue) {
- BigDecimal first = shortPriceQueue.isEmpty() ? matched.get(0) : shortPriceQueue.get(0);
- BigDecimal step = config.getGridRate();
- for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.multiply(BigDecimal.ONE.add(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP);
- if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
- && elem.subtract(shortEntryPrice).abs().compareTo(shortEntryPrice.multiply(step)) < 0) {
-
- log.info("[Gate] 空队列跳过:{}", elem);
- continue;
- }
- 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);
+ if (nearest != null && nearest.hasLongStopLossOrders()) {
+ List<String> ids = nearest.getLongStopLossOrderIds();
+ String slId = ids.get(0); // 取第一个（最早加入的 = A 位置第一单）
+ nearest.removeLongStopLossOrderId(slId);
+ GridElement.refreshIndices();
+ GridElement finalNearest = nearest;
+ executor.cancelConditionalOrder(slId, oid ->
+ log.info("[Gate] 止盈触发, 取消最近多仓止损 gridId:{}, orderId:{}", finalNearest.getId(), slId));
}
}
- // ---- 保证金安全阀 ----
+ /**
+ * 取消最近的空仓止损订单（A 位置，gridId 最小即最接近 0）。
+ * 空仓止损在 gridId 正方向，A = gridId+2，是三个位置中 ID 最小（最接近 0）的那个。
+ */
+ private void cancelNearestShortStopLoss() {
+ GridElement nearest = null;
+ for (GridElement e : config.getGridElements()) {
+ if (e.hasShortStopLossOrders()) {
+ if (nearest == null || e.getId() < nearest.getId()) {
+ nearest = e;
+ }
+ }
+ }
+ if (nearest != null && nearest.hasShortStopLossOrders()) {
+ List<String> ids = nearest.getShortStopLossOrderIds();
+ String slId = ids.get(0); // 取第一个（最早加入的 = A 位置第一单）
+ nearest.removeShortStopLossOrderId(slId);
+ GridElement.refreshIndices();
+ GridElement finalNearest = nearest;
+ executor.cancelConditionalOrder(slId, oid ->
+ log.info("[Gate] 止盈触发, 取消最近空仓止损 gridId:{}, orderId:{}", finalNearest.getId(), slId));
+ }
+ }
- 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;
+ /**
+ * 取消所有多仓止盈 + 多仓止损订单（加仓后重建前清场）。
+ */
+ private void cancelAllLongTakeProfitsAndStopLosses() {
+ for (GridElement e : config.getGridElements()) {
+ String tpId = e.getLongTakeProfitOrderId();
+ if (tpId != null) {
+ e.getLongTraderParam().setTakeProfitPlaced(false);
+ e.setLongTakeProfitOrderId(null);
+ executor.cancelConditionalOrder(tpId, oid -> {});
+ }
+ for (String slId : new ArrayList<>(e.getLongStopLossOrderIds())) {
+ executor.cancelConditionalOrder(slId, oid -> {});
+ }
+ e.clearLongStopLossOrderIds();
+ }
+ GridElement.refreshIndices();
+ log.info("[Gate] 已提交取消所有多仓止盈+止损");
+ }
+
+ /**
+ * 取消所有空仓止盈 + 空仓止损订单（加仓后重建前清场）。
+ */
+ private void cancelAllShortTakeProfitsAndStopLosses() {
+ for (GridElement e : config.getGridElements()) {
+ String tpId = e.getShortTakeProfitOrderId();
+ if (tpId != null) {
+ e.getShortTraderParam().setTakeProfitPlaced(false);
+ e.setShortTakeProfitOrderId(null);
+ executor.cancelConditionalOrder(tpId, oid -> {});
+ }
+ for (String slId : new ArrayList<>(e.getShortStopLossOrderIds())) {
+ executor.cancelConditionalOrder(slId, oid -> {});
+ }
+ e.clearShortStopLossOrderIds();
+ }
+ GridElement.refreshIndices();
+ log.info("[Gate] 已提交取消所有空仓止盈+止损");
+ }
+
+ /**
+ * 首次挂单成交时，取消初始化阶段挂的所有止盈单（多+空），止损单保留不动。
+ */
+ private void cancelAllInitialTakeProfits() {
+
+
+ GridElement tpElemLong = GridElement.findById(3);
+ String longTpId = tpElemLong.getLongTakeProfitOrderId();
+ if (longTpId != null) {
+ longTakeProfitTraderIdParam(tpElemLong, null, false);
+ executor.cancelConditionalOrder(longTpId, oid -> {});
+ }
+
+ GridElement tpElemShort = GridElement.findById(-3);
+ String shortTpId = tpElemShort.getShortTakeProfitOrderId();
+ if (shortTpId != null) {
+ shortTakeProfitTraderIdParam(tpElemShort, null, false);
+ executor.cancelConditionalOrder(shortTpId, oid -> {});
+ }
+ GridElement.refreshIndices();
+ log.info("[Gate] 首次成交，取消所有初始化止盈单");
+ }
+
+ // ========== 止损追单（新逻辑：3 个固定位置，每个位置挂多个 1 张止损单） ==========
+
+ /**
+ * 多仓止损追单 — 网格数量 = baseQuantity/quantity，从近到远分配。
+ * aCount<0跳过, aCount=0→主=2, aCount=1→主=2,辅0=1, aCount>=2→主=aCount,辅依次填1
+ */
+ private void extendLongStopLoss(int filledQty, int gridId) {
+ int qty = Integer.parseInt(config.getQuantity());
+ int baseQty = Integer.parseInt(config.getBaseQuantity());
+ int gridCount = baseQty / qty;
+ GridElement entryElem = GridElement.findById(gridId);
+ if (gridCount <= 0 || filledQty < qty) {
+ // 早期返回需重置防重入标记
+ if (entryElem != null) { entryElem.setExtendStopLossInProgress(false); }
+ return;
+ }
+
+ int totalOrders = filledQty / qty;
+ int[] orders = new int[gridCount];
+
+ if (gridCount == 1) {
+ // 只有1个网格，全量挂在上面
+ orders[0] = totalOrders;
+ } else {
+ // 最近网格(orders[0])挂剩余张数，其余每个网格各挂1张
+ orders[0] = totalOrders - (gridCount - 1);
+ if (orders[0] < 1) {
+ // 订单数不够覆盖所有网格(理论上不会出现)，全量挂在最近网格
+ orders[0] = totalOrders;
+ } else {
+ for (int i = 1; i < gridCount; i++) {
+ orders[i] = 1;
+ }
+ }
+ }
+
+ // 计算总订单数，用于异步回调完成时重置防重入标记
+ int totalOrdersToPlace = 0;
+ for (int i = 0; i < gridCount; i++) {
+ if (orders[i] > 0) { totalOrdersToPlace += orders[i]; }
+ }
+ if (totalOrdersToPlace == 0) {
+ if (entryElem != null) { entryElem.setExtendStopLossInProgress(false); }
+ return;
+ }
+ AtomicInteger remainCount = new AtomicInteger(totalOrdersToPlace);
+
+ StringBuilder detail = new StringBuilder();
+ for (int i = 0; i < gridCount; i++) {
+ if (orders[i] > 0) {
+ int sgId = gridId - 2 - i;
+ placeStopLossOrders(sgId, orders[i], qty, FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ ORDER_TYPE_CLOSE_LONG, true, remainCount, entryElem);
+ if (detail.length() > 0) {
+ detail.append(" ");
+ }
+ detail.append(sgId).append("x").append(orders[i]);
+ }
+ }
+
+ log.info("[Gate] 多仓追挂止损, 成交{}张, gridId:{}, 网格数:{}, 分配:{}",
+ filledQty, gridId, gridCount, detail);
+ }
+
+ /**
+ * 空仓止损追单 — 网格数量 = baseQuantity/quantity，从近到远分配。
+ * aCount<0跳过, aCount=0→主=2, aCount=1→主=2,辅0=1, aCount>=2→主=aCount,辅依次填1
+ */
+ private void extendShortStopLoss(int filledQty, int gridId) {
+ int qty = Integer.parseInt(config.getQuantity());
+ int baseQty = Integer.parseInt(config.getBaseQuantity());
+ int gridCount = baseQty / qty;
+ GridElement entryElem = GridElement.findById(gridId);
+ if (gridCount <= 0 || filledQty < qty) {
+ // 早期返回需重置防重入标记
+ if (entryElem != null) { entryElem.setExtendStopLossInProgress(false); }
+ return;
+ }
+
+ int totalOrders = filledQty / qty;
+ int[] orders = new int[gridCount];
+
+ if (gridCount == 1) {
+ // 只有1个网格，全量挂在上面
+ orders[0] = totalOrders;
+ } else {
+ // 最近网格(orders[0])挂剩余张数，其余每个网格各挂1张
+ orders[0] = totalOrders - (gridCount - 1);
+ if (orders[0] < 1) {
+ // 订单数不够覆盖所有网格(理论上不会出现)，全量挂在最近网格
+ orders[0] = totalOrders;
+ } else {
+ for (int i = 1; i < gridCount; i++) {
+ orders[i] = 1;
+ }
+ }
+ }
+
+ // 计算总订单数，用于异步回调完成时重置防重入标记
+ int totalOrdersToPlace = 0;
+ for (int i = 0; i < gridCount; i++) {
+ if (orders[i] > 0) { totalOrdersToPlace += orders[i]; }
+ }
+ if (totalOrdersToPlace == 0) {
+ if (entryElem != null) { entryElem.setExtendStopLossInProgress(false); }
+ return;
+ }
+ AtomicInteger remainCount = new AtomicInteger(totalOrdersToPlace);
+
+ StringBuilder detail = new StringBuilder();
+ for (int i = 0; i < gridCount; i++) {
+ if (orders[i] > 0) {
+ int sgId = gridId + 2 + i;
+ placeStopLossOrders(sgId, orders[i], qty, FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ ORDER_TYPE_CLOSE_SHORT, false, remainCount, entryElem);
+ if (detail.length() > 0) {
+ detail.append(" ");
+ }
+ detail.append(sgId).append("x").append(orders[i]);
+ }
+ }
+
+ log.info("[Gate] 空仓追挂止损, 成交{}张, gridId:{}, 网格数:{}, 分配:{}",
+ filledQty, gridId, gridCount, detail);
+ }
+
+ /**
+ * 延展完成后重挂止损（处理被跳过的入场单成交）。
+ * 取消已有止损单并用最新仓位重新挂单，确保止损覆盖最新持仓数。
+ */
+ private void reExtendLongStopLoss(GridElement entryElem) {
+ if (entryElem.isExtendStopLossInProgress()) {
+ log.info("[Gate] 多仓重挂止损跳过, entryGridId:{}, 仍在进行中", entryElem.getId());
+ return;
+ }
+ entryElem.setExtendStopLossInProgress(true);
+ cancelAllLongTakeProfitsAndStopLosses();
+ int latestPos = Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue());
+ log.info("[Gate] 多仓重挂止损, entryGridId:{}, 最新仓位:{}张", entryElem.getId(), latestPos);
+ extendLongStopLoss(latestPos, entryElem.getId());
+ }
+
+ private void reExtendShortStopLoss(GridElement entryElem) {
+ if (entryElem.isExtendStopLossInProgress()) {
+ log.info("[Gate] 空仓重挂止损跳过, entryGridId:{}, 仍在进行中", entryElem.getId());
+ return;
+ }
+ entryElem.setExtendStopLossInProgress(true);
+ cancelAllShortTakeProfitsAndStopLosses();
+ int latestPos = Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue());
+ log.info("[Gate] 空仓重挂止损, entryGridId:{}, 最新仓位:{}张", entryElem.getId(), latestPos);
+ extendShortStopLoss(latestPos, entryElem.getId());
+ }
+
+ /**
+ * 在指定网格位置挂 count 个独立止损单，每个 size 张。
+ */
+ private void placeStopLossOrders(int gridId, int count, int qty,
+ FuturesPriceTrigger.RuleEnum rule,
+ String orderType, boolean isLong,
+ AtomicInteger remainCount,
+ GridElement entryElement) {
+ if (count <= 0) {
+ return;
+ }
+ GridElement elem = GridElement.findById(gridId);
+ if (elem == null) {
+ log.warn("[Gate] 止损挂单位置不存在, gridId:{}", gridId);
+ // 即使挂单位置不存在也需递减计数器，避免标志永不重置
+ if (remainCount != null && entryElement != null) {
+ for (int i = 0; i < count; i++) {
+ if (remainCount.decrementAndGet() == 0) {
+ entryElement.setExtendStopLossInProgress(false);
+ log.info("[Gate] {}止损追单全部完成(部分位置缺失), entryGridId:{}, 防重入标记已重置",
+ isLong ? "多仓" : "空仓", entryElement.getId());
+ // 检查待重挂请求
+ if (entryElement.isPendingStopLossReExtend()) {
+ entryElement.setPendingStopLossReExtend(false);
+ if (isLong) {
+ reExtendLongStopLoss(entryElement);
+ } else {
+ reExtendShortStopLoss(entryElement);
+ }
+ }
+ }
+ }
+ }
+ return;
+ }
+ BigDecimal triggerPrice = elem.getGridPrice();
+ for (int i = 0; i < count; i++) {
+ String size = isLong ? negate(String.valueOf(qty)) : String.valueOf(qty);
+ int finalGridId = gridId;
+ int finalI = i;
+ executor.placeTakeProfit(
+ triggerPrice, rule, orderType, size,
+ profitId -> {
+ if (isLong) {
+ elem.addLongStopLossOrderId(profitId);
+ } else {
+ elem.addShortStopLossOrderId(profitId);
+ }
+ GridElement.refreshIndices();
+ log.info("[Gate] {}止损追加, gridId:{}, 触发价:{}, 第{}单, stopLossId:{}",
+ isLong ? "多仓" : "空仓", finalGridId, triggerPrice, finalI + 1, profitId);
+ // 计数器归零时重置防重入标记，并检查是否有待重挂请求
+ if (remainCount != null && remainCount.decrementAndGet() == 0 && entryElement != null) {
+ entryElement.setExtendStopLossInProgress(false);
+ log.info("[Gate] {}止损追单全部完成, entryGridId:{}, 防重入标记已重置",
+ isLong ? "多仓" : "空仓", entryElement.getId());
+ // 如果有被跳过的入场单成交，用最新仓位重挂一次止损
+ if (entryElement.isPendingStopLossReExtend()) {
+ entryElement.setPendingStopLossReExtend(false);
+ if (isLong) {
+ reExtendLongStopLoss(entryElement);
+ } else {
+ reExtendShortStopLoss(entryElement);
+ }
+ }
+ }
+ }
+ );
}
}
// ---- 工具 ----
+ /**
+ * 取反字符串数字。如 "1" → "-1"，"-2" → "2"。
+ * 用于开空单时将正数张数转为负数。
+ */
private String negate(String qty) {
return qty.startsWith("-") ? qty.substring(1) : "-" + qty;
+ }
+
+ /**
+ * 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);
+ }
+ },
+ () -> {
+ // 仅当列表为空（无其他有效订单）时才清预置标志，避免误伤其他并发挂单
+ if (isLong) {
+ if (!gridElement.hasLongOrderIds()) {
+ gridElement.setHasLongOrder(false);
+ }
+ } else {
+ if (!gridElement.hasShortOrderIds()) {
+ gridElement.setHasShortOrder(false);
+ }
+ }
+ GridElement.refreshIndices();
+ log.warn("[Gate] 条件单创建失败 gridId:{}, isLong:{}", gridElement.getId(), isLong);
+ }
+ );
}
/**
@@ -630,6 +2239,9 @@
/**
* 根据配置的 PnLPriceMode 返回计价价格。
+ * MARK_PRICE 模式优先使用标记价格（外部注入），未注入时回退到最新成交价。
+ *
+ * @return 计价价格，可能为 null
*/
private BigDecimal resolvePnlPrice() {
if (config.getUnrealizedPnlPriceMode() == GateConfig.PnLPriceMode.MARK_PRICE
@@ -639,11 +2251,413 @@
return lastKlinePrice;
}
+ /** @return 最新 K 线价格（每次 onKline 更新） */
public BigDecimal getLastKlinePrice() { return lastKlinePrice; }
+ /** 设置标记价格（外部注入，MARK_PRICE 模式时用于盈亏计算） */
public void setMarkPrice(BigDecimal markPrice) { this.markPrice = markPrice; }
+ /** @return 策略是否处于活跃状态（非 STOPPED 且非 WAITING_KLINE） */
public boolean isStrategyActive() { return state != StrategyState.STOPPED && state != StrategyState.WAITING_KLINE; }
+ /** @return 当前已完成轮数 */
+ public int getCurrentRound() { return currentRound; }
+ /** @return 累计已实现盈亏（平仓推送驱动累加） */
public BigDecimal getCumulativePnl() { return cumulativePnl; }
+ /** @return 初始本金 */
+ public BigDecimal getInitialPrincipal() { return initialPrincipal; }
+ /** @return 当前未实现盈亏（每根 K 线实时计算） */
public BigDecimal getUnrealizedPnl() { return unrealizedPnl; }
+ /** @return Gate 用户 ID（用于私有频道订阅 payload） */
public Long getUserId() { return userId; }
+ /** @return 当前策略状态 */
public StrategyState getState() { return state; }
+ /** 注入WS客户端，用于订阅状态检查 */
+ public void setWsClient(GateKlineWebSocketClient wsClient) { this.wsClient = wsClient; }
+
+ // ========== 手动控制（Station 指令） ==========
+
+ /**
+ * 手动取消多仓止盈 + 止损挂单，并同步清理对应 GridElement 的挂单记录。
+ */
+ public void cancelLongTakeProfitAndStopLoss() {
+ submitManualTask(this::cancelAllLongTakeProfitsAndStopLosses);
+ }
+
+ /**
+ * 手动取消空仓止盈 + 止损挂单，并同步清理对应 GridElement 的挂单记录。
+ */
+ public void cancelShortTakeProfitAndStopLoss() {
+ submitManualTask(this::cancelAllShortTakeProfitsAndStopLosses);
+ }
+
+ /**
+ * 手动重新生成多仓止盈 + 止损挂单，逻辑与挂单成交（onAutoOrder）一致：
+ * 先撤多仓所有止盈止损，再按交易所最新持仓重挂止损阶梯，超额部分挂止盈到空仓第一止损位。
+ */
+ public void rebuildLongTakeProfitAndStopLoss() {
+ submitManualTask(() -> {
+ cancelAllLongTakeProfitsAndStopLosses();
+ int posSize = Math.max(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue());
+ if (posSize <= 0) {
+ log.warn("[Gate] 生成多仓止盈止损失败：无多仓持仓");
+ return;
+ }
+ extendLongStopLoss(posSize, 0);
+ if (GateConfig.EXCESS_TP_CONCENTRATED.equals(config.getPlaceExcessTakeProfit())) {
+ placeExcessTakeProfit(posSize, true);
+ } else if (GateConfig.EXCESS_TP_DISPERSED.equals(config.getPlaceExcessTakeProfit())) {
+ placeDispersedTakeProfit(posSize, true, 0);
+ }
+ log.info("[Gate] 生成多仓止盈止损完成, 仓位:{}张", posSize);
+ });
+ }
+
+ /**
+ * 手动重新生成空仓止盈 + 止损挂单，逻辑与挂单成交（onAutoOrder）一致：
+ * 先撤空仓所有止盈止损，再按交易所最新持仓重挂止损阶梯，超额部分挂止盈到多仓第一止损位。
+ */
+ public void rebuildShortTakeProfitAndStopLoss() {
+ submitManualTask(() -> {
+ cancelAllShortTakeProfitsAndStopLosses();
+ int posSize = Math.max(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue());
+ if (posSize <= 0) {
+ log.warn("[Gate] 生成空仓止盈止损失败：无空仓持仓");
+ return;
+ }
+ extendShortStopLoss(posSize, 0);
+ if (GateConfig.EXCESS_TP_CONCENTRATED.equals(config.getPlaceExcessTakeProfit())) {
+ placeExcessTakeProfit(posSize, false);
+ } else if (GateConfig.EXCESS_TP_DISPERSED.equals(config.getPlaceExcessTakeProfit())) {
+ placeDispersedTakeProfit(posSize, false, 0);
+ }
+ log.info("[Gate] 生成空仓止盈止损完成, 仓位:{}张", posSize);
+ });
+ }
+
+ /**
+ * 多单平仓：市价平掉多仓 → 撤多仓所有挂单并更新 GridElement → 交由价格驱动（onKline→processGrid）重新入场。
+ */
+ public void closeLongPosition() {
+ submitManualTask(() -> closePositionByMode(Position.ModeEnum.DUAL_LONG, true));
+ }
+
+ /**
+ * 空单平仓：市价平掉空仓 → 撤空仓所有挂单并更新 GridElement → 交由价格驱动（onKline→processGrid）重新入场。
+ */
+ public void closeShortPosition() {
+ submitManualTask(() -> closePositionByMode(Position.ModeEnum.DUAL_SHORT, false));
+ }
+
+ /**
+ * 统一提交手动操作任务。策略停止（executor 已关闭）时直接忽略，避免 RejectedExecutionException。
+ */
+ private void submitManualTask(Runnable task) {
+ if (state == StrategyState.STOPPED) {
+ log.warn("[Gate] 策略已停止，忽略手动操作");
+ return;
+ }
+ executor.submitTask(task);
+ }
+
+ /**
+ * 按持仓模式市价平仓（reduceOnly + IOC），随后撤该方向所有挂单（止盈/止损/入场单）、
+ * 更新 GridElement，并清空 active 与持仓量标记，让价格驱动在下一根 K 线重新挂入场单。
+ *
+ * @param mode 持仓模式（DUAL_LONG / DUAL_SHORT）
+ * @param isLong true=多仓，false=空仓
+ */
+ private void closePositionByMode(Position.ModeEnum mode, boolean isLong) {
+ String sideLabel = isLong ? "多" : "空";
+ // 1. 市价平掉对应方向仓位
+ try {
+ Position pos = queryPosition(mode);
+ if (pos != null) {
+ String sizeStr = pos.getSize();
+ long size = Long.parseLong(sizeStr);
+ if (size != 0) {
+ Position.ModeEnum posMode = pos.getMode();
+ FuturesOrder closeOrder = new FuturesOrder();
+ closeOrder.setContract(config.getContract());
+ closeOrder.setPrice("0");
+ closeOrder.setTif(FuturesOrder.TifEnum.IOC);
+ closeOrder.setReduceOnly(true);
+ if (posMode != null && posMode.getValue() != null && posMode.getValue().contains("dual")) {
+ closeOrder.setSize("0");
+ closeOrder.setClose(false);
+ closeOrder.setAutoSize(size > 0 ? FuturesOrder.AutoSizeEnum.LONG : FuturesOrder.AutoSizeEnum.SHORT);
+ } else {
+ closeOrder.setSize(size > 0 ? String.valueOf(-size) : String.valueOf(Math.abs(size)));
+ }
+ closeOrder.setText("t-grid-manual-close");
+ futuresApi.createFuturesOrder(SETTLE, closeOrder, null);
+ log.info("[Gate] 手动平{}仓, size:{}, mode:{}", sideLabel, sizeStr, posMode);
+ }
+ }
+ } catch (Exception e) {
+ log.warn("[Gate] 手动平{}仓失败", sideLabel, e);
+ }
+
+ // 2. 撤该方向所有挂单 + 更新 GridElement
+ if (isLong) {
+ cancelAllLongTakeProfitsAndStopLosses();
+ cancelAllLongEntryOrders();
+ longActive = false;
+ longPositionSize = BigDecimal.ZERO;
+ } else {
+ cancelAllShortTakeProfitsAndStopLosses();
+ cancelAllShortEntryOrders();
+ shortActive = false;
+ shortPositionSize = BigDecimal.ZERO;
+ }
+ log.info("[Gate] {}仓已平仓并清理挂单，交由价格驱动重新入场", sideLabel);
+ }
+
+ /**
+ * 取消所有多仓入场单（条件开仓单），并清空 GridElement 的多仓挂单记录。
+ */
+ private void cancelAllLongEntryOrders() {
+ for (GridElement e : config.getGridElements()) {
+ for (String oid : new ArrayList<>(e.getLongOrderIds())) {
+ executor.cancelConditionalOrder(oid, o -> {});
+ }
+ e.getLongTraderParam().setEntryOrderId(null);
+ e.getLongTraderParam().setEntryOrderPlaced(false);
+ e.setHasLongOrder(false);
+ e.clearLongOrderIds();
+ }
+ GridElement.refreshIndices();
+ log.info("[Gate] 已提交取消所有多仓入场单");
+ }
+
+ /**
+ * 取消所有空仓入场单（条件开仓单），并清空 GridElement 的空仓挂单记录。
+ */
+ private void cancelAllShortEntryOrders() {
+ for (GridElement e : config.getGridElements()) {
+ for (String oid : new ArrayList<>(e.getShortOrderIds())) {
+ executor.cancelConditionalOrder(oid, o -> {});
+ }
+ e.getShortTraderParam().setEntryOrderId(null);
+ e.getShortTraderParam().setEntryOrderPlaced(false);
+ e.setHasShortOrder(false);
+ e.clearShortOrderIds();
+ }
+ GridElement.refreshIndices();
+ log.info("[Gate] 已提交取消所有空仓入场单");
+ }
+
+ // ========== 止损查表辅助方法 ==========
+
+ /** 找到第一个有多仓止损单的网格（首个匹配即返回） */
+ private GridElement findFirstLongStopLossGrid() {
+ for (GridElement e : config.getGridElements()) {
+ if (!e.getLongStopLossOrderIds().isEmpty()) return e;
+ }
+ return null;
+ }
+
+ /** 找到第一个有空仓止损单的网格（首个匹配即返回） */
+ private GridElement findFirstShortStopLossGrid() {
+ for (GridElement e : config.getGridElements()) {
+ if (!e.getShortStopLossOrderIds().isEmpty()) return e;
+ }
+ return null;
+ }
+
+ /**
+ * 挂单成交后，将超出基础仓位的部分挂止盈单，挂在对向仓位的第一止损位上。
+ *
+ * <p>遍历所有 GridElement，找到对向仓位第一个有止损单的网格作为止盈挂单位置。
+ *
+ * <p>例：空仓成交后持仓 8 张，基础 4 张 → 超出 4 张，
+ * 找到多仓第一止损位（如 gridId=-2）→ 在该位置挂空仓止盈单。
+ *
+ * @param posSize 当前总持仓张数
+ * @param isLong true=多仓成交，false=空仓成交
+ */
+ private void placeExcessTakeProfit(int posSize, boolean isLong) {
+ int baseQty = Integer.parseInt(config.getBaseQuantity());
+ int excessQty = posSize - baseQty;
+ if (excessQty <= 0) {
+ return;
+ }
+
+ // 遍历找到对向仓位第一个有止损单的网格
+ GridElement tpElem = isLong ? findFirstShortStopLossGrid() : findFirstLongStopLossGrid();
+ if (tpElem == null) {
+ log.warn("[Gate] {}止盈挂单失败：未找到对向仓止损位", isLong ? "多仓" : "空仓");
+ return;
+ }
+ int tpGridId = tpElem.getId();
+
+ BigDecimal triggerPrice = tpElem.getGridPrice();
+ String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT;
+ // 多仓止盈：价格≥触发价时平仓(NUMBER_1)；空仓止盈：价格≤触发价时平仓(NUMBER_2)
+ FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1
+ : FuturesPriceTrigger.RuleEnum.NUMBER_2;
+ String size = isLong ? negate(String.valueOf(excessQty)) : String.valueOf(excessQty);
+
+// if (isLong && tpElem.getLongTakeProfitOrderId() != null) {
+// executor.cancelConditionalOrder(tpElem.getLongTakeProfitOrderId(), oid -> {
+// longTakeProfitTraderIdParam(tpElem, null, false);
+// log.info("[Gate] 取消旧止盈, gridId:{}, orderId:{}", tpGridId, oid);
+// });
+// } else if (!isLong && tpElem.getShortTakeProfitOrderId() != null) {
+// executor.cancelConditionalOrder(tpElem.getShortTakeProfitOrderId(), oid -> {
+// shortTakeProfitTraderIdParam(tpElem, null, false);
+// log.info("[Gate] 取消旧止盈, gridId:{}, orderId:{}", tpGridId, oid);
+// });
+// }
+
+ String finalSize = size;
+ int finalTpGridId = tpGridId;
+ executor.placeTakeProfit(triggerPrice, rule, orderType, size,
+ profitId -> {
+ if (isLong) {
+ longTakeProfitTraderIdParam(tpElem, profitId, true);
+ } else {
+ shortTakeProfitTraderIdParam(tpElem, profitId, true);
+ }
+ log.info("[Gate] {}止盈挂单, gridId:{}, 触发价:{}, 数量:{}, takeProfitId:{}",
+ isLong ? "多仓" : "空仓", finalTpGridId, triggerPrice, finalSize, profitId);
+ }
+ );
+ }
+
+ /**
+ * 分散止盈：把超出基础仓位的部分，从入场网格下一格开始逐格挂止盈单，一直挂到对手盘止损位。
+ *
+ * <p>数量分配：excessQty ÷ 网格数向下取整，余数全部挂在最后一个止盈网格（对手盘止损位）。
+ *
+ * <p>方向：多仓成交向价格更高方向（id 递增）铺到空仓第一止损位；
+ * 空仓成交向价格更低方向（id 递减）铺到多仓第一止损位。
+ *
+ * @param posSize 当前总持仓张数
+ * @param isLong true=多仓成交，false=空仓成交
+ * @param entryGridId 入场网格 ID
+ */
+ private void placeDispersedTakeProfit(int posSize, boolean isLong, int entryGridId) {
+ int baseQty = Integer.parseInt(config.getBaseQuantity());
+ int excessQty = posSize - baseQty;
+ if (excessQty <= 0) {
+ return;
+ }
+
+ GridElement endElem = isLong ? findFirstShortStopLossGrid() : findFirstLongStopLossGrid();
+ if (endElem == null) {
+ log.warn("[Gate] {}分散止盈失败：未找到对手盘止损位", isLong ? "多仓" : "空仓");
+ return;
+ }
+ int endId = endElem.getId();
+ int dir = isLong ? 1 : -1;
+ int startId = entryGridId + dir;
+
+ // 终点必须在起点前进方向上，否则退化为集中止盈（全部挂对手盘止损位）
+ boolean valid = isLong ? (endId >= startId) : (endId <= startId);
+ if (!valid) {
+ placeExcessTakeProfit(posSize, isLong);
+ return;
+ }
+
+ // 收集区间内全部网格（含两端）
+ List<GridElement> gridList = new ArrayList<>();
+ int id = startId;
+ while (true) {
+ GridElement e = GridElement.findById(id);
+ if (e == null) {
+ break;
+ }
+ gridList.add(e);
+ if (id == endId) {
+ break;
+ }
+ id += dir;
+ if (gridList.size() > config.getGridQueueSize() * 2 + 4) {
+ break;
+ }
+ }
+ if (gridList.isEmpty() || gridList.get(gridList.size() - 1).getId() != endId) {
+ // 未能铺满到终点（网格缺失），退化为集中止盈
+ placeExcessTakeProfit(posSize, isLong);
+ return;
+ }
+
+ int n = gridList.size();
+ int perGrid = excessQty / n;
+ int remainder = excessQty % n;
+
+ for (int i = 0; i < n; i++) {
+ int qty = perGrid;
+ if (i == n - 1) {
+ qty += remainder;
+ }
+ if (qty <= 0) {
+ continue;
+ }
+ final GridElement elem = gridList.get(i);
+ final int gid = elem.getId();
+ final BigDecimal triggerPrice = elem.getGridPrice();
+ final String size = isLong ? negate(String.valueOf(qty)) : String.valueOf(qty);
+ final String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT;
+ final FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1
+ : FuturesPriceTrigger.RuleEnum.NUMBER_2;
+ executor.placeTakeProfit(triggerPrice, rule, orderType, size,
+ profitId -> {
+ if (isLong) {
+ longTakeProfitTraderIdParam(elem, profitId, true);
+ } else {
+ shortTakeProfitTraderIdParam(elem, profitId, true);
+ }
+ log.info("[Gate] 分散止盈 {} gridId:{}, 触发价:{}, 数量:{}, tpId:{}",
+ isLong ? "多仓" : "空仓", gid, triggerPrice, size, profitId);
+ }
+ );
+ }
+ }
+
+ /**
+ * 在指定网格挂一笔对手止盈单（非满仓超额止盈，挂在止损触发位的下一格）。
+ */
+ private void placeTakeProfitAtGrid(GridElement tpElem, boolean isLong, int qty, int times) {
+ BigDecimal triggerPrice = tpElem.getGridPrice();
+ String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT;
+ FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1
+ : FuturesPriceTrigger.RuleEnum.NUMBER_2;
+ String size = isLong ? negate(String.valueOf(qty)) : String.valueOf(qty);
+ int gridId = tpElem.getId();
+ executor.placeTakeProfit(triggerPrice, rule, orderType, size,
+ profitId -> {
+ if (isLong) {
+ longTakeProfitTraderIdParam(tpElem, profitId, true);
+ } else {
+ shortTakeProfitTraderIdParam(tpElem, profitId, true);
+ }
+ log.info("[Gate] 止损{}→对手超额止盈 gridId:{}, 量:{}, tpId:{}", times, gridId, qty, profitId);
+ }
+ );
+ }
+
+ /**
+ * 挂对手盘止盈单：在对向仓位第一止损位挂止盈。
+ * @param isLong true=挂多仓止盈(对空仓), false=挂空仓止盈(对多仓)
+ */
+ private void placeOpponentTakeProfit(boolean isLong, int tpQty, int times, int gridId) {
+ GridElement tpElem = GridElement.findById(isLong ? gridId + 1 : gridId - 1);
+ if (tpElem == null) {
+ log.warn("[Gate] 对手止盈挂单失败：未找到止损位");
+ return;
+ }
+ int tpGridId = tpElem.getId();
+ BigDecimal triggerPrice = tpElem.getGridPrice();
+ String orderType = isLong ? ORDER_TYPE_CLOSE_LONG : ORDER_TYPE_CLOSE_SHORT;
+ FuturesPriceTrigger.RuleEnum rule = isLong ? FuturesPriceTrigger.RuleEnum.NUMBER_1
+ : FuturesPriceTrigger.RuleEnum.NUMBER_2;
+ String size = isLong ? negate(String.valueOf(tpQty)) : String.valueOf(tpQty);
+ executor.placeTakeProfit(triggerPrice, rule, orderType, size,
+ profitId -> {
+ if (isLong) longTakeProfitTraderIdParam(tpElem, profitId, true);
+ else shortTakeProfitTraderIdParam(tpElem, profitId, true);
+ log.info("[Gate] 止损次数{}→对手{}止盈 gridId:{}, 量:{}, tpId:{}",
+ times, isLong ? "多仓" : "空仓", tpGridId, size, profitId);
+ }
+ );
+ }
}
--
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