From 935856d1a80bacaccad4154d99e7e7c949523011 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Wed, 13 May 2026 16:14:35 +0800
Subject: [PATCH] refactor(gateApi): 优化网格交易逻辑和条件单管理
---
src/main/java/com/xcong/excoin/modules/okxApi/OkxConfig.java | 9 ++
src/main/java/com/xcong/excoin/modules/okxApi/OkxGridTradeService.java | 157 ++++++++++++++++++++++-----------------
src/main/java/com/xcong/excoin/modules/okxApi/wsHandler/handler/OkxPositionsChannelHandler.java | 8 +
src/main/java/com/xcong/excoin/modules/okxApi/wsHandler/handler/OkxOrderInfoChannelHandler.java | 8 +
src/main/java/com/xcong/excoin/modules/okxApi/OkxWebSocketClientManager.java | 6
5 files changed, 111 insertions(+), 77 deletions(-)
diff --git a/src/main/java/com/xcong/excoin/modules/okxApi/OkxConfig.java b/src/main/java/com/xcong/excoin/modules/okxApi/OkxConfig.java
index d14168f..b9c4f7f 100644
--- a/src/main/java/com/xcong/excoin/modules/okxApi/OkxConfig.java
+++ b/src/main/java/com/xcong/excoin/modules/okxApi/OkxConfig.java
@@ -58,6 +58,8 @@
private final BigDecimal marginRatioLimit;
private final BigDecimal contractMultiplier;
private final PnLPriceMode unrealizedPnlPriceMode;
+ private final BigDecimal maxPosSize;
+ private BigDecimal step;
private OkxConfig(Builder builder) {
this.apiKey = builder.apiKey;
@@ -76,6 +78,7 @@
this.marginRatioLimit = builder.marginRatioLimit;
this.contractMultiplier = builder.contractMultiplier;
this.unrealizedPnlPriceMode = builder.unrealizedPnlPriceMode;
+ this.maxPosSize = builder.maxPosSize;
}
// ==================== WS 地址 ====================
@@ -122,6 +125,7 @@
public BigDecimal getOverallTp() { return overallTp; }
public BigDecimal getMaxLoss() { return maxLoss; }
public String getQuantity() { return quantity; }
+ public BigDecimal getMaxPosSize() { return maxPosSize; }
public int getGridQueueSize() { return gridQueueSize; }
// ==================== 风险控制 ====================
@@ -132,6 +136,9 @@
public BigDecimal getContractMultiplier() { return contractMultiplier; }
public PnLPriceMode getUnrealizedPnlPriceMode() { return unrealizedPnlPriceMode; }
+
+ public BigDecimal getStep() { return step; }
+ public void setStep(BigDecimal step) { this.step = step; }
// ==================== 环境 ====================
@@ -158,6 +165,7 @@
private BigDecimal marginRatioLimit = new BigDecimal("0.2");
private BigDecimal contractMultiplier = new BigDecimal("1");
private PnLPriceMode unrealizedPnlPriceMode = PnLPriceMode.LAST_PRICE;
+ private BigDecimal maxPosSize = new BigDecimal("10");
public Builder apiKey(String apiKey) { this.apiKey = apiKey; return this; }
public Builder secretKey(String secretKey) { this.secretKey = secretKey; return this; }
@@ -173,6 +181,7 @@
public Builder isProduction(boolean isProduction) { this.isProduction = isProduction; return this; }
public Builder contractMultiplier(BigDecimal contractMultiplier) { this.contractMultiplier = contractMultiplier; return this; }
public Builder unrealizedPnlPriceMode(PnLPriceMode mode) { this.unrealizedPnlPriceMode = mode; return this; }
+ public Builder maxPosSize(BigDecimal maxPosSize) { this.maxPosSize = maxPosSize; return this; }
public OkxConfig build() {
return new OkxConfig(this);
diff --git a/src/main/java/com/xcong/excoin/modules/okxApi/OkxGridTradeService.java b/src/main/java/com/xcong/excoin/modules/okxApi/OkxGridTradeService.java
index 8de17ad..9655c89 100644
--- a/src/main/java/com/xcong/excoin/modules/okxApi/OkxGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/okxApi/OkxGridTradeService.java
@@ -37,6 +37,8 @@
private volatile BigDecimal lastKlinePrice;
private volatile BigDecimal cumulativePnl = BigDecimal.ZERO;
private volatile BigDecimal unrealizedPnl = BigDecimal.ZERO;
+ private volatile BigDecimal longRealizedPnl = BigDecimal.ZERO;
+ private volatile BigDecimal shortRealizedPnl = BigDecimal.ZERO;
private volatile BigDecimal longEntryPrice = BigDecimal.ZERO;
private volatile BigDecimal shortEntryPrice = BigDecimal.ZERO;
private volatile BigDecimal longPositionSize = BigDecimal.ZERO;
@@ -60,6 +62,8 @@
state = StrategyState.WAITING_KLINE;
cumulativePnl = BigDecimal.ZERO;
unrealizedPnl = BigDecimal.ZERO;
+ longRealizedPnl = BigDecimal.ZERO;
+ shortRealizedPnl = BigDecimal.ZERO;
longEntryPrice = BigDecimal.ZERO;
shortEntryPrice = BigDecimal.ZERO;
longPositionSize = BigDecimal.ZERO;
@@ -70,6 +74,7 @@
shortActive = false;
shortPriceQueue.clear();
longPriceQueue.clear();
+ config.setStep(null);
log.info("[{}] 网格策略已启动", config.getContract());
}
@@ -106,74 +111,44 @@
processLongGrid(closePrice);
}
- public void onPositionUpdate(String posSide, BigDecimal size, BigDecimal entryPrice) {
- if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) {
+ public void onPositionUpdate(String posSide, BigDecimal size, BigDecimal entryPrice, BigDecimal realizedPnl) {
+ if (state == StrategyState.STOPPED) {
return;
}
boolean hasPosition = size.compareTo(BigDecimal.ZERO) > 0;
if (OkxEnums.POSSIDE_LONG.equals(posSide)) {
+ longRealizedPnl = realizedPnl;
if (hasPosition) {
longActive = true;
longEntryPrice = entryPrice;
- if (!baseLongOpened) {
- longPositionSize = size;
- longBaseEntryPrice = entryPrice;
- baseLongOpened = true;
- log.info("[{}] 基底多成交价: {}", config.getContract(), longBaseEntryPrice);
- tryGenerateQueues();
- } else if (size.compareTo(longPositionSize) > 0) {
- longPositionSize = size;
- if (longPriceQueue.isEmpty()) {
- log.warn("[{}] 多仓队列为空，无法设止盈", config.getContract());
- } else {
- BigDecimal tpPrice = longPriceQueue.get(0);
- executor.placeTakeProfit(tpPrice, OkxEnums.ORDER_TYPE_CLOSE_LONG, config.getQuantity());
- log.info("[{}] 多单止盈已设, entry:{}, tp:{}, size:{}", config.getContract(), entryPrice, tpPrice, config.getQuantity());
- }
- } else {
- longPositionSize = size;
- }
+ longPositionSize = size;
} else {
longActive = false;
longPositionSize = BigDecimal.ZERO;
+ longRealizedPnl = BigDecimal.ZERO;
}
} else if (OkxEnums.POSSIDE_SHORT.equals(posSide)) {
+ shortRealizedPnl = realizedPnl;
if (hasPosition) {
shortActive = true;
shortEntryPrice = entryPrice;
- if (!baseShortOpened) {
- shortPositionSize = size;
- shortBaseEntryPrice = entryPrice;
- baseShortOpened = true;
- log.info("[{}] 基底空成交价: {}", config.getContract(), shortBaseEntryPrice);
- tryGenerateQueues();
- } else if (size.compareTo(shortPositionSize) > 0) {
- shortPositionSize = size;
- if (shortPriceQueue.isEmpty()) {
- log.warn("[{}] 空仓队列为空，无法设止盈", config.getContract());
- } else {
- BigDecimal tpPrice = shortPriceQueue.get(0);
- executor.placeTakeProfit(tpPrice, OkxEnums.ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
- log.info("[{}] 空单止盈已设, entry:{}, tp:{}, size:{}", config.getContract(), entryPrice, tpPrice, config.getQuantity());
- }
- } else {
- shortPositionSize = size;
- }
+ shortPositionSize = size;
} else {
shortActive = false;
shortPositionSize = BigDecimal.ZERO;
+ shortRealizedPnl = BigDecimal.ZERO;
}
}
- }
- public void onOrderFilled(String posSide, BigDecimal fillSz, BigDecimal pnl) {
- if (state == StrategyState.STOPPED) {
+ cumulativePnl = longRealizedPnl.add(shortRealizedPnl);
+ log.info("[{}] 持仓更新, 多已实现盈亏:{}, 空已实现盈亏:{}, 累计:{}",
+ config.getContract(), longRealizedPnl, shortRealizedPnl, cumulativePnl);
+
+ if (state == StrategyState.WAITING_KLINE) {
return;
}
- cumulativePnl = cumulativePnl.add(pnl);
- log.info("[{}] 订单成交盈亏: {}, 方向:{}, 累计:{}", config.getContract(), pnl, posSide, cumulativePnl);
if (cumulativePnl.compareTo(config.getOverallTp()) >= 0) {
log.info("[{}] 已达止盈目标 {}→已停止", config.getContract(), cumulativePnl);
@@ -184,13 +159,58 @@
}
}
+ public void onOrderFilled(String posSide, BigDecimal fillSz, BigDecimal avgPx, BigDecimal pnl) {
+ if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) {
+ return;
+ }
+
+ log.info("[{}] 订单成交, 方向:{}, 数量:{}, 成交价:{}, 盈亏:{}",
+ config.getContract(), posSide, fillSz, avgPx, pnl);
+
+ if (OkxEnums.POSSIDE_LONG.equals(posSide)) {
+ if (!baseLongOpened) {
+ longBaseEntryPrice = avgPx;
+ baseLongOpened = true;
+ log.info("[{}] 基底多成交价: {}", config.getContract(), longBaseEntryPrice);
+ tryGenerateQueues();
+ } else if (fillSz.compareTo(BigDecimal.ZERO) > 0) {
+ if (longPriceQueue.isEmpty()) {
+ log.warn("[{}] 多仓队列为空，无法设止盈", config.getContract());
+ } else {
+ BigDecimal tpPrice = longPriceQueue.get(0);
+ executor.placeTakeProfit(tpPrice, OkxEnums.ORDER_TYPE_CLOSE_LONG, config.getQuantity());
+ log.info("[{}] 多单止盈已设, 成交价:{}, tp:{}, size:{}",
+ config.getContract(), avgPx, tpPrice, config.getQuantity());
+ }
+ }
+ } else if (OkxEnums.POSSIDE_SHORT.equals(posSide)) {
+ if (!baseShortOpened) {
+ shortBaseEntryPrice = avgPx;
+ baseShortOpened = true;
+ log.info("[{}] 基底空成交价: {}", config.getContract(), shortBaseEntryPrice);
+ tryGenerateQueues();
+ } else if (fillSz.compareTo(BigDecimal.ZERO) > 0) {
+ if (shortPriceQueue.isEmpty()) {
+ log.warn("[{}] 空仓队列为空，无法设止盈", config.getContract());
+ } else {
+ BigDecimal tpPrice = shortPriceQueue.get(0);
+ executor.placeTakeProfit(tpPrice, OkxEnums.ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
+ log.info("[{}] 空单止盈已设, 成交价:{}, tp:{}, size:{}",
+ config.getContract(), avgPx, tpPrice, config.getQuantity());
+ }
+ }
+ }
+ }
+
private void tryGenerateQueues() {
if (baseLongOpened && baseShortOpened) {
+ BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
+ config.setStep(step);
generateShortQueue();
generateLongQueue();
state = StrategyState.ACTIVE;
- log.info("[{}] 网格队列已生成, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, 已激活",
- config.getContract(),
+ log.info("[{}] 网格队列已生成, 步长:{}, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, 已激活",
+ config.getContract(), step,
shortPriceQueue.isEmpty() ? "N/A" : shortPriceQueue.get(0),
shortPriceQueue.isEmpty() ? "N/A" : shortPriceQueue.get(shortPriceQueue.size() - 1),
longPriceQueue.isEmpty() ? "N/A" : longPriceQueue.get(0),
@@ -200,26 +220,26 @@
private void generateShortQueue() {
shortPriceQueue.clear();
- BigDecimal fixedStep = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
+ BigDecimal step = config.getStep();
BigDecimal prev = shortBaseEntryPrice;
for (int i = 0; i < config.getGridQueueSize(); i++) {
- prev = prev.subtract(fixedStep).setScale(1, RoundingMode.HALF_UP);
+ prev = prev.subtract(step).setScale(1, RoundingMode.HALF_UP);
shortPriceQueue.add(prev);
}
shortPriceQueue.sort((a, b) -> b.compareTo(a));
- log.info("[{}] 空队列:{} 步长:{}", config.getContract(), shortPriceQueue, fixedStep);
+ log.info("[{}] 空队列:{} 步长:{}", config.getContract(), shortPriceQueue, step);
}
private void generateLongQueue() {
longPriceQueue.clear();
- BigDecimal fixedStep = longBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
+ BigDecimal step = config.getStep();
BigDecimal prev = longBaseEntryPrice;
for (int i = 0; i < config.getGridQueueSize(); i++) {
- prev = prev.add(fixedStep).setScale(1, RoundingMode.HALF_UP);
+ prev = prev.add(step).setScale(1, RoundingMode.HALF_UP);
longPriceQueue.add(prev);
}
Collections.sort(longPriceQueue);
- log.info("[{}] 多队列:{} 步长:{}", config.getContract(), longPriceQueue, fixedStep);
+ log.info("[{}] 多队列:{} 步长:{}", config.getContract(), longPriceQueue, step);
}
/**
@@ -259,22 +279,21 @@
}
log.info("[{}] 空仓队列触发, 匹配{}个元素, 当前价:{}", config.getContract(), matched.size(), currentPrice);
- BigDecimal shortFixedStep = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
- BigDecimal longFixedStep = longBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
- replenishOwnQueue(shortPriceQueue, matched, shortFixedStep, true, "空");
+ BigDecimal step = config.getStep();
+ replenishOwnQueue(shortPriceQueue, matched, step, true, "空");
transferBetweenQueues(longPriceQueue, matched, matched.get(matched.size() - 1),
- longFixedStep, false, longEntryPrice, BigDecimal::compareTo, "多", currentPrice);
+ step, false, longEntryPrice, BigDecimal::compareTo, "多", currentPrice);
if (!isMarginSafe()) {
log.warn("[{}] 保证金超限，跳过空单开仓", config.getContract());
} else {
- executor.openShort(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.subtract(longFixedStep)) < 0) {
+ if (shortPositionSize.compareTo(config.getMaxPosSize()) < 0){
+ executor.openShort(config.getQuantity(), null, null);
+ }
+ if (currentPrice.compareTo(shortEntryPrice) > 0
+ && currentPrice.compareTo(longEntryPrice) < 0
+ && shortPositionSize.compareTo(config.getMaxPosSize()) < 0) {
executor.openLong(config.getQuantity(), null, null);
log.info("[{}] 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:{}", config.getContract(), currentPrice);
}
@@ -318,22 +337,24 @@
}
log.info("[{}] 多仓队列触发, 匹配{}个元素, 当前价:{}", config.getContract(), matched.size(), currentPrice);
- BigDecimal longFixedStep = longBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
- BigDecimal shortFixedStep = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
- replenishOwnQueue(longPriceQueue, matched, longFixedStep, false, "多");
+ BigDecimal step = config.getStep();
+ replenishOwnQueue(longPriceQueue, matched, step, false, "多");
transferBetweenQueues(shortPriceQueue, matched, matched.get(0),
- shortFixedStep, true, shortEntryPrice, (a, b) -> b.compareTo(a), "空", currentPrice);
+ step, true, shortEntryPrice, (a, b) -> b.compareTo(a), "空", currentPrice);
if (!isMarginSafe()) {
log.warn("[{}] 保证金超限，跳过多单开仓", config.getContract());
} else {
- executor.openLong(config.getQuantity(), null, null);
+ if (longPositionSize.compareTo(config.getMaxPosSize()) < 0) {
+ executor.openLong(config.getQuantity(), null, null);
+ }
if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
&& longEntryPrice.compareTo(BigDecimal.ZERO) > 0
&& longEntryPrice.compareTo(shortEntryPrice) > 0
- && currentPrice.compareTo(shortEntryPrice.add(shortFixedStep)) > 0
- && currentPrice.compareTo(longEntryPrice) < 0) {
+ && currentPrice.compareTo(shortEntryPrice.add(step)) > 0
+ && currentPrice.compareTo(longEntryPrice) < 0
+ && shortPositionSize.compareTo(config.getMaxPosSize()) < 0) {
executor.openShort(config.getQuantity(), null, null);
log.info("[{}] 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:{}", config.getContract(), currentPrice);
}
diff --git a/src/main/java/com/xcong/excoin/modules/okxApi/OkxWebSocketClientManager.java b/src/main/java/com/xcong/excoin/modules/okxApi/OkxWebSocketClientManager.java
index 42dc164..94f4fe1 100644
--- a/src/main/java/com/xcong/excoin/modules/okxApi/OkxWebSocketClientManager.java
+++ b/src/main/java/com/xcong/excoin/modules/okxApi/OkxWebSocketClientManager.java
@@ -29,14 +29,14 @@
.apiKey("d90ca272391992b8e74f8f92cedb21ec")
.secretKey("1861e4f52de4bb53369ea3208d9ede38ece4777368030f96c77d27934c46c274")
.passphrase("Aa123123@")
- .contract("BTC-USDT-SWAP")
+ .contract("ETH-USDT-SWAP")
.leverage("100")
.marginMode("cross")
.posMode("long_short_mode")
.gridRate(new BigDecimal("0.0015"))
.overallTp(new BigDecimal("5"))
- .maxLoss(new BigDecimal("15"))
- .quantity("1")
+ .maxLoss(new BigDecimal("20"))
+ .quantity("0.1")
.contractMultiplier(new BigDecimal("1"))
.unrealizedPnlPriceMode(OkxConfig.PnLPriceMode.LAST_PRICE)
.isProduction(false)
diff --git a/src/main/java/com/xcong/excoin/modules/okxApi/wsHandler/handler/OkxOrderInfoChannelHandler.java b/src/main/java/com/xcong/excoin/modules/okxApi/wsHandler/handler/OkxOrderInfoChannelHandler.java
index 0a33aa4..1fd819c 100644
--- a/src/main/java/com/xcong/excoin/modules/okxApi/wsHandler/handler/OkxOrderInfoChannelHandler.java
+++ b/src/main/java/com/xcong/excoin/modules/okxApi/wsHandler/handler/OkxOrderInfoChannelHandler.java
@@ -98,18 +98,20 @@
}
String state = detail.getString("state");
String accFillSz = detail.getString("accFillSz");
+ String fillPx = detail.getString("fillPx");
String pnl = detail.getString("pnl");
String posSide = detail.getString("posSide");
String avgPx = detail.getString("avgPx");
String clOrdId = detail.getString("clOrdId");
- log.info("[{}] 订单, 方向:{}, 状态:{}, 成交量:{}, 均价:{}, 盈亏:{}, 编号:{}",
- CHANNEL_NAME, posSide, state, accFillSz, avgPx, pnl, clOrdId);
+ log.info("[{}] 订单, 方向:{}, 状态:{}, 成交量:{}, 末笔成交价:{}, 均价:{}, 盈亏:{}, 编号:{}",
+ CHANNEL_NAME, posSide, state, accFillSz, fillPx, avgPx, pnl, clOrdId);
if ("filled".equals(state) && accFillSz != null && new BigDecimal(accFillSz).compareTo(BigDecimal.ZERO) > 0) {
if (gridTradeService != null) {
+ BigDecimal avgPxVal = avgPx != null && !avgPx.isEmpty() ? new BigDecimal(avgPx) : BigDecimal.ZERO;
BigDecimal pnlVal = pnl != null ? new BigDecimal(pnl) : BigDecimal.ZERO;
- gridTradeService.onOrderFilled(posSide, new BigDecimal(accFillSz), pnlVal);
+ gridTradeService.onOrderFilled(posSide, new BigDecimal(accFillSz), avgPxVal, pnlVal);
}
}
}
diff --git a/src/main/java/com/xcong/excoin/modules/okxApi/wsHandler/handler/OkxPositionsChannelHandler.java b/src/main/java/com/xcong/excoin/modules/okxApi/wsHandler/handler/OkxPositionsChannelHandler.java
index 1f60705..c192238 100644
--- a/src/main/java/com/xcong/excoin/modules/okxApi/wsHandler/handler/OkxPositionsChannelHandler.java
+++ b/src/main/java/com/xcong/excoin/modules/okxApi/wsHandler/handler/OkxPositionsChannelHandler.java
@@ -80,13 +80,15 @@
BigDecimal size = new BigDecimal(pos.getString("pos"));
BigDecimal avgPx = pos.containsKey("avgPx") && pos.getString("avgPx") != null
? new BigDecimal(pos.getString("avgPx")) : BigDecimal.ZERO;
+ BigDecimal realizedPnl = pos.containsKey("realizedPnl") && pos.getString("realizedPnl") != null
+ ? new BigDecimal(pos.getString("realizedPnl")) : BigDecimal.ZERO;
- log.info("[{}] 持仓更新, 方向:{}, 数量:{}, 均价:{}, 未实现盈亏:{}, 保证金:{}",
+ log.info("[{}] 持仓更新, 方向:{}, 数量:{}, 均价:{}, 未实现盈亏:{}, 已实现盈亏:{}, 保证金:{}",
OkxEnums.CHANNEL_POSITIONS, posSide, size, avgPx,
- pos.get("upl"), pos.get("imr"));
+ pos.get("upl"), realizedPnl, pos.get("imr"));
if (gridTradeService != null) {
- gridTradeService.onPositionUpdate(posSide, size, avgPx);
+ gridTradeService.onPositionUpdate(posSide, size, avgPx, realizedPnl);
}
}
} catch (Exception e) {
--
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