From c0d51fba7f4fffff503354fd84b246e884d7c685 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Mon, 01 Jun 2026 13:48:52 +0800
Subject: [PATCH] fix(gateApi): 修复网格交易策略状态管理问题
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 857 ++++++++++++++++++++++++++++++++++++--------------------
1 files changed, 544 insertions(+), 313 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 cb1bde2..aafeba4 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -1,6 +1,8 @@
package com.xcong.excoin.modules.gateApi;
import cn.hutool.core.collection.CollUtil;
+import cn.hutool.core.util.StrUtil;
+import com.xcong.excoin.utils.dingtalk.DingTalkUtils;
import io.gate.gateapi.ApiClient;
import io.gate.gateapi.ApiException;
import io.gate.gateapi.GateApiException;
@@ -14,7 +16,6 @@
import java.math.RoundingMode;
import java.util.ArrayList;
import java.util.Collections;
-import java.util.Iterator;
import java.util.LinkedHashMap;
import java.util.List;
import java.util.Map;
@@ -358,14 +359,14 @@
//初始化0位置的开仓，并且用空的开仓价格，作为价格基准来划分网格
if (state == StrategyState.WAITING_KLINE) {
state = StrategyState.OPENING;
- log.info("[Gate] 首根K线到达，开基底仓位...");
- executor.openLong(config.getQuantity(), (orderId) -> {
+ log.info("[Gate] 首根K线到达，开基底仓位 多空各{}张...", config.getBaseQuantity());
+ executor.openLong(config.getBaseQuantity(), (orderId) -> {
TraderParam baseLongTp = TraderParam.builder()
.entryOrderId(orderId)
.build();
config.setBaseLongTraderParam(baseLongTp);
}, null);
- executor.openShort(negate(config.getQuantity()), (orderId) -> {
+ executor.openShort(negate(config.getBaseQuantity()), (orderId) -> {
TraderParam baseShortTp = TraderParam.builder()
.entryOrderId(orderId)
.build();
@@ -378,8 +379,7 @@
if (state != StrategyState.ACTIVE) {
return;
}
- processLongGrid(closePrice);
- processShortGrid(closePrice);
+ checkProfitAndReset();
}
// ---- 仓位推送回调 ----
@@ -427,37 +427,14 @@
tryGenerateQueues();
}else {
longPositionSize = size;
- //取消多仓位线以上的开空仓挂单
- List<GridElement> allShortOrders = GridElement.findAllShortOrders(longEntryPrice);
- if (CollUtil.isNotEmpty(allShortOrders)){
- for (GridElement e : allShortOrders) {
- executor.cancelConditionalOrder(
- e.getShortOrderId(),
- orderId -> {
- shortEntryTraderIdParam(
- e,
- null,
- false
- );
- }
- );
-
- if (e.getShortTakeProfitOrderId() != null){
- executor.cancelConditionalOrder(
- e.getShortTakeProfitOrderId(),
- orderId -> {
- shortTakeProfitTraderIdParam(
- e,
- null,
- false
- );
- }
- );
- }
- }
- }
+// checkShortEntryOrderToCancel();
+// checkLongEntryOrderToCancel();
}
} else {
+ if (longActive && state == StrategyState.ACTIVE) {
+ log.info("[Gate] 多仓持仓归零，重置策略");
+ handlePositionZeroAndReset("多仓");
+ }
longActive = false;
longPositionSize = BigDecimal.ZERO;
}
@@ -473,38 +450,89 @@
tryGenerateQueues();
}else {
shortPositionSize = size.abs();
- //取消空仓仓位线以下的开多仓挂单
- List<GridElement> allLongOrders = GridElement.findAllLongOrders(shortEntryPrice);
- if (CollUtil.isNotEmpty(allLongOrders)){
- for (GridElement e : allLongOrders) {
- executor.cancelConditionalOrder(
- e.getLongOrderId(),
- orderId -> {
- longEntryTraderIdParam(
- e,
- null,
- false
- );
- }
- );
- if (e.getLongTakeProfitOrderId() != null){
- executor.cancelConditionalOrder(
- e.getLongTakeProfitOrderId(),
- orderId -> {
- longTakeProfitTraderIdParam(
- e,
- null,
- false
- );
- }
- );
- }
- }
- }
+// checkShortEntryOrderToCancel();
+// checkLongEntryOrderToCancel();
}
} else {
+ if (shortActive && state == StrategyState.ACTIVE) {
+ log.info("[Gate] 空仓持仓归零，重置策略");
+ handlePositionZeroAndReset("空仓");
+ }
shortActive = false;
shortPositionSize = BigDecimal.ZERO;
+ }
+ }
+ }
+
+ private void checkShortEntryOrderToCancel() {
+ List<GridElement> allLongOrders = GridElement.findAllShortOrders(shortEntryPrice);
+ if (CollUtil.isNotEmpty(allLongOrders)){
+ GridElement keep = allLongOrders.stream()
+ .min((a, b) -> a.getGridPrice().compareTo(b.getGridPrice()))
+ .orElse(null);
+ for (GridElement e : allLongOrders) {
+ if (e == keep) {
+ continue;
+ }
+ executor.cancelConditionalOrder(
+ e.getShortOrderId(),
+ orderId -> {
+ shortEntryTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+ if (e.getShortTakeProfitOrderId() != null){
+ executor.cancelConditionalOrder(
+ e.getShortTakeProfitOrderId(),
+ orderId -> {
+ shortTakeProfitTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+ }
+ }
+ }
+ }
+
+ private void checkLongEntryOrderToCancel() {
+ List<GridElement> allShortOrders = GridElement.findAllLongOrders(longEntryPrice);
+ if (CollUtil.isNotEmpty(allShortOrders)){
+ GridElement keep = allShortOrders.stream()
+ .max((a, b) -> a.getGridPrice().compareTo(b.getGridPrice()))
+ .orElse(null);
+ for (GridElement e : allShortOrders) {
+ if (e == keep) {
+ continue;
+ }
+ executor.cancelConditionalOrder(
+ e.getLongOrderId(),
+ orderId -> {
+ longEntryTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+
+ if (e.getLongTakeProfitOrderId() != null){
+ executor.cancelConditionalOrder(
+ e.getLongTakeProfitOrderId(),
+ orderId -> {
+ longTakeProfitTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+ }
}
}
}
@@ -527,6 +555,7 @@
return;
}
cumulativePnl = cumulativePnl.add(pnl);
+ updateUnrealizedPnl();
BigDecimal totalPnl = cumulativePnl.add(unrealizedPnl);
log.info("[Gate] 已实现:{}, 未实现:{}, 合计:{}",
cumulativePnl, unrealizedPnl, totalPnl);
@@ -536,9 +565,13 @@
totalPnl, cumulativePnl, unrealizedPnl);
state = StrategyState.STOPPED;
} else if (totalPnl.compareTo(config.getMaxLoss().negate()) <= 0) {
- log.info("[Gate] 已达亏损上限(合计{})→已停止, 已实现:{}, 未实现:{}",
+ String logMessage = StrUtil.format("[Gate] 已达亏损风险值(合计{}), 已实现:{}, 未实现:{}",
totalPnl, cumulativePnl, unrealizedPnl);
- state = StrategyState.STOPPED;
+ log.info(logMessage);
+
+
+ DingTalkUtils.getDefault().sendActionCard("风险提醒", logMessage, config.getApiKey(), "");
+// state = StrategyState.STOPPED;
}
}
@@ -690,81 +723,152 @@
return;
}
- /**
- * 匹配止盈单止盈
- */
- GridElement byLongTakeProfitOrderId = GridElement.findByLongTakeProfitOrderId(orderId);
- if (byLongTakeProfitOrderId != null){
- longTakeProfitTraderIdParam(
- byLongTakeProfitOrderId,
- null,
- false
- );
- longEntryTraderIdParam(
- byLongTakeProfitOrderId,
- null,
- false
- );
+ GridElement longStopLossElem = GridElement.findByLongStopLossOrderId(orderId);
+ if (longStopLossElem != null) {
+ handleLongStopLossTriggered(longStopLossElem);
+ return;
}
- GridElement byShortTakeProfitOrderId = GridElement.findByShortTakeProfitOrderId(orderId);
- if (byShortTakeProfitOrderId != null){
- shortTakeProfitTraderIdParam(
- byShortTakeProfitOrderId,
- null,
- false
- );
- shortEntryTraderIdParam(
- byShortTakeProfitOrderId,
- null,
- false
- );
+ GridElement shortStopLossElem = GridElement.findByShortStopLossOrderId(orderId);
+ if (shortStopLossElem != null) {
+ handleShortStopLossTriggered(shortStopLossElem);
+ return;
}
- /**
- * 匹配挂单
- */
- GridElement longGridElement = GridElement.findByLongOrderId(orderId);
- if (longGridElement != null) {
- if (longGridElement.isHasLongOrder() && !tradeId.equals("0")){
- if (longGridElement.getLongTakeProfitOrderId() == null){
- BigDecimal longTp = longGridElement.getLongTraderParam().getTakeProfitPrice();
- if (longTp != null) {
- executor.placeTakeProfit(longTp,
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- ORDER_TYPE_CLOSE_LONG,
- negate(config.getQuantity()),
- (profitId) -> {
- longTakeProfitTraderIdParam(
- longGridElement,
- profitId,
- true
- );
- });
- log.info("[Gate] 多单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, longTp, negate(config.getQuantity()));
- return;
- }
- }
- }
- }
+// GridElement byShortTakeProfitOrderId = GridElement.findByShortTakeProfitOrderId(orderId);
+// if (byShortTakeProfitOrderId != null){
+// shortTakeProfitTraderIdParam(
+// byShortTakeProfitOrderId,
+// null,
+// false
+// );
+// shortEntryTraderIdParam(
+// byShortTakeProfitOrderId,
+// null,
+// false
+// );
+// TPonUserTradeShortEntry(byShortTakeProfitOrderId);
+// }
+// GridElement byLongTakeProfitOrderId = GridElement.findByLongTakeProfitOrderId(orderId);
+// if (byLongTakeProfitOrderId != null){
+// longTakeProfitTraderIdParam(
+// byLongTakeProfitOrderId,
+// null,
+// false
+// );
+// longEntryTraderIdParam(
+// byLongTakeProfitOrderId,
+// null,
+// false
+// );
+// TPonUserTradeLongEntry(byLongTakeProfitOrderId);
+// }
+
GridElement shortGridElement = GridElement.findByShortOrderId(orderId);
if (shortGridElement != null) {
if (shortGridElement.isHasShortOrder() && !tradeId.equals("0")){
- if (shortGridElement.getShortTakeProfitOrderId() == null){
- BigDecimal shortTp = shortGridElement.getShortTraderParam().getTakeProfitPrice();
- if (shortTp != null) {
- executor.placeTakeProfit(shortTp,
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- ORDER_TYPE_CLOSE_SHORT,
- config.getQuantity(),
- (profitId) -> {
- shortTakeProfitTraderIdParam(
- shortGridElement,
- profitId,
- true
- );
- });
- log.info("[Gate] 空单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, shortTp, config.getQuantity());
- }
+ int filledQty = Integer.parseInt(shortGridElement.getShortTraderParam().getQuantity());
+ shortEntryTraderIdParam(shortGridElement, null, false);
+ extendShortStopLoss(filledQty);
+ log.info("[Gate] 空单成交 gridId:{}, qty:{}, 追挂止损", shortGridElement.getId(), filledQty);
+ }
+ }
+ GridElement longGridElement = GridElement.findByLongOrderId(orderId);
+ if (longGridElement != null) {
+ if (longGridElement.isHasLongOrder() && !tradeId.equals("0")){
+ int filledQty = Integer.parseInt(longGridElement.getLongTraderParam().getQuantity());
+ longEntryTraderIdParam(longGridElement, null, false);
+ extendLongStopLoss(filledQty);
+ log.info("[Gate] 多单成交 gridId:{}, qty:{}, 追挂止损", longGridElement.getId(), filledQty);
+ }
+ }
+ }
+
+ private void TPonUserTradeShortEntry(GridElement gridElement) {
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ // 判断网格是否能开多仓，如果不能则跳过
+ GridElement upGridElement = GridElement.findById(gridElement.getUpId());
+ if (upGridElement != null){
+ BigDecimal upGridPrice = upGridElement.getGridPrice();
+ TraderParam upLongTraderParam = upGridElement.getLongTraderParam();
+ if (
+ !upGridElement.isHasLongOrder() &&
+ upGridPrice.compareTo(longEntryPrice) <= 0
+ ){
+ placeEntryOrderWithPreFlag(upGridElement, true,
+ upLongTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ upLongTraderParam.getQuantity());
+ }
+ }
+ }
+ }
+
+ private void TPonUserTradeLongEntry(GridElement gridElement) {
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ // 判断网格是否能开空仓，如果不能则跳过
+ GridElement downGridElement = GridElement.findById(gridElement.getDownId());
+ if (downGridElement != null){
+
+ BigDecimal downGridPrice = downGridElement.getGridPrice();
+
+ TraderParam shortTraderParam = downGridElement.getShortTraderParam();
+ if (
+ !downGridElement.isHasShortOrder() &&
+ downGridPrice.compareTo(shortEntryPrice) >= 0
+ ){
+ placeEntryOrderWithPreFlag(downGridElement, false,
+ shortTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ negate(config.getQuantity()));
+ }
+ }
+ }
+ }
+
+ private void onUserTradeShortEntry(GridElement gridElement) {
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ //下一个开仓位置
+ GridElement UpGridElement = GridElement.findById(gridElement.getDownId());
+ BigDecimal newLongFirst = UpGridElement.getGridPrice();
+
+ // 判断网格是否能开空仓，如果不能则跳过
+ if (UpGridElement != null) {
+
+ if (!UpGridElement.isHasShortOrder() && shortEntryPrice.compareTo(newLongFirst) > 0) {
+
+ TraderParam upShortTraderParam = UpGridElement.getShortTraderParam();
+ placeEntryOrderWithPreFlag(UpGridElement, false,
+ upShortTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ negate(upShortTraderParam.getQuantity()));
+ }
+ }
+ }
+ }
+
+ private void onUserTradeLongEntry(GridElement gridElement) {
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ //下一个开仓位置
+ GridElement UpGridElement = GridElement.findById(gridElement.getUpId());
+ BigDecimal newLongFirst = UpGridElement.getGridPrice() ;
+
+ // 判断网格是否能开多仓，如果不能则跳过
+ if (UpGridElement != null) {
+
+ if (!UpGridElement.isHasLongOrder() && longEntryPrice.compareTo(newLongFirst) < 0) {
+ TraderParam upLongTraderParam = UpGridElement.getLongTraderParam();
+ placeEntryOrderWithPreFlag(UpGridElement, true,
+ upLongTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ config.getQuantity());
}
}
}
@@ -786,91 +890,59 @@
*/
private void tryGenerateQueues() {
if (baseLongOpened && baseShortOpened) {
- //初始化空仓队列
generateShortQueue();
- //初始化多仓队列
generateLongQueue();
- //初始化网格数据
updateGridElements();
- /**
- * 挂初始位置多空仓条件单
- * 0位置的多单止盈
- * 0位置的空单止盈
- */
GridElement baseGridElement = GridElement.findById(0);
TraderParam baseLongTraderParam = config.getBaseLongTraderParam();
baseGridElement.setLongOrderId(baseLongTraderParam.getEntryOrderId());
baseGridElement.setHasLongOrder(true);
- //0位置的网格的多单止盈
- BigDecimal upTakeProfitPrice = baseGridElement.getLongTraderParam().getTakeProfitPrice();
- executor.placeTakeProfit(
- upTakeProfitPrice,
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- ORDER_TYPE_CLOSE_LONG,
- negate(config.getQuantity()),
- profitId -> {
- longTakeProfitTraderIdParam(
- baseGridElement,
- profitId,
- true
- );
- }
- );
- //0位置的网格的空单止盈
TraderParam baseShortTraderParam = config.getBaseShortTraderParam();
baseGridElement.setShortOrderId(baseShortTraderParam.getEntryOrderId());
baseGridElement.setHasShortOrder(true);
- BigDecimal downTakeProfitPrice = baseGridElement.getShortTraderParam().getTakeProfitPrice();
- executor.placeTakeProfit(
- downTakeProfitPrice,
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- ORDER_TYPE_CLOSE_SHORT,
- config.getQuantity(),
- profitId -> {
- shortTakeProfitTraderIdParam(
- baseGridElement,
- profitId,
- true
- );
- }
- );
- /**
- * 挂初始位置的up位置的多单
- * 挂初始位置的down位置的空单
- */
- Integer upId = baseGridElement.getUpId();
- GridElement upGridElementOne = GridElement.findById(upId);
- BigDecimal longTp = upGridElementOne.getGridPrice();
- executor.placeConditionalEntryOrder(
- longTp,
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- config.getQuantity(),
- orderId -> {
- longEntryTraderIdParam(
- upGridElementOne,
- orderId,
- true
- );
- },
- null);
- Integer downId = baseGridElement.getDownId();
- GridElement downGridElementOne = GridElement.findById(downId);
- BigDecimal shortTp = downGridElementOne.getGridPrice();
- executor.placeConditionalEntryOrder(
- shortTp,
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- negate(config.getQuantity()),
- orderId -> {
- shortEntryTraderIdParam(
- downGridElementOne,
- orderId,
- true
- );
- },
- null);
+ for (int id = 2; id <= 11; id++) {
+ GridElement elem = GridElement.findById(id);
+ if (elem == null) {
+ continue;
+ }
+ BigDecimal triggerPrice = elem.getGridPrice();
+ int finalId = id;
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ ORDER_TYPE_CLOSE_SHORT,
+ "1",
+ profitId -> {
+ elem.setShortStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
+ }
+ );
+ }
+ for (int id = -2; id >= -11; id--) {
+ GridElement elem = GridElement.findById(id);
+ if (elem == null) {
+ continue;
+ }
+ BigDecimal triggerPrice = elem.getGridPrice();
+ int finalId = id;
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ ORDER_TYPE_CLOSE_LONG,
+ "-1",
+ profitId -> {
+ elem.setLongStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
+ }
+ );
+ }
+
+ log.info("[Gate] 止损单已全部挂完, 空仓止损: 2~11, 多仓止损: -2~-11");
state = StrategyState.ACTIVE;
}
}
@@ -980,8 +1052,9 @@
int longSize = longPriceQueue.size();
//根据精度转换成小数
int prec = config.getPriceScale();
- BigDecimal minTick = BigDecimal.ONE.scaleByPowerOfTen(-prec);
- BigDecimal step = config.getStep().subtract(minTick);
+// BigDecimal minTick = BigDecimal.ONE.scaleByPowerOfTen(-prec);
+// BigDecimal step = config.getStep().subtract(minTick);
+ BigDecimal step = config.getStep();
String qty = config.getQuantity();
// 空仓队列：id 从 -1 自减, shortPriceQueue[i] → id=-(i+1)
@@ -1128,73 +1201,42 @@
// 判断网格是否能开空仓，如果不能则跳过
if (UpGridElement != null) {
- if (!UpGridElement.isHasShortOrder()) {
-
- //挂空仓条件单
- TraderParam upShortTraderParam = UpGridElement.getShortTraderParam();
- executor.placeConditionalEntryOrder(
- upShortTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- negate(upShortTraderParam.getQuantity()),
- orderId ->
- {
- shortEntryTraderIdParam(
- UpGridElement,
- orderId,
- true
- );
- },
- null
- );
- }
+// if (!UpGridElement.isHasShortOrder() && shortEntryPrice.compareTo(newLongFirst) > 0) {
+//
+// TraderParam upShortTraderParam = UpGridElement.getShortTraderParam();
+// placeEntryOrderWithPreFlag(UpGridElement, false,
+// upShortTraderParam.getEntryPrice(),
+// FuturesPriceTrigger.RuleEnum.NUMBER_2,
+// negate(upShortTraderParam.getQuantity()));
+// }
int i = UpGridElement.getId() + 2;
GridElement downGridElement = GridElement.findById(i);
if (downGridElement != null){
BigDecimal downGridPrice = downGridElement.getGridPrice();
- TraderParam downShortTraderParam = downGridElement.getShortTraderParam();
- if (
- !downGridElement.isHasShortOrder() &&
- downGridPrice.compareTo(longEntryPrice) <= 0 &&
- downGridPrice.compareTo(shortEntryPrice) >= 0
- ){
- executor.placeConditionalEntryOrder(
- downShortTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- negate(downShortTraderParam.getQuantity()),
- orderId ->
- {
- shortEntryTraderIdParam(
- downGridElement,
- orderId,
- true
- );
- },
- null
- );
-
- }
+// TraderParam downShortTraderParam = downGridElement.getShortTraderParam();
+// if (
+// !downGridElement.isHasShortOrder() &&
+// downGridPrice.compareTo(longEntryPrice) <= 0 &&
+// downGridPrice.compareTo(shortEntryPrice) >= 0
+// ){
+// placeEntryOrderWithPreFlag(downGridElement, false,
+// downShortTraderParam.getEntryPrice(),
+// FuturesPriceTrigger.RuleEnum.NUMBER_1,
+// negate(downShortTraderParam.getQuantity()));
+//
+// }
TraderParam downLongTraderParam = downGridElement.getLongTraderParam();
if (
!downGridElement.isHasLongOrder() &&
downGridPrice.compareTo(longEntryPrice) <= 0
){
- executor.placeConditionalEntryOrder(
+ placeEntryOrderWithPreFlag(downGridElement, true,
downLongTraderParam.getEntryPrice(),
FuturesPriceTrigger.RuleEnum.NUMBER_1,
- downLongTraderParam.getQuantity(),
- orderId ->
- {
- longEntryTraderIdParam(
- downGridElement,
- orderId,
- true
- );
- },
- null
- );
+ downLongTraderParam.getQuantity());
}
}
}
@@ -1265,24 +1307,13 @@
// 判断网格是否能开多仓，如果不能则跳过
if (UpGridElement != null) {
- if (!UpGridElement.isHasLongOrder()) {
- //挂多仓条件单
- TraderParam upLongTraderParam = UpGridElement.getLongTraderParam();
- executor.placeConditionalEntryOrder(
- upLongTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_1,
- config.getQuantity(),
- orderId ->
- {
- longEntryTraderIdParam(
- UpGridElement,
- orderId,
- true
- );
- },
- null
- );
- }
+// if (!UpGridElement.isHasLongOrder() && longEntryPrice.compareTo(newLongFirst) < 0) {
+// TraderParam upLongTraderParam = UpGridElement.getLongTraderParam();
+// placeEntryOrderWithPreFlag(UpGridElement, true,
+// upLongTraderParam.getEntryPrice(),
+// FuturesPriceTrigger.RuleEnum.NUMBER_1,
+// config.getQuantity());
+// }
int i = UpGridElement.getId() - 2;
GridElement downGridElement = GridElement.findById(i);
@@ -1290,28 +1321,18 @@
BigDecimal downGridPrice = downGridElement.getGridPrice();
- TraderParam downLongTraderParam = downGridElement.getLongTraderParam();
- if (
- !downGridElement.isHasLongOrder() &&
- downGridPrice.compareTo(shortEntryPrice) >= 0 &&
- downGridPrice.compareTo(longEntryPrice) <= 0
- ){
- executor.placeConditionalEntryOrder(
- downLongTraderParam.getEntryPrice(),
- FuturesPriceTrigger.RuleEnum.NUMBER_2,
- config.getQuantity(),
- orderId ->
- {
- longEntryTraderIdParam(
- downGridElement,
- orderId,
- true
- );
- },
- null
- );
-
- }
+// TraderParam downLongTraderParam = downGridElement.getLongTraderParam();
+// if (
+// !downGridElement.isHasLongOrder() &&
+// downGridPrice.compareTo(shortEntryPrice) >= 0 &&
+// downGridPrice.compareTo(longEntryPrice) <= 0
+// ){
+// placeEntryOrderWithPreFlag(downGridElement, true,
+// downLongTraderParam.getEntryPrice(),
+// FuturesPriceTrigger.RuleEnum.NUMBER_2,
+// config.getQuantity());
+//
+// }
TraderParam shortTraderParam = downGridElement.getShortTraderParam();
if (
@@ -1319,24 +1340,190 @@
downGridPrice.compareTo(shortEntryPrice) >= 0
){
- executor.placeConditionalEntryOrder(
+ placeEntryOrderWithPreFlag(downGridElement, false,
shortTraderParam.getEntryPrice(),
FuturesPriceTrigger.RuleEnum.NUMBER_2,
- negate(config.getQuantity()),
- orderId ->
- {
- shortEntryTraderIdParam(
- downGridElement,
- orderId,
- true
- );
- },
- null
- );
+ negate(config.getQuantity()));
}
}
}
}
+ }
+
+ private void handleLongStopLossTriggered(GridElement gridElement) {
+ int gridId = gridElement.getId();
+ int N = Math.abs(gridId);
+ gridElement.setLongStopLossOrderId(null);
+ log.info("[Gate] 多仓止损触发 gridId:{}, 开始追单", gridId);
+
+ int newEntryGridId = -(N - 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;
+ }
+
+ if (N > 2) {
+ int cancelGridId = -(N - 2);
+ GridElement cancelGrid = GridElement.findById(cancelGridId);
+ if (cancelGrid != null && cancelGrid.isHasLongOrder()) {
+ executor.cancelConditionalOrder(cancelGrid.getLongOrderId(), oid -> {
+ longEntryTraderIdParam(cancelGrid, null, false);
+ log.info("[Gate] 多仓止损触发, 取消gridId:{}的多单", cancelGridId);
+ });
+ }
+ }
+
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ BigDecimal priceDiff = longEntryPrice.subtract(triggerPrice).abs();
+ int entryQty = priceDiff.divide(config.getStep(), 0, RoundingMode.DOWN).intValue();
+ entryQty = Math.max(1, entryQty);
+ String size = String.valueOf(entryQty);
+ log.info("[Gate] 多仓止损触发 gridId:{}, 在gridId:{}挂{}张多单, 均价:{}, 价差:{}, 步长:{}",
+ gridId, newEntryGridId, entryQty, longEntryPrice, priceDiff, config.getStep());
+ newEntryGrid.getLongTraderParam().setQuantity(size);
+ placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, size);
+ }
+
+ private void handleShortStopLossTriggered(GridElement gridElement) {
+ int gridId = gridElement.getId();
+ int N = gridId;
+ gridElement.setShortStopLossOrderId(null);
+ log.info("[Gate] 空仓止损触发 gridId:{}, 开始追单", gridId);
+
+ int newEntryGridId = N - 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;
+ }
+
+ if (N > 2) {
+ int cancelGridId = N - 2;
+ GridElement cancelGrid = GridElement.findById(cancelGridId);
+ if (cancelGrid != null && cancelGrid.isHasShortOrder()) {
+ executor.cancelConditionalOrder(cancelGrid.getShortOrderId(), oid -> {
+ shortEntryTraderIdParam(cancelGrid, null, false);
+ log.info("[Gate] 空仓止损触发, 取消gridId:{}的空单", cancelGridId);
+ });
+ }
+ }
+
+
+
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ BigDecimal priceDiff = shortEntryPrice.subtract(triggerPrice).abs();
+ int entryQty = priceDiff.divide(config.getStep(), 0, RoundingMode.DOWN).intValue();
+ entryQty = Math.max(1, entryQty);
+ String size = String.valueOf(entryQty);
+ log.info("[Gate] 空仓止损触发 gridId:{}, 在gridId:{}挂{}张空单, 均价:{}, 价差:{}, 步长:{}",
+ gridId, newEntryGridId, entryQty, shortEntryPrice, priceDiff, config.getStep());
+ newEntryGrid.getShortTraderParam().setQuantity(size);
+ placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size));
+ }
+
+ private void extendLongStopLoss(int filledQty) {
+ int furthestSlId = 0;
+ for (GridElement e : config.getGridElements()) {
+ if (e.getLongStopLossOrderId() != null && e.getId() < furthestSlId) {
+ furthestSlId = e.getId();
+ }
+ }
+ if (furthestSlId == 0) {
+ furthestSlId = -11;
+ }
+ log.info("[Gate] 多仓追挂止损, 当前最远止损gridId:{}, 追加{}张", furthestSlId, filledQty);
+ for (int i = 0; i < filledQty; i++) {
+ int newSlId = furthestSlId - i - 1;
+ GridElement elem = GridElement.findById(newSlId);
+ if (elem == null) {
+ continue;
+ }
+ BigDecimal triggerPrice = elem.getGridPrice();
+ int finalSlId = newSlId;
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ ORDER_TYPE_CLOSE_LONG,
+ "-1",
+ profitId -> {
+ elem.setLongStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 多仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId);
+ }
+ );
+ }
+ }
+
+ private void extendShortStopLoss(int filledQty) {
+ int furthestSlId = 0;
+ for (GridElement e : config.getGridElements()) {
+ if (e.getShortStopLossOrderId() != null && e.getId() > furthestSlId) {
+ furthestSlId = e.getId();
+ }
+ }
+ if (furthestSlId == 0) {
+ furthestSlId = 11;
+ }
+ log.info("[Gate] 空仓追挂止损, 当前最远止损gridId:{}, 追加{}张", furthestSlId, filledQty);
+ for (int i = 0; i < filledQty; i++) {
+ int newSlId = furthestSlId + i + 1;
+ GridElement elem = GridElement.findById(newSlId);
+ if (elem == null) {
+ continue;
+ }
+ BigDecimal triggerPrice = elem.getGridPrice();
+ int finalSlId = newSlId;
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ ORDER_TYPE_CLOSE_SHORT,
+ "1",
+ profitId -> {
+ elem.setShortStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 空仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId);
+ }
+ );
+ }
+ }
+
+ private void checkProfitAndReset() {
+ try {
+ FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
+ BigDecimal unrealisedPnl = new BigDecimal(account.getCrossUnrealisedPnl());
+ BigDecimal available = new BigDecimal(account.getCrossAvailable());
+ BigDecimal totalEquity = unrealisedPnl.add(available);
+ BigDecimal target = initialPrincipal.add(config.getExpectedProfit());
+ log.info("[Gate] 盈亏检查 cross_unrealised_pnl:{}, cross_available:{}, 合计:{}, 目标:{}",
+ unrealisedPnl, available, totalEquity, target);
+ if (totalEquity.compareTo(target) > 0) {
+ log.info("[Gate] 盈亏达标({}>{})，重置策略", totalEquity, target);
+ state = StrategyState.STOPPED;
+ closeExistingPositions();
+ futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
+ startGrid();
+ }
+ } catch (Exception e) {
+ log.warn("[Gate] 盈亏检查失败", e);
+ }
+ }
+
+ private void handlePositionZeroAndReset(String direction) {
+ state = StrategyState.STOPPED;
+ try {
+ futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
+ } catch (Exception e) {
+ log.warn("[Gate] {}持仓归零后取消条件单失败", direction, e);
+ }
+ closeExistingPositions();
+ startGrid();
}
// ---- 保证金安全阀 ----
@@ -1375,6 +1562,50 @@
}
/**
+ * 预设标志位后提交条件开仓单，防止异步回调导致的竞态重复挂单。
+ *
+ * <p>在调用 {@link GateTradeExecutor#placeConditionalEntryOrder} 之前同步设置
+ * {@code isHasLongOrder / isHasShortOrder}，关闭 WS 线程与 Executor 线程之间的
+ * 检查-下单时间窗口。API 失败时自动回滚标志位。
+ *
+ * @param gridElement 目标网格元素
+ * @param isLong true=多仓下单，false=空仓下单
+ * @param triggerPrice 触发价
+ * @param rule 触发规则
+ * @param size 开仓张数
+ */
+ private void placeEntryOrderWithPreFlag(GridElement gridElement, boolean isLong,
+ BigDecimal triggerPrice,
+ FuturesPriceTrigger.RuleEnum rule,
+ String size) {
+ if (isLong) {
+ gridElement.setHasLongOrder(true);
+ } else {
+ gridElement.setHasShortOrder(true);
+ }
+ executor.placeConditionalEntryOrder(triggerPrice, rule, size,
+ orderId -> {
+ if (isLong) {
+ longEntryTraderIdParam(gridElement, orderId, true);
+ } else {
+ shortEntryTraderIdParam(gridElement, orderId, true);
+ }
+ },
+ () -> {
+ if (isLong) {
+ gridElement.setHasLongOrder(false);
+ gridElement.setLongOrderId(null);
+ } else {
+ gridElement.setHasShortOrder(false);
+ gridElement.setShortOrderId(null);
+ }
+ GridElement.refreshIndices();
+ log.warn("[Gate] 条件单创建失败，回滚标志位 gridId:{}, isLong:{}", gridElement.getId(), isLong);
+ }
+ );
+ }
+
+ /**
* 根据持仓和当前价格计算未实现盈亏。
*
* <h3>正向合约公式</h3>
--
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