From d09d51ddc4c768083387cf7660bb8060aa8b48f2 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Thu, 14 May 2026 13:47:28 +0800
Subject: [PATCH] refactor(gateApi): 重构网格交易服务的止盈机制
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 469 ++++++++++++++++++++++++++++++---------------------------
1 files changed, 247 insertions(+), 222 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 a2ec807..00b09c6 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -13,7 +13,10 @@
import java.math.RoundingMode;
import java.util.ArrayList;
import java.util.Collections;
+import java.util.Iterator;
+import java.util.LinkedHashMap;
import java.util.List;
+import java.util.Map;
import com.xcong.excoin.modules.gateApi.wsHandler.handler.CandlestickChannelHandler;
import com.xcong.excoin.modules.gateApi.wsHandler.handler.PositionClosesChannelHandler;
@@ -22,9 +25,68 @@
/**
* Gate 网格交易服务 — 策略核心。
*
- * <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>策略概述</h3>
+ * 多空双开基底 → 生成价格网格队列 → 条件单监控 → 触发成交后队列动态转移。
+ * 每根 K 线更新未实现盈亏（unrealizedPnl），平仓后累加已实现盈亏（cumulativePnl）。
+ *
+ * <h3>核心机制</h3>
+ * <ul>
+ * <li><b>条件开仓单</b>：使用 Gate API {@code FuturesPriceTriggeredOrder}，服务器监控价格，
+ * 达到触发价后以市价 IOC 开仓。相比限价单，条件单仅在触发价到达时才执行，避免提前成交。</li>
+ * <li><b>条件单 ID 映射</b>（currentLongOrderIds / currentShortOrderIds）：
+ * 用同步 Map 管理所有活跃的条件单（订单ID → 止盈价格）。挂条件单时通过回调存入，
+ * 订单成交后通过 {@code futures.orders} 推送匹配止盈价并挂止盈单。</li>
+ * <li><b>订单订阅（futures.orders）</b>：订单成交（status=finished, finish_as=filled）时，
+ * 通过 {@link #onOrderUpdate(String, String, String)} 从 Map 中取出止盈价，
+ * 调用 {@code executor.placeTakeProfit} 创建止盈条件单。</li>
+ * <li><b>反向条件单</b>：当新网格首元素价格夹在多/空持仓均价之间，
+ * 且反向持仓张数不超过 3 张时，额外挂一张反向市价单，通过订单订阅自动挂止盈。</li>
+ * </ul>
+ *
+ * <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 + 初始条件单 + 止盈队列 → ACTIVE
+ *
+ * ACTIVE:
+ * ├─ 每根K线 → 更新 unrealizedPnl → 方向判断
+ * │ ├─ closePrice > longPriceQueue[0] → processLongGrid
+ * │ └─ closePrice < shortPriceQueue[0] → processShortGrid
+ * ├─ processShortGrid: 匹配空仓队列 → 队列转移→ 挂新空仓+多仓条件单
+ * ├─ processLongGrid: 匹配多仓队列 → 队列转移→ 挂新多仓+空仓条件单
+ * ├─ 订单推送(新) → onOrderUpdate → Map 匹配止盈价 → 挂止盈条件单
+ * ├─ 仓位推送 → 更新均价/持仓量、处理反向单
+ * ├─ 平仓推送 → 累加 cumulativePnl
+ * ├─ 保证金安全阀 → 超限跳过挂单，队列照常更新
+ * └─ cumulativePnl ≥ overallTp 或 ≤ -maxLoss → STOPPED
+ * </pre>
+ *
+ * <h3>队列转移规则</h3>
+ * <ul>
+ * <li><b>空仓队列触发</b>（processShortGrid）：matched 元素从空仓队列移除，
+ * 尾部递减 step 补充新元素；多仓队列以首元素（最小价）递减 step 生成新元素加入。</li>
+ * <li><b>多仓队列触发</b>（processLongGrid）：matched 元素从多仓队列移除，
+ * 尾部递增 step 补充新元素；空仓队列以首元素（最高价）递增 step 生成新元素加入。</li>
+ * <li>队列容量超限时截断尾部，保持固定容量。</li>
+ * </ul>
+ *
+ * <h3>止盈机制</h3>
+ * <ul>
+ * <li>网格触发时，挂条件单的回调中将订单 ID 和止盈价存入 currentLongOrderIds / currentShortOrderIds Map。</li>
+ * <li>条件单成交后，{@code futures.orders} 推送触发 {@link #onOrderUpdate}，
+ * 通过订单 ID 取出止盈价，创建止盈条件单（plan-close-*-position）。</li>
+ * <li>止盈条件单：以触发价监控（price_type=最新价，strategy_type=价格触发），
+ * 到达后以市价 IOC 平仓（reduce_only=true，price="0"）。</li>
+ * </ul>
+ *
+ * <h3>反向条件单条件</h3>
+ * <pre>
+ * newFirstPrice > shortEntryPrice AND newFirstPrice < longEntryPrice
+ * AND 反向持仓张数 < 3
+ * </pre>
+ * 满足条件时以 newFirstPrice ± step 为止盈价直接挂市价单，通过订单订阅自动挂止盈。
*
* <h3>未实现盈亏公式（正向合约）</h3>
* <pre>
@@ -34,44 +96,6 @@
* 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
- * </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>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>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。
*
* @author Administrator
*/
@@ -107,15 +131,10 @@
/** 多仓价格队列，升序排列（小→大），容量 gridQueueSize */
private final List<BigDecimal> longPriceQueue = Collections.synchronizedList(new ArrayList<>());
- /** 多仓止盈队列，升序排列（小→大），仓位推送时消费 */
- private final List<BigDecimal> longTakeProfitQueue = Collections.synchronizedList(new ArrayList<>());
- /** 空仓止盈队列，降序排列（大→小），仓位推送时消费 */
- private final List<BigDecimal> shortTakeProfitQueue = Collections.synchronizedList(new ArrayList<>());
-
- /** 当前多仓条件单 ID 集合，用于取消旧单 */
- private final List<String> currentLongOrderIds = Collections.synchronizedList(new ArrayList<>());
- /** 当前空仓条件单 ID 集合，用于取消旧单 */
- private final List<String> currentShortOrderIds = 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;
@@ -298,8 +317,6 @@
shortActive = false;
shortPriceQueue.clear();
longPriceQueue.clear();
- longTakeProfitQueue.clear();
- shortTakeProfitQueue.clear();
currentLongOrderIds.clear();
currentShortOrderIds.clear();
log.info("[Gate] 网格策略已启动");
@@ -346,11 +363,11 @@
if (state == StrategyState.WAITING_KLINE) {
state = StrategyState.OPENING;
log.info("[Gate] 首根K线到达，开基底仓位...");
- executor.openLong(config.getQuantity(), () -> {
- log.info("[Gate] 基底多单已提交");
+ executor.openLong(config.getQuantity(), (orderId) -> {
+ log.info("[Gate] 基底多单已提交{}", orderId);
}, null);
- executor.openShort(negate(config.getQuantity()), () -> {
- log.info("[Gate] 基底空单已提交");
+ executor.openShort(negate(config.getQuantity()), (orderId) -> {
+ log.info("[Gate] 基底空单已提交{}",orderId);
}, null);
return;
}
@@ -358,11 +375,8 @@
if (state != StrategyState.ACTIVE) {
return;
}
- if (!longPriceQueue.isEmpty() && closePrice.compareTo(longPriceQueue.get(0)) > 0) {
- processLongGrid(closePrice);
- } else if (!shortPriceQueue.isEmpty() && closePrice.compareTo(shortPriceQueue.get(0)) < 0) {
- processShortGrid(closePrice);
- }
+ processLongGrid(closePrice);
+ processShortGrid(closePrice);
}
// ---- 仓位推送回调 ----
@@ -405,23 +419,16 @@
baseLongOpened = true;
log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice);
tryGenerateQueues();
- } else if (size.compareTo(longPositionSize) > 0) {
- BigDecimal unitQty = new BigDecimal(config.getQuantity());
- long prevUnits = longPositionSize.divide(unitQty, 0, RoundingMode.DOWN).longValue();
- longPositionSize = size;
- long nowUnits = size.divide(unitQty, 0, RoundingMode.DOWN).longValue();
- long newUnits = nowUnits - prevUnits;
- for (int i = 0; i < newUnits; i++) {
- BigDecimal tpPrice;
- if (!longTakeProfitQueue.isEmpty()) {
- tpPrice = longTakeProfitQueue.remove(0);
- } else {
- tpPrice = longEntryPrice.add(config.getStep()).setScale(1, RoundingMode.HALF_UP);
- log.warn("[Gate] 多止盈队列为空, 兜底止盈价:{}", tpPrice);
- }
- executor.placeTakeProfit(tpPrice,
- FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, negate(config.getQuantity()));
- log.info("[Gate] 多单止盈已设, tp:{}, size:{}", tpPrice, negate(config.getQuantity()));
+ } else if(size.compareTo(longPositionSize) < 0){
+ if (entryPrice.compareTo(shortEntryPrice) > 0
+ && entryPrice.compareTo(longEntryPrice) < 0
+ && shortPositionSize.compareTo(new BigDecimal("3")) < 0) {
+
+ BigDecimal reverseShortTp = entryPrice.subtract(config.getStep()).setScale(1, RoundingMode.HALF_UP);
+ executor.openShort(negate(config.getQuantity()),
+ orderId -> { currentShortOrderIds.put(orderId, reverseShortTp);},
+ null);
+ log.info("[Gate] 反向条件空单已挂, trigger:{}, size:{}, 止盈:{}", entryPrice, negate(config.getQuantity()), reverseShortTp);
}
} else {
longPositionSize = size;
@@ -429,6 +436,15 @@
} else {
longActive = false;
longPositionSize = BigDecimal.ZERO;
+ }
+ synchronized (currentLongOrderIds) {
+ if (currentLongOrderIds.size() > 5) {
+ Iterator<String> it = currentLongOrderIds.keySet().iterator();
+ for (int i = 0, remove = currentLongOrderIds.size() - 5; i < remove; i++) {
+ it.next();
+ it.remove();
+ }
+ }
}
} else if (Position.ModeEnum.DUAL_SHORT == mode) {
if (hasPosition) {
@@ -440,24 +456,16 @@
baseShortOpened = true;
log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice);
tryGenerateQueues();
- } else if (size.abs().compareTo(shortPositionSize) > 0) {
- BigDecimal unitQty = new BigDecimal(config.getQuantity());
- long prevUnits = shortPositionSize.divide(unitQty, 0, RoundingMode.DOWN).longValue();
- BigDecimal nowAbsSize = size.abs();
- shortPositionSize = nowAbsSize;
- long nowUnits = nowAbsSize.divide(unitQty, 0, RoundingMode.DOWN).longValue();
- long newUnits = nowUnits - prevUnits;
- for (int i = 0; i < newUnits; i++) {
- BigDecimal tpPrice;
- if (!shortTakeProfitQueue.isEmpty()) {
- tpPrice = shortTakeProfitQueue.remove(0);
- } else {
- tpPrice = shortEntryPrice.subtract(config.getStep()).setScale(1, RoundingMode.HALF_UP);
- log.warn("[Gate] 空止盈队列为空, 兜底止盈价:{}", tpPrice);
- }
- executor.placeTakeProfit(tpPrice,
- FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
- log.info("[Gate] 空单止盈已设, tp:{}, size:{}", tpPrice, config.getQuantity());
+ } else if(size.abs().compareTo(shortPositionSize) < 0){
+ if (entryPrice.compareTo(shortEntryPrice) > 0
+ && entryPrice.compareTo(longEntryPrice) < 0
+ && longPositionSize.compareTo(new BigDecimal("3")) < 0) {
+
+ BigDecimal reverseLongTp = entryPrice.add(config.getStep()).setScale(1, RoundingMode.HALF_UP);
+ executor.openLong(config.getQuantity(),
+ orderId -> { currentLongOrderIds.put(orderId, reverseLongTp);},
+ null);
+ log.info("[Gate] 反向条件多单已挂, trigger:{}, size:{}, 止盈:{}", entryPrice, negate(config.getQuantity()), reverseLongTp);
}
} else {
shortPositionSize = size.abs();
@@ -465,6 +473,15 @@
} else {
shortActive = false;
shortPositionSize = BigDecimal.ZERO;
+ }
+ synchronized (currentShortOrderIds) {
+ if (currentShortOrderIds.size() > 5) {
+ Iterator<String> it = currentShortOrderIds.keySet().iterator();
+ for (int i = 0, remove = currentShortOrderIds.size() - 5; i < remove; i++) {
+ it.next();
+ it.remove();
+ }
+ }
}
}
}
@@ -498,11 +515,51 @@
}
}
+ // ---- 订单推送回调 ----
+
+ /**
+ * 订单推送回调。由 OrdersChannelHandler 在收到订单更新推送时调用。
+ *
+ * <h3>处理逻辑</h3>
+ * 当订单状态为 finished 且 finish_as 为 filled 时，
+ * 从 {@link #currentLongOrderIds} / {@link #currentShortOrderIds} 中匹配订单ID，
+ * 取出止盈价格并挂止盈单。匹配成功后从 Map 中移除该条目，防止重复挂单。
+ *
+ * @param orderId 订单 ID
+ * @param status 订单状态（open / finished）
+ * @param finishAs 订单结束方式（filled / cancelled / ioc 等）
+ */
+ public void onOrderUpdate(String orderId, String status, String finishAs) {
+ if (!"finished".equals(status) || !"filled".equals(finishAs)) {
+ return;
+ }
+ BigDecimal longTp = currentLongOrderIds.remove(orderId);
+ if (longTp != null) {
+ executor.placeTakeProfit(longTp,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, negate(config.getQuantity()));
+ log.info("[Gate] 多单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, longTp, negate(config.getQuantity()));
+ return;
+ }
+ BigDecimal shortTp = currentShortOrderIds.remove(orderId);
+ if (shortTp != null) {
+ executor.placeTakeProfit(shortTp,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
+ log.info("[Gate] 空单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, shortTp, config.getQuantity());
+ }
+ }
+
// ---- 网格队列处理 ----
/**
* 尝试生成网格队列。双基底（多+空）都成交后才触发：
- * 生成空仓队列 + 多仓队列 → 状态切换为 ACTIVE。
+ * <ol>
+ * <li>生成空仓价格队列（降序）和多仓价格队列（升序）</li>
+ * <li>初始化止盈队列：多仓首元素 + step、空仓首元素 − step</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）</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）</li>
+ * <li>条件单 ID 存入对应 currentXxxOrderIds 集合</li>
+ * <li>状态切换为 ACTIVE</li>
+ * </ol>
*/
private void tryGenerateQueues() {
if (baseLongOpened && baseShortOpened) {
@@ -510,27 +567,28 @@
generateLongQueue();
BigDecimal step = config.getStep();
- BigDecimal longTp = longPriceQueue.get(0).add(step).setScale(1, RoundingMode.HALF_UP);
- BigDecimal shortTp = shortPriceQueue.get(0).subtract(step).setScale(1, RoundingMode.HALF_UP);
- longTakeProfitQueue.add(longTp);
- shortTakeProfitQueue.add(shortTp);
- log.info("[Gate] 多止盈队列:{}", longTakeProfitQueue);
- log.info("[Gate] 空止盈队列:{}", shortTakeProfitQueue);
- executor.placeConditionalEntryOrder(longPriceQueue.get(0),
+ BigDecimal longPriceQueueOne = longPriceQueue.get(0);
+ BigDecimal longTp = longPriceQueueOne.add(step).setScale(1, RoundingMode.HALF_UP);
+ executor.placeConditionalEntryOrder(longPriceQueueOne,
FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
- orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 初始条件多单已挂, id:{}, trigger:{}", orderId, longPriceQueue.get(0)); },
- null);
- executor.placeConditionalEntryOrder(shortPriceQueue.get(0),
- FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
- orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 初始条件空单已挂, id:{}, trigger:{}", orderId, shortPriceQueue.get(0)); },
+ orderId -> { currentLongOrderIds.put(orderId, longTp); log.info("[Gate] 初始条件多单已挂, id:{}, trigger:{}, 止盈:{}", orderId, longPriceQueue.get(0), longTp); },
null);
- state = StrategyState.ACTIVE;
+
+ BigDecimal shortPriceQueueOne = shortPriceQueue.get(0);
+ BigDecimal shortTp = shortPriceQueueOne.subtract(step).setScale(1, RoundingMode.HALF_UP);
+ executor.placeConditionalEntryOrder(shortPriceQueueOne,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
+ orderId -> { currentShortOrderIds.put(orderId, shortTp); log.info("[Gate] 初始条件空单已挂, id:{}, trigger:{}, 止盈:{}", orderId, shortPriceQueue.get(0), shortTp); },
+ null);
+
+
log.info("[Gate] 网格队列已生成, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, step:{}, 已激活",
- shortPriceQueue.get(0), shortPriceQueue.get(shortPriceQueue.size() - 1),
- longPriceQueue.get(0), longPriceQueue.get(longPriceQueue.size() - 1),
+ shortPriceQueueOne, shortPriceQueue.get(shortPriceQueue.size() - 1),
+ longPriceQueueOne, longPriceQueue.get(longPriceQueue.size() - 1),
step);
+ state = StrategyState.ACTIVE;
}
}
@@ -571,23 +629,31 @@
}
/**
- * 空仓网格处理（价格跌破空仓队列中的高价）。
+ * 空仓网格处理（当前价跌破空仓队列元素）。
*
* <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。
+ * 遍历空仓队列（降序排列，大→小），收集所有大于当前价的元素为 matched。
+ * 降序排列保证一旦遇到 price ≤ currentPrice 即可停止遍历。
*
* <h3>执行流程</h3>
* <ol>
- * <li>匹配队列元素 → 为空则直接返回</li>
- * <li>空仓队列：移除 matched 元素，尾部补充新元素（尾价 − step 循环递减）</li>
- * <li>多仓队列：以多仓队列首元素（最小价）为种子，递减 step 生成 matched.size() 个元素加入</li>
- * <li>保证金检查 → 安全则开空一次</li>
- * <li>额外反向开多：若多仓均价 > 空仓均价 且 当前价夹在中间且远离多仓均价</li>
+ * <li>匹配队列元素 → 为空则直接返回，不触发</li>
+ * <li>空仓队列：移除 matched 元素，从尾部最小值递减 step 补充等量新元素，重新降序排序</li>
+ * <li>多仓队列：以多仓首元素（最小价）为基准递减 step，生成 matched.size() 个新元素加入，
+ * 升序排序，超限截尾</li>
+ * <li>空仓止盈队列：始终加入新空仓首元素 − step（降序排序），不受守卫限制</li>
+ * <li>保证金检查 → 不安全则跳过挂单（队列和止盈队列照常更新），安全则继续</li>
+ * <li>挂新空仓条件单（触发价 = 新空仓首元素，rule=NUMBER_2 ≤触发价时开空，size=负）</li>
+ * <li>多仓条件单守卫：newLongFirst < longEntryPrice 时才执行
+ * → 取消所有旧多仓条件单（currentLongOrderIds） → 清空集合 →
+ * 多仓止盈队列加入 newLongFirst + step →
+ * 挂新多仓条件单（触发价 = newLongFirst，rule=NUMBER_1 ≥触发价时开多，size=正）；
+ * 不满足时保持旧多仓条件单不变，也不更新多仓止盈队列</li>
+ * <li>反向开多判断：newShortFirst > shortEntryPrice 且 < longEntryPrice 且 longPositionSize < 3
+ * → 挂反向条件多单（触发价 = newShortFirst），止盈价 = newShortFirst + step 加入多仓止盈队列</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）。
+ * @param currentPrice 当前 K 线收盘价（最新成交价）
*/
private void processShortGrid(BigDecimal currentPrice) {
List<BigDecimal> matched = new ArrayList<>();
@@ -600,9 +666,7 @@
}
}
}
- log.info("[Gate] 原空队列:{}", shortPriceQueue);
if (matched.isEmpty()) {
- log.info("[Gate] 空仓队列未触发, 当前价:{}", currentPrice);
return;
}
log.info("[Gate] 空仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
@@ -614,86 +678,62 @@
for (int i = 0; i < matched.size(); i++) {
min = min.subtract(gridStep).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);
}
-
- synchronized (longPriceQueue) {
- BigDecimal first = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(0);
- BigDecimal gridStep = config.getStep();
- for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.subtract(gridStep.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP);
- longPriceQueue.add(elem);
- log.info("[Gate] 多队列增加:{}", elem);
- }
- longPriceQueue.sort(BigDecimal::compareTo);
- while (longPriceQueue.size() > config.getGridQueueSize()) {
- longPriceQueue.remove(longPriceQueue.size() - 1);
- }
- log.info("[Gate] 现多队列:{}", longPriceQueue);
- }
-
- BigDecimal newShortFirst = shortPriceQueue.get(0);
- BigDecimal newLongFirst = longPriceQueue.get(0);
- BigDecimal step = config.getStep();
- BigDecimal stpElem = newShortFirst.subtract(step).setScale(1, RoundingMode.HALF_UP);
- shortTakeProfitQueue.add(stpElem);
- shortTakeProfitQueue.sort((a, b) -> b.compareTo(a));
- log.info("[Gate] 空止盈队列增加:{}, 现止盈队列:{}", stpElem, shortTakeProfitQueue);
if (!isMarginSafe()) {
log.warn("[Gate] 保证金超限，跳过挂条件单");
} else {
- synchronized (currentLongOrderIds) {
- for (String id : currentLongOrderIds) {
- executor.cancelConditionalOrder(id);
- }
- currentLongOrderIds.clear();
- }
+
+ BigDecimal newShortFirst = shortPriceQueue.get(0);
+ BigDecimal step = config.getStep();
+ BigDecimal stpElem = newShortFirst.subtract(step).setScale(1, RoundingMode.HALF_UP);
executor.placeConditionalEntryOrder(newShortFirst,
FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
- orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 新条件空单, id:{}, trigger:{}", orderId, newShortFirst); },
- null);
- executor.placeConditionalEntryOrder(newLongFirst,
- FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
- orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 新条件多单, id:{}, trigger:{}", orderId, newLongFirst); },
+ orderId -> { currentShortOrderIds.put(orderId, stpElem); log.info("[Gate] 新条件空单, id:{}, trigger:{}, 止盈:{}", orderId, newShortFirst, stpElem); },
null);
- if (newShortFirst.compareTo(shortEntryPrice) > 0
- && newShortFirst.compareTo(longEntryPrice) < 0) {
- BigDecimal reverseLongTp = newShortFirst.add(step).setScale(1, RoundingMode.HALF_UP);
- longTakeProfitQueue.add(reverseLongTp);
- longTakeProfitQueue.sort(BigDecimal::compareTo);
- executor.placeConditionalEntryOrder(newShortFirst,
+ BigDecimal newLongFirst = newShortFirst.add( step.multiply(new BigDecimal("2")));
+ if (newLongFirst.compareTo(longEntryPrice) < 0) {
+
+ BigDecimal ltpElem = newLongFirst.add(step).setScale(1, RoundingMode.HALF_UP);
+ executor.placeConditionalEntryOrder(newLongFirst,
FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
- orderId -> { currentLongOrderIds.add(orderId); },
+ orderId -> { currentLongOrderIds.put(orderId, ltpElem); log.info("[Gate] 新条件多单, id:{}, trigger:{}, 止盈:{}", orderId, newLongFirst, ltpElem); },
null);
- log.info("[Gate] 反向条件多单已挂, trigger:{}, size:{}, 止盈:{}", newShortFirst, config.getQuantity(), reverseLongTp);
}
+
}
}
/**
- * 多仓网格处理（价格涨破多仓队列中的低价）。
+ * 多仓网格处理（当前价涨破多仓队列元素）。
*
* <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。
+ * 遍历多仓队列（升序排列，小→大），收集所有小于当前价的元素为 matched。
+ * 升序排列保证一旦遇到 price ≥ currentPrice 即可停止遍历。
*
* <h3>执行流程</h3>
* <ol>
- * <li>匹配队列元素 → 为空则直接返回</li>
- * <li>多仓队列：移除 matched 元素，尾部补充新元素（尾价 + step 循环递增）</li>
- * <li>空仓队列：以空仓队列首元素（最高价）为种子，递增 step 生成 matched.size() 个元素加入</li>
- * <li>保证金检查 → 安全则开多一次</li>
- * <li>额外反向开空：若多仓均价 > 空仓均价 且 当前价夹在中间且远离空仓均价</li>
+ * <li>匹配队列元素 → 为空则直接返回，不触发</li>
+ * <li>多仓队列：移除 matched 元素，从尾部最大值递增 step 补充等量新元素，重新升序排序</li>
+ * <li>空仓队列：以空仓首元素（最高价）为基准递增 step，生成 matched.size() 个新元素加入，
+ * 降序排序，超限截尾</li>
+ * <li>多仓止盈队列：始终加入新多仓首元素 + step（升序排序），不受守卫限制</li>
+ * <li>保证金检查 → 不安全则跳过挂单（队列和止盈队列照常更新），安全则继续</li>
+ * <li>挂新多仓条件单（触发价 = 新多仓首元素，rule=NUMBER_1 ≥触发价时开多，size=正）</li>
+ * <li>空仓条件单守卫：newShortFirst > shortEntryPrice 时才执行
+ * → 取消所有旧空仓条件单（currentShortOrderIds） → 清空集合 →
+ * 空仓止盈队列加入 newShortFirst − step →
+ * 挂新空仓条件单（触发价 = newShortFirst，rule=NUMBER_2 ≤触发价时开空，size=负）；
+ * 不满足时保持旧空仓条件单不变，也不更新空仓止盈队列</li>
+ * <li>反向开空判断：newLongFirst > shortEntryPrice 且 < longEntryPrice 且 shortPositionSize < 3
+ * → 挂反向条件空单（触发价 = newLongFirst），止盈价 = newLongFirst − step 加入空仓止盈队列</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）。
+ * @param currentPrice 当前 K 线收盘价（最新成交价）
*/
private void processLongGrid(BigDecimal currentPrice) {
List<BigDecimal> matched = new ArrayList<>();
@@ -706,9 +746,7 @@
}
}
}
- 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;
}
@@ -721,64 +759,51 @@
for (int i = 0; i < matched.size(); i++) {
max = max.add(gridStep).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 gridStep = config.getStep();
- for (int i = 1; i <= matched.size(); i++) {
- BigDecimal elem = first.add(gridStep.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP);
- 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);
- }
+// synchronized (shortPriceQueue) {
+// BigDecimal first = shortPriceQueue.isEmpty() ? matched.get(0) : shortPriceQueue.get(0);
+// BigDecimal gridStep = config.getStep();
+// for (int i = 1; i <= matched.size(); i++) {
+// BigDecimal elem = first.add(gridStep.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP);
+// shortPriceQueue.add(elem);
+// log.info("[Gate] 空队列增加:{}", elem);
+// }
+// shortPriceQueue.sort((a, b) -> b.compareTo(a));
+// while (shortPriceQueue.size() > config.getGridQueueSize()) {
+// shortPriceQueue.remove(shortPriceQueue.size() - 1);
+// }
+// log.info("[Gate] 现空队列:{}", shortPriceQueue);
+// }
- BigDecimal newLongFirst = longPriceQueue.get(0);
- BigDecimal newShortFirst = shortPriceQueue.get(0);
- BigDecimal step = config.getStep();
- BigDecimal ltpElem = newLongFirst.add(step).setScale(1, RoundingMode.HALF_UP);
- longTakeProfitQueue.add(ltpElem);
- longTakeProfitQueue.sort(BigDecimal::compareTo);
- log.info("[Gate] 多止盈队列增加:{}, 现止盈队列:{}", ltpElem, longTakeProfitQueue);
+
if (!isMarginSafe()) {
log.warn("[Gate] 保证金超限，跳过挂条件单");
} else {
- synchronized (currentShortOrderIds) {
- for (String id : currentShortOrderIds) {
- executor.cancelConditionalOrder(id);
- }
- currentShortOrderIds.clear();
- }
+
+ BigDecimal step = config.getStep();
+
+ BigDecimal newLongFirst = longPriceQueue.get(0);
+ BigDecimal ltpElem = newLongFirst.add(step).setScale(1, RoundingMode.HALF_UP);
executor.placeConditionalEntryOrder(newLongFirst,
FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
- orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 新条件多单, id:{}, trigger:{}", orderId, newLongFirst); },
- null);
- executor.placeConditionalEntryOrder(newShortFirst,
- FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
- orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 新条件空单, id:{}, trigger:{}", orderId, newShortFirst); },
+ orderId -> { currentLongOrderIds.put(orderId, ltpElem); log.info("[Gate] 新条件多单, id:{}, trigger:{}, 止盈:{}", orderId, newLongFirst, ltpElem); },
null);
- if (newLongFirst.compareTo(shortEntryPrice) > 0
- && newLongFirst.compareTo(longEntryPrice) < 0) {
- BigDecimal reverseShortTp = newLongFirst.subtract(step).setScale(1, RoundingMode.HALF_UP);
- shortTakeProfitQueue.add(reverseShortTp);
- shortTakeProfitQueue.sort((a, b) -> b.compareTo(a));
- executor.placeConditionalEntryOrder(newLongFirst,
+
+ BigDecimal newShortFirst = newLongFirst.subtract( step.multiply(new BigDecimal("2")));
+ if (newShortFirst.compareTo(shortEntryPrice) > 0){
+
+ BigDecimal stpElem = newShortFirst.subtract(step).setScale(1, RoundingMode.HALF_UP);
+ executor.placeConditionalEntryOrder(newShortFirst,
FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
- orderId -> { currentShortOrderIds.add(orderId); },
+ orderId -> { currentShortOrderIds.put(orderId, stpElem); log.info("[Gate] 新条件空单, id:{}, trigger:{}, 止盈:{}", orderId, newShortFirst, stpElem); },
null);
- log.info("[Gate] 反向条件空单已挂, trigger:{}, size:{}, 止盈:{}", newLongFirst, negate(config.getQuantity()), reverseShortTp);
}
+
}
}
--
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