From d19f354bf04e1a22056c42dbe7f2981ab7e19c97 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Mon, 29 Jun 2026 16:35:57 +0800
Subject: [PATCH] fix(gateApi): 修复网格交易盈亏计算逻辑
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 213 +++++++++++++++++++++++++++++++++++++++--------------
1 files changed, 156 insertions(+), 57 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 f787a58..2f39c61 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -364,6 +364,7 @@
* @param closePrice K 线收盘价（即当前最新成交价）
*/
public void onKline(BigDecimal closePrice) {
+
lastKlinePrice = closePrice;
//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
@@ -391,9 +392,7 @@
return;
}
-
-// checkProfitAndReset();
-
+ checkProfitAndReset();
if (state == StrategyState.ACTIVE &&
longActive == false &&
@@ -417,20 +416,10 @@
BigDecimal target = initialPrincipal.add(config.getExpectedProfit());
FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
- BigDecimal unrealisedPnl = new BigDecimal(account.getCrossUnrealisedPnl());
- BigDecimal available = new BigDecimal(account.getCrossAvailable());
- BigDecimal totalEquity = unrealisedPnl.add(available);
+ BigDecimal totalEquity = new BigDecimal(account.getTotal()).add(new BigDecimal(account.getUnrealisedPnl()));
- // 估算平仓手续费：(多仓张数+空仓张数) × 合约面值 × 当前价 × taker费率
- BigDecimal totalSize = longPositionSize.abs().add(shortPositionSize.abs());
- BigDecimal closeContractValue =
- totalSize.multiply(config.getContractMultiplier()).multiply(lastKlinePrice != null ? lastKlinePrice : BigDecimal.ZERO);
- BigDecimal estimatedFee = closeContractValue.multiply(TAKER_FEE_RATE);
- BigDecimal netEquity = totalEquity.subtract(estimatedFee);
- log.info("[Gate] 盈亏检查,总张数：{}, upl:{}, avail:{}, 合计:{}, 估手续费:{}, 净权益:{}, 目标:{}",
- totalSize,unrealisedPnl, available, totalEquity, estimatedFee, netEquity, target);
- if (netEquity.compareTo(target) > 0) {
- log.info("[Gate] 盈亏达标(净权益{}>目标{})，重置策略", netEquity, target);
+ if (totalEquity.compareTo(target) > 0) {
+ log.info("[Gate] 盈亏达标(净权益{}>目标{})，重置策略", totalEquity, target);
state = StrategyState.STOPPED;
try {
futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
@@ -605,7 +594,7 @@
longTakeProfitTraderIdParam(longTpElem, null, false);
log.info("[Gate] 多仓止盈触发 gridId:{}, orderId:{}", longTpElem.getId(), orderId);
cancelFarthestLongStopLoss();
- checkLastTakeProfitAndRestart();
+// checkLastTakeProfitAndRestart();
return;
}
// [Gate-需求1] 空仓止盈触发：清空止盈状态 + 取消最远空仓止损 + 检查是否最后一个止盈
@@ -614,7 +603,7 @@
shortTakeProfitTraderIdParam(shortTpElem, null, false);
log.info("[Gate] 空仓止盈触发 gridId:{}, orderId:{}", shortTpElem.getId(), orderId);
cancelFarthestShortStopLoss();
- checkLastTakeProfitAndRestart();
+// checkLastTakeProfitAndRestart();
return;
}
@@ -638,19 +627,36 @@
shortEntryTraderIdParam(shortGridElement, null, false);
// [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();
- int posSize = queryPositionSize(Position.ModeEnum.DUAL_SHORT);
+ // 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());
accumulatedShortLossCount = 0; // 加仓订单成交，重置止损累计
log.info("[Gate] 空单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize);
- // 空仓持仓超过baseQuantity时，从gridId-2开始向外追挂止盈
+ // 空仓持仓超过baseQuantity时，先找多仓第一个止损位置，从该位置向下挂止盈（间隔=1）
BigDecimal shortBaseQty = new BigDecimal(config.getBaseQuantity());
BigDecimal shortGridQty = new BigDecimal(config.getQuantity());
if (BigDecimal.valueOf(posSize).compareTo(shortBaseQty) > 0) {
BigDecimal shortExcess = BigDecimal.valueOf(posSize).subtract(shortBaseQty);
int shortExcessCount = shortExcess.divide(shortGridQty, 0, RoundingMode.DOWN).intValue();
+
+ // 找多仓第一个（最近的）止损位置
+ int firstLongSlId = 0;
+ for (GridElement e : config.getGridElements()) {
+ if (e.getLongStopLossOrderId() != null) {
+ if (firstLongSlId == 0 || e.getId() > firstLongSlId) {
+ firstLongSlId = e.getId();
+ }
+ }
+ }
+
for (int i = 0; i < shortExcessCount; i++) {
- int tpGridId = shortGridElement.getId() - 2 - i;
+ int tpGridId;
+ if (firstLongSlId != 0) {
+ tpGridId = firstLongSlId - i; // 从多仓第一个止损位置开始，向下挂，间隔=1
+ } else {
+ tpGridId = shortGridElement.getId() - 2 * (i + 1); // 无多仓止损时回退原逻辑
+ }
GridElement tpElem = GridElement.findById(tpGridId);
if (tpElem == null || tpElem.getShortTakeProfitOrderId() != null) {
continue;
@@ -680,19 +686,36 @@
longEntryTraderIdParam(longGridElement, null, false);
// [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();
- int posSize = queryPositionSize(Position.ModeEnum.DUAL_LONG);
+ // 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());
accumulatedLongLossCount = 0; // 加仓订单成交，重置止损累计
log.info("[Gate] 多单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize);
- // 多仓持仓超过baseQuantity时，从gridId+2开始向外追挂止盈
+ // 多仓持仓超过baseQuantity时，先找空仓第一个止损位置，从该位置向上挂止盈（间隔=1）
BigDecimal longBaseQty = new BigDecimal(config.getBaseQuantity());
BigDecimal longGridQty = new BigDecimal(config.getQuantity());
if (BigDecimal.valueOf(posSize).compareTo(longBaseQty) > 0) {
BigDecimal longExcess = BigDecimal.valueOf(posSize).subtract(longBaseQty);
int longExcessCount = longExcess.divide(longGridQty, 0, RoundingMode.DOWN).intValue();
+
+ // 找空仓第一个（最近的）止损位置
+ int firstShortSlId = 0;
+ for (GridElement e : config.getGridElements()) {
+ if (e.getShortStopLossOrderId() != null) {
+ if (firstShortSlId == 0 || e.getId() < firstShortSlId) {
+ firstShortSlId = e.getId();
+ }
+ }
+ }
+
for (int i = 0; i < longExcessCount; i++) {
- int tpGridId = longGridElement.getId() + 2 + i;
+ int tpGridId;
+ if (firstShortSlId != 0) {
+ tpGridId = firstShortSlId + i; // 从空仓第一个止损位置开始，向上挂，间隔=1
+ } else {
+ tpGridId = longGridElement.getId() + 2 * (i + 1); // 无空仓止损时回退原逻辑
+ }
GridElement tpElem = GridElement.findById(tpGridId);
if (tpElem == null || tpElem.getLongTakeProfitOrderId() != null) {
continue;
@@ -725,19 +748,44 @@
* @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 new BigDecimal(p.getSize()).abs().intValue();
+ return p;
}
}
}
} catch (Exception e) {
log.warn("[Gate] 查询{}持仓失败", mode, e);
}
- return 0;
+ return null;
}
// ---- 网格队列处理 ----
@@ -1183,15 +1231,31 @@
if (!newEntryGrid.isHasLongOrder()) {
BigDecimal triggerPrice = newEntryGrid.getGridPrice();
- // 累计止损张数 + 当前止损量作为追单size，不再依赖positionSize（避免WS竞态）
- accumulatedLongLossCount += Integer.parseInt(config.getQuantity());
- String size = String.valueOf(accumulatedLongLossCount + Integer.parseInt(config.getQuantity()));
- log.info("[Gate] 多仓止损触发 gridId:{}, 在gridId:{}挂{}基础张多单",
- gridId, newEntryGridId, size);
-
- newEntryGrid.getLongTraderParam().setQuantity(size);
- placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice,
- FuturesPriceTrigger.RuleEnum.NUMBER_1, size);
+ // 止损触发后持仓在减少，取REST和WS缓存中较小值更准确
+ int posSize = Math.min(queryPositionSize(Position.ModeEnum.DUAL_LONG), longPositionSize.intValue());
+ int maxPos = config.getMaxPositionSize();
+ int targetAmount = Integer.parseInt(config.getQuantity()) * 2; // quantity + 本次止损量
+ int addSize;
+ if (maxPos > 0) {
+ int remainingRoom = maxPos - posSize;
+ if (remainingRoom <= 0) {
+ log.warn("[Gate] 多仓止损触发 gridId:{}, 当前持仓{}/{}已达上限，跳过追单",
+ gridId, posSize, maxPos);
+ addSize = 0;
+ } else {
+ addSize = Math.min(remainingRoom, targetAmount);
+ }
+ } else {
+ addSize = targetAmount;
+ }
+ if (addSize > 0) {
+ String size = String.valueOf(addSize);
+ log.info("[Gate] 多仓止损触发 gridId:{}, 在gridId:{}补{}张多单(当前{}/上限{})",
+ gridId, newEntryGridId, size, posSize, maxPos > 0 ? maxPos : "无");
+ newEntryGrid.getLongTraderParam().setQuantity(size);
+ placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, size);
+ }
}else{
log.warn("[Gate] 多仓止损触发 gridId:{}, 目标gridId:{}已有挂单，跳过重复下单", gridId, newEntryGridId);
}
@@ -1242,14 +1306,31 @@
if (!newEntryGrid.isHasShortOrder()) {
BigDecimal triggerPrice = newEntryGrid.getGridPrice();
- // 累计止损张数 + 当前止损量作为追单size，不再依赖positionSize（避免WS竞态）
- accumulatedShortLossCount += Integer.parseInt(config.getQuantity());
- String size = String.valueOf(accumulatedShortLossCount + Integer.parseInt(config.getQuantity()));
- log.info("[Gate] 空仓止损触发 gridId:{}, 在gridId:{}挂{}基础张空单",
- gridId, newEntryGridId, size);
- newEntryGrid.getShortTraderParam().setQuantity(size);
- placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice,
- FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size));
+ // 止损触发后持仓在减少，取REST和WS缓存中较小值更准确
+ int posSize = Math.min(queryPositionSize(Position.ModeEnum.DUAL_SHORT), shortPositionSize.intValue());
+ int maxPos = config.getMaxPositionSize();
+ int targetAmount = Integer.parseInt(config.getQuantity()) * 2; // quantity + 本次止损量
+ int addSize;
+ if (maxPos > 0) {
+ int remainingRoom = maxPos - posSize;
+ if (remainingRoom <= 0) {
+ log.warn("[Gate] 空仓止损触发 gridId:{}, 当前持仓{}/{}已达上限，跳过追单",
+ gridId, posSize, maxPos);
+ addSize = 0;
+ } else {
+ addSize = Math.min(remainingRoom, targetAmount);
+ }
+ } else {
+ addSize = targetAmount;
+ }
+ if (addSize > 0) {
+ String size = String.valueOf(addSize);
+ log.info("[Gate] 空仓止损触发 gridId:{}, 在gridId:{}补{}张空单(当前{}/上限{})",
+ gridId, newEntryGridId, size, posSize, maxPos > 0 ? maxPos : "无");
+ newEntryGrid.getShortTraderParam().setQuantity(size);
+ placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size));
+ }
}else{
log.warn("[Gate] 空仓止损触发 gridId:{}, 目标gridId:{}已有挂单，跳过重复下单", gridId, newEntryGridId);
}
@@ -1306,6 +1387,14 @@
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;
@@ -1317,32 +1406,42 @@
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 (longActive && shortActive) {
- // 多空双边持仓：多均价 − 空均价 > span × step
- BigDecimal gap = longEntryPrice.subtract(shortEntryPrice);
- if (gap.compareTo(threshold) > 0) {
+ 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:{})",
- longEntryPrice, shortEntryPrice, gap, threshold, span, step);
+ reason = StrUtil.format("双边跨度 |多均价:{} − 空均价:{}| = {} >= {} (span:{}×step:{})",
+ longAvgPrice, shortAvgPrice, gap, threshold, span, step);
}
- } else if (longActive) {
+ } else if (hasLong) {
// 仅持多仓：当前价 − 多均价 > span × step
- BigDecimal gap = currentPrice.subtract(longEntryPrice);
- if (gap.compareTo(threshold) > 0) {
+ 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, longEntryPrice, gap, threshold, span, step);
+ currentPrice, longAvgPrice, gap, threshold, span, step);
}
- } else if (shortActive) {
+ } else if (hasShort) {
// 仅持空仓：空均价 − 当前价 > span × step
- BigDecimal gap = shortEntryPrice.subtract(currentPrice);
- if (gap.compareTo(threshold) > 0) {
+ 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:{})",
- shortEntryPrice, currentPrice, gap, threshold, span, step);
+ shortAvgPrice, currentPrice, gap, threshold, span, step);
}
}
--
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