From d4f47e9dbe93c10b1198a9761a13be27fa733ebe Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Mon, 29 Jun 2026 16:33:41 +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 | 1986 ++++++++++++++++++++++++++++++++++++++++++++++++----------
1 files changed, 1,637 insertions(+), 349 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 3074c07..2f39c61 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -1,451 +1,1739 @@
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;
+import io.gate.gateapi.api.AccountApi;
import io.gate.gateapi.api.FuturesApi;
-import io.gate.gateapi.models.FuturesAccount;
-import io.gate.gateapi.models.FuturesInitialOrder;
-import io.gate.gateapi.models.FuturesOrder;
-import io.gate.gateapi.models.FuturesPriceTrigger;
-import io.gate.gateapi.models.FuturesPriceTriggeredOrder;
-import io.gate.gateapi.models.TriggerOrderResponse;
+import io.gate.gateapi.models.*;
import lombok.extern.slf4j.Slf4j;
+import java.io.IOException;
import java.math.BigDecimal;
import java.math.RoundingMode;
-import java.util.List;
+import java.util.*;
+
+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 网格交易服务类，使用 gate-api SDK 进行合约下单。
- * 策略：多空双开 → 设置止盈止损点位 → 网格循环交易
+ * 网格交易策略引擎 — 多空对冲网格。
*
- * 测试参数：
- * 品种: XAU_USDT（黄金）
- * 杠杆: 100x（全仓）
- * 数量: 0.01 XAU
- * 网格: 0.0035（千分之三点五）
- * 整体止盈: 0.5 USDT
- * 循环次数: 3
- * 报警: 本金亏损 15%（初始本金 50 USDT）
+ * <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>完整生命周期</h3>
+ * <pre>
+ * 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，从 shortBaseEntryPrice-step 向下）
+ * ├── generateLongQueue() ← 多仓价格队列（升序，从 shortBaseEntryPrice+step 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>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>关键公式</h3>
+ * <pre>
+ * step = shortBaseEntryPrice × gridRate ← 网格绝对步长
+ * minTick = 10^(-priceScale) ← 交易所最小价格单位
+ * 多止盈 = gridPrice + (step - minTick) ← 多仓止盈价
+ * 空止盈 = gridPrice - (step - minTick) ← 空仓止盈价
+ * 单笔盈利 = (step - minTick) × contractMultiplier × quantity ← USDT
+ * </pre>
+ *
+ * <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
*/
@Slf4j
public class GateGridTradeService {
- private final ApiClient apiClient;
+ public enum StrategyState {
+ WAITING_KLINE, OPENING, ACTIVE, STOPPED
+ }
+
+ /**
+ * 止盈条件单 order_type：仓位计划止盈止损 — 平多仓（支持部分平仓，size<0）。
+ * 注意：不能用 close-long-position（仅支持全平且双仓需 auto_size），
+ * 必须用 plan-close-long-position 以支持指定张数部分平仓。
+ */
+ private static final String ORDER_TYPE_CLOSE_LONG = "plan-close-long-position";
+ /**
+ * 止盈条件单 order_type：仓位计划止盈止损 — 平空仓（支持部分平仓，size>0）。
+ * 注意：不能用 close-short-position（仅支持全平且双仓需 auto_size），
+ * 必须用 plan-close-short-position 以支持指定张数部分平仓。
+ */
+ private static final String ORDER_TYPE_CLOSE_SHORT = "plan-close-short-position";
+
+ private final GateConfig config;
+ private final GateTradeExecutor executor;
private final FuturesApi futuresApi;
private static final String SETTLE = "usdt";
- private final String contract;
- private final String leverage;
- private final String marginMode;
- private final BigDecimal gridRate;
- private final BigDecimal overallTp;
- private final int maxCycles;
- private final BigDecimal maxLoss;
- private final String quantity;
- private final String positionMode;
+ private volatile StrategyState state = StrategyState.WAITING_KLINE;
- private volatile boolean strategyActive = false;
- private int currentCycle = 0;
- private BigDecimal totalProfit = BigDecimal.ZERO;
- private BigDecimal longEntryPrice;
- private BigDecimal shortEntryPrice;
- private Long longOrderId;
- private Long shortOrderId;
- private Long longTpOrderId;
- private Long longSlOrderId;
- private Long shortTpOrderId;
- private Long shortSlOrderId;
+ /** 空仓价格队列，降序排列（大→小），容量 gridQueueSize */
+ 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<>());
- private volatile BigDecimal lastClosePrice;
+ /** 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<>());
- public GateGridTradeService(String apiKey, String apiSecret,
- String contract, String leverage,
- String marginMode,String positionMode,
- BigDecimal gridRate, BigDecimal overallTp,
- int maxCycles, BigDecimal maxLoss,
- String quantity) {
- this.contract = contract;
- this.leverage = leverage;
- this.marginMode = marginMode;
- this.gridRate = gridRate;
- this.overallTp = overallTp;
- this.maxCycles = maxCycles;
- this.maxLoss = maxLoss;
- this.quantity = quantity;
- this.positionMode = positionMode;
+ /** 基底空头入场价 */
+ private BigDecimal shortBaseEntryPrice;
+ /** 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;
+ /** 基底空头是否已开 */
+ private volatile boolean baseShortOpened = false;
- this.apiClient = new ApiClient();
- this.apiClient.setBasePath("https://api-testnet.gateapi.io/api/v4");
- this.apiClient.setApiKeySecret(apiKey, apiSecret);
+ /** 空头是否活跃（有仓位） */
+ private volatile boolean shortActive = false;
+ /** 多头是否活跃（有仓位） */
+ private volatile boolean longActive = false;
+
+ /** 多头累计止损张数（加仓订单成交后归零） */
+ private volatile int accumulatedLongLossCount = 0;
+ /** 空头累计止损张数（加仓订单成交后归零） */
+ private volatile int accumulatedShortLossCount = 0;
+
+ private volatile BigDecimal lastKlinePrice;
+ private volatile BigDecimal markPrice = BigDecimal.ZERO;
+ private volatile BigDecimal cumulativePnl = BigDecimal.ZERO;
+ private volatile BigDecimal unrealizedPnl = BigDecimal.ZERO;
+ private volatile BigDecimal longEntryPrice = BigDecimal.ZERO;
+ private volatile BigDecimal shortEntryPrice = BigDecimal.ZERO;
+ private volatile BigDecimal longPositionSize = BigDecimal.ZERO;
+ private volatile BigDecimal shortPositionSize = BigDecimal.ZERO;
+ private Long userId;
+ private volatile BigDecimal initialPrincipal = BigDecimal.ZERO;
+ private volatile GateKlineWebSocketClient wsClient;
+
+ public GateGridTradeService(GateConfig config) {
+ this.config = config;
+ ApiClient apiClient = new ApiClient();
+ apiClient.setBasePath(config.getRestBasePath());
+ apiClient.setApiKeySecret(config.getApiKey(), config.getApiSecret());
this.futuresApi = new FuturesApi(apiClient);
+ this.executor = new GateTradeExecutor(apiClient, config.getContract());
}
+ // ---- 初始化 ----
+
/**
- * 初始化账户：设置持仓模式 + 杠杆
+ * 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 {
- futuresApi.updateContractPositionLeverageCall(
- SETTLE, contract, leverage, marginMode, positionMode, null);
- log.info("[GateGrid] 已设置杠杆: {}x, 保证金模式: {}", leverage, marginMode);
+ ApiClient detailClient = new ApiClient();
+ detailClient.setBasePath(config.getRestBasePath());
+ detailClient.setApiKeySecret(config.getApiKey(), config.getApiSecret());
+ AccountDetail detail = new AccountApi(detailClient).getAccountDetail();
+ this.userId = detail.getUserId();
+ log.info("[Gate] 用户ID: {}", userId);
FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
- log.info("[GateGrid] 账户可用余额: {}, 总资产: {}",
- account.getAvailable(), account.getTotal());
- String positionModeSet = account.getPositionMode();
- if (!positionMode.equals(positionModeSet)){
- futuresApi.setPositionMode(SETTLE, positionMode);
+ this.initialPrincipal = new BigDecimal(account.getTotal());
+ log.info("[Gate] 初始本金: {} USDT", initialPrincipal);
+
+ futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
+ log.info("[Gate] 旧条件单已清除");
+ closeExistingPositions();
+
+ //设置持仓模式为双向持仓
+ Boolean inDualMode = account.getInDualMode();
+ if (!inDualMode) {
+ try {
+ futuresApi.setDualModeCall(SETTLE,true,null).execute();
+ } catch (IOException e) {
+ e.printStackTrace();
+ }
}
- log.info("[GateGrid] 已设置双向持仓模式");
+
+ try {
+ futuresApi.updateDualModePositionLeverageCall(
+ SETTLE, config.getContract(), config.getLeverage(),
+ null, null).execute();
+ } catch (IOException e) {
+ e.printStackTrace();
+ }
+
+ if (!config.getMarginMode().equals(account.getMarginMode())) {
+
+ UpdateDualCompPositionCrossModeRequest updateDualCompPositionCrossModeRequest = new UpdateDualCompPositionCrossModeRequest();
+ updateDualCompPositionCrossModeRequest.setMode(config.getMarginMode());
+ updateDualCompPositionCrossModeRequest.setContract(config.getContract());
+ try {
+ futuresApi.updateDualCompPositionCrossModeCall(SETTLE, updateDualCompPositionCrossModeRequest, null).execute();
+ } catch (IOException e) {
+ e.printStackTrace();
+ }
+ }
+ log.info("[Gate] 持仓模式: {} 余额: {}", config.getPositionMode(), account.getAvailable());
+ log.info("[Gate] 杠杆: {}x {}", config.getLeverage(), config.getMarginMode());
} catch (GateApiException e) {
- log.error("[GateGrid] 初始化失败, label: {}, msg: {}", e.getErrorLabel(), e.getMessage());
+ log.error("[Gate] 初始化失败, label:{}, msg:{}", e.getErrorLabel(), e.getMessage());
} catch (ApiException e) {
- log.error("[GateGrid] 初始化API调用失败, code: {}", e.getCode());
+ log.error("[Gate] 初始化失败, code:{}", e.getCode());
}
}
/**
- * 启动网格策略
+ * 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();
+ if (positions == null || positions.isEmpty()) { log.info("[Gate] 无已有仓位"); return; }
+ for (Position pos : positions) {
+ if (!config.getContract().equals(pos.getContract())) {
+ continue;
+ }
+ String sizeStr = pos.getSize();
+ long size = Long.parseLong(sizeStr);
+ if (size == 0) {
+ continue;
+ }
+ String closeSize = size > 0 ? String.valueOf(-size) : String.valueOf(Math.abs(size));
+ Position.ModeEnum mode = pos.getMode();
+ FuturesOrder closeOrder = new FuturesOrder();
+ closeOrder.setContract(config.getContract());
+ closeOrder.setPrice("0");
+ closeOrder.setTif(FuturesOrder.TifEnum.IOC);
+ closeOrder.setReduceOnly(true);
+ if (mode != null && mode.getValue() != null && mode.getValue().contains("dual")) {
+ closeOrder.setSize("0");
+ closeOrder.setClose(false);
+ closeOrder.setAutoSize(size > 0 ? FuturesOrder.AutoSizeEnum.LONG : FuturesOrder.AutoSizeEnum.SHORT);
+ } else {
+ closeOrder.setSize(closeSize);
+ }
+ closeOrder.setText("t-grid-init-close");
+ futuresApi.createFuturesOrder(SETTLE, closeOrder, null);
+ log.info("[Gate] 平已有仓位, 方向:{}, size:{}, mode:{}", size > 0 ? "多" : "空", sizeStr, mode);
+ }
+ } catch (GateApiException e) {
+ log.warn("[Gate] 平仓位失败, label:{}, msg:{}", e.getErrorLabel(), e.getMessage());
+ } catch (Exception e) {
+ log.warn("[Gate] 平仓位异常", e);
+ }
+ }
+
+ // ---- 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 (strategyActive) {
- log.warn("[GateGrid] 策略已在运行中");
+ if (state != StrategyState.WAITING_KLINE && state != StrategyState.STOPPED) {
+ log.warn("[Gate] 策略已在运行中, state:{}", state);
return;
}
- strategyActive = true;
- currentCycle = 0;
- totalProfit = BigDecimal.ZERO;
- log.info("[GateGrid] 网格策略启动, cycle: {}", currentCycle + 1);
- dualOpenPositions();
+ state = StrategyState.WAITING_KLINE;
+ cumulativePnl = BigDecimal.ZERO;
+ unrealizedPnl = BigDecimal.ZERO;
+ markPrice = BigDecimal.ZERO;
+ longEntryPrice = BigDecimal.ZERO;
+ shortEntryPrice = BigDecimal.ZERO;
+ longPositionSize = BigDecimal.ZERO;
+ shortPositionSize = BigDecimal.ZERO;
+ baseLongOpened = false;
+ baseShortOpened = false;
+ longActive = false;
+ shortActive = false;
+ accumulatedLongLossCount = 0;
+ accumulatedShortLossCount = 0;
+ shortPriceQueue.clear();
+ longPriceQueue.clear();
+ totalShortPriceQueue.clear();
+ totalLongPriceQueue.clear();
+ currentLongOrderIds.clear();
+ currentShortOrderIds.clear();
+ // 每次重启重新获取当前本金
+ refreshInitialPrincipal();
+
+ log.info("[Gate] 网格策略已启动, 当前本金: {} USDT", initialPrincipal);
}
/**
- * 停止网格策略
+ * 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() {
- strategyActive = false;
- cancelTpSl(longTpOrderId);
- cancelTpSl(longSlOrderId);
- cancelTpSl(shortTpOrderId);
- cancelTpSl(shortSlOrderId);
- closeAllPositions();
- log.info("[GateGrid] 网格策略已停止, 总盈亏: {}, 循环: {}", totalProfit, currentCycle);
+ state = StrategyState.STOPPED;
+ 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) {
+
+ 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
+ if (state == StrategyState.WAITING_KLINE) {
+ if (wsClient == null || !wsClient.areAllSubscribed()) {
+ return;
+ }
+
+ state = StrategyState.OPENING;
+
+ 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);
+ }, null);
+ executor.openShort(negate(size), (orderId) -> {
+ TraderParam baseShortTp = TraderParam.builder()
+ .entryOrderId(orderId)
+ .build();
+ config.setBaseShortTraderParam(baseShortTp);
+ }, null);
+ return;
+ }
+
+ checkProfitAndReset();
+
+ if (state == StrategyState.ACTIVE &&
+ longActive == false &&
+ longPositionSize.compareTo(BigDecimal.ZERO) == 0){
+ processShortGrid(closePrice);
+ }
+
+
+ if (state == StrategyState.ACTIVE &&
+ 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("0.0005");
+ private void checkProfitAndReset() {
+ try {
+
+ BigDecimal target = initialPrincipal.add(config.getExpectedProfit());
+
+ FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
+ BigDecimal totalEquity = new BigDecimal(account.getTotal()).add(new BigDecimal(account.getUnrealisedPnl()));
+
+ 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());
+ } 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(); }
+ startGrid();
+ });
+ }
+ } 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) {
+ return;
+ }
+
+ boolean hasPosition = size.abs().compareTo(BigDecimal.ZERO) > 0;
+ if (state == StrategyState.OPENING){
+ if (Position.ModeEnum.DUAL_LONG == mode && hasPosition && !baseLongOpened) {
+ longActive = true;
+ longPositionSize = size;
+ longEntryPrice = entryPrice;
+ 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;
+ 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(); }
+ startGrid();
+ });
+ 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);
+ 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);
+
+ 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;
+ }
+
+ // [Gate-需求1] 多仓止盈触发：清空止盈状态 + 取消最远多仓止损 + 检查是否最后一个止盈
+ GridElement longTpElem = GridElement.findByLongTakeProfitOrderId(orderId);
+ if (longTpElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
+ longTakeProfitTraderIdParam(longTpElem, null, false);
+ log.info("[Gate] 多仓止盈触发 gridId:{}, orderId:{}", longTpElem.getId(), orderId);
+ cancelFarthestLongStopLoss();
+// 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
+ GridElement shortTpElem = GridElement.findByShortTakeProfitOrderId(orderId);
+ if (shortTpElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
+ shortTakeProfitTraderIdParam(shortTpElem, null, false);
+ log.info("[Gate] 空仓止盈触发 gridId:{}, orderId:{}", shortTpElem.getId(), orderId);
+ cancelFarthestShortStopLoss();
+// checkLastTakeProfitAndRestart();
+ return;
+ }
+
+ GridElement longStopLossElem = GridElement.findByLongStopLossOrderId(orderId);
+// if (longStopLossElem != null && longPositionSize.compareTo(BigDecimal.ZERO) > 0 && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
+ if (longStopLossElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
+ handleLongStopLossTriggered(longStopLossElem);
+ return;
+ }
+ GridElement shortStopLossElem = GridElement.findByShortStopLossOrderId(orderId);
+// if (shortStopLossElem != null && shortPositionSize.compareTo(BigDecimal.ZERO) > 0 && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
+ if (shortStopLossElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
+ handleShortStopLossTriggered(shortStopLossElem);
+ return;
+ }
+
+ GridElement shortGridElement = GridElement.findByShortOrderId(orderId);
+ if (shortGridElement != null) {
+ if (shortGridElement.isHasShortOrder() && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0") ){
+ int filledQty = Integer.parseInt(shortGridElement.getShortTraderParam().getQuantity());
+ 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();
+ // 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，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;
+ 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;
+ }
+ BigDecimal tpPrice = tpElem.getGridPrice();
+ int finalTpGridId = tpGridId;
+ executor.placeTakeProfit(
+ tpPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ ORDER_TYPE_CLOSE_SHORT,
+ config.getQuantity(),
+ profitId -> {
+ shortTakeProfitTraderIdParam(tpElem, profitId, true);
+ log.info("[Gate] 空仓止盈挂单, gridId:{}, 触发价:{}, takeProfitId:{}",
+ finalTpGridId, tpPrice, profitId);
+ }
+ );
+ }
+ }
+ }
+ }
+ GridElement longGridElement = GridElement.findByLongOrderId(orderId);
+ if (longGridElement != null) {
+ if (longGridElement.isHasLongOrder() && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")){
+
+ int filledQty = Integer.parseInt(longGridElement.getLongTraderParam().getQuantity());
+ 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();
+ // 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，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;
+ 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;
+ }
+ BigDecimal tpPrice = tpElem.getGridPrice();
+ int finalTpGridId = tpGridId;
+ executor.placeTakeProfit(
+ tpPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ ORDER_TYPE_CLOSE_LONG,
+ negate(config.getQuantity()),
+ profitId -> {
+ longTakeProfitTraderIdParam(tpElem, profitId, true);
+ log.info("[Gate] 多仓止盈挂单, gridId:{}, 触发价:{}, takeProfitId:{}",
+ finalTpGridId, tpPrice, profitId);
+ }
+ );
+ }
+ }
+ }
+ }
+ }
+
+
+ /**
+ * 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;
}
/**
- * K线回调：收到新的收盘价
+ * 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
*/
- public void onKline(BigDecimal closePrice, boolean isKlineClosed) {
- lastClosePrice = closePrice;
- if (!strategyActive || !isKlineClosed) {
- return;
+ private BigDecimal queryEntryPrice(Position.ModeEnum mode) {
+ Position p = queryPosition(mode);
+ if (p != null && p.getEntryPrice() != null) {
+ return new BigDecimal(p.getEntryPrice());
}
- checkPositions(closePrice);
+ return BigDecimal.ZERO;
}
/**
- * 多空双开
+ * 查询指定模式的持仓对象。
*/
- private void dualOpenPositions() {
+ private Position queryPosition(Position.ModeEnum mode) {
try {
- FuturesOrder longOrder = new FuturesOrder();
- longOrder.setContract(contract);
- longOrder.setSize(quantity);
- longOrder.setPrice("0");
- longOrder.setTif(FuturesOrder.TifEnum.IOC);
- longOrder.setText("t-grid-long-" + (currentCycle + 1));
- FuturesOrder longResult = futuresApi.createFuturesOrder(SETTLE, longOrder, null);
- longOrderId = longResult.getId();
- longEntryPrice = safeDecimal(longResult.getFillPrice());
- log.info("[GateGrid] 开多成功, price: {}, id: {}", longEntryPrice, longOrderId);
- placeLongTpSl(longEntryPrice);
-
- FuturesOrder shortOrder = new FuturesOrder();
- shortOrder.setContract(contract);
- shortOrder.setSize(negateQuantity(quantity));
- shortOrder.setPrice("0");
- shortOrder.setTif(FuturesOrder.TifEnum.IOC);
- shortOrder.setText("t-grid-short-" + (currentCycle + 1));
- FuturesOrder shortResult = futuresApi.createFuturesOrder(SETTLE, shortOrder, null);
- shortOrderId = shortResult.getId();
- shortEntryPrice = safeDecimal(shortResult.getFillPrice());
- log.info("[GateGrid] 开空成功, price: {}, id: {}", shortEntryPrice, shortOrderId);
- placeShortTpSl(shortEntryPrice);
-
- printGridInfo();
- } catch (GateApiException e) {
- log.error("[GateGrid] 双开失败, label: {}, msg: {}", e.getErrorLabel(), e.getMessage());
- strategyActive = false;
+ 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.error("[GateGrid] 双开异常", e);
- strategyActive = false;
+ log.warn("[Gate] 查询{}持仓失败", mode, e);
}
+ return null;
}
- private void placeLongTpSl(BigDecimal entryPrice) {
- BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP);
- BigDecimal slPrice = entryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP);
- longTpOrderId = placePriceTriggeredOrder(tpPrice, FuturesPriceTrigger.RuleEnum.NUMBER_1, "close-long-position", "close_long");
- longSlOrderId = placePriceTriggeredOrder(slPrice, FuturesPriceTrigger.RuleEnum.NUMBER_2, "close-long-position", "close_long");
- log.info("[GateGrid] 多头TP/SL已设置, TP:{}, SL:{}, tpId:{}, slId:{}", tpPrice, slPrice, longTpOrderId, longSlOrderId);
- }
+ // ---- 网格队列处理 ----
- private void placeShortTpSl(BigDecimal entryPrice) {
- BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP);
- BigDecimal slPrice = entryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP);
- shortTpOrderId = placePriceTriggeredOrder(tpPrice, FuturesPriceTrigger.RuleEnum.NUMBER_2, "close-short-position", "close_short");
- shortSlOrderId = placePriceTriggeredOrder(slPrice, FuturesPriceTrigger.RuleEnum.NUMBER_1, "close-short-position", "close_short");
- log.info("[GateGrid] 空头TP/SL已设置, TP:{}, SL:{}, tpId:{}, slId:{}", tpPrice, slPrice, shortTpOrderId, shortSlOrderId);
- }
+ /**
+ * 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 void tryGenerateQueues() {
+ if (baseLongOpened && baseShortOpened) {
+ generateShortQueue();
+ generateLongQueue();
+ updateGridElements();
- private Long placePriceTriggeredOrder(BigDecimal triggerPrice,
- FuturesPriceTrigger.RuleEnum rule,
- String orderType,
- String autoSize) {
- try {
- FuturesPriceTrigger trigger = new FuturesPriceTrigger();
- trigger.setStrategyType(FuturesPriceTrigger.StrategyTypeEnum.NUMBER_0);
- trigger.setPriceType(FuturesPriceTrigger.PriceTypeEnum.NUMBER_0);
- trigger.setPrice(triggerPrice.toString());
- trigger.setRule(rule);
- trigger.setExpiration(0);
+ GridElement baseGridElement = GridElement.findById(0);
+ TraderParam baseLongTraderParam = config.getBaseLongTraderParam();
+ baseGridElement.setLongOrderId(baseLongTraderParam.getEntryOrderId());
+ baseGridElement.setHasLongOrder(true);
+ TraderParam baseShortTraderParam = config.getBaseShortTraderParam();
+ baseGridElement.setShortOrderId(baseShortTraderParam.getEntryOrderId());
+ baseGridElement.setHasShortOrder(true);
- FuturesInitialOrder initial = new FuturesInitialOrder();
- initial.setContract(contract);
- initial.setSize(0L);
- initial.setPrice("0");
- initial.setTif(FuturesInitialOrder.TifEnum.IOC);
- initial.setReduceOnly(true);
- initial.setAutoSize(autoSize);
+// 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.setShortStopLossOrderId(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.setLongStopLossOrderId(profitId);
+// GridElement.refreshIndices();
+// log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", longTime, triggerPrice, profitId);
+// }
+// );
+// }
- FuturesPriceTriggeredOrder order = new FuturesPriceTriggeredOrder();
- order.setTrigger(trigger);
- order.setInitial(initial);
- order.setOrderType(orderType);
+ 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.setShortStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
+ }
+ );
+ }
- TriggerOrderResponse response = futuresApi.createPriceTriggeredOrder(SETTLE, order);
- log.info("[GateGrid] 条件单已创建, triggerPrice:{}, rule:{}, orderType:{}, autoSize:{}, id:{}",
- triggerPrice, rule, orderType, autoSize, response.getId());
- return response.getId();
- } catch (Exception e) {
- log.error("[GateGrid] 创建条件单失败, triggerPrice:{}, rule:{}, orderType:{}, autoSize:{}",
- triggerPrice, rule, orderType, autoSize, e);
- return null;
- }
- }
- private void cancelTpSl(Long orderId) {
- if (orderId == null) {
- return;
- }
- try {
- futuresApi.cancelPriceTriggeredOrder(SETTLE, orderId);
- log.info("[GateGrid] 已取消条件单, id:{}", orderId);
- } catch (Exception e) {
- log.warn("[GateGrid] 取消条件单失败, id:{}", orderId, e);
+ 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.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~{}, 多仓止损: -2~-{}", shortTime, longTime);
+
+ state = StrategyState.ACTIVE;
}
}
/**
- * 检查多空仓位是否触及止盈止损
+ * 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 checkPositions(BigDecimal currentPrice) {
- if (longEntryPrice == null || shortEntryPrice == null) {
+ 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);
+ baseElement.setHasLongOrder(flag);
+ baseElement.setLongOrderId(entryId);
+ GridElement.refreshIndices();
+ }
+
+ private void shortEntryTraderIdParam(
+ GridElement baseElement, String entryId, boolean flag
+ ) {
+ TraderParam tp = baseElement.getShortTraderParam();
+ tp.setEntryOrderId(entryId);
+ tp.setEntryOrderPlaced(flag);
+ baseElement.setHasShortOrder(flag);
+ baseElement.setShortOrderId(entryId);
+ GridElement.refreshIndices();
+ }
+
+ /**
+ * 生成空仓价格队列。
+ * 以 shortBaseEntryPrice × gridRate 作为绝对步长 step，存到 config。
+ * 第1个元素 = shortBaseEntryPrice − step，后续依次递减 step，共 gridQueueSize 个。
+ * 队列降序排列（大→小），方便 processShortGrid 中从头遍历。
+ */
+ private void generateShortQueue() {
+ shortPriceQueue.clear();
+ totalShortPriceQueue.clear();
+ totalLongPriceQueue.clear();
+ int prec = config.getPriceScale();
+ BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(prec, RoundingMode.HALF_UP);
+ config.setStep(step);
+ BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(prec, RoundingMode.HALF_UP);
+ for (int i = 0; i < config.getGridQueueSize(); i++) {
+ shortPriceQueue.add(elem);
+ totalLongPriceQueue.add( elem);
+ totalShortPriceQueue.add( elem);
+
+ elem = elem.subtract(step).setScale(prec, RoundingMode.HALF_UP);
+ if (elem.compareTo(BigDecimal.ZERO) <= 0) {
+ break;
+ }
+ }
+ shortPriceQueue.sort((a, b) -> b.compareTo(a));
+ log.info("[Gate] 空队列:{}", shortPriceQueue);
+ }
+
+ /**
+ * 生成多仓价格队列。
+ * 以 shortBaseEntryPrice + step 为首元素，后续依次递增 step，共 gridQueueSize 个。
+ * 队列升序排列（小→大），方便 processLongGrid 中从头遍历。
+ */
+ private void generateLongQueue() {
+ longPriceQueue.clear();
+ int prec = config.getPriceScale();
+ BigDecimal step = config.getStep();
+ BigDecimal elem = shortBaseEntryPrice.add(step).setScale(prec, RoundingMode.HALF_UP);
+ for (int i = 0; i < config.getGridQueueSize(); i++) {
+ longPriceQueue.add(elem);
+ totalLongPriceQueue.add( elem);
+ totalShortPriceQueue.add( elem);
+ elem = elem.add(step).setScale(prec, RoundingMode.HALF_UP);
+ }
+ longPriceQueue.sort(BigDecimal::compareTo);
+ log.info("[Gate] 多队列:{}", 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);
+ }
+
+ /**
+ * 根据当前多空价格队列同步构建网格元素列表，写入 config。
+ *
+ * <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>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();
+ BigDecimal step = config.getStep();
+// 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.add(step).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ TraderParam shortParam = TraderParam.builder()
+ .direction(TraderParam.Direction.SHORT)
+ .entryPrice(price)
+ .takeProfitPrice(price.subtract(step).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.add(step).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ TraderParam shortParam = TraderParam.builder()
+ .direction(TraderParam.Direction.SHORT)
+ .entryPrice(price)
+ .takeProfitPrice(price.subtract(step).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.add(step).setScale(prec, RoundingMode.HALF_UP))
+ .quantity(qty)
+ .build();
+ TraderParam shortParam = TraderParam.builder()
+ .direction(TraderParam.Direction.SHORT)
+ .entryPrice(price)
+ .takeProfitPrice(price.subtract(step).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) {
+ 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) {
+
+ GridElement cancelGridElement = GridElement.findById(newEntryGrid.getUpId());
+ String quantity = cancelGridElement != null
+ ? cancelGridElement.getLongTraderParam().getQuantity()
+ : config.getBaseQuantity();
+ if (cancelGridElement != null && cancelGridElement.isHasLongOrder()) {
+ String longOrderId = cancelGridElement.getLongOrderId();
+ executor.cancelConditionalOrder(longOrderId, oid -> {
+ longEntryTraderIdParam(cancelGridElement, null, false);
+ log.info("[Gate] 多仓仓位归零, 取消gridId:{}的多单,{}", cancelGridElement.getId(),longOrderId);
+ });
+ }
+// 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()) {
+ 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);
+ }
+ }
+ }
+ }
+ }
+
+ }
+
+ 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) {
+
+ GridElement cancelGridElement = GridElement.findById(newEntryGrid.getDownId());
+
+ String quantity = cancelGridElement != null
+ ? cancelGridElement.getShortTraderParam().getQuantity()
+ : config.getBaseQuantity();
+ /**
+ * 看是否有空仓挂单，有就取消
+ */
+ if (cancelGridElement != null && cancelGridElement.isHasShortOrder()) {
+ String shortOrderId = cancelGridElement.getShortOrderId();
+ executor.cancelConditionalOrder(shortOrderId, oid -> {
+ shortEntryTraderIdParam(cancelGridElement, null, false);
+ log.info("[Gate] 空仓仓位归零, 取消gridId:{}的多单{}", cancelGridElement.getId(),shortOrderId);
+ });
+ }
+// 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()){
+ 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));
+ }
+
+ }
+ }
+ }
+ }
+ }
+
+ private void handleLongStopLossTriggered(GridElement gridElement) {
+ gridElement.setLongStopLossOrderId(null);
+
+ int gridId = gridElement.getId();
+ log.info("[Gate] 多仓止损触发 gridId:{}, 开始追单", gridId);
+ 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;
}
- BigDecimal longTp = longEntryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP);
- BigDecimal longSl = longEntryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP);
- BigDecimal shortTp = shortEntryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP);
- BigDecimal shortSl = shortEntryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP);
+ // [Gate-BugFix] 防止与"仓位归零"重复下单：若该网格已有挂单则跳过
+ if (!newEntryGrid.isHasLongOrder()) {
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
- System.out.println("========== Gate 网格状态 ==========");
- System.out.println("当前价格: " + currentPrice);
- System.out.println("多头入场: " + longEntryPrice + " TP: " + longTp + " SL: " + longSl);
- System.out.println("空头入场: " + shortEntryPrice + " TP: " + shortTp + " SL: " + shortSl);
- System.out.println("累计盈亏: " + totalProfit + " 循环: " + currentCycle + "/" + maxCycles);
- System.out.println("===================================");
+ // 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);
+ }
- // 多头止盈
- if (currentPrice.compareTo(longTp) >= 0) {
- log.info("[GateGrid] 多头止盈触发! entry:{}, current:{}", longEntryPrice, currentPrice);
- BigDecimal cnt = new BigDecimal(quantity);
- BigDecimal profit = currentPrice.subtract(longEntryPrice).multiply(cnt);
- totalProfit = totalProfit.add(profit);
- log.info("[GateGrid] 多头止盈 profit:{}, totalProfit:{}", profit, totalProfit);
- closeLongPosition();
- closeShortPosition();
- currentCycle++;
- checkStopConditions();
+ int cancelGridId = gridId + 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);
+ });
+ }
+
+ // 止损触发时，取消最远的多仓止盈订单
+ GridElement farthestLongTp = null;
+ for (GridElement e : config.getGridElements()) {
+ if (e.getLongTakeProfitOrderId() != null) {
+ if (farthestLongTp == null || e.getGridPrice().compareTo(farthestLongTp.getGridPrice()) > 0) {
+ farthestLongTp = e;
+ }
+ }
+ }
+ if (farthestLongTp != null) {
+ String tpOrderId = farthestLongTp.getLongTakeProfitOrderId();
+ GridElement finalFarthestLongTp = farthestLongTp;
+ executor.cancelConditionalOrder(tpOrderId, oid -> {
+ longTakeProfitTraderIdParam(finalFarthestLongTp, null, false);
+ log.info("[Gate] 多仓止损触发, 取消最远止盈 gridId:{}, orderId:{}", finalFarthestLongTp.getId(), tpOrderId);
+ });
+ }
+ }
+
+ private void handleShortStopLossTriggered(GridElement gridElement) {
+ gridElement.setShortStopLossOrderId(null);
+
+ int gridId = gridElement.getId();
+ log.info("[Gate] 空仓止损触发 gridId:{}, 开始追单", gridId);
+ 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;
}
- // 多头止损
- if (currentPrice.compareTo(longSl) <= 0) {
- log.info("[GateGrid] 多头止损触发! entry:{}, current:{}", longEntryPrice, currentPrice);
- BigDecimal cnt = new BigDecimal(quantity);
- BigDecimal loss = longEntryPrice.subtract(currentPrice).multiply(cnt);
- totalProfit = totalProfit.subtract(loss);
- log.info("[GateGrid] 多头止损 loss:{}, totalProfit:{}", loss, totalProfit);
- closeLongPosition();
- currentCycle++;
- checkStopConditions();
+
+ // [Gate-BugFix] 防止与"仓位归零"重复下单：若该网格已有挂单则跳过
+ if (!newEntryGrid.isHasShortOrder()) {
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+
+ // 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);
+ }
+
+
+
+
+ int cancelGridId = gridId - 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);
+ });
+ }
+
+ // 止损触发时，取消最远的空仓止盈订单
+ GridElement farthestShortTp = null;
+ for (GridElement e : config.getGridElements()) {
+ if (e.getShortTakeProfitOrderId() != null) {
+ if (farthestShortTp == null || e.getGridPrice().compareTo(farthestShortTp.getGridPrice()) < 0) {
+ farthestShortTp = e;
+ }
+ }
+ }
+ if (farthestShortTp != null) {
+ String tpOrderId = farthestShortTp.getShortTakeProfitOrderId();
+ GridElement finalFarthestShortTp = farthestShortTp;
+ executor.cancelConditionalOrder(tpOrderId, oid -> {
+ shortTakeProfitTraderIdParam(finalFarthestShortTp, null, false);
+ log.info("[Gate] 空仓止损触发, 取消最远止盈 gridId:{}, orderId:{}", finalFarthestShortTp.getId(), tpOrderId);
+ });
+ }
+ }
+
+ // ========== 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;
}
- // 空头止盈
- if (currentPrice.compareTo(shortTp) <= 0) {
- log.info("[GateGrid] 空头止盈触发! entry:{}, current:{}", shortEntryPrice, currentPrice);
- BigDecimal cnt = new BigDecimal(quantity);
- BigDecimal profit = shortEntryPrice.subtract(currentPrice).multiply(cnt);
- totalProfit = totalProfit.add(profit);
- log.info("[GateGrid] 空头止盈 profit:{}, totalProfit:{}", profit, totalProfit);
- closeShortPosition();
- closeLongPosition();
- currentCycle++;
- checkStopConditions();
+
+ // 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;
}
- // 空头止损
- if (currentPrice.compareTo(shortSl) >= 0) {
- log.info("[GateGrid] 空头止损触发! entry:{}, current:{}", shortEntryPrice, currentPrice);
- BigDecimal cnt = new BigDecimal(quantity);
- BigDecimal loss = currentPrice.subtract(shortEntryPrice).multiply(cnt);
- totalProfit = totalProfit.subtract(loss);
- log.info("[GateGrid] 空头止损 loss:{}, totalProfit:{}", loss, totalProfit);
- closeShortPosition();
- currentCycle++;
- checkStopConditions();
- }
- }
- private void checkStopConditions() {
- if (totalProfit.compareTo(overallTp) >= 0) {
- log.info("[GateGrid] 达到整体止盈 {} USDT，停止策略", overallTp);
- strategyActive = false;
+ BigDecimal step = config.getStep();
+ if (step == null || step.compareTo(BigDecimal.ZERO) == 0) {
return;
}
- if (BigDecimal.ZERO.subtract(totalProfit).compareTo(maxLoss) >= 0) {
- log.info("[GateGrid] 亏损 {} 达到上限 {} USDT，停止策略", totalProfit.negate(), maxLoss);
- strategyActive = false;
+ BigDecimal threshold = step.multiply(new BigDecimal(span));
+
+ BigDecimal currentPrice = lastKlinePrice;
+ if (currentPrice == null || currentPrice.compareTo(BigDecimal.ZERO) == 0) {
return;
}
- if (currentCycle >= maxCycles) {
- log.info("[GateGrid] 达到最大循环次数 {}，停止策略", maxCycles);
- strategyActive = false;
+
+ // 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);
+ }
+ } 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();
+ });
+ }
+ }
+
+ /**
+ * 取消最远的多仓止损订单。
+ * 多仓止损在 gridId 负方向，最远 = id 最小。
+ */
+ private void cancelFarthestLongStopLoss() {
+ GridElement farthest = null;
+ for (GridElement e : config.getGridElements()) {
+ if (e.getLongStopLossOrderId() != null) {
+ if (farthest == null || e.getId() < farthest.getId()) {
+ farthest = e;
+ }
+ }
+ }
+ if (farthest != null) {
+ String slId = farthest.getLongStopLossOrderId();
+ farthest.setLongStopLossOrderId(null);
+ GridElement.refreshIndices();
+ GridElement finalFarthest = farthest;
+ executor.cancelConditionalOrder(slId, oid ->
+ log.info("[Gate] 止盈触发, 取消最远多仓止损 gridId:{}, orderId:{}", finalFarthest.getId(), slId));
+ }
+ }
+
+ /**
+ * 取消最远的空仓止损订单。
+ * 空仓止损在 gridId 正方向，最远 = id 最大。
+ */
+ private void cancelFarthestShortStopLoss() {
+ GridElement farthest = null;
+ for (GridElement e : config.getGridElements()) {
+ if (e.getShortStopLossOrderId() != null) {
+ if (farthest == null || e.getId() > farthest.getId()) {
+ farthest = e;
+ }
+ }
+ }
+ if (farthest != null) {
+ String slId = farthest.getShortStopLossOrderId();
+ farthest.setShortStopLossOrderId(null);
+ GridElement.refreshIndices();
+ GridElement finalFarthest = farthest;
+ executor.cancelConditionalOrder(slId, oid ->
+ log.info("[Gate] 止盈触发, 取消最远空仓止损 gridId:{}, orderId:{}", finalFarthest.getId(), slId));
+ }
+ }
+
+ /**
+ * 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.setLongTakeProfitOrderId(null);
+ executor.cancelConditionalOrder(tpId, oid -> {});
+ }
+ String slId = e.getLongStopLossOrderId();
+ if (slId != null) {
+ e.setLongStopLossOrderId(null);
+ executor.cancelConditionalOrder(slId, oid -> {});
+ }
+ }
+ 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.setShortTakeProfitOrderId(null);
+ executor.cancelConditionalOrder(tpId, oid -> {});
+ }
+ String slId = e.getShortStopLossOrderId();
+ if (slId != null) {
+ e.setShortStopLossOrderId(null);
+ executor.cancelConditionalOrder(slId, oid -> {});
+ }
+ }
+ GridElement.refreshIndices();
+ log.info("[Gate] 已提交取消所有空仓止盈+止损");
+ }
+
+ // ========== 止损追单 ==========
+
+ private void extendLongStopLoss(int filledQty,int gridId) {
+ int furthestSlId = 0;
+ for (GridElement e : config.getGridElements()) {
+ if (e.getLongStopLossOrderId() != null && e.getId() < furthestSlId) {
+ furthestSlId = e.getId();
+ }
+ }
+
+ int interval = 1;
+ if (furthestSlId == 0) {
+ furthestSlId = gridId;
+ interval = 2;
+ }
+ int stopLossCount = filledQty / Integer.parseInt(config.getQuantity());
+ log.info("[Gate] 多仓追挂止损, 当前最远止损gridId:{}, 成交{}张, 追加{}个止损单", furthestSlId, filledQty, stopLossCount);
+ for (int i = 0; i < stopLossCount; i++) {
+ int newSlId = furthestSlId - i - interval;
+ 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,
+ negate(config.getQuantity()),
+ 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 gridId) {
+ int furthestSlId = 0;
+ for (GridElement e : config.getGridElements()) {
+ if (e.getShortStopLossOrderId() != null && e.getId() > furthestSlId) {
+ furthestSlId = e.getId();
+ }
+ }
+
+ int interval = 1;
+ if (furthestSlId == 0) {
+ furthestSlId = gridId;
+ interval = 2;
+ }
+ int stopLossCount = filledQty / Integer.parseInt(config.getQuantity());
+ log.info("[Gate] 空仓追挂止损, 当前最远止损gridId:{}, 成交{}张, 追加{}个止损单", furthestSlId, filledQty, stopLossCount);
+ for (int i = 0; i < stopLossCount; i++) {
+ int newSlId = furthestSlId + i + interval;
+ 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,
+ config.getQuantity(),
+ profitId -> {
+ elem.setShortStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 空仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId);
+ }
+ );
+ }
+ }
+
+ // ---- 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);
+ }
+ },
+ () -> {
+ 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>
+ * <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>
+ * 计价价格由 {@link GateConfig.PnLPriceMode} 决定：LAST_PRICE 用最新成交价，MARK_PRICE 用标记价格。
+ */
+ private void updateUnrealizedPnl() {
+ BigDecimal price = resolvePnlPrice();
+ if (price == null || price.compareTo(BigDecimal.ZERO) == 0) {
return;
}
- log.info("[GateGrid] 进入下一轮循环: {}", currentCycle + 1);
- dualOpenPositions();
- }
-
- private void closeLongPosition() {
- if (longEntryPrice == null) {
- return;
+ BigDecimal multiplier = config.getContractMultiplier();
+ BigDecimal longPnl = BigDecimal.ZERO;
+ BigDecimal shortPnl = BigDecimal.ZERO;
+ if (longPositionSize.compareTo(BigDecimal.ZERO) > 0 && longEntryPrice.compareTo(BigDecimal.ZERO) > 0) {
+ longPnl = longPositionSize.multiply(multiplier).multiply(price.subtract(longEntryPrice));
}
- try {
- FuturesOrder closeOrder = new FuturesOrder();
- closeOrder.setContract(contract);
- closeOrder.setSize(negateQuantity(quantity));
- closeOrder.setPrice("0");
- closeOrder.setTif(FuturesOrder.TifEnum.IOC);
- closeOrder.setReduceOnly(true);
- closeOrder.setText("t-grid-close-long");
- FuturesOrder result = futuresApi.createFuturesOrder(SETTLE, closeOrder, null);
- log.info("[GateGrid] 平多成功, id: {}, fillPrice: {}", result.getId(), result.getFillPrice());
- } catch (Exception e) {
- log.error("[GateGrid] 平多失败", e);
+ if (shortPositionSize.compareTo(BigDecimal.ZERO) > 0 && shortEntryPrice.compareTo(BigDecimal.ZERO) > 0) {
+ shortPnl = shortPositionSize.multiply(multiplier).multiply(shortEntryPrice.subtract(price));
}
- longEntryPrice = null;
- longOrderId = null;
- cancelTpSl(longTpOrderId);
- cancelTpSl(longSlOrderId);
- longTpOrderId = null;
- longSlOrderId = null;
+ unrealizedPnl = longPnl.add(shortPnl);
+
+ log.info("[Gate] 未实现盈亏: {}", unrealizedPnl);
}
- private void closeShortPosition() {
- if (shortEntryPrice == null) {
- return;
+ /**
+ * 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
+ && markPrice.compareTo(BigDecimal.ZERO) > 0) {
+ return markPrice;
}
- try {
- FuturesOrder closeOrder = new FuturesOrder();
- closeOrder.setContract(contract);
- closeOrder.setSize(quantity);
- closeOrder.setPrice("0");
- closeOrder.setTif(FuturesOrder.TifEnum.IOC);
- closeOrder.setReduceOnly(true);
- closeOrder.setText("t-grid-close-short");
- FuturesOrder result = futuresApi.createFuturesOrder(SETTLE, closeOrder, null);
- log.info("[GateGrid] 平空成功, id: {}, fillPrice: {}", result.getId(), result.getFillPrice());
- } catch (Exception e) {
- log.error("[GateGrid] 平空失败", e);
- }
- shortEntryPrice = null;
- shortOrderId = null;
- cancelTpSl(shortTpOrderId);
- cancelTpSl(shortSlOrderId);
- shortTpOrderId = null;
- shortSlOrderId = null;
+ return lastKlinePrice;
}
- private void closeAllPositions() {
- closeLongPosition();
- closeShortPosition();
- }
-
- private void printGridInfo() {
- BigDecimal longTp = BigDecimal.ZERO;
- BigDecimal longSl = BigDecimal.ZERO;
- BigDecimal shortTp = BigDecimal.ZERO;
- BigDecimal shortSl = BigDecimal.ZERO;
- if (longEntryPrice != null) {
- longTp = longEntryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP);
- longSl = longEntryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP);
- }
- if (shortEntryPrice != null) {
- shortTp = shortEntryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP);
- shortSl = shortEntryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP);
- }
- System.out.println("========== Gate 网格开仓 ==========");
- System.out.println("合约: " + contract + " 杠杆: " + leverage + "x " + marginMode);
- System.out.println("多头入场: " + longEntryPrice + " TP: " + longTp + " SL: " + longSl);
- System.out.println("空头入场: " + shortEntryPrice + " TP: " + shortTp + " SL: " + shortSl);
- System.out.println("数量: " + quantity + " 网格间距: " + gridRate.multiply(new BigDecimal("100")) + "%");
- System.out.println("整体止盈: " + overallTp + " USDT 最大循环: " + maxCycles);
- System.out.println("最大亏损: " + maxLoss + " USDT");
- System.out.println("=====================================");
- }
-
- private String negateQuantity(String qty) {
- if (qty.startsWith("-")) {
- return qty.substring(1);
- }
- return "-" + qty;
- }
-
- private BigDecimal safeDecimal(String val) {
- if (val == null || val.isEmpty()) {
- return BigDecimal.ZERO;
- }
- return new BigDecimal(val);
- }
-
- public BigDecimal getLastClosePrice() {
- return lastClosePrice;
- }
-
- public boolean isStrategyActive() {
- return strategyActive;
- }
-
- public BigDecimal getTotalProfit() {
- return totalProfit;
- }
-
- public int getCurrentCycle() {
- return currentCycle;
- }
+ /** @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 累计已实现盈亏（平仓推送驱动累加） */
+ public BigDecimal getCumulativePnl() { return cumulativePnl; }
+ /** @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; }
}
--
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