From e66a422609baae4b9ff64965cd20537728258f06 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Tue, 02 Jun 2026 10:16:22 +0800
Subject: [PATCH] fix(gate): 修复网格交易数量计算和配置参数
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 1301 +++++++++++++++++++++++++++++++++++++++++++++++------------
1 files changed, 1,037 insertions(+), 264 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 00b09c6..2408486 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -1,5 +1,8 @@
package com.xcong.excoin.modules.gateApi;
+import cn.hutool.core.collection.CollUtil;
+import cn.hutool.core.util.StrUtil;
+import com.xcong.excoin.utils.dingtalk.DingTalkUtils;
import io.gate.gateapi.ApiClient;
import io.gate.gateapi.ApiException;
import io.gate.gateapi.GateApiException;
@@ -13,7 +16,6 @@
import java.math.RoundingMode;
import java.util.ArrayList;
import java.util.Collections;
-import java.util.Iterator;
import java.util.LinkedHashMap;
import java.util.List;
import java.util.Map;
@@ -23,79 +25,63 @@
import com.xcong.excoin.modules.gateApi.wsHandler.handler.PositionsChannelHandler;
/**
- * Gate 网格交易服务 — 策略核心。
+ * 网格交易策略引擎 — 多空对冲网格。
*
- * <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>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>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>
+ * <h3>完整生命周期</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
+ * 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>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>
+ * <h3>仓位线动态调整</h3>
* <pre>
- * newFirstPrice > shortEntryPrice AND newFirstPrice < longEntryPrice
- * AND 反向持仓张数 < 3
+ * 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>
- * 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>
+ * <h3>关键公式</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)
+ * 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>
- * 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>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
*/
@@ -138,7 +124,7 @@
/** 基底空头入场价 */
private BigDecimal shortBaseEntryPrice;
- /** 基底多头入场价 */
+ /** 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;
@@ -319,7 +305,23 @@
longPriceQueue.clear();
currentLongOrderIds.clear();
currentShortOrderIds.clear();
- log.info("[Gate] 网格策略已启动");
+
+ // 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);
+ }
+
+ /**
+ * 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);
+ }
}
/**
@@ -357,26 +359,45 @@
lastKlinePrice = closePrice;
updateUnrealizedPnl();
if (state == StrategyState.STOPPED) {
+ try {
+ futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
+ } catch (ApiException e) {
+ e.printStackTrace();
+ }
+ closeExistingPositions();
+
+ BigDecimal totalPnl = cumulativePnl.add(unrealizedPnl);
+ log.info("[Gate] 已实现:{}, 未实现:{}, 合计:{}",
+ cumulativePnl, unrealizedPnl, totalPnl);
+
+ startGrid();
return;
}
+ //初始化0位置的开仓，并且用空的开仓价格，作为价格基准来划分网格
if (state == StrategyState.WAITING_KLINE) {
state = StrategyState.OPENING;
- log.info("[Gate] 首根K线到达，开基底仓位...");
- executor.openLong(config.getQuantity(), (orderId) -> {
- log.info("[Gate] 基底多单已提交{}", orderId);
+ log.info("[Gate] 首根K线到达，开基底仓位 多空各{}张...", config.getBaseQuantity());
+ executor.openLong(config.getBaseQuantity(), (orderId) -> {
+ TraderParam baseLongTp = TraderParam.builder()
+ .entryOrderId(orderId)
+ .build();
+ config.setBaseLongTraderParam(baseLongTp);
}, null);
- executor.openShort(negate(config.getQuantity()), (orderId) -> {
- log.info("[Gate] 基底空单已提交{}",orderId);
+ executor.openShort(negate(config.getBaseQuantity()), (orderId) -> {
+ TraderParam baseShortTp = TraderParam.builder()
+ .entryOrderId(orderId)
+ .build();
+ config.setBaseShortTraderParam(baseShortTp);
}, null);
+
return;
}
if (state != StrategyState.ACTIVE) {
return;
}
- processLongGrid(closePrice);
- processShortGrid(closePrice);
+ checkProfitAndReset();
}
// ---- 仓位推送回调 ----
@@ -389,11 +410,14 @@
* <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>仓位净增加（size > 之前记录值）：说明网格触发了新开仓 → 取对应方向队列首元素为止盈价，设止盈条件单</li>
- * <li>仓位减少或不变（止盈平仓后）：仅更新 positionSize，不重复设止盈</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>
+ * <li>仓位净增加或不变：仅更新 positionSize，止盈由 {@link #onOrderUpdate} 通过订单订阅匹配处理</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
@@ -419,32 +443,18 @@
baseLongOpened = true;
log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice);
tryGenerateQueues();
- } 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 {
+ }else {
longPositionSize = size;
+// checkShortEntryOrderToCancel();
+// checkLongEntryOrderToCancel();
}
} else {
+ if (longActive && state == StrategyState.ACTIVE) {
+ log.info("[Gate] 多仓持仓归零，重置策略");
+ handlePositionZeroAndReset("多仓");
+ }
longActive = false;
longPositionSize = BigDecimal.ZERO;
- }
- 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) {
@@ -456,31 +466,90 @@
baseShortOpened = true;
log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice);
tryGenerateQueues();
- } 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 {
+ }else {
shortPositionSize = size.abs();
+// checkShortEntryOrderToCancel();
+// checkLongEntryOrderToCancel();
}
} else {
+ if (shortActive && state == StrategyState.ACTIVE) {
+ log.info("[Gate] 空仓持仓归零，重置策略");
+ handlePositionZeroAndReset("空仓");
+ }
shortActive = false;
shortPositionSize = BigDecimal.ZERO;
}
- 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();
- }
+ }
+ }
+
+ private void checkShortEntryOrderToCancel() {
+ List<GridElement> allLongOrders = GridElement.findAllShortOrders(shortEntryPrice);
+ if (CollUtil.isNotEmpty(allLongOrders)){
+ GridElement keep = allLongOrders.stream()
+ .min((a, b) -> a.getGridPrice().compareTo(b.getGridPrice()))
+ .orElse(null);
+ for (GridElement e : allLongOrders) {
+ if (e == keep) {
+ continue;
+ }
+ executor.cancelConditionalOrder(
+ e.getShortOrderId(),
+ orderId -> {
+ shortEntryTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+ if (e.getShortTakeProfitOrderId() != null){
+ executor.cancelConditionalOrder(
+ e.getShortTakeProfitOrderId(),
+ orderId -> {
+ shortTakeProfitTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+ }
+ }
+ }
+ }
+
+ private void checkLongEntryOrderToCancel() {
+ List<GridElement> allShortOrders = GridElement.findAllLongOrders(longEntryPrice);
+ if (CollUtil.isNotEmpty(allShortOrders)){
+ GridElement keep = allShortOrders.stream()
+ .max((a, b) -> a.getGridPrice().compareTo(b.getGridPrice()))
+ .orElse(null);
+ for (GridElement e : allShortOrders) {
+ if (e == keep) {
+ continue;
+ }
+ executor.cancelConditionalOrder(
+ e.getLongOrderId(),
+ orderId -> {
+ longEntryTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
+
+ if (e.getLongTakeProfitOrderId() != null){
+ executor.cancelConditionalOrder(
+ e.getLongTakeProfitOrderId(),
+ orderId -> {
+ longTakeProfitTraderIdParam(
+ e,
+ null,
+ false
+ );
+ }
+ );
}
}
}
@@ -504,14 +573,16 @@
return;
}
cumulativePnl = cumulativePnl.add(pnl);
- log.info("[Gate] 盈亏累加:{}, 方向:{}, 累计:{}", pnl, side, cumulativePnl);
+ 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);
- if (cumulativePnl.compareTo(config.getOverallTp()) >= 0) {
- log.info("[Gate] 已达止盈目标 {}→已停止", cumulativePnl);
- state = StrategyState.STOPPED;
- } else if (cumulativePnl.compareTo(config.getMaxLoss().negate()) <= 0) {
- log.info("[Gate] 已达亏损上限 {}→已停止", cumulativePnl);
- state = StrategyState.STOPPED;
+ DingTalkUtils.getDefault().sendActionCard("风险提醒", logMessage, config.getApiKey(), "");
}
}
@@ -533,18 +604,284 @@
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()));
+
+ /**
+ * 匹配止盈单止盈
+ */
+ GridElement byLongTakeProfitOrderId = GridElement.findByLongTakeProfitOrderId(orderId);
+ if (byLongTakeProfitOrderId != null){
+ longTakeProfitTraderIdParam(
+ byLongTakeProfitOrderId,
+ null,
+ false
+ );
+// longEntryTraderIdParam(
+// byLongTakeProfitOrderId,
+// null,
+// false
+// );
+ }
+ GridElement byShortTakeProfitOrderId = GridElement.findByShortTakeProfitOrderId(orderId);
+ if (byShortTakeProfitOrderId != null){
+ shortTakeProfitTraderIdParam(
+ byShortTakeProfitOrderId,
+ null,
+ false
+ );
+// shortEntryTraderIdParam(
+// byShortTakeProfitOrderId,
+// null,
+// false
+// );
+ }
+
+ /**
+ * 匹配挂单
+ */
+ GridElement longGridElement = GridElement.findByLongOrderId(orderId);
+ if (longGridElement != null) {
+ if (longGridElement.isHasLongOrder()){
+ longEntryTraderIdParam(
+ longGridElement,
+ null,
+ false
+ );
+ if (longGridElement.getLongTakeProfitOrderId() == null){
+ BigDecimal longTp = longGridElement.getLongTraderParam().getTakeProfitPrice();
+ if (longTp != null) {
+ executor.placeTakeProfit(longTp,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ ORDER_TYPE_CLOSE_LONG,
+ negate(config.getQuantity()),
+ (profitId) -> {
+ longTakeProfitTraderIdParam(
+ longGridElement,
+ profitId,
+ true
+ );
+ });
+ log.info("[Gate] 多单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, longTp, negate(config.getQuantity()));
+ return;
+ }
+ }
+ }
+ }
+ GridElement shortGridElement = GridElement.findByShortOrderId(orderId);
+ if (shortGridElement != null) {
+ if (shortGridElement.isHasShortOrder()){
+ shortEntryTraderIdParam(
+ shortGridElement,
+ null,
+ false
+ );
+ if (shortGridElement.getShortTakeProfitOrderId() == null){
+ BigDecimal shortTp = shortGridElement.getShortTraderParam().getTakeProfitPrice();
+ if (shortTp != null) {
+ executor.placeTakeProfit(shortTp,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ ORDER_TYPE_CLOSE_SHORT,
+ config.getQuantity(),
+ (profitId) -> {
+ shortTakeProfitTraderIdParam(
+ shortGridElement,
+ profitId,
+ true
+ );
+ });
+ log.info("[Gate] 空单成交匹配止盈, orderId:{}, 止盈价:{}, size:{}", orderId, shortTp, config.getQuantity());
+ }
+ }
+ }
+ }
+ }
+
+ /**
+ * 用户私有成交回调。由 {@link com.xcong.excoin.modules.gateApi.wsHandler.handler.UserTradesChannelHandler}
+ * 在收到 {@code futures.usertrades} 推送时调用。
+ *
+ * @param contract 合约名称
+ * @param orderId 订单 ID
+ * @param price 成交价格
+ * @param size 成交数量
+ * @param role 用户角色（maker / taker）
+ * @param fee 手续费
+ */
+ public void onUserTrade(String contract, String orderId, BigDecimal price, String size, String role, BigDecimal fee) {
+ if (state == StrategyState.STOPPED) {
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());
+ log.info("[Gate] 成交明细, 合约:{}, 订单ID:{}, 价格:{}, 数量:{}, 角色:{}, 手续费:{}",
+ contract, orderId, price, size, role, fee);
+ }
+
+ /**
+ * 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;
+ }
+
+ GridElement longStopLossElem = GridElement.findByLongStopLossOrderId(orderId);
+ if (longStopLossElem != null) {
+ handleLongStopLossTriggered(longStopLossElem);
+ return;
+ }
+ GridElement shortStopLossElem = GridElement.findByShortStopLossOrderId(orderId);
+ if (shortStopLossElem != null) {
+ handleShortStopLossTriggered(shortStopLossElem);
+ return;
+ }
+
+// GridElement byShortTakeProfitOrderId = GridElement.findByShortTakeProfitOrderId(orderId);
+// if (byShortTakeProfitOrderId != null){
+// shortTakeProfitTraderIdParam(
+// byShortTakeProfitOrderId,
+// null,
+// false
+// );
+// shortEntryTraderIdParam(
+// byShortTakeProfitOrderId,
+// null,
+// false
+// );
+// TPonUserTradeShortEntry(byShortTakeProfitOrderId);
+// }
+// GridElement byLongTakeProfitOrderId = GridElement.findByLongTakeProfitOrderId(orderId);
+// if (byLongTakeProfitOrderId != null){
+// longTakeProfitTraderIdParam(
+// byLongTakeProfitOrderId,
+// null,
+// false
+// );
+// longEntryTraderIdParam(
+// byLongTakeProfitOrderId,
+// null,
+// false
+// );
+// TPonUserTradeLongEntry(byLongTakeProfitOrderId);
+// }
+
+ GridElement shortGridElement = GridElement.findByShortOrderId(orderId);
+ if (shortGridElement != null) {
+ if (shortGridElement.isHasShortOrder() && !tradeId.equals("0")){
+ int filledQty = Integer.parseInt(shortGridElement.getShortTraderParam().getQuantity());
+ shortEntryTraderIdParam(shortGridElement, null, false);
+ extendShortStopLoss(filledQty);
+ log.info("[Gate] 空单成交 gridId:{}, qty:{}, 追挂止损", shortGridElement.getId(), filledQty);
+ }
+ }
+ GridElement longGridElement = GridElement.findByLongOrderId(orderId);
+ if (longGridElement != null) {
+ if (longGridElement.isHasLongOrder() && !tradeId.equals("0")){
+ int filledQty = Integer.parseInt(longGridElement.getLongTraderParam().getQuantity());
+ longEntryTraderIdParam(longGridElement, null, false);
+ extendLongStopLoss(filledQty);
+ log.info("[Gate] 多单成交 gridId:{}, qty:{}, 追挂止损", longGridElement.getId(), filledQty);
+ }
+ }
+ }
+
+ private void TPonUserTradeShortEntry(GridElement gridElement) {
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ // 判断网格是否能开多仓，如果不能则跳过
+ GridElement upGridElement = GridElement.findById(gridElement.getUpId());
+ if (upGridElement != null){
+ BigDecimal upGridPrice = upGridElement.getGridPrice();
+ TraderParam upLongTraderParam = upGridElement.getLongTraderParam();
+ if (
+ !upGridElement.isHasLongOrder() &&
+ upGridPrice.compareTo(longEntryPrice) <= 0
+ ){
+ placeEntryOrderWithPreFlag(upGridElement, true,
+ upLongTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ upLongTraderParam.getQuantity());
+ }
+ }
+ }
+ }
+
+ private void TPonUserTradeLongEntry(GridElement gridElement) {
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ // 判断网格是否能开空仓，如果不能则跳过
+ GridElement downGridElement = GridElement.findById(gridElement.getDownId());
+ if (downGridElement != null){
+
+ BigDecimal downGridPrice = downGridElement.getGridPrice();
+
+ TraderParam shortTraderParam = downGridElement.getShortTraderParam();
+ if (
+ !downGridElement.isHasShortOrder() &&
+ downGridPrice.compareTo(shortEntryPrice) >= 0
+ ){
+ placeEntryOrderWithPreFlag(downGridElement, false,
+ shortTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ negate(config.getQuantity()));
+ }
+ }
+ }
+ }
+
+ private void onUserTradeShortEntry(GridElement gridElement) {
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ //下一个开仓位置
+ GridElement UpGridElement = GridElement.findById(gridElement.getDownId());
+ BigDecimal newLongFirst = UpGridElement.getGridPrice();
+
+ // 判断网格是否能开空仓，如果不能则跳过
+ if (UpGridElement != null) {
+
+ if (!UpGridElement.isHasShortOrder() && shortEntryPrice.compareTo(newLongFirst) > 0) {
+
+ TraderParam upShortTraderParam = UpGridElement.getShortTraderParam();
+ placeEntryOrderWithPreFlag(UpGridElement, false,
+ upShortTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ negate(upShortTraderParam.getQuantity()));
+ }
+ }
+ }
+ }
+
+ private void onUserTradeLongEntry(GridElement gridElement) {
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ //下一个开仓位置
+ GridElement UpGridElement = GridElement.findById(gridElement.getUpId());
+ BigDecimal newLongFirst = UpGridElement.getGridPrice() ;
+
+ // 判断网格是否能开多仓，如果不能则跳过
+ if (UpGridElement != null) {
+
+ if (!UpGridElement.isHasLongOrder() && longEntryPrice.compareTo(newLongFirst) < 0) {
+ TraderParam upLongTraderParam = UpGridElement.getLongTraderParam();
+ placeEntryOrderWithPreFlag(UpGridElement, true,
+ upLongTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ config.getQuantity());
+ }
+ }
}
}
@@ -554,42 +891,115 @@
* 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>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>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>
+ * 条件单成交后由 {@link #onOrderUpdate} 匹配止盈价并挂止盈条件单。
*/
private void tryGenerateQueues() {
if (baseLongOpened && baseShortOpened) {
generateShortQueue();
generateLongQueue();
+ updateGridElements();
- BigDecimal step = config.getStep();
+ 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);
- 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.put(orderId, longTp); log.info("[Gate] 初始条件多单已挂, id:{}, trigger:{}, 止盈:{}", orderId, longPriceQueue.get(0), longTp); },
- null);
+ for (int id = 2; id <= 11; id++) {
+ GridElement elem = GridElement.findById(id);
+ if (elem == null) {
+ continue;
+ }
+ BigDecimal triggerPrice = elem.getGridPrice();
+ int finalId = id;
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ ORDER_TYPE_CLOSE_SHORT,
+ "1",
+ profitId -> {
+ elem.setShortStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
+ }
+ );
+ }
+ for (int id = -2; id >= -11; id--) {
+ GridElement elem = GridElement.findById(id);
+ if (elem == null) {
+ continue;
+ }
+ BigDecimal triggerPrice = elem.getGridPrice();
+ int finalId = id;
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ ORDER_TYPE_CLOSE_LONG,
+ "-1",
+ profitId -> {
+ elem.setLongStopLossOrderId(profitId);
+ GridElement.refreshIndices();
+ log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
+ }
+ );
+ }
- 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",
- shortPriceQueueOne, shortPriceQueue.get(shortPriceQueue.size() - 1),
- longPriceQueueOne, longPriceQueue.get(longPriceQueue.size() - 1),
- step);
+ log.info("[Gate] 止损单已全部挂完, 空仓止损: 2~11, 多仓止损: -2~-11");
state = StrategyState.ACTIVE;
}
+ }
+
+ /**
+ * 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 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();
}
/**
@@ -600,13 +1010,17 @@
*/
private void generateShortQueue() {
shortPriceQueue.clear();
- BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, RoundingMode.HALF_UP);
+ int prec = config.getPriceScale();
+ BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(prec, RoundingMode.HALF_UP);
config.setStep(step);
- BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(1, RoundingMode.HALF_UP);
- for (int i = 0; i < config.getGridQueueSize(); i++) {
- shortPriceQueue.add(elem);
- elem = elem.subtract(step).setScale(1, RoundingMode.HALF_UP);
- }
+ BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(prec, RoundingMode.HALF_UP);
+ for (int i = 0; i < config.getGridQueueSize(); i++) {
+ shortPriceQueue.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);
}
@@ -618,48 +1032,133 @@
*/
private void generateLongQueue() {
longPriceQueue.clear();
+ int prec = config.getPriceScale();
BigDecimal step = config.getStep();
- BigDecimal elem = shortBaseEntryPrice.add(step).setScale(1, RoundingMode.HALF_UP);
+ BigDecimal elem = shortBaseEntryPrice.add(step).setScale(prec, RoundingMode.HALF_UP);
for (int i = 0; i < config.getGridQueueSize(); i++) {
longPriceQueue.add(elem);
- elem = elem.add(step).setScale(1, RoundingMode.HALF_UP);
+ elem = elem.add(step).setScale(prec, RoundingMode.HALF_UP);
}
longPriceQueue.sort(BigDecimal::compareTo);
log.info("[Gate] 多队列:{}", longPriceQueue);
}
/**
- * 空仓网格处理（当前价跌破空仓队列元素）。
+ * 根据当前多空价格队列同步构建网格元素列表，写入 config。
*
- * <h3>匹配规则</h3>
- * 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>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>执行流程</h3>
- * <ol>
- * <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>
- *
- * @param currentPrice 当前 K 线收盘价（最新成交价）
+ * <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 minTick = BigDecimal.ONE.scaleByPowerOfTen(-prec);
+// BigDecimal step = config.getStep().subtract(minTick);
+ BigDecimal step = config.getStep();
+ String qty = config.getQuantity();
+
+ // 空仓队列：id 从 -1 自减, shortPriceQueue[i] → id=-(i+1)
+ 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(shortSize > 0 ? 1 : null)
+ .downId(longSize > 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) {
+ int prec = config.getPriceScale();
List<BigDecimal> matched = new ArrayList<>();
synchronized (shortPriceQueue) {
for (BigDecimal p : shortPriceQueue) {
- if (p.compareTo(currentPrice) > 0) {
+ if (p.compareTo(currentPrice) >= 0) {
matched.add(p);
} else {
break;
@@ -676,70 +1175,91 @@
BigDecimal min = shortPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : shortPriceQueue.get(shortPriceQueue.size() - 1);
BigDecimal gridStep = config.getStep();
for (int i = 0; i < matched.size(); i++) {
- min = min.subtract(gridStep).setScale(1, RoundingMode.HALF_UP);
+ min = min.subtract(gridStep).setScale(prec, RoundingMode.HALF_UP);
shortPriceQueue.add(min);
}
shortPriceQueue.sort((a, b) -> b.compareTo(a));
+ }
+
+ 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(prec, RoundingMode.HALF_UP);
+ longPriceQueue.add(elem);
+ }
+ longPriceQueue.sort(BigDecimal::compareTo);
+ while (longPriceQueue.size() > config.getGridQueueSize()) {
+ longPriceQueue.remove(longPriceQueue.size() - 1);
+ }
}
if (!isMarginSafe()) {
log.warn("[Gate] 保证金超限，跳过挂条件单");
} else {
- 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.put(orderId, stpElem); log.info("[Gate] 新条件空单, id:{}, trigger:{}, 止盈:{}", orderId, newShortFirst, stpElem); },
- null);
+ /**
+ * 下一个开仓位置
+ * 获取队列第一个元素的价格对应的网格
+ * 判断网格是否能开空仓，如果不能则跳过
+ * 前进方向挂空仓条件单
+ * 后置方向挂多空条件单
+ */
+ //下一个开仓位置
+ BigDecimal newLongFirst = shortPriceQueue.get(0);
+ GridElement UpGridElement = GridElement.findByPrice(newLongFirst);
- BigDecimal newLongFirst = newShortFirst.add( step.multiply(new BigDecimal("2")));
- if (newLongFirst.compareTo(longEntryPrice) < 0) {
+ // 判断网格是否能开空仓，如果不能则跳过
+ if (UpGridElement != null) {
- BigDecimal ltpElem = newLongFirst.add(step).setScale(1, RoundingMode.HALF_UP);
- executor.placeConditionalEntryOrder(newLongFirst,
- FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
- orderId -> { currentLongOrderIds.put(orderId, ltpElem); log.info("[Gate] 新条件多单, id:{}, trigger:{}, 止盈:{}", orderId, newLongFirst, ltpElem); },
- null);
+// if (!UpGridElement.isHasShortOrder() && shortEntryPrice.compareTo(newLongFirst) > 0) {
+//
+// TraderParam upShortTraderParam = UpGridElement.getShortTraderParam();
+// placeEntryOrderWithPreFlag(UpGridElement, false,
+// upShortTraderParam.getEntryPrice(),
+// FuturesPriceTrigger.RuleEnum.NUMBER_2,
+// negate(upShortTraderParam.getQuantity()));
+// }
+ int i = UpGridElement.getId() + 2;
+ GridElement downGridElement = GridElement.findById(i);
+ if (downGridElement != null){
+
+ BigDecimal downGridPrice = downGridElement.getGridPrice();
+
+// TraderParam downShortTraderParam = downGridElement.getShortTraderParam();
+// if (
+// !downGridElement.isHasShortOrder() &&
+// downGridPrice.compareTo(longEntryPrice) <= 0 &&
+// downGridPrice.compareTo(shortEntryPrice) >= 0
+// ){
+// placeEntryOrderWithPreFlag(downGridElement, false,
+// downShortTraderParam.getEntryPrice(),
+// FuturesPriceTrigger.RuleEnum.NUMBER_1,
+// negate(downShortTraderParam.getQuantity()));
+//
+// }
+
+ TraderParam downLongTraderParam = downGridElement.getLongTraderParam();
+ if (
+ !downGridElement.isHasLongOrder() &&
+ downGridPrice.compareTo(longEntryPrice) <= 0
+ ){
+ placeEntryOrderWithPreFlag(downGridElement, true,
+ downLongTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ downLongTraderParam.getQuantity());
+ }
+ }
}
-
}
-
}
- /**
- * 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，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>
- *
- * @param currentPrice 当前 K 线收盘价（最新成交价）
- */
private void processLongGrid(BigDecimal currentPrice) {
+ int prec = config.getPriceScale();
List<BigDecimal> matched = new ArrayList<>();
synchronized (longPriceQueue) {
for (BigDecimal p : longPriceQueue) {
- if (p.compareTo(currentPrice) < 0) {
+ if (p.compareTo(currentPrice) <= 0) {
matched.add(p);
} else {
break;
@@ -752,60 +1272,269 @@
log.info("[Gate] 多仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
+ /**
+ * 匹配到元素后，
+ * 多仓队列更新
+ * 空仓队列更新
+ */
synchronized (longPriceQueue) {
longPriceQueue.removeAll(matched);
BigDecimal max = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(longPriceQueue.size() - 1);
BigDecimal gridStep = config.getStep();
for (int i = 0; i < matched.size(); i++) {
- max = max.add(gridStep).setScale(1, RoundingMode.HALF_UP);
+ max = max.add(gridStep).setScale(prec, RoundingMode.HALF_UP);
longPriceQueue.add(max);
}
longPriceQueue.sort(BigDecimal::compareTo);
}
-
-// 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(prec, RoundingMode.HALF_UP);
+ shortPriceQueue.add(elem);
+ }
+ shortPriceQueue.sort((a, b) -> b.compareTo(a));
+ while (shortPriceQueue.size() > config.getGridQueueSize()) {
+ shortPriceQueue.remove(shortPriceQueue.size() - 1);
+ }
+ }
if (!isMarginSafe()) {
log.warn("[Gate] 保证金超限，跳过挂条件单");
} else {
- BigDecimal step = config.getStep();
-
+ /**
+ * 下一个开仓位置
+ * 获取队列第一个元素的价格对应的网格
+ * 判断网格是否能开多仓，如果不能则跳过
+ * 前进方向挂多仓条件单
+ * 后置方向挂多空条件单
+ */
+ //下一个开仓位置
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.put(orderId, ltpElem); log.info("[Gate] 新条件多单, id:{}, trigger:{}, 止盈:{}", orderId, newLongFirst, ltpElem); },
- null);
+ GridElement UpGridElement = GridElement.findByPrice(newLongFirst);
+ // 判断网格是否能开多仓，如果不能则跳过
+ if (UpGridElement != null) {
- BigDecimal newShortFirst = newLongFirst.subtract( step.multiply(new BigDecimal("2")));
- if (newShortFirst.compareTo(shortEntryPrice) > 0){
+// if (!UpGridElement.isHasLongOrder() && longEntryPrice.compareTo(newLongFirst) < 0) {
+// TraderParam upLongTraderParam = UpGridElement.getLongTraderParam();
+// placeEntryOrderWithPreFlag(UpGridElement, true,
+// upLongTraderParam.getEntryPrice(),
+// FuturesPriceTrigger.RuleEnum.NUMBER_1,
+// config.getQuantity());
+// }
- BigDecimal stpElem = newShortFirst.subtract(step).setScale(1, RoundingMode.HALF_UP);
- executor.placeConditionalEntryOrder(newShortFirst,
- FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
- orderId -> { currentShortOrderIds.put(orderId, stpElem); log.info("[Gate] 新条件空单, id:{}, trigger:{}, 止盈:{}", orderId, newShortFirst, stpElem); },
- null);
+ int i = UpGridElement.getId() - 2;
+ GridElement downGridElement = GridElement.findById(i);
+ if (downGridElement != null){
+
+ BigDecimal downGridPrice = downGridElement.getGridPrice();
+
+// TraderParam downLongTraderParam = downGridElement.getLongTraderParam();
+// if (
+// !downGridElement.isHasLongOrder() &&
+// downGridPrice.compareTo(shortEntryPrice) >= 0 &&
+// downGridPrice.compareTo(longEntryPrice) <= 0
+// ){
+// placeEntryOrderWithPreFlag(downGridElement, true,
+// downLongTraderParam.getEntryPrice(),
+// FuturesPriceTrigger.RuleEnum.NUMBER_2,
+// config.getQuantity());
+//
+// }
+
+ TraderParam shortTraderParam = downGridElement.getShortTraderParam();
+ if (
+ !downGridElement.isHasShortOrder() &&
+ downGridPrice.compareTo(shortEntryPrice) >= 0
+ ){
+
+ placeEntryOrderWithPreFlag(downGridElement, false,
+ shortTraderParam.getEntryPrice(),
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ negate(config.getQuantity()));
+ }
+ }
}
+ }
+ }
+ private void handleLongStopLossTriggered(GridElement gridElement) {
+ int gridId = gridElement.getId();
+ int N = Math.abs(gridId);
+ gridElement.setLongStopLossOrderId(null);
+ log.info("[Gate] 多仓止损触发 gridId:{}, 开始追单", gridId);
+
+ int newEntryGridId = -(N - 1);
+
+ GridElement newEntryGrid = GridElement.findById(newEntryGridId);
+ if (newEntryGrid == null) {
+ log.warn("[Gate] 多仓止损触发 but gridId:{} 不存在", newEntryGridId);
+ GridElement.refreshIndices();
+ return;
}
+ if (N > 2) {
+ int cancelGridId = -(N - 2);
+ GridElement cancelGrid = GridElement.findById(cancelGridId);
+ if (cancelGrid != null && cancelGrid.isHasLongOrder()) {
+ executor.cancelConditionalOrder(cancelGrid.getLongOrderId(), oid -> {
+ longEntryTraderIdParam(cancelGrid, null, false);
+ log.info("[Gate] 多仓止损触发, 取消gridId:{}的多单", cancelGridId);
+ });
+ }
+ }
+
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ BigDecimal priceDiff = longEntryPrice.subtract(triggerPrice).abs();
+ int entryQty = priceDiff.divide(config.getStep(), 0, RoundingMode.DOWN).intValue();
+ entryQty = Math.max(1, entryQty);
+ String size = new BigDecimal(String.valueOf(entryQty)).multiply(new BigDecimal(config.getQuantity())).toString();
+ log.info("[Gate] 多仓止损触发 gridId:{}, 在gridId:{}挂{}张多单, 均价:{}, 价差:{}, 步长:{}",
+ gridId, newEntryGridId, entryQty, longEntryPrice, priceDiff, config.getStep());
+ newEntryGrid.getLongTraderParam().setQuantity(size);
+ placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, size);
+ }
+
+ private void handleShortStopLossTriggered(GridElement gridElement) {
+ int gridId = gridElement.getId();
+ int N = gridId;
+ gridElement.setShortStopLossOrderId(null);
+ log.info("[Gate] 空仓止损触发 gridId:{}, 开始追单", gridId);
+
+ int newEntryGridId = N - 1;
+
+ GridElement newEntryGrid = GridElement.findById(newEntryGridId);
+ if (newEntryGrid == null) {
+ log.warn("[Gate] 空仓止损触发 but gridId:{} 不存在", newEntryGridId);
+ GridElement.refreshIndices();
+ return;
+ }
+
+ if (N > 2) {
+ int cancelGridId = N - 2;
+ GridElement cancelGrid = GridElement.findById(cancelGridId);
+ if (cancelGrid != null && cancelGrid.isHasShortOrder()) {
+ executor.cancelConditionalOrder(cancelGrid.getShortOrderId(), oid -> {
+ shortEntryTraderIdParam(cancelGrid, null, false);
+ log.info("[Gate] 空仓止损触发, 取消gridId:{}的空单", cancelGridId);
+ });
+ }
+ }
+
+
+
+ BigDecimal triggerPrice = newEntryGrid.getGridPrice();
+ BigDecimal priceDiff = shortEntryPrice.subtract(triggerPrice).abs();
+ int entryQty = priceDiff.divide(config.getStep(), 0, RoundingMode.DOWN).intValue();
+ entryQty = Math.max(1, entryQty);
+ String size = new BigDecimal(String.valueOf(entryQty)).multiply(new BigDecimal(config.getQuantity())).toString();
+ log.info("[Gate] 空仓止损触发 gridId:{}, 在gridId:{}挂{}张空单, 均价:{}, 价差:{}, 步长:{}",
+ gridId, newEntryGridId, entryQty, shortEntryPrice, priceDiff, config.getStep());
+ newEntryGrid.getShortTraderParam().setQuantity(size);
+ placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size));
+ }
+
+ private void extendLongStopLoss(int filledQty) {
+ int furthestSlId = 0;
+ for (GridElement e : config.getGridElements()) {
+ if (e.getLongStopLossOrderId() != null && e.getId() < furthestSlId) {
+ furthestSlId = e.getId();
+ }
+ }
+ if (furthestSlId == 0) {
+ furthestSlId = -11;
+ }
+ log.info("[Gate] 多仓追挂止损, 当前最远止损gridId:{}, 追加{}张", furthestSlId, filledQty);
+ for (int i = 0; i < filledQty; i++) {
+ int newSlId = furthestSlId - i - 1;
+ GridElement elem = GridElement.findById(newSlId);
+ if (elem == null) {
+ continue;
+ }
+ BigDecimal triggerPrice = elem.getGridPrice();
+ int finalSlId = newSlId;
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2,
+ ORDER_TYPE_CLOSE_LONG,
+ 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 furthestSlId = 0;
+ for (GridElement e : config.getGridElements()) {
+ if (e.getShortStopLossOrderId() != null && e.getId() > furthestSlId) {
+ furthestSlId = e.getId();
+ }
+ }
+ if (furthestSlId == 0) {
+ furthestSlId = 11;
+ }
+ log.info("[Gate] 空仓追挂止损, 当前最远止损gridId:{}, 追加{}张", furthestSlId, filledQty);
+ for (int i = 0; i < filledQty; i++) {
+ int newSlId = furthestSlId + i + 1;
+ GridElement elem = GridElement.findById(newSlId);
+ if (elem == null) {
+ continue;
+ }
+ BigDecimal triggerPrice = elem.getGridPrice();
+ int finalSlId = newSlId;
+ executor.placeTakeProfit(
+ triggerPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1,
+ ORDER_TYPE_CLOSE_SHORT,
+ 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);
+ }
+ );
+ }
+ }
+
+ private void checkProfitAndReset() {
+ try {
+ FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
+ BigDecimal unrealisedPnl = new BigDecimal(account.getCrossUnrealisedPnl());
+ BigDecimal available = new BigDecimal(account.getCrossAvailable());
+ BigDecimal totalEquity = unrealisedPnl.add(available);
+ BigDecimal target = initialPrincipal.add(config.getExpectedProfit());
+ log.info("[Gate] 盈亏检查 cross_unrealised_pnl:{}, cross_available:{}, 合计:{}, 目标:{}",
+ unrealisedPnl, available, totalEquity, target);
+ if (totalEquity.compareTo(target) > 0) {
+ log.info("[Gate] 盈亏达标({}>{})，重置策略", totalEquity, target);
+ state = StrategyState.STOPPED;
+ closeExistingPositions();
+ futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
+ startGrid();
+ }
+ } catch (Exception e) {
+ log.warn("[Gate] 盈亏检查失败", e);
+ }
+ }
+
+ private void handlePositionZeroAndReset(String direction) {
+ state = StrategyState.STOPPED;
+ try {
+ futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
+ } catch (Exception e) {
+ log.warn("[Gate] {}持仓归零后取消条件单失败", direction, e);
+ }
+ closeExistingPositions();
+ startGrid();
}
// ---- 保证金安全阀 ----
@@ -844,6 +1573,50 @@
}
/**
+ * 预设标志位后提交条件开仓单，防止异步回调导致的竞态重复挂单。
+ *
+ * <p>在调用 {@link GateTradeExecutor#placeConditionalEntryOrder} 之前同步设置
+ * {@code isHasLongOrder / isHasShortOrder}，关闭 WS 线程与 Executor 线程之间的
+ * 检查-下单时间窗口。API 失败时自动回滚标志位。
+ *
+ * @param gridElement 目标网格元素
+ * @param isLong true=多仓下单，false=空仓下单
+ * @param triggerPrice 触发价
+ * @param rule 触发规则
+ * @param size 开仓张数
+ */
+ private void placeEntryOrderWithPreFlag(GridElement gridElement, boolean isLong,
+ BigDecimal triggerPrice,
+ FuturesPriceTrigger.RuleEnum rule,
+ String size) {
+ if (isLong) {
+ gridElement.setHasLongOrder(true);
+ } else {
+ gridElement.setHasShortOrder(true);
+ }
+ executor.placeConditionalEntryOrder(triggerPrice, rule, size,
+ orderId -> {
+ if (isLong) {
+ longEntryTraderIdParam(gridElement, orderId, true);
+ } else {
+ shortEntryTraderIdParam(gridElement, orderId, true);
+ }
+ },
+ () -> {
+ if (isLong) {
+ gridElement.setHasLongOrder(false);
+ gridElement.setLongOrderId(null);
+ } else {
+ gridElement.setHasShortOrder(false);
+ gridElement.setShortOrderId(null);
+ }
+ GridElement.refreshIndices();
+ log.warn("[Gate] 条件单创建失败，回滚标志位 gridId:{}, isLong:{}", gridElement.getId(), isLong);
+ }
+ );
+ }
+
+ /**
* 根据持仓和当前价格计算未实现盈亏。
*
* <h3>正向合约公式</h3>
--
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