From e88414aaa42a9c5e9bf0fb70ea986d07e2883402 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Sat, 09 May 2026 18:07:29 +0800
Subject: [PATCH] refactor(gateApi): 优化期货交易配置和日志记录
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 899 ++++++++++++++++++++++++++++++++++++-----------------------
1 files changed, 543 insertions(+), 356 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 f15b8b2..bffcda1 100644
--- a/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
+++ b/src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java
@@ -3,448 +3,635 @@
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.ArrayList;
+import java.util.Collections;
+import java.util.List;
/**
- * Gate 网格交易服务类。
+ * Gate 网格交易服务 — 策略核心。
*
- * <h3>策略概述</h3>
- * 多空双开 → 各放止盈条件单 → 仓位推送驱动补仓 → history_pnl 判断停止
+ * <h3>策略</h3>
+ * 多空双开基底 → 生成价格网格队列 → K线触达网格线 → 开仓+设止盈 → 队列动态转移。
+ * 每根 K 线更新 {@code unrealizedPnl}（浮动盈亏），平仓后累加到 {@code cumulativePnl}（已实现盈亏）。
*
- * <h3>触发逻辑</h3>
+ * <h3>未实现盈亏公式（正向合约）</h3>
* <pre>
- * K线首次价格就绪 → dualOpenPositions() // 多空双开 + 止盈条件单
- * 仓位推送 size=0 → reopenXxxPosition() // 该方向被止盈平掉 → 补开
- * 仓位推送 history_pnl ≥ overallTp → 停止
- * 仓位推送 history_pnl ≤ -maxLoss → 停止
+ * 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>
+ * 计价价格支持切换：{@link GateConfig.PnLPriceMode#LAST_PRICE 最新成交价} 或
+ * {@link GateConfig.PnLPriceMode#MARK_PRICE 标记价格}（通过 {@link #setMarkPrice(BigDecimal)} 注入）。
+ * 入场价和持仓量由 {@link #onPositionUpdate(String, Position.ModeEnum, BigDecimal, BigDecimal)} 实时更新。
+ *
+ * <h3>状态机</h3>
+ * <pre>
+ * WAITING_KLINE → (首K线) → 异步双开基底
+ *
+ * 仓位推送(dual_long/dual_short) → 基底成交 → 记录入场价 → 双基底都成交 → 生成队列 → ACTIVE
+ *
+ * ACTIVE:
+ * ├─ 每根K线 → 更新 unrealizedPnl + processShortGrid + processLongGrid
+ * │ ├─ 当前价 < 空仓队列元素 → 匹配 → 开空 + 以多仓队列首元素为种子生成新元素加入多仓队列
+ * │ └─ 当前价 > 多仓队列元素 → 匹配 → 开多 + 以空仓队列首元素为种子生成新元素加入空仓队列
+ * ├─ 仓位推送(非基底) → 设止盈条件单 entry × (1±gridRate)，使用 plan-close-*-position
+ * ├─ 保证金≥初始本金 marginRatioLimit → 跳过开仓，队列照常更新
+ * ├─ 额外反向开仓：触发价夹在多/空持仓均价之间且多持仓均价>空持仓均价时，额外反向开仓一次
+ * └─ cumulativePnl ≥ overallTp 或 ≤ -maxLoss → STOPPED
* </pre>
*
- * <h3>止盈计算</h3>
- * 多头止盈价 = entryPrice × (1 + gridRate)<br>
- * 空头止盈价 = entryPrice × (1 - gridRate)
+ * <h3>队列转移规则</h3>
+ * 触发后不再简单复制 matched 元素到对方队列，而是以对方队列首元素为种子，生成新元素：
+ * <ul>
+ * <li>空仓队列触发 → 多仓队列新增：以多仓队列首元素（最小价）为基准，生成递减元素</li>
+ * <li>多仓队列触发 → 空仓队列新增：以空仓队列首元素（最高价）为基准，生成递增元素</li>
+ * </ul>
*
- * <h3>依赖</h3>
- * 使用 {@code io.gate:gate-api (7.2.71)} SDK 通过 REST API 下单，
- * 市场数据由 {@link GateKlineWebSocketClient} 通过 WebSocket 提供。
+ * <h3>贴近持仓均价过滤</h3>
+ * 转移生成新元素时，若新元素与对应方向持仓均价的差距小于 gridRate，则跳过该元素，
+ * 避免在持仓成本附近生成无效网格线。
+ *
+ * <h3>额外反向开仓条件</h3>
+ * 当触发价在空仓均价和回撤后的多仓均价之间（即多>空且价格夹在中间），额外反向开仓一次：
+ * <ul>
+ * <li>空仓队列触发 → 额外开多：需满足 shortEntryPrice < currentPrice < longEntryPrice × (1 − gridRate)</li>
+ * <li>多仓队列触发 → 额外开空：需满足 shortEntryPrice × (1 + gridRate) < currentPrice < longEntryPrice</li>
+ * </ul>
+ *
+ * <h3>止盈条件单</h3>
+ * 使用 Gate API 的 plan-close-long-position / plan-close-short-position（仓位计划止盈止损），
+ * 支持指定张数部分平仓。每次网格触发开仓 quantity 张，只为该批张数创建独立条件单，互不覆盖。
*
* @author Administrator
*/
@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 BigDecimal maxLoss;
- private final String quantity;
- private final String positionMode;
+ private volatile StrategyState state = StrategyState.WAITING_KLINE;
- /** 策略是否处于运行状态 */
- private volatile boolean strategyActive = false;
- /** 是否已完成首次双开 */
- private volatile boolean dualOpened = false;
- /** 多头仓位是否活跃 */
- private volatile boolean longActive = false;
- /** 空头仓位是否活跃 */
+ /** 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<>());
+
+ /** 基底空头入场价 */
+ private BigDecimal shortBaseEntryPrice;
+ /** 基底多头入场价 */
+ 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;
+
+ /** 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;
- /** 多头入场价 */
- private BigDecimal longEntryPrice;
- /** 空头入场价 */
- private BigDecimal shortEntryPrice;
- /** WebSocket 推送的最新 K 线收盘价 */
private volatile BigDecimal lastKlinePrice;
- /** 服务器返回的累计已实现盈亏 */
- private BigDecimal totalHistoryPnl = BigDecimal.ZERO;
+ 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;
- /**
- * 构造函数，初始化 Gate 期货 API 客户端。
- *
- * @param contract 合约名称（如 XAU_USDT）
- * @param leverage 杠杆倍数
- * @param marginMode 保证金模式（cross/isolated）
- * @param positionMode 持仓模式（single/dual/dual_plus）
- * @param gridRate 网格间距比例（如 0.0035）
- * @param overallTp 整体止盈阈值（USDT）
- * @param maxLoss 最大亏损阈值（USDT）
- * @param quantity 下单数量（合约张数）
- */
- 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.maxLoss = maxLoss;
- this.quantity = quantity;
- this.positionMode = positionMode;
-
- this.apiClient = new ApiClient();
- this.apiClient.setBasePath("https://api-testnet.gateapi.io/api/v4");
- this.apiClient.setApiKeySecret(apiKey, apiSecret);
+ 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());
}
- /**
- * 初始化账户。设置杠杆、查询余额、切换持仓模式。
- */
+ // ---- 初始化 ----
+
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");
+
+ 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());
+
+
+ try {
+ futuresApi.updateDualModePositionLeverageCall(
+ SETTLE, config.getContract(), config.getLeverage(),
+ null, null).execute();
+ } catch (IOException e) {
+ e.printStackTrace();
+ }
+ 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。策略激活后等待 K 线价格就绪，然后自动首次双开。
- */
+ 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 ----
+
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;
- totalHistoryPnl = BigDecimal.ZERO;
- log.info("[GateGrid] 网格策略启动，等待K线价格...");
+ 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;
+ shortPriceQueue.clear();
+ longPriceQueue.clear();
+ log.info("[Gate] 网格策略已启动");
}
- /**
- * 停止网格策略。
- */
public void stopGrid() {
- strategyActive = false;
- log.info("[GateGrid] 网格策略已停止, history_pnl: {}", totalHistoryPnl);
+ state = StrategyState.STOPPED;
+ executor.cancelAllPriceTriggeredOrders();
+ executor.shutdown();
+ log.info("[Gate] 策略已停止, 累计盈亏: {}", cumulativePnl);
}
- /**
- * K 线回调入口。由 调用。
- * 首次收到价格时触发多空双开，后续仅缓存最新价格供补仓使用。
- *
- * @param closePrice K 线收盘价
- */
+ // ---- K线回调 ----
+
public void onKline(BigDecimal closePrice) {
lastKlinePrice = closePrice;
- if (!strategyActive) {
+ updateUnrealizedPnl();
+ if (state == StrategyState.STOPPED) {
return;
}
- if (!dualOpened) {
- dualOpened = true;
- dualOpenPositions();
+
+ if (state == StrategyState.WAITING_KLINE) {
+ state = StrategyState.OPENING;
+ log.info("[Gate] 首根K线到达，开基底仓位...");
+ executor.openLong(config.getQuantity(), () -> {
+ log.info("[Gate] 基底多单已提交");
+ }, null);
+ executor.openShort(negate(config.getQuantity()), () -> {
+ log.info("[Gate] 基底空单已提交");
+ }, null);
+ return;
}
+
+ if (state != StrategyState.ACTIVE) {
+ return;
+ }
+ processShortGrid(closePrice);
+ processLongGrid(closePrice);
}
- /**
- * 仓位推送回调入口。由 {@link GateKlineWebSocketClient} 调用。
- * 根据仓位模式（dual_long/dual_short）和 size 判断：
- * <ul>
- * <li>size=0 且之前活跃 → 该方向被平仓 → 补开</li>
- * <li>size>0 → 确认仓位活跃，更新入场价</li>
- * </ul>
- * 每次推送更新 history_pnl 并检查停止条件。
- *
- * @param contract 合约名
- * @param mode 仓位模式（dual_long / dual_short）
- * @param size 仓位数量（0 表示无仓位）
- * @param entryPrice 入场价格
- * @param historyPnl 已实现累计盈亏
- * @param realisedPnl 已实现盈亏
- */
- public void onPositionUpdate(String contract, String mode, BigDecimal size,
- BigDecimal entryPrice, BigDecimal historyPnl,
- BigDecimal realisedPnl) {
- if (!strategyActive) {
+ // ---- 仓位推送回调 ----
+
+ public void onPositionUpdate(String contract, Position.ModeEnum mode, BigDecimal size,
+ BigDecimal entryPrice) {
+ if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) {
return;
}
- boolean hasPosition = size.compareTo(BigDecimal.ZERO) > 0;
+ boolean hasPosition = size.abs().compareTo(BigDecimal.ZERO) > 0;
- if ("dual_long".equals(mode)) {
- if (longActive && !hasPosition) {
- log.info("[GateGrid] 多头被平仓（止盈触发）, 重新开多");
- longActive = false;
- reopenLongPosition();
- } else if (hasPosition) {
+ if (Position.ModeEnum.DUAL_LONG == mode) {
+ if (hasPosition) {
longActive = true;
longEntryPrice = entryPrice;
+ longPositionSize = size;
+ if (!baseLongOpened) {
+ longBaseEntryPrice = entryPrice;
+ baseLongOpened = true;
+ log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice);
+ tryGenerateQueues();
+ } else {
+ BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.add(config.getGridRate())).setScale(1, RoundingMode.HALF_UP);
+ executor.placeTakeProfit(tpPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, negate(config.getQuantity()));
+ log.info("[Gate] 多单止盈已设, entry:{}, tp:{}, size:{}", entryPrice, tpPrice, negate(config.getQuantity()));
+ }
+ } else {
+ longActive = false;
+ longPositionSize = BigDecimal.ZERO;
}
- } else if ("dual_short".equals(mode)) {
- if (shortActive && !hasPosition) {
- log.info("[GateGrid] 空头被平仓（止盈触发）, 重新开空");
- shortActive = false;
- reopenShortPosition();
- } else if (hasPosition) {
+ } else if (Position.ModeEnum.DUAL_SHORT == mode) {
+ if (hasPosition) {
shortActive = true;
shortEntryPrice = entryPrice;
+ shortPositionSize = size.abs();
+ if (!baseShortOpened) {
+ shortBaseEntryPrice = entryPrice;
+ baseShortOpened = true;
+ log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice);
+ tryGenerateQueues();
+ } else {
+ BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.subtract(config.getGridRate())).setScale(1, RoundingMode.HALF_UP);
+ executor.placeTakeProfit(tpPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
+ log.info("[Gate] 空单止盈已设, entry:{}, tp:{}, size:{}", entryPrice, tpPrice, config.getQuantity());
+ }
+ } else {
+ shortActive = false;
+ shortPositionSize = BigDecimal.ZERO;
+ }
+ }
+ }
+
+ // ---- 平仓推送回调 ----
+
+ public void onPositionClose(String contract, String side, BigDecimal pnl) {
+ if (state == StrategyState.STOPPED) {
+ return;
+ }
+ cumulativePnl = cumulativePnl.add(pnl);
+ log.info("[Gate] 盈亏累加:{}, 方向:{}, 累计:{}", pnl, side, cumulativePnl);
+
+ 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;
+ }
+ }
+
+ // ---- 网格队列处理 ----
+
+ private void tryGenerateQueues() {
+ if (baseLongOpened && baseShortOpened) {
+ generateShortQueue();
+ generateLongQueue();
+ state = StrategyState.ACTIVE;
+ log.info("[Gate] 网格队列已生成, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, 已激活",
+ shortPriceQueue.get(0), shortPriceQueue.get(shortPriceQueue.size() - 1),
+ longPriceQueue.get(0), longPriceQueue.get(longPriceQueue.size() - 1));
+ }
+ }
+
+ private void generateShortQueue() {
+ shortPriceQueue.clear();
+ BigDecimal step = config.getGridRate();
+ for (int i = 1; i <= config.getGridQueueSize(); i++) {
+ shortPriceQueue.add(shortBaseEntryPrice.multiply(BigDecimal.ONE.subtract(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP));
+ }
+ shortPriceQueue.sort((a, b) -> b.compareTo(a));
+ //输出队列：shortPriceQueue;
+ log.info("[Gate] 空队列:{}", shortPriceQueue);
+ }
+
+ private void generateLongQueue() {
+ longPriceQueue.clear();
+ BigDecimal step = config.getGridRate();
+ for (int i = 1; i <= config.getGridQueueSize(); i++) {
+ longPriceQueue.add(longBaseEntryPrice.multiply(BigDecimal.ONE.add(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP));
+ }
+ longPriceQueue.sort(BigDecimal::compareTo);
+ log.info("[Gate] 多队列:{}", longPriceQueue);
+ }
+
+ /**
+ * 空仓网格处理（价格跌破空仓队列中的高价）。
+ *
+ * <h3>匹配规则</h3>
+ * 遍历空仓队列（降序），收集所有大于当前价的元素为 matched。
+ * 队列为降序排列，一旦遇 price ≤ currentPrice 即停止遍历。
+ *
+ * <h3>执行流程</h3>
+ * <ol>
+ * <li>匹配队列元素 → 为空则直接返回</li>
+ * <li>保证金检查 → 安全则开空一次</li>
+ * <li>额外反向开多：若多仓均价 > 空仓均价 且 当前价夹在中间且远离多仓均价</li>
+ * <li>空仓队列：移除 matched 元素，尾部补充新元素（尾价 × (1 − gridRate) 循环递减）</li>
+ * <li>多仓队列：以多仓队列首元素（最小价）为种子，生成 matched.size() 个递减元素加入</li>
+ * </ol>
+ *
+ * <h3>多仓队列转移过滤</h3>
+ * 新增元素若与多仓持仓均价差距小于 gridRate，则跳过该元素（避免在持仓成本附近生成无效网格线）。
+ */
+ private void processShortGrid(BigDecimal currentPrice) {
+ List<BigDecimal> matched = new ArrayList<>();
+ synchronized (shortPriceQueue) {
+ for (BigDecimal p : shortPriceQueue) {
+ if (p.compareTo(currentPrice) > 0) {
+ matched.add(p);
+ } else {
+ break;
+ }
+ }
+ }
+ log.info("[Gate] 原空队列:{}", shortPriceQueue);
+ if (matched.isEmpty()) {
+ log.info("[Gate] 空仓队列未触发, 当前价:{}", currentPrice);
+ return;
+ }
+ log.info("[Gate] 空仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过空单开仓");
+ } else {
+ executor.openShort(negate(config.getQuantity()), null, null);
+ if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
+ && longEntryPrice.compareTo(BigDecimal.ZERO) > 0
+ && longEntryPrice.compareTo(shortEntryPrice) > 0
+ && currentPrice.compareTo(shortEntryPrice) > 0
+ && currentPrice.compareTo(longEntryPrice.multiply(BigDecimal.ONE.subtract(config.getGridRate()))) < 0) {
+ executor.openLong(config.getQuantity(), null, null);
+ log.info("[Gate] 触发价在多/空持仓价之间且多>空且远离多仓均价, 额外开多一次, 当前价:{}", currentPrice);
}
}
- totalHistoryPnl = historyPnl;
- checkStopConditions();
- }
+ synchronized (shortPriceQueue) {
+ shortPriceQueue.removeAll(matched);
+ BigDecimal min = shortPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : shortPriceQueue.get(shortPriceQueue.size() - 1);
+ BigDecimal step = config.getGridRate();
+ for (int i = 0; i < matched.size(); i++) {
+ min = min.multiply(BigDecimal.ONE.subtract(step)).setScale(1, RoundingMode.HALF_UP);
+ shortPriceQueue.add(min);
+ }
+ shortPriceQueue.sort(BigDecimal::compareTo);
- /**
- * 检查策略停止条件。满足任一即置 strategyActive=false：
- * <ul>
- * <li>累计盈利 ≥ overallTp</li>
- * <li>累计亏损 ≤ -maxLoss</li>
- * </ul>
- */
- private void checkStopConditions() {
- if (totalHistoryPnl.compareTo(overallTp) >= 0) {
- log.info("[GateGrid] 累计止盈 {} 达到 {} USDT，停止策略", totalHistoryPnl, overallTp);
- strategyActive = false;
- return;
+ log.info("[Gate] 现空队列:{}", shortPriceQueue);
}
- if (totalHistoryPnl.compareTo(maxLoss.negate()) <= 0) {
- log.info("[GateGrid] 累计亏损 {} 达到上限 {} USDT，停止策略", totalHistoryPnl, maxLoss);
- strategyActive = false;
+
+ synchronized (longPriceQueue) {
+ BigDecimal first = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(0);
+ BigDecimal step = config.getGridRate();
+ int added = 0;
+ for (int i = 1; i <= matched.size(); i++) {
+ BigDecimal elem = first.multiply(BigDecimal.ONE.subtract(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP);
+ if (longEntryPrice.compareTo(BigDecimal.ZERO) > 0
+ && elem.subtract(longEntryPrice).abs().compareTo(longEntryPrice.multiply(step)) < 0) {
+ continue;
+ }
+ longPriceQueue.add(elem);
+ added++;
+ }
+ longPriceQueue.sort(BigDecimal::compareTo);
+ while (longPriceQueue.size() > config.getGridQueueSize()) {
+ longPriceQueue.remove(longPriceQueue.size() - 1);
+ }
+ log.info("[Gate] 现多队列:{}, 跳过{}个(贴近多仓均价)", longPriceQueue, matched.size() - added);
}
}
/**
- * 首次多空双开。使用当前 K 线价格以市价单同时开多和开空，
- * 开仓成功后立即为每个方向创建止盈条件单。
- */
- private void dualOpenPositions() {
- if (lastKlinePrice == null) {
- log.warn("[GateGrid] K线价格未就绪，跳过双开");
- dualOpened = false;
- return;
- }
- try {
- FuturesOrder longOrder = new FuturesOrder();
- longOrder.setContract(contract);
- longOrder.setSize(quantity);
- longOrder.setPrice("0");
- longOrder.setTif(FuturesOrder.TifEnum.IOC);
- longOrder.setText("t-grid-long-init");
- FuturesOrder longResult = futuresApi.createFuturesOrder(SETTLE, longOrder, null);
- longEntryPrice = safeDecimal(longResult.getFillPrice());
- longActive = true;
- log.info("[GateGrid] 开多成功, price: {}, id: {}", longEntryPrice, longResult.getId());
- placeLongTp(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-init");
- FuturesOrder shortResult = futuresApi.createFuturesOrder(SETTLE, shortOrder, null);
- shortEntryPrice = safeDecimal(shortResult.getFillPrice());
- shortActive = true;
- log.info("[GateGrid] 开空成功, price: {}, id: {}", shortEntryPrice, shortResult.getId());
- placeShortTp(shortEntryPrice);
-
- printGridInfo();
- } catch (GateApiException e) {
- log.error("[GateGrid] 双开失败, label: {}, msg: {}", e.getErrorLabel(), e.getMessage());
- strategyActive = false;
- } catch (Exception e) {
- log.error("[GateGrid] 双开异常", e);
- strategyActive = false;
- }
- }
-
- /**
- * 补开多头仓位。多头被止盈平掉后调用，市价重新开多并创建止盈单。
- */
- private void reopenLongPosition() {
- if (lastKlinePrice == null || !strategyActive) {
- return;
- }
- if (longActive) {
- log.warn("[GateGrid] 多头已存在，跳过补开");
- return;
- }
- try {
- FuturesOrder longOrder = new FuturesOrder();
- longOrder.setContract(contract);
- longOrder.setSize(quantity);
- longOrder.setPrice("0");
- longOrder.setTif(FuturesOrder.TifEnum.IOC);
- longOrder.setText("t-grid-long-reopen");
- FuturesOrder longResult = futuresApi.createFuturesOrder(SETTLE, longOrder, null);
- longEntryPrice = safeDecimal(longResult.getFillPrice());
- longActive = true;
- log.info("[GateGrid] 补开多成功, price: {}, id: {}", longEntryPrice, longResult.getId());
- placeLongTp(longEntryPrice);
- } catch (Exception e) {
- log.error("[GateGrid] 补开多失败", e);
- }
- }
-
- /**
- * 补开空头仓位。空头被止盈平掉后调用，市价重新开空并创建止盈单。
- */
- private void reopenShortPosition() {
- if (lastKlinePrice == null || !strategyActive) {
- return;
- }
- if (shortActive) {
- log.warn("[GateGrid] 空头已存在，跳过补开");
- return;
- }
- try {
- FuturesOrder shortOrder = new FuturesOrder();
- shortOrder.setContract(contract);
- shortOrder.setSize(negateQuantity(quantity));
- shortOrder.setPrice("0");
- shortOrder.setTif(FuturesOrder.TifEnum.IOC);
- shortOrder.setText("t-grid-short-reopen");
- FuturesOrder shortResult = futuresApi.createFuturesOrder(SETTLE, shortOrder, null);
- shortEntryPrice = safeDecimal(shortResult.getFillPrice());
- shortActive = true;
- log.info("[GateGrid] 补开空成功, price: {}, id: {}", shortEntryPrice, shortResult.getId());
- placeShortTp(shortEntryPrice);
- } catch (Exception e) {
- log.error("[GateGrid] 补开空失败", e);
- }
- }
-
- /**
- * 创建多头止盈条件单。
- * 触发价 = entryPrice × (1 + gridRate)，价格 ≥ 触发价时平多。
- */
- private void placeLongTp(BigDecimal entryPrice) {
- BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP);
- placePriceTriggeredOrder(tpPrice, FuturesPriceTrigger.RuleEnum.NUMBER_1, "close-long-position", "close_long");
- log.info("[GateGrid] 多头止盈已设置, TP:{}", tpPrice);
- }
-
- /**
- * 创建空头止盈条件单。
- * 触发价 = entryPrice × (1 - gridRate)，价格 ≤ 触发价时平空。
- */
- private void placeShortTp(BigDecimal entryPrice) {
- BigDecimal tpPrice = entryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP);
- placePriceTriggeredOrder(tpPrice, FuturesPriceTrigger.RuleEnum.NUMBER_2, "close-short-position", "close_short");
- log.info("[GateGrid] 空头止盈已设置, TP:{}", tpPrice);
- }
-
- /**
- * 通过 Gate REST API 创建止盈条件单。
+ * 多仓网格处理（价格涨破多仓队列中的低价）。
*
- * @param triggerPrice 触发价格
- * @param rule 触发规则（1: ≥, 2: ≤）
- * @param orderType 止盈止损类型（close-long-position / close-short-position）
- * @param autoSize 双仓平仓方向（close_long / close_short）
+ * <h3>匹配规则</h3>
+ * 遍历多仓队列（升序），收集所有小于当前价的元素为 matched。
+ * 队列为升序排列，一旦遇 price ≥ currentPrice 即停止遍历。
+ *
+ * <h3>执行流程</h3>
+ * <ol>
+ * <li>匹配队列元素 → 为空则直接返回</li>
+ * <li>保证金检查 → 安全则开多一次</li>
+ * <li>额外反向开空：若多仓均价 > 空仓均价 且 当前价夹在中间且远离空仓均价</li>
+ * <li>多仓队列：移除 matched 元素，尾部补充新元素（尾价 × (1 + gridRate) 循环递增）</li>
+ * <li>空仓队列：以空仓队列首元素（最高价）为种子，生成 matched.size() 个递增元素加入</li>
+ * </ol>
+ *
+ * <h3>空仓队列转移过滤</h3>
+ * 新增元素若与空仓持仓均价差距小于 gridRate，则跳过该元素（避免在持仓成本附近生成无效网格线）。
*/
- private void 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);
-
- FuturesInitialOrder initial = new FuturesInitialOrder();
- initial.setContract(contract);
- initial.setSize(0L);
- initial.setPrice("0");
- initial.setTif(FuturesInitialOrder.TifEnum.IOC);
- initial.setReduceOnly(true);
- initial.setAutoSize(autoSize);
-
- FuturesPriceTriggeredOrder order = new FuturesPriceTriggeredOrder();
- order.setTrigger(trigger);
- order.setInitial(initial);
- order.setOrderType(orderType);
-
- TriggerOrderResponse response = futuresApi.createPriceTriggeredOrder(SETTLE, order);
- log.info("[GateGrid] 止盈条件单已创建, triggerPrice:{}, orderType:{}, autoSize:{}, id:{}",
- triggerPrice, orderType, autoSize, response.getId());
- } catch (Exception e) {
- log.error("[GateGrid] 止盈条件单创建失败, triggerPrice:{}, orderType:{}, autoSize:{}",
- triggerPrice, orderType, autoSize, e);
+ private void processLongGrid(BigDecimal currentPrice) {
+ List<BigDecimal> matched = new ArrayList<>();
+ synchronized (longPriceQueue) {
+ for (BigDecimal p : longPriceQueue) {
+ if (p.compareTo(currentPrice) < 0) {
+ matched.add(p);
+ } else {
+ break;
+ }
+ }
}
+ log.info("[Gate] 原多队列:{}", longPriceQueue);
+ if (matched.isEmpty()) {
+ log.info("[Gate] 多仓队列未触发, 当前价:{}", currentPrice);
+ return;
+ }
+
+ log.info("[Gate] 多仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice);
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过多单开仓");
+ } else {
+ executor.openLong(config.getQuantity(), null, null);
+ if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
+ && longEntryPrice.compareTo(BigDecimal.ZERO) > 0
+ && longEntryPrice.compareTo(shortEntryPrice) > 0
+ && currentPrice.compareTo(shortEntryPrice.multiply(BigDecimal.ONE.add(config.getGridRate()))) > 0
+ && currentPrice.compareTo(longEntryPrice) < 0) {
+ executor.openShort(negate(config.getQuantity()), null, null);
+ log.info("[Gate] 触发价在多/空持仓价之间且多>空且远离空仓均价, 额外开空一次, 当前价:{}", currentPrice);
+ }
+ }
+
+ synchronized (longPriceQueue) {
+ longPriceQueue.removeAll(matched);
+ BigDecimal max = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(longPriceQueue.size() - 1);
+ BigDecimal step = config.getGridRate();
+ for (int i = 0; i < matched.size(); i++) {
+ max = max.multiply(BigDecimal.ONE.add(step)).setScale(1, RoundingMode.HALF_UP);
+ longPriceQueue.add(max);
+ }
+ longPriceQueue.sort(BigDecimal::compareTo);
+
+ log.info("[Gate] 现多队列:{}", longPriceQueue);
+ }
+
+ synchronized (shortPriceQueue) {
+ BigDecimal first = shortPriceQueue.isEmpty() ? matched.get(0) : shortPriceQueue.get(0);
+ BigDecimal step = config.getGridRate();
+ int added = 0;
+ for (int i = 1; i <= matched.size(); i++) {
+ BigDecimal elem = first.multiply(BigDecimal.ONE.add(step.multiply(BigDecimal.valueOf(i)))).setScale(1, RoundingMode.HALF_UP);
+ if (shortEntryPrice.compareTo(BigDecimal.ZERO) > 0
+ && elem.subtract(shortEntryPrice).abs().compareTo(shortEntryPrice.multiply(step)) < 0) {
+ continue;
+ }
+ shortPriceQueue.add(elem);
+ added++;
+ }
+ shortPriceQueue.sort((a, b) -> b.compareTo(a));
+ while (shortPriceQueue.size() > config.getGridQueueSize()) {
+ shortPriceQueue.remove(shortPriceQueue.size() - 1);
+ }
+ log.info("[Gate] 现空队列:{}, 跳过{}个(贴近空仓均价)", shortPriceQueue, matched.size() - added);
+ }
+ }
+
+ // ---- 保证金安全阀 ----
+
+ private boolean isMarginSafe() {
+ try {
+ FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
+ BigDecimal margin = new BigDecimal(account.getPositionInitialMargin());
+ BigDecimal ratio = margin.divide(initialPrincipal, 4, RoundingMode.HALF_UP);
+ log.debug("[Gate] 保证金比例: {}/{}={}", margin, initialPrincipal, ratio);
+ return ratio.compareTo(config.getMarginRatioLimit()) < 0;
+ } catch (Exception e) {
+ log.warn("[Gate] 查保证金失败，默认放行", e);
+ return true;
+ }
+ }
+
+ // ---- 工具 ----
+
+ private String negate(String qty) {
+ return qty.startsWith("-") ? qty.substring(1) : "-" + qty;
}
/**
- * 打印当前网格配置和入场信息。
+ * 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 printGridInfo() {
- BigDecimal longTp = BigDecimal.ZERO;
- BigDecimal shortTp = BigDecimal.ZERO;
- if (longEntryPrice != null) {
- longTp = longEntryPrice.multiply(BigDecimal.ONE.add(gridRate)).setScale(1, RoundingMode.HALF_UP);
+ private void updateUnrealizedPnl() {
+ BigDecimal price = resolvePnlPrice();
+ if (price == null || price.compareTo(BigDecimal.ZERO) == 0) {
+ return;
}
- if (shortEntryPrice != null) {
- shortTp = shortEntryPrice.multiply(BigDecimal.ONE.subtract(gridRate)).setScale(1, RoundingMode.HALF_UP);
+ 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));
}
- log.info("========== Gate 网格开仓 ==========");
- log.info("合约: {} 杠杆: {}x {}", contract, leverage, marginMode);
- log.info("多头入场: {} TP: {}", longEntryPrice, longTp);
- log.info("空头入场: {} TP: {}", shortEntryPrice, shortTp);
- log.info("数量: {} 网格间距: {}%", quantity, gridRate.multiply(new BigDecimal("100")));
- log.info("整体止盈: {} USDT 最大亏损: {} USDT", overallTp, maxLoss);
- log.info("=====================================");
+ if (shortPositionSize.compareTo(BigDecimal.ZERO) > 0 && shortEntryPrice.compareTo(BigDecimal.ZERO) > 0) {
+ shortPnl = shortPositionSize.multiply(multiplier).multiply(shortEntryPrice.subtract(price));
+ }
+ unrealizedPnl = longPnl.add(shortPnl);
+
+ log.info("[Gate] 未实现盈亏: {}", unrealizedPnl);
}
- /** 对数量取反（开多用正数，开空用负数） */
- private String negateQuantity(String qty) {
- if (qty.startsWith("-")) {
- return qty.substring(1);
+ /**
+ * 根据配置的 PnLPriceMode 返回计价价格。
+ */
+ private BigDecimal resolvePnlPrice() {
+ if (config.getUnrealizedPnlPriceMode() == GateConfig.PnLPriceMode.MARK_PRICE
+ && markPrice.compareTo(BigDecimal.ZERO) > 0) {
+ return markPrice;
}
- return "-" + qty;
- }
-
- /** 安全转换字符串为 BigDecimal，null 返回 0 */
- private BigDecimal safeDecimal(String val) {
- if (val == null || val.isEmpty()) {
- return BigDecimal.ZERO;
- }
- return new BigDecimal(val);
- }
-
- public BigDecimal getLastKlinePrice() {
return lastKlinePrice;
}
- public boolean isStrategyActive() {
- return strategyActive;
- }
-
- public BigDecimal getTotalHistoryPnl() {
- return totalHistoryPnl;
- }
+ public BigDecimal getLastKlinePrice() { return lastKlinePrice; }
+ public void setMarkPrice(BigDecimal markPrice) { this.markPrice = markPrice; }
+ public boolean isStrategyActive() { return state != StrategyState.STOPPED && state != StrategyState.WAITING_KLINE; }
+ public BigDecimal getCumulativePnl() { return cumulativePnl; }
+ public BigDecimal getUnrealizedPnl() { return unrealizedPnl; }
+ public Long getUserId() { return userId; }
+ public StrategyState getState() { return state; }
}
--
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