From e9a397babbbfa9cff8a5ed026447d585e739c37f Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Tue, 12 May 2026 21:47:21 +0800
Subject: [PATCH] refactor(gateApi): 将网格交易策略从限价单改为条件单
---
src/main/java/com/xcong/excoin/modules/gateApi/GateGridTradeService.java | 1170 +++++++++++++++++++++++++++++++++++++++++-----------------
1 files changed, 824 insertions(+), 346 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..88c397b 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 +3,926 @@
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;
+
+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。
+ * 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
+ * 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>触发逻辑</h3>
+ * <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>止盈队列</b>（longTakeProfitQueue / shortTakeProfitQueue）：每次网格触发时，
+ * 将新队列首元素加减 step 作为止盈价加入止盈队列。仓位推送回调中检测到净增张数后，
+ * 从止盈队列头部取出止盈价，创建止盈条件单。</li>
+ * <li><b>条件单 ID 集合</b>（currentLongOrderIds / currentShortOrderIds）：
+ * 用同步列表管理所有活跃的条件单 ID。每次网格触发时，取消对方方向的旧条件单（防止堆积），
+ * 再挂新的条件单。反向条件单的 ID 也存入对应方向集合统一管理。</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，额外挂一张反向条件单并加入对方止盈队列。</li>
+ * </ul>
+ *
+ * <h3>状态机</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
+ * 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 → 止盈入队 →
+ * │ 取消旧多仓条件单 → 挂新空仓+多仓条件单 → 条件满足挂反向多单
+ * ├─ processLongGrid: 匹配多仓队列 → 队列转移 → 止盈入队 →
+ * │ 取消旧空仓条件单 → 挂新多仓+空仓条件单 → 条件满足挂反向空单
+ * ├─ 仓位推送(净增张数) → 从止盈队列取止盈价 → 创建止盈条件单（plan-close-*-position）
+ * ├─ 平仓推送 → 累加 cumulativePnl
+ * ├─ 保证金安全阀 → 超限跳过挂单，队列照常更新
+ * └─ cumulativePnl ≥ overallTp 或 ≤ -maxLoss → STOPPED
* </pre>
*
- * <h3>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>
+ * <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>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>止盈机制</h3>
+ * <ul>
+ * <li>网格触发时，新队列首元素 ± step 作为止盈价加入止盈队列。</li>
+ * <li>仓位推送检测到净增张数时，从止盈队列头部取止盈价创建止盈条件单。</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>
+ * <li>止盈队列为空时兜底：entryPrice ± step 作为止盈价。</li>
+ * </ul>
+ *
+ * <h3>反向条件单条件</h3>
+ * <pre>
+ * newFirstPrice > shortEntryPrice AND newFirstPrice < longEntryPrice
+ * AND 反向持仓张数 < 3
+ * </pre>
+ * 满足条件时以 newFirstPrice 为触发价挂反向条件单，同时将 newFirstPrice ± step 加入对方止盈队列。
+ *
+ * <h3>未实现盈亏公式（正向合约）</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。
*
* @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<>());
+
+ /** 多仓止盈队列，升序排列（小→大），仓位推送时消费 */
+ private final List<BigDecimal> longTakeProfitQueue = Collections.synchronizedList(new ArrayList<>());
+ /** 空仓止盈队列，降序排列（大→小），仓位推送时消费 */
+ private final List<BigDecimal> shortTakeProfitQueue = Collections.synchronizedList(new ArrayList<>());
+
+ /** 当前多仓条件单 ID 集合，用于取消旧单 */
+ private final List<String> currentLongOrderIds = Collections.synchronizedList(new ArrayList<>());
+ /** 当前空仓条件单 ID 集合，用于取消旧单 */
+ private final List<String> currentShortOrderIds = Collections.synchronizedList(new ArrayList<>());
+
+ /** 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 ----
+
/**
- * 初始化账户。设置杠杆、查询余额、切换持仓模式。
+ * 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。策略激活后等待 K 线价格就绪，然后自动首次双开。
+ * 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;
- 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();
+ longTakeProfitQueue.clear();
+ shortTakeProfitQueue.clear();
+ currentLongOrderIds.clear();
+ currentShortOrderIds.clear();
+ log.info("[Gate] 网格策略已启动");
}
/**
- * 停止网格策略。
+ * 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;
- 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 ----
+
/**
- * 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。
+ * K 线回调入口。由 {@link CandlestickChannelHandler} 在收到 WebSocket K 线推送时调用。
*
- * @param closePrice K 线收盘价
+ * <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;
- 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;
+ }
+ if (!longPriceQueue.isEmpty() && closePrice.compareTo(longPriceQueue.get(0)) > 0) {
+ processLongGrid(closePrice);
+ } else if (!shortPriceQueue.isEmpty() && closePrice.compareTo(shortPriceQueue.get(0)) < 0) {
+ processShortGrid(closePrice);
}
}
+ // ---- 仓位推送回调 ----
+
/**
- * 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。
+ * 仓位推送回调。由 {@link PositionsChannelHandler} 在收到 WebSocket 仓位更新时调用。
*
- * @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
+ * <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>
+ * </ul>
+ * </li>
+ * <li><b>无仓位 (size = 0)</b>：清空活跃标记和持仓量</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, String mode, BigDecimal size,
- BigDecimal entryPrice, BigDecimal historyPnl,
- BigDecimal realisedPnl) {
- if (!strategyActive) {
+ 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;
+ if (!baseLongOpened) {
+ longPositionSize = size;
+ longBaseEntryPrice = entryPrice;
+ baseLongOpened = true;
+ log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice);
+ tryGenerateQueues();
+ } else if (size.compareTo(longPositionSize) > 0) {
+ BigDecimal unitQty = new BigDecimal(config.getQuantity());
+ long prevUnits = longPositionSize.divide(unitQty, 0, RoundingMode.DOWN).longValue();
+ longPositionSize = size;
+ long nowUnits = size.divide(unitQty, 0, RoundingMode.DOWN).longValue();
+ long newUnits = nowUnits - prevUnits;
+ for (int i = 0; i < newUnits; i++) {
+ BigDecimal tpPrice;
+ if (!longTakeProfitQueue.isEmpty()) {
+ tpPrice = longTakeProfitQueue.remove(0);
+ } else {
+ tpPrice = longEntryPrice.add(config.getStep()).setScale(1, RoundingMode.HALF_UP);
+ log.warn("[Gate] 多止盈队列为空, 兜底止盈价:{}", tpPrice);
+ }
+ executor.placeTakeProfit(tpPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, negate(config.getQuantity()));
+ log.info("[Gate] 多单止盈已设, tp:{}, size:{}", tpPrice, negate(config.getQuantity()));
+ }
+ } else {
+ longPositionSize = size;
+ }
+ } 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;
+ if (!baseShortOpened) {
+ shortPositionSize = size.abs();
+ shortBaseEntryPrice = entryPrice;
+ baseShortOpened = true;
+ log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice);
+ tryGenerateQueues();
+ } else if (size.abs().compareTo(shortPositionSize) > 0) {
+ BigDecimal unitQty = new BigDecimal(config.getQuantity());
+ long prevUnits = shortPositionSize.divide(unitQty, 0, RoundingMode.DOWN).longValue();
+ BigDecimal nowAbsSize = size.abs();
+ shortPositionSize = nowAbsSize;
+ long nowUnits = nowAbsSize.divide(unitQty, 0, RoundingMode.DOWN).longValue();
+ long newUnits = nowUnits - prevUnits;
+ for (int i = 0; i < newUnits; i++) {
+ BigDecimal tpPrice;
+ if (!shortTakeProfitQueue.isEmpty()) {
+ tpPrice = shortTakeProfitQueue.remove(0);
+ } else {
+ tpPrice = shortEntryPrice.subtract(config.getStep()).setScale(1, RoundingMode.HALF_UP);
+ log.warn("[Gate] 空止盈队列为空, 兜底止盈价:{}", tpPrice);
+ }
+ executor.placeTakeProfit(tpPrice,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, config.getQuantity());
+ log.info("[Gate] 空单止盈已设, tp:{}, size:{}", tpPrice, config.getQuantity());
+ }
+ } else {
+ shortPositionSize = size.abs();
+ }
+ } else {
+ shortActive = false;
+ shortPositionSize = BigDecimal.ZERO;
+ }
+ }
+ }
+
+ // ---- 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);
+ 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 ----
+
+ /**
+ * 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>状态切换为 ACTIVE</li>
+ * </ol>
+ */
+ private void tryGenerateQueues() {
+ if (baseLongOpened && baseShortOpened) {
+ generateShortQueue();
+ generateLongQueue();
+
+ BigDecimal step = config.getStep();
+ BigDecimal longTp = longPriceQueue.get(0).add(step).setScale(1, RoundingMode.HALF_UP);
+ BigDecimal shortTp = shortPriceQueue.get(0).subtract(step).setScale(1, RoundingMode.HALF_UP);
+ longTakeProfitQueue.add(longTp);
+ shortTakeProfitQueue.add(shortTp);
+ log.info("[Gate] 多止盈队列:{}", longTakeProfitQueue);
+ log.info("[Gate] 空止盈队列:{}", shortTakeProfitQueue);
+
+ executor.placeConditionalEntryOrder(longPriceQueue.get(0),
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
+ orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 初始条件多单已挂, id:{}, trigger:{}", orderId, longPriceQueue.get(0)); },
+ null);
+ executor.placeConditionalEntryOrder(shortPriceQueue.get(0),
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
+ orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 初始条件空单已挂, id:{}, trigger:{}", orderId, shortPriceQueue.get(0)); },
+ null);
+
+ state = StrategyState.ACTIVE;
+ log.info("[Gate] 网格队列已生成, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, step:{}, 已激活",
+ shortPriceQueue.get(0), shortPriceQueue.get(shortPriceQueue.size() - 1),
+ longPriceQueue.get(0), longPriceQueue.get(longPriceQueue.size() - 1),
+ step);
+ }
+ }
+
+ /**
+ * 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();
+ BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(1, 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);
+ }
+ 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();
+ BigDecimal step = config.getStep();
+ BigDecimal elem = shortBaseEntryPrice.add(step).setScale(1, RoundingMode.HALF_UP);
+ for (int i = 0; i < config.getGridQueueSize(); i++) {
+ longPriceQueue.add(elem);
+ elem = elem.add(step).setScale(1, 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）。
+ *
+ * <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>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：加入新空仓首元素 − step，降序排序</li>
+ * <li>保证金检查 → 不安全则跳过挂单（队列照常更新并返回），安全则继续</li>
+ * <li>取消所有旧多仓条件单（currentLongOrderIds），清空集合</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>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>反向开多判断：新空仓首元素 > shortEntryPrice 且 < longEntryPrice 且 longPositionSize < 3
+ * → 挂反向条件多单（触发价 = 新空仓首元素），止盈价 = 首元素 + 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）
+ */
+ 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);
+
+ synchronized (shortPriceQueue) {
+ shortPriceQueue.removeAll(matched);
+ 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);
+ shortPriceQueue.add(min);
+ log.info("[Gate] 空队列增加:{}", min);
+ }
+ shortPriceQueue.sort((a, b) -> b.compareTo(a));
+ log.info("[Gate] 现空队列:{}", shortPriceQueue);
+ }
+
+ synchronized (longPriceQueue) {
+ BigDecimal first = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(0);
+ BigDecimal gridStep = config.getStep();
+ for (int i = 1; i <= matched.size(); i++) {
+ BigDecimal elem = first.subtract(gridStep.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP);
+ longPriceQueue.add(elem);
+ log.info("[Gate] 多队列增加:{}", elem);
+ }
+ longPriceQueue.sort(BigDecimal::compareTo);
+ while (longPriceQueue.size() > config.getGridQueueSize()) {
+ longPriceQueue.remove(longPriceQueue.size() - 1);
+ }
+ log.info("[Gate] 现多队列:{}", longPriceQueue);
+ }
+
+ BigDecimal newShortFirst = shortPriceQueue.get(0);
+ BigDecimal step = config.getStep();
+ BigDecimal stpElem = newShortFirst.subtract(step).setScale(1, RoundingMode.HALF_UP);
+ shortTakeProfitQueue.add(stpElem);
+ shortTakeProfitQueue.sort((a, b) -> b.compareTo(a));
+ log.info("[Gate] 空止盈队列增加:{}, 现止盈队列:{}", stpElem, shortTakeProfitQueue);
+
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ executor.placeConditionalEntryOrder(newShortFirst,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
+ orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 新条件空单, id:{}, trigger:{}", orderId, newShortFirst); },
+ null);
+
+ BigDecimal newLongFirst = longPriceQueue.get(0);
+ if (newLongFirst.compareTo(longEntryPrice) < 0) {
+ synchronized (currentLongOrderIds) {
+ for (String id : currentLongOrderIds) {
+ executor.cancelConditionalOrder(id);
+ }
+ currentLongOrderIds.clear();
+ }
+ executor.placeConditionalEntryOrder(newLongFirst,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
+ orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 新条件多单, id:{}, trigger:{}", orderId, newLongFirst); },
+ null);
+ }
+
+ if (newShortFirst.compareTo(shortEntryPrice) > 0
+ && newShortFirst.compareTo(longEntryPrice) < 0
+ && longPositionSize.compareTo(new BigDecimal("3")) < 0) {
+ BigDecimal reverseLongTp = newShortFirst.add(step).setScale(1, RoundingMode.HALF_UP);
+ longTakeProfitQueue.add(reverseLongTp);
+ longTakeProfitQueue.sort(BigDecimal::compareTo);
+ executor.placeConditionalEntryOrder(newShortFirst,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
+ orderId -> { currentLongOrderIds.add(orderId); },
+ null);
+ log.info("[Gate] 反向条件多单已挂, trigger:{}, size:{}, 止盈:{}", newShortFirst, config.getQuantity(), reverseLongTp);
}
}
- totalHistoryPnl = historyPnl;
- checkStopConditions();
}
/**
- * 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;
- }
- 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;
- }
- }
-
- /**
- * 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（当前价涨破多仓队列元素）。
*
- * @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：加入新多仓首元素 + step，升序排序</li>
+ * <li>保证金检查 → 不安全则跳过挂单（队列照常更新并返回），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 →
+ * 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）；
+ * 不满足时保持旧空仓条件单不变</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 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);
+
+ 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);
+ longPriceQueue.add(max);
+ log.info("[Gate] 多队列增加:{}", max);
+ }
+ longPriceQueue.sort(BigDecimal::compareTo);
+ log.info("[Gate] 现多队列:{}", longPriceQueue);
+ }
+
+ synchronized (shortPriceQueue) {
+ BigDecimal first = shortPriceQueue.isEmpty() ? matched.get(0) : shortPriceQueue.get(0);
+ BigDecimal gridStep = config.getStep();
+ for (int i = 1; i <= matched.size(); i++) {
+ BigDecimal elem = first.add(gridStep.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP);
+ shortPriceQueue.add(elem);
+ log.info("[Gate] 空队列增加:{}", elem);
+ }
+ shortPriceQueue.sort((a, b) -> b.compareTo(a));
+ while (shortPriceQueue.size() > config.getGridQueueSize()) {
+ shortPriceQueue.remove(shortPriceQueue.size() - 1);
+ }
+ log.info("[Gate] 现空队列:{}", shortPriceQueue);
+ }
+
+ BigDecimal newLongFirst = longPriceQueue.get(0);
+ BigDecimal step = config.getStep();
+ BigDecimal ltpElem = newLongFirst.add(step).setScale(1, RoundingMode.HALF_UP);
+ longTakeProfitQueue.add(ltpElem);
+ longTakeProfitQueue.sort(BigDecimal::compareTo);
+ log.info("[Gate] 多止盈队列增加:{}, 现止盈队列:{}", ltpElem, longTakeProfitQueue);
+
+ if (!isMarginSafe()) {
+ log.warn("[Gate] 保证金超限，跳过挂条件单");
+ } else {
+ executor.placeConditionalEntryOrder(newLongFirst,
+ FuturesPriceTrigger.RuleEnum.NUMBER_1, config.getQuantity(),
+ orderId -> { currentLongOrderIds.add(orderId); log.info("[Gate] 新条件多单, id:{}, trigger:{}", orderId, newLongFirst); },
+ null);
+
+
+ BigDecimal newShortFirst = shortPriceQueue.get(0);
+ if (newShortFirst.compareTo(shortEntryPrice) > 0){
+ synchronized (currentShortOrderIds) {
+ for (String id : currentShortOrderIds) {
+ executor.cancelConditionalOrder(id);
+ }
+ currentShortOrderIds.clear();
+ }
+ executor.placeConditionalEntryOrder(newShortFirst,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
+ orderId -> { currentShortOrderIds.add(orderId); log.info("[Gate] 新条件空单, id:{}, trigger:{}", orderId, newShortFirst); },
+ null);
+ }
+
+ if (newLongFirst.compareTo(shortEntryPrice) > 0
+ && newLongFirst.compareTo(longEntryPrice) < 0
+ && shortPositionSize.compareTo(new BigDecimal("3")) < 0) {
+ BigDecimal reverseShortTp = newLongFirst.subtract(step).setScale(1, RoundingMode.HALF_UP);
+ shortTakeProfitQueue.add(reverseShortTp);
+ shortTakeProfitQueue.sort((a, b) -> b.compareTo(a));
+ executor.placeConditionalEntryOrder(newLongFirst,
+ FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(config.getQuantity()),
+ orderId -> { currentShortOrderIds.add(orderId); },
+ null);
+ log.info("[Gate] 反向条件空单已挂, trigger:{}, size:{}, 止盈:{}", newLongFirst, negate(config.getQuantity()), reverseShortTp);
+ }
+ }
+
+ }
+
+ // ---- 保证金安全阀 ----
+
+ /**
+ * 保证金安全阀检查。
+ *
+ * <p>实时查询当前保证金占用额（positionInitialMargin），计算其占初始本金的比例。
+ * 比例 ≥ marginRatioLimit（默认 20%）时拒绝开仓，但仍照常更新队列。
+ *
+ * <p>查询失败时默认放行（返回 true），避免因 REST API 异常导致策略完全停滞。
+ *
+ * @return true=安全可开仓 / false=保证金超限跳过开仓
+ */
+ 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 ----
+
+ /**
+ * 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;
}
/**
- * 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。
+ * 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;
}
- 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;
- }
+ /** @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; }
}
--
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