package com.xcong.excoin.modules.gateApi;
import cn.hutool.core.collection.CollUtil;
import cn.hutool.core.util.StrUtil;
import com.xcong.excoin.utils.dingtalk.DingTalkUtils;
import io.gate.gateapi.ApiClient;
import io.gate.gateapi.ApiException;
import io.gate.gateapi.GateApiException;
import io.gate.gateapi.api.AccountApi;
import io.gate.gateapi.api.FuturesApi;
import io.gate.gateapi.models.*;
import lombok.extern.slf4j.Slf4j;
import java.io.IOException;
import java.math.BigDecimal;
import java.math.RoundingMode;
import java.util.*;
import com.xcong.excoin.modules.gateApi.wsHandler.handler.CandlestickChannelHandler;
import com.xcong.excoin.modules.gateApi.wsHandler.handler.PositionClosesChannelHandler;
import com.xcong.excoin.modules.gateApi.wsHandler.handler.PositionsChannelHandler;
/**
* 网格交易策略引擎 — 多空对冲网格。
*
*
策略原理
* 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。
*
* 完整生命周期
*
* 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
*
*
* 仓位线动态调整
*
* 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)
*
*
* 关键公式
*
* 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
*
*
* 线程模型
* 所有 WS 回调(onKline/onPositionUpdate/onOrderUpdate 等)在 WS 回调线程中串行执行。
* 下单/撤单操作提交到 GateTradeExecutor 的单线程池异步执行,避免阻塞 WS 线程。
* stopGrid() 会将 state 设为 STOPPED,后续所有 WS 回调直接返回不再处理。
*
* @author Administrator
*/
@Slf4j
public class GateGridTradeService {
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 volatile StrategyState state = StrategyState.WAITING_KLINE;
/** 空仓价格队列,降序排列(大→小),容量 gridQueueSize */
private final List shortPriceQueue = Collections.synchronizedList(new ArrayList<>());
/** 多仓价格队列,升序排列(小→大),容量 gridQueueSize */
private final List longPriceQueue = Collections.synchronizedList(new ArrayList<>());
private final List totalLongPriceQueue = Collections.synchronizedList(new ArrayList<>());
private final List totalShortPriceQueue = Collections.synchronizedList(new ArrayList<>());
/** 当前多仓条件单映射:订单ID → 止盈价格,订单成交后通过订单订阅推送匹配止盈 */
private final Map currentLongOrderIds = Collections.synchronizedMap(new LinkedHashMap<>());
/** 当前空仓条件单映射:订单ID → 止盈价格,订单成交后通过订单订阅推送匹配止盈 */
private final Map currentShortOrderIds = Collections.synchronizedMap(new LinkedHashMap<>());
/** 基底空头入场价 */
private BigDecimal shortBaseEntryPrice;
/** 基底多头入场价(仅记录,当前未被业务逻辑消费,保留以备后续使用) */
private BigDecimal longBaseEntryPrice;
/** 基底多头是否已开 */
private volatile boolean baseLongOpened = false;
/** 基底空头是否已开 */
private volatile boolean baseShortOpened = false;
/** 空头是否活跃(有仓位) */
private volatile boolean shortActive = false;
/** 多头是否活跃(有仓位) */
private volatile boolean longActive = false;
/** 多头累计止损张数(加仓订单成交后归零) */
private volatile int accumulatedLongLossCount = 0;
/** 空头累计止损张数(加仓订单成交后归零) */
private volatile int accumulatedShortLossCount = 0;
private volatile BigDecimal lastKlinePrice;
private volatile BigDecimal markPrice = BigDecimal.ZERO;
private volatile BigDecimal cumulativePnl = BigDecimal.ZERO;
private volatile BigDecimal unrealizedPnl = BigDecimal.ZERO;
private volatile BigDecimal longEntryPrice = BigDecimal.ZERO;
private volatile BigDecimal shortEntryPrice = BigDecimal.ZERO;
private volatile BigDecimal longPositionSize = BigDecimal.ZERO;
private volatile BigDecimal shortPositionSize = BigDecimal.ZERO;
private Long userId;
private volatile BigDecimal initialPrincipal = BigDecimal.ZERO;
private volatile GateKlineWebSocketClient wsClient;
public GateGridTradeService(GateConfig config) {
this.config = config;
ApiClient apiClient = new ApiClient();
apiClient.setBasePath(config.getRestBasePath());
apiClient.setApiKeySecret(config.getApiKey(), config.getApiSecret());
this.futuresApi = new FuturesApi(apiClient);
this.executor = new GateTradeExecutor(apiClient, config.getContract());
}
// ---- 初始化 ----
/**
* 初始化策略环境。
*
* 执行顺序
*
* - 获取用户 ID(用于私有频道订阅 payload)
* - 获取账户信息 → 记录初始本金
* - 如需要,切换为双向持仓模式
* - 如需要,调整持仓模式(single/dual)
* - 清除旧的止盈止损条件单
* - 平掉所有已有仓位
* - 设置杠杆倍数
*
*/
public void init() {
try {
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);
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();
}
}
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("[Gate] 初始化失败, label:{}, msg:{}", e.getErrorLabel(), e.getMessage());
} catch (ApiException e) {
log.error("[Gate] 初始化失败, code:{}", e.getCode());
}
}
/**
* 平掉当前合约的所有已有仓位。
*
* 平仓策略
*
* - 单向持仓:size=相反数,reduceOnly=true,市价 IOC 平仓
* - 双向持仓:size=0,close=false,autoSize=LONG/SHORT,reduceOnly=true,市价 IOC 全平
*
*
* 注意事项
* 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 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 (state != StrategyState.WAITING_KLINE && state != StrategyState.STOPPED) {
log.warn("[Gate] 策略已在运行中, state:{}", state);
return;
}
state = StrategyState.WAITING_KLINE;
cumulativePnl = BigDecimal.ZERO;
unrealizedPnl = BigDecimal.ZERO;
markPrice = BigDecimal.ZERO;
longEntryPrice = BigDecimal.ZERO;
shortEntryPrice = BigDecimal.ZERO;
longPositionSize = BigDecimal.ZERO;
shortPositionSize = BigDecimal.ZERO;
baseLongOpened = false;
baseShortOpened = false;
longActive = false;
shortActive = false;
accumulatedLongLossCount = 0;
accumulatedShortLossCount = 0;
shortPriceQueue.clear();
longPriceQueue.clear();
totalShortPriceQueue.clear();
totalLongPriceQueue.clear();
currentLongOrderIds.clear();
currentShortOrderIds.clear();
// 每次重启重新获取当前本金
refreshInitialPrincipal();
log.info("[Gate] 网格策略已启动, 当前本金: {} USDT", initialPrincipal);
}
/**
* 重新获取当前账户权益作为初始本金。
*/
private void refreshInitialPrincipal() {
try {
FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
this.initialPrincipal = new BigDecimal(account.getTotal());
} catch (Exception e) {
log.warn("[Gate] 获取初始化本金失败,使用旧值: {}", initialPrincipal);
}
}
/**
* 停止网格策略。取消所有条件单 → 关闭交易线程池。
* 状态设为 STOPPED,K 线回调将直接返回不再处理。
*/
public void stopGrid() {
state = StrategyState.STOPPED;
executor.cancelAllPriceTriggeredOrders();
closeExistingPositions();
executor.shutdown();
log.info("[Gate] 策略已停止, 累计盈亏: {}", cumulativePnl);
}
// ---- K线回调 ----
/**
* K 线回调入口。由 {@link CandlestickChannelHandler} 在收到 WebSocket K 线推送时调用。
*
* 处理流程
*
* - 更新 lastKlinePrice → 计算 unrealizedPnl(浮动盈亏)
* - STOPPED → 直接返回(仅保留盈亏更新)
* - WAITING_KLINE → 切换为 OPENING → 异步提交基底双开(开多+开空)
* - OPENING → 等待仓位推送回调生成队列,此处返回
* - ACTIVE → 执行 processShortGrid + processLongGrid
*
*
* 注意
* 基底双开下单提交到 GateTradeExecutor 的独立线程池中异步执行,
* 成交状态由 onPositionUpdate 回调驱动,不阻塞 WS 回调线程。
*
* @param closePrice K 线收盘价(即当前最新成交价)
*/
public void onKline(BigDecimal closePrice) {
lastKlinePrice = closePrice;
//初始化0位置的开仓,并且用空的开仓价格,作为价格基准来划分网格
if (state == StrategyState.WAITING_KLINE) {
if (wsClient == null || !wsClient.areAllSubscribed()) {
return;
}
state = StrategyState.OPENING;
String size = config.getBaseQuantity();
log.info("[Gate] 首根K线到达,开基底仓位 多空各{}张...", size);
executor.openLong(size, (orderId) -> {
TraderParam baseLongTp = TraderParam.builder()
.entryOrderId(orderId)
.build();
config.setBaseLongTraderParam(baseLongTp);
}, null);
executor.openShort(negate(size), (orderId) -> {
TraderParam baseShortTp = TraderParam.builder()
.entryOrderId(orderId)
.build();
config.setBaseShortTraderParam(baseShortTp);
}, null);
return;
}
// checkProfitAndReset();
if (state == StrategyState.ACTIVE &&
longActive == false &&
longPositionSize.compareTo(BigDecimal.ZERO) == 0){
processShortGrid(closePrice);
}
if (state == StrategyState.ACTIVE &&
shortActive == false &&
shortPositionSize.compareTo(BigDecimal.ZERO) == 0){
processLongGrid(closePrice);
}
}
/** Gate 永续合约 taker 费率 0.05% */
private static final BigDecimal TAKER_FEE_RATE = new BigDecimal("0.0005");
private void checkProfitAndReset() {
try {
BigDecimal target = initialPrincipal.add(config.getExpectedProfit());
FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE);
BigDecimal unrealisedPnl = new BigDecimal(account.getCrossUnrealisedPnl());
BigDecimal available = new BigDecimal(account.getCrossAvailable());
BigDecimal totalEquity = unrealisedPnl.add(available);
// 估算平仓手续费:(多仓张数+空仓张数) × 合约面值 × 当前价 × taker费率
BigDecimal totalSize = longPositionSize.abs().add(shortPositionSize.abs());
BigDecimal closeContractValue =
totalSize.multiply(config.getContractMultiplier()).multiply(lastKlinePrice != null ? lastKlinePrice : BigDecimal.ZERO);
BigDecimal estimatedFee = closeContractValue.multiply(TAKER_FEE_RATE);
BigDecimal netEquity = totalEquity.subtract(estimatedFee);
log.info("[Gate] 盈亏检查,总张数:{}, upl:{}, avail:{}, 合计:{}, 估手续费:{}, 净权益:{}, 目标:{}",
totalSize,unrealisedPnl, available, totalEquity, estimatedFee, netEquity, target);
if (netEquity.compareTo(target) > 0) {
log.info("[Gate] 盈亏达标(净权益{}>目标{}),重置策略", netEquity, target);
state = StrategyState.STOPPED;
try {
futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
} catch (ApiException e) {
e.printStackTrace();
}
closeExistingPositions();
// 提交到 executor 末尾:单线程FIFO保证前面所有平仓/取消任务完成后才重置
executor.submitTask(() -> {
try { Thread.sleep(3000); } catch (InterruptedException e) { Thread.currentThread().interrupt(); }
startGrid();
});
}
} catch (Exception e) {
log.warn("[Gate] 盈亏检查失败", e);
}
}
// ---- 仓位推送回调 ----
/**
* 仓位推送回调。由 {@link PositionsChannelHandler} 在收到 WebSocket 仓位更新时调用。
*
* 处理逻辑
*
* - 有仓位 (size ≠ 0):
*
* - 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
* - 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)
*
*
* - 无仓位 (size = 0):清空活跃标记和持仓量
* - Map 截断:currentLongOrderIds / currentShortOrderIds 超过 5 个时,
* 从 LinkedHashMap 头部删除最旧条目,保留最新 5 个
*
*
* @param contract 合约名称
* @param mode 持仓模式(DUAL_LONG / DUAL_SHORT)
* @param size 持仓张数(多头为正、空头为负)
* @param entryPrice 当前持仓加权均价(交易所计算)
*/
public void onPositionUpdate(String contract, Position.ModeEnum mode, BigDecimal size,
BigDecimal entryPrice) {
if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) {
return;
}
boolean hasPosition = size.abs().compareTo(BigDecimal.ZERO) > 0;
if (state == StrategyState.OPENING){
if (Position.ModeEnum.DUAL_LONG == mode && hasPosition && !baseLongOpened) {
longActive = true;
longPositionSize = size;
longEntryPrice = entryPrice;
longBaseEntryPrice = entryPrice;
baseLongOpened = true;
log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice);
tryGenerateQueues();
} else if (Position.ModeEnum.DUAL_SHORT == mode && hasPosition && !baseShortOpened) {
shortActive = true;
shortPositionSize = size.abs();
shortEntryPrice = entryPrice;
shortBaseEntryPrice = entryPrice;
baseShortOpened = true;
log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice);
tryGenerateQueues();
}
}
if (state == StrategyState.ACTIVE){
if (Position.ModeEnum.DUAL_LONG == mode) {
if (hasPosition) {
longActive = true;
longPositionSize = size;
longEntryPrice = entryPrice;
} else {
log.info("[Gate-0]多仓: {}", shortBaseEntryPrice);
longActive = false;
longPositionSize = BigDecimal.ZERO;
longEntryPrice = BigDecimal.ZERO;
}
} else if (Position.ModeEnum.DUAL_SHORT == mode) {
if (hasPosition) {
shortActive = true;
shortPositionSize = size.abs();
shortEntryPrice = entryPrice;
} else {
log.info("[Gate-0]空仓: {}", shortBaseEntryPrice);
shortActive = false;
shortPositionSize = BigDecimal.ZERO;
shortEntryPrice = BigDecimal.ZERO;
}
}
}
if (state == StrategyState.ACTIVE && shortActive == false && longActive == false) {
try {
futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
} catch (ApiException e) {
e.printStackTrace();
}
closeExistingPositions();
state = StrategyState.STOPPED;
// 提交到 executor 末尾:单线程FIFO保证前面所有平仓/取消任务完成后才重置
executor.submitTask(() -> {
try { Thread.sleep(3000); } catch (InterruptedException e) { Thread.currentThread().interrupt(); }
startGrid();
});
log.info("[Gate] 重置策略");
return;
}
}
// ---- 平仓推送回调 ----
/**
* 平仓推送回调。由 {@link PositionClosesChannelHandler} 在收到平仓推送时调用。
*
* 累加规则
* cumulativePnl += pnl。止盈平仓时 pnl > 0,止损平仓时 pnl < 0。
* 累加后检查停止条件:≥ overallTp 或 ≤ -maxLoss。
*
* @param contract 合约名称
* @param side 平仓方向("long" / "short")
* @param pnl 本次平仓的盈亏金额
*/
public void onPositionClose(String contract, String side, BigDecimal pnl) {
if (state == StrategyState.STOPPED) {
return;
}
cumulativePnl = cumulativePnl.add(pnl);
updateUnrealizedPnl();
BigDecimal totalPnl = cumulativePnl.add(unrealizedPnl);
log.info("[Gate] 已实现:{}, 未实现:{}, 合计:{}",
cumulativePnl, unrealizedPnl, totalPnl);
if(totalPnl.compareTo(config.getMaxLoss().negate()) <= 0) {
String logMessage = StrUtil.format("[Gate] 已达亏损风险值(合计{}), 已实现:{}, 未实现:{}",
totalPnl, cumulativePnl, unrealizedPnl);
log.info(logMessage);
DingTalkUtils.getDefault().sendActionCard("风险提醒", logMessage, config.getApiKey(), "");
}
}
/**
* 自动订单(条件单)状态变更回调。
* 由 {@link com.xcong.excoin.modules.gateApi.wsHandler.handler.AutoOrdersChannelHandler}
* 在收到 {@code futures.autoorders} 推送时调用。
*
* @param orderId 条件单 ID
* @param status 订单状态(open / finished / cancelled)
* @param reason 变更原因
* @param orderType 订单类型(plan-close-long-position 等)
*/
public void onAutoOrder(String orderId, String status, String reason, String orderType, String tradeId) {
if (state == StrategyState.STOPPED) {
return;
}
log.info("[Gate] 条件单状态变更, id:{}, status:{}, reason:{}, order_type:{}",
orderId, status, reason, orderType);
if (!"finished".equals(status)) {
return;
}
// [Gate-需求1] 多仓止盈触发:清空止盈状态 + 取消最远多仓止损 + 检查是否最后一个止盈
GridElement longTpElem = GridElement.findByLongTakeProfitOrderId(orderId);
if (longTpElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
longTakeProfitTraderIdParam(longTpElem, null, false);
log.info("[Gate] 多仓止盈触发 gridId:{}, orderId:{}", longTpElem.getId(), orderId);
cancelFarthestLongStopLoss();
checkLastTakeProfitAndRestart();
return;
}
// [Gate-需求1] 空仓止盈触发:清空止盈状态 + 取消最远空仓止损 + 检查是否最后一个止盈
GridElement shortTpElem = GridElement.findByShortTakeProfitOrderId(orderId);
if (shortTpElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
shortTakeProfitTraderIdParam(shortTpElem, null, false);
log.info("[Gate] 空仓止盈触发 gridId:{}, orderId:{}", shortTpElem.getId(), orderId);
cancelFarthestShortStopLoss();
checkLastTakeProfitAndRestart();
return;
}
GridElement longStopLossElem = GridElement.findByLongStopLossOrderId(orderId);
// if (longStopLossElem != null && longPositionSize.compareTo(BigDecimal.ZERO) > 0 && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
if (longStopLossElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
handleLongStopLossTriggered(longStopLossElem);
return;
}
GridElement shortStopLossElem = GridElement.findByShortStopLossOrderId(orderId);
// if (shortStopLossElem != null && shortPositionSize.compareTo(BigDecimal.ZERO) > 0 && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
if (shortStopLossElem != null && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")) {
handleShortStopLossTriggered(shortStopLossElem);
return;
}
GridElement shortGridElement = GridElement.findByShortOrderId(orderId);
if (shortGridElement != null) {
if (shortGridElement.isHasShortOrder() && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0") ){
int filledQty = Integer.parseInt(shortGridElement.getShortTraderParam().getQuantity());
shortEntryTraderIdParam(shortGridElement, null, false);
// [Gate-需求2] 加仓后先撤空仓所有止盈+止损,再查交易所持仓后重挂
cancelAllShortTakeProfitsAndStopLosses();
int posSize = queryPositionSize(Position.ModeEnum.DUAL_SHORT);
extendShortStopLoss(posSize, shortGridElement.getId());
accumulatedShortLossCount = 0; // 加仓订单成交,重置止损累计
log.info("[Gate] 空单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize);
// 空仓持仓超过baseQuantity时,从gridId-2开始向外追挂止盈
BigDecimal shortBaseQty = new BigDecimal(config.getBaseQuantity());
BigDecimal shortGridQty = new BigDecimal(config.getQuantity());
if (BigDecimal.valueOf(posSize).compareTo(shortBaseQty) > 0) {
BigDecimal shortExcess = BigDecimal.valueOf(posSize).subtract(shortBaseQty);
int shortExcessCount = shortExcess.divide(shortGridQty, 0, RoundingMode.DOWN).intValue();
for (int i = 0; i < shortExcessCount; i++) {
int tpGridId = shortGridElement.getId() - 2 - i;
GridElement tpElem = GridElement.findById(tpGridId);
if (tpElem == null || tpElem.getShortTakeProfitOrderId() != null) {
continue;
}
BigDecimal tpPrice = tpElem.getGridPrice();
int finalTpGridId = tpGridId;
executor.placeTakeProfit(
tpPrice,
FuturesPriceTrigger.RuleEnum.NUMBER_2,
ORDER_TYPE_CLOSE_SHORT,
config.getQuantity(),
profitId -> {
shortTakeProfitTraderIdParam(tpElem, profitId, true);
log.info("[Gate] 空仓止盈挂单, gridId:{}, 触发价:{}, takeProfitId:{}",
finalTpGridId, tpPrice, profitId);
}
);
}
}
}
}
GridElement longGridElement = GridElement.findByLongOrderId(orderId);
if (longGridElement != null) {
if (longGridElement.isHasLongOrder() && StrUtil.isNotEmpty(tradeId) && !tradeId.equals("0")){
int filledQty = Integer.parseInt(longGridElement.getLongTraderParam().getQuantity());
longEntryTraderIdParam(longGridElement, null, false);
// [Gate-需求2] 加仓后先撤多仓所有止盈+止损,再查交易所持仓后重挂
cancelAllLongTakeProfitsAndStopLosses();
int posSize = queryPositionSize(Position.ModeEnum.DUAL_LONG);
extendLongStopLoss(posSize, longGridElement.getId());
accumulatedLongLossCount = 0; // 加仓订单成交,重置止损累计
log.info("[Gate] 多单成交 gridId:{}, 当前持仓:{}张", filledQty, posSize);
// 多仓持仓超过baseQuantity时,从gridId+2开始向外追挂止盈
BigDecimal longBaseQty = new BigDecimal(config.getBaseQuantity());
BigDecimal longGridQty = new BigDecimal(config.getQuantity());
if (BigDecimal.valueOf(posSize).compareTo(longBaseQty) > 0) {
BigDecimal longExcess = BigDecimal.valueOf(posSize).subtract(longBaseQty);
int longExcessCount = longExcess.divide(longGridQty, 0, RoundingMode.DOWN).intValue();
for (int i = 0; i < longExcessCount; i++) {
int tpGridId = longGridElement.getId() + 2 + i;
GridElement tpElem = GridElement.findById(tpGridId);
if (tpElem == null || tpElem.getLongTakeProfitOrderId() != null) {
continue;
}
BigDecimal tpPrice = tpElem.getGridPrice();
int finalTpGridId = tpGridId;
executor.placeTakeProfit(
tpPrice,
FuturesPriceTrigger.RuleEnum.NUMBER_1,
ORDER_TYPE_CLOSE_LONG,
negate(config.getQuantity()),
profitId -> {
longTakeProfitTraderIdParam(tpElem, profitId, true);
log.info("[Gate] 多仓止盈挂单, gridId:{}, 触发价:{}, takeProfitId:{}",
finalTpGridId, tpPrice, profitId);
}
);
}
}
}
}
}
/**
* 查询交易所当前持仓张数(绝对值)。加仓/开仓后重挂止盈止损时调用,
* 绕过本地 WS 推送缓存避免时序竞态,直接拿到交易所权威数据。
*
* @param mode 持仓模式(DUAL_LONG / DUAL_SHORT)
* @return 持仓张数(绝对值),查询失败返回 0
*/
private int queryPositionSize(Position.ModeEnum mode) {
try {
List positions = futuresApi.listPositions(SETTLE).execute();
if (positions != null) {
for (Position p : positions) {
if (mode == p.getMode() && config.getContract().equals(p.getContract())) {
return new BigDecimal(p.getSize()).abs().intValue();
}
}
}
} catch (Exception e) {
log.warn("[Gate] 查询{}持仓失败", mode, e);
}
return 0;
}
// ---- 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:
*
* - 生成空仓价格队列(降序)和多仓价格队列(升序)
* - 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
* - 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
* - 状态切换为 ACTIVE
*
*/
private void tryGenerateQueues() {
if (baseLongOpened && baseShortOpened) {
generateShortQueue();
generateLongQueue();
updateGridElements();
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);
// int shortTime = 2;
// GridElement elemShort = GridElement.findById(shortTime);
// if (elemShort != null) {
// BigDecimal triggerPrice = elemShort.getGridPrice();
// String size = config.getBaseQuantity();
// executor.placeTakeProfit(
// triggerPrice,
// FuturesPriceTrigger.RuleEnum.NUMBER_1,
// ORDER_TYPE_CLOSE_SHORT,
// size,
// profitId -> {
// elemShort.setShortStopLossOrderId(profitId);
// GridElement.refreshIndices();
// log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", shortTime, triggerPrice, profitId);
// }
// );
// }
//
//
// int longTime = -2;
// GridElement elemLong = GridElement.findById(longTime);
// if (elemLong != null) {
// BigDecimal triggerPrice = elemLong.getGridPrice();
// String size = config.getBaseQuantity();
// executor.placeTakeProfit(
// triggerPrice,
// FuturesPriceTrigger.RuleEnum.NUMBER_2,
// ORDER_TYPE_CLOSE_LONG,
// negate(size),
// profitId -> {
// elemLong.setLongStopLossOrderId(profitId);
// GridElement.refreshIndices();
// log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", longTime, triggerPrice, profitId);
// }
// );
// }
int shortTime = Integer.parseInt(config.getBaseQuantity()) / Integer.parseInt(config.getQuantity()) + 1;
for (int id = 2; id <= shortTime; id++) {
GridElement elem = GridElement.findById(id);
if (elem == null) {
continue;
}
BigDecimal triggerPrice = elem.getGridPrice();
String size = config.getQuantity();
int finalId = id;
executor.placeTakeProfit(
triggerPrice,
FuturesPriceTrigger.RuleEnum.NUMBER_1,
ORDER_TYPE_CLOSE_SHORT,
size,
profitId -> {
elem.setShortStopLossOrderId(profitId);
GridElement.refreshIndices();
log.info("[Gate] 空仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
}
);
}
int longTime = Integer.parseInt(config.getBaseQuantity()) / Integer.parseInt(config.getQuantity()) + 1;
for (int id = -2; id >= -longTime; id--) {
GridElement elem = GridElement.findById(id);
if (elem == null) {
continue;
}
BigDecimal triggerPrice = elem.getGridPrice();
String size = config.getQuantity();
int finalId = id;
executor.placeTakeProfit(
triggerPrice,
FuturesPriceTrigger.RuleEnum.NUMBER_2,
ORDER_TYPE_CLOSE_LONG,
negate(size),
profitId -> {
elem.setLongStopLossOrderId(profitId);
GridElement.refreshIndices();
log.info("[Gate] 多仓止损已挂, gridId:{}, 触发价:{}, stopLossId:{}", finalId, triggerPrice, profitId);
}
);
}
log.info("[Gate] 止损单已全部挂完, 空仓止损: 2~{}, 多仓止损: -2~-{}", shortTime, longTime);
state = StrategyState.ACTIVE;
}
}
/**
* 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();
}
/**
* 生成空仓价格队列。
* 以 shortBaseEntryPrice × gridRate 作为绝对步长 step,存到 config。
* 第1个元素 = shortBaseEntryPrice − step,后续依次递减 step,共 gridQueueSize 个。
* 队列降序排列(大→小),方便 processShortGrid 中从头遍历。
*/
private void generateShortQueue() {
shortPriceQueue.clear();
totalShortPriceQueue.clear();
totalLongPriceQueue.clear();
int prec = config.getPriceScale();
BigDecimal step = shortBaseEntryPrice.multiply(config.getGridRate()).setScale(prec, RoundingMode.HALF_UP);
config.setStep(step);
BigDecimal elem = shortBaseEntryPrice.subtract(step).setScale(prec, RoundingMode.HALF_UP);
for (int i = 0; i < config.getGridQueueSize(); i++) {
shortPriceQueue.add(elem);
totalLongPriceQueue.add( elem);
totalShortPriceQueue.add( elem);
elem = elem.subtract(step).setScale(prec, RoundingMode.HALF_UP);
if (elem.compareTo(BigDecimal.ZERO) <= 0) {
break;
}
}
shortPriceQueue.sort((a, b) -> b.compareTo(a));
log.info("[Gate] 空队列:{}", shortPriceQueue);
}
/**
* 生成多仓价格队列。
* 以 shortBaseEntryPrice + step 为首元素,后续依次递增 step,共 gridQueueSize 个。
* 队列升序排列(小→大),方便 processLongGrid 中从头遍历。
*/
private void generateLongQueue() {
longPriceQueue.clear();
int prec = config.getPriceScale();
BigDecimal step = config.getStep();
BigDecimal elem = shortBaseEntryPrice.add(step).setScale(prec, RoundingMode.HALF_UP);
for (int i = 0; i < config.getGridQueueSize(); i++) {
longPriceQueue.add(elem);
totalLongPriceQueue.add( elem);
totalShortPriceQueue.add( elem);
elem = elem.add(step).setScale(prec, RoundingMode.HALF_UP);
}
longPriceQueue.sort(BigDecimal::compareTo);
log.info("[Gate] 多队列:{}", longPriceQueue);
totalShortPriceQueue.sort((a, b) -> b.compareTo(a));
log.info("[Gate] 队列从大到小:{}", totalShortPriceQueue);
totalLongPriceQueue.sort(BigDecimal::compareTo);
log.info("[Gate] 队列从小到大:{}", totalLongPriceQueue);
}
/**
* 根据当前多空价格队列同步构建网格元素列表,写入 config。
*
* ID 分配规则
*
* - 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
* - 位置 0:gridPrice=shortBaseEntryPrice,upId=-1,downId=1,其数据在基座开仓时更新
* - 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
*
*
* 链表关系
* 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 elements = new ArrayList<>();
int shortSize = shortPriceQueue.size();
int longSize = longPriceQueue.size();
//根据精度转换成小数
int prec = config.getPriceScale();
BigDecimal step = config.getStep();
// String qty = config.getBaseQuantity();
String qty = config.getQuantity();
// 空仓队列:id 从 -1 自减, shortPriceQueue[i] → id=-(i+1)
for (int i = 0; i < shortSize; i++) {
int id = -(i + 1);
Integer upId = (i == 0) ? 0 : id + 1;
Integer downId = (i == shortSize - 1) ? null : id - 1;
BigDecimal price = shortPriceQueue.get(i);
TraderParam longParam = TraderParam.builder()
.direction(TraderParam.Direction.LONG)
.entryPrice(price)
.takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP))
.quantity(qty)
.build();
TraderParam shortParam = TraderParam.builder()
.direction(TraderParam.Direction.SHORT)
.entryPrice(price)
.takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP))
.quantity(qty)
.build();
elements.add(GridElement.builder()
.id(id)
.gridPrice(price)
.upId(upId)
.downId(downId)
.longTraderParam(longParam)
.shortTraderParam(shortParam)
.build());
}
// 位置 0:基底价格,数据在基座开仓时更新
{
BigDecimal price = shortBaseEntryPrice;
TraderParam longParam = TraderParam.builder()
.direction(TraderParam.Direction.LONG)
.entryPrice(price)
.takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP))
.quantity(qty)
.build();
TraderParam shortParam = TraderParam.builder()
.direction(TraderParam.Direction.SHORT)
.entryPrice(price)
.takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP))
.quantity(qty)
.build();
elements.add(GridElement.builder()
.id(0)
.gridPrice(price)
.upId(longSize > 0 ? 1 : null)
.downId(shortSize > 0 ? -1 : null)
.longTraderParam(longParam)
.shortTraderParam(shortParam)
.build());
}
// 多仓队列:id 从 1 自增, longPriceQueue[i] → id=i+1
for (int i = 0; i < longSize; i++) {
int id = i + 1;
Integer downId = (i == 0) ? 0 : id - 1;
Integer upId = (i == longSize - 1) ? null : id + 1;
BigDecimal price = longPriceQueue.get(i);
TraderParam longParam = TraderParam.builder()
.direction(TraderParam.Direction.LONG)
.entryPrice(price)
.takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP))
.quantity(qty)
.build();
TraderParam shortParam = TraderParam.builder()
.direction(TraderParam.Direction.SHORT)
.entryPrice(price)
.takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP))
.quantity(qty)
.build();
elements.add(GridElement.builder()
.id(id)
.gridPrice(price)
.upId(upId)
.downId(downId)
.longTraderParam(longParam)
.shortTraderParam(shortParam)
.build());
}
config.setGridElements(elements);
log.info("[Gate] 网格元素列表已构建, 共{}个元素 (空仓:{} 位置:0 多仓:{})", elements.size(), shortSize, longSize);
}
private void processShortGrid(BigDecimal currentPrice) {
BigDecimal matched = BigDecimal.ZERO;
synchronized (totalLongPriceQueue) {
for (BigDecimal p : totalLongPriceQueue) {
if (p.compareTo(currentPrice) >= 0) {
matched = p;
break;
}
}
// log.info("[Gate-1] 多仓仓位归零 空仓队列触发, 匹配:{},当前价:{}", matched, currentPrice);
if (BigDecimal.ZERO.compareTo( matched) == 0) {
return;
}
GridElement matchedUpGridElement = GridElement.findByPrice(matched);
if (matchedUpGridElement != null){
if (!matchedUpGridElement.isHasLongOrder()){
Integer upId = matchedUpGridElement.getUpId();
GridElement newEntryGrid = GridElement.findById(upId);
if (newEntryGrid != null) {
GridElement cancelGridElement = GridElement.findById(newEntryGrid.getUpId());
String quantity = cancelGridElement != null
? cancelGridElement.getLongTraderParam().getQuantity()
: config.getBaseQuantity();
if (cancelGridElement != null && cancelGridElement.isHasLongOrder()) {
String longOrderId = cancelGridElement.getLongOrderId();
executor.cancelConditionalOrder(longOrderId, oid -> {
longEntryTraderIdParam(cancelGridElement, null, false);
log.info("[Gate] 多仓仓位归零, 取消gridId:{}的多单,{}", cancelGridElement.getId(),longOrderId);
});
}
// log.info("[Gate-2] 多仓仓位归零 空仓队列触发, 匹配:{},当前价:{}", matched, currentPrice);
if (!newEntryGrid.isHasLongOrder()) {
BigDecimal triggerPrice = newEntryGrid.getGridPrice();
String size = quantity;
log.info("[Gate] 多仓仓位归零 gridId:{}, 挂{}基础张多单",
newEntryGrid.getId(), size);
newEntryGrid.getLongTraderParam().setQuantity(size);
placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice,
FuturesPriceTrigger.RuleEnum.NUMBER_1, size);
}
}
}
}
}
}
private void processLongGrid(BigDecimal currentPrice) {
BigDecimal matched = BigDecimal.ZERO;
synchronized (totalShortPriceQueue) {
for (BigDecimal p : totalShortPriceQueue) {
if (p.compareTo(currentPrice) <= 0) {
matched = p;
break;
}
}
// log.info("[Gate-3] 空仓仓位归零 多仓队列触发, 匹配:{},当前价:{}", matched, currentPrice);
if (BigDecimal.ZERO.compareTo( matched) == 0) {
return;
}
GridElement matchedUpGridElement = GridElement.findByPrice(matched);
if (matchedUpGridElement != null){
if(!matchedUpGridElement.isHasShortOrder()){
Integer downId = matchedUpGridElement.getDownId();
GridElement newEntryGrid = GridElement.findById(downId);
if (newEntryGrid != null) {
GridElement cancelGridElement = GridElement.findById(newEntryGrid.getDownId());
String quantity = cancelGridElement != null
? cancelGridElement.getShortTraderParam().getQuantity()
: config.getBaseQuantity();
/**
* 看是否有空仓挂单,有就取消
*/
if (cancelGridElement != null && cancelGridElement.isHasShortOrder()) {
String shortOrderId = cancelGridElement.getShortOrderId();
executor.cancelConditionalOrder(shortOrderId, oid -> {
shortEntryTraderIdParam(cancelGridElement, null, false);
log.info("[Gate] 空仓仓位归零, 取消gridId:{}的多单{}", cancelGridElement.getId(),shortOrderId);
});
}
// log.info("[Gate-4] 空仓仓位归零 多仓队列触发, 匹配:{},当前价:{}", matched, currentPrice);
if (!newEntryGrid.isHasShortOrder()){
BigDecimal triggerPrice = newEntryGrid.getGridPrice();
String size = quantity;
log.info("[Gate] 空仓仓位归零 gridId:{}, 挂{}基础张多单",
newEntryGrid.getId(), size);
newEntryGrid.getShortTraderParam().setQuantity(size);
placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice,
FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size));
}
}
}
}
}
}
private void handleLongStopLossTriggered(GridElement gridElement) {
gridElement.setLongStopLossOrderId(null);
int gridId = gridElement.getId();
log.info("[Gate] 多仓止损触发 gridId:{}, 开始追单", gridId);
int newEntryGridId = gridId + 1;
GridElement newEntryGrid = GridElement.findById(newEntryGridId);
if (newEntryGrid == null) {
log.warn("[Gate] 多仓止损触发 but gridId:{} 不存在", newEntryGridId);
GridElement.refreshIndices();
return;
}
// [Gate-BugFix] 防止与"仓位归零"重复下单:若该网格已有挂单则跳过
if (!newEntryGrid.isHasLongOrder()) {
BigDecimal triggerPrice = newEntryGrid.getGridPrice();
// 累计止损张数 + 当前止损量作为追单size,不再依赖positionSize(避免WS竞态)
accumulatedLongLossCount += Integer.parseInt(config.getQuantity());
String size = String.valueOf(accumulatedLongLossCount + Integer.parseInt(config.getQuantity()));
log.info("[Gate] 多仓止损触发 gridId:{}, 在gridId:{}挂{}基础张多单",
gridId, newEntryGridId, size);
newEntryGrid.getLongTraderParam().setQuantity(size);
placeEntryOrderWithPreFlag(newEntryGrid, true, triggerPrice,
FuturesPriceTrigger.RuleEnum.NUMBER_1, size);
}else{
log.warn("[Gate] 多仓止损触发 gridId:{}, 目标gridId:{}已有挂单,跳过重复下单", gridId, newEntryGridId);
}
int cancelGridId = gridId + 2;
GridElement cancelGrid = GridElement.findById(cancelGridId);
if (cancelGrid != null && cancelGrid.isHasLongOrder()) {
executor.cancelConditionalOrder(cancelGrid.getLongOrderId(), oid -> {
longEntryTraderIdParam(cancelGrid, null, false);
log.info("[Gate] 多仓止损触发, 取消gridId:{}的多单", cancelGridId);
});
}
// 止损触发时,取消最远的多仓止盈订单
GridElement farthestLongTp = null;
for (GridElement e : config.getGridElements()) {
if (e.getLongTakeProfitOrderId() != null) {
if (farthestLongTp == null || e.getGridPrice().compareTo(farthestLongTp.getGridPrice()) > 0) {
farthestLongTp = e;
}
}
}
if (farthestLongTp != null) {
String tpOrderId = farthestLongTp.getLongTakeProfitOrderId();
GridElement finalFarthestLongTp = farthestLongTp;
executor.cancelConditionalOrder(tpOrderId, oid -> {
longTakeProfitTraderIdParam(finalFarthestLongTp, null, false);
log.info("[Gate] 多仓止损触发, 取消最远止盈 gridId:{}, orderId:{}", finalFarthestLongTp.getId(), tpOrderId);
});
}
}
private void handleShortStopLossTriggered(GridElement gridElement) {
gridElement.setShortStopLossOrderId(null);
int gridId = gridElement.getId();
log.info("[Gate] 空仓止损触发 gridId:{}, 开始追单", gridId);
int newEntryGridId = gridId - 1;
GridElement newEntryGrid = GridElement.findById(newEntryGridId);
if (newEntryGrid == null) {
log.warn("[Gate] 空仓止损触发 but gridId:{} 不存在", newEntryGridId);
GridElement.refreshIndices();
return;
}
// [Gate-BugFix] 防止与"仓位归零"重复下单:若该网格已有挂单则跳过
if (!newEntryGrid.isHasShortOrder()) {
BigDecimal triggerPrice = newEntryGrid.getGridPrice();
// 累计止损张数 + 当前止损量作为追单size,不再依赖positionSize(避免WS竞态)
accumulatedShortLossCount += Integer.parseInt(config.getQuantity());
String size = String.valueOf(accumulatedShortLossCount + Integer.parseInt(config.getQuantity()));
log.info("[Gate] 空仓止损触发 gridId:{}, 在gridId:{}挂{}基础张空单",
gridId, newEntryGridId, size);
newEntryGrid.getShortTraderParam().setQuantity(size);
placeEntryOrderWithPreFlag(newEntryGrid, false, triggerPrice,
FuturesPriceTrigger.RuleEnum.NUMBER_2, negate(size));
}else{
log.warn("[Gate] 空仓止损触发 gridId:{}, 目标gridId:{}已有挂单,跳过重复下单", gridId, newEntryGridId);
}
int cancelGridId = gridId - 2;
GridElement cancelGrid = GridElement.findById(cancelGridId);
if (cancelGrid != null && cancelGrid.isHasShortOrder()) {
executor.cancelConditionalOrder(cancelGrid.getShortOrderId(), oid -> {
shortEntryTraderIdParam(cancelGrid, null, false);
log.info("[Gate] 空仓止损触发, 取消gridId:{}的空单", cancelGridId);
});
}
// 止损触发时,取消最远的空仓止盈订单
GridElement farthestShortTp = null;
for (GridElement e : config.getGridElements()) {
if (e.getShortTakeProfitOrderId() != null) {
if (farthestShortTp == null || e.getGridPrice().compareTo(farthestShortTp.getGridPrice()) < 0) {
farthestShortTp = e;
}
}
}
if (farthestShortTp != null) {
String tpOrderId = farthestShortTp.getShortTakeProfitOrderId();
GridElement finalFarthestShortTp = farthestShortTp;
executor.cancelConditionalOrder(tpOrderId, oid -> {
shortTakeProfitTraderIdParam(finalFarthestShortTp, null, false);
log.info("[Gate] 空仓止损触发, 取消最远止盈 gridId:{}, orderId:{}", finalFarthestShortTp.getId(), tpOrderId);
});
}
}
// ========== 止盈/止损取消辅助方法 ==========
/**
* 止盈触发后检查跨度是否达至要求,满足条件则重启策略。
*
* 跨度定义
* {@code restartGridSpan} 表示多少倍的绝对步长 step(= 短基价 × gridRate)。
*
* 判断逻辑
*
* - 多空双边均有持仓:longEntryPrice − shortEntryPrice > span × step
* - 仅持多仓:currentPrice − longEntryPrice > span × step
* - 仅持空仓:shortEntryPrice − currentPrice > span × step
*
* restartGridSpan=0 时禁用此功能。重启复用仓位归零模式:取消全部条件单 → 平仓 → 延迟启动。
*/
private void checkLastTakeProfitAndRestart() {
int span = config.getRestartGridSpan();
if (span <= 0) {
return;
}
BigDecimal step = config.getStep();
if (step == null || step.compareTo(BigDecimal.ZERO) == 0) {
return;
}
BigDecimal threshold = step.multiply(new BigDecimal(span));
BigDecimal currentPrice = lastKlinePrice;
if (currentPrice == null || currentPrice.compareTo(BigDecimal.ZERO) == 0) {
return;
}
boolean shouldRestart = false;
String reason = "";
if (longActive && shortActive) {
// 多空双边持仓:多均价 − 空均价 > span × step
BigDecimal gap = longEntryPrice.subtract(shortEntryPrice);
if (gap.compareTo(threshold) > 0) {
shouldRestart = true;
reason = StrUtil.format("双边跨度 多均价:{} − 空均价:{} = {} > {} (span:{}×step:{})",
longEntryPrice, shortEntryPrice, gap, threshold, span, step);
}
} else if (longActive) {
// 仅持多仓:当前价 − 多均价 > span × step
BigDecimal gap = currentPrice.subtract(longEntryPrice);
if (gap.compareTo(threshold) > 0) {
shouldRestart = true;
reason = StrUtil.format("多仓跨度 当前价:{} − 多均价:{} = {} > {} (span:{}×step:{})",
currentPrice, longEntryPrice, gap, threshold, span, step);
}
} else if (shortActive) {
// 仅持空仓:空均价 − 当前价 > span × step
BigDecimal gap = shortEntryPrice.subtract(currentPrice);
if (gap.compareTo(threshold) > 0) {
shouldRestart = true;
reason = StrUtil.format("空仓跨度 空均价:{} − 当前价:{} = {} > {} (span:{}×step:{})",
shortEntryPrice, currentPrice, gap, threshold, span, step);
}
}
if (shouldRestart) {
log.info("[Gate] 跨度已达要求 → {},最后一个止盈触发策略重启", reason);
try {
futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract());
} catch (ApiException ex) {
log.warn("[Gate] 重启前清理条件单失败", ex);
}
closeExistingPositions();
state = StrategyState.STOPPED;
executor.submitTask(() -> {
try { Thread.sleep(3000); } catch (InterruptedException ex) { Thread.currentThread().interrupt(); }
startGrid();
});
}
}
/**
* 取消最远的多仓止损订单。
* 多仓止损在 gridId 负方向,最远 = id 最小。
*/
private void cancelFarthestLongStopLoss() {
GridElement farthest = null;
for (GridElement e : config.getGridElements()) {
if (e.getLongStopLossOrderId() != null) {
if (farthest == null || e.getId() < farthest.getId()) {
farthest = e;
}
}
}
if (farthest != null) {
String slId = farthest.getLongStopLossOrderId();
farthest.setLongStopLossOrderId(null);
GridElement.refreshIndices();
GridElement finalFarthest = farthest;
executor.cancelConditionalOrder(slId, oid ->
log.info("[Gate] 止盈触发, 取消最远多仓止损 gridId:{}, orderId:{}", finalFarthest.getId(), slId));
}
}
/**
* 取消最远的空仓止损订单。
* 空仓止损在 gridId 正方向,最远 = id 最大。
*/
private void cancelFarthestShortStopLoss() {
GridElement farthest = null;
for (GridElement e : config.getGridElements()) {
if (e.getShortStopLossOrderId() != null) {
if (farthest == null || e.getId() > farthest.getId()) {
farthest = e;
}
}
}
if (farthest != null) {
String slId = farthest.getShortStopLossOrderId();
farthest.setShortStopLossOrderId(null);
GridElement.refreshIndices();
GridElement finalFarthest = farthest;
executor.cancelConditionalOrder(slId, oid ->
log.info("[Gate] 止盈触发, 取消最远空仓止损 gridId:{}, orderId:{}", finalFarthest.getId(), slId));
}
}
/**
* 取消所有多仓止盈 + 多仓止损订单(加仓后重建前清场)。
*/
private void cancelAllLongTakeProfitsAndStopLosses() {
for (GridElement e : config.getGridElements()) {
String tpId = e.getLongTakeProfitOrderId();
if (tpId != null) {
e.setLongTakeProfitOrderId(null);
executor.cancelConditionalOrder(tpId, oid -> {});
}
String slId = e.getLongStopLossOrderId();
if (slId != null) {
e.setLongStopLossOrderId(null);
executor.cancelConditionalOrder(slId, oid -> {});
}
}
GridElement.refreshIndices();
log.info("[Gate] 已提交取消所有多仓止盈+止损");
}
/**
* 取消所有空仓止盈 + 空仓止损订单(加仓后重建前清场)。
*/
private void cancelAllShortTakeProfitsAndStopLosses() {
for (GridElement e : config.getGridElements()) {
String tpId = e.getShortTakeProfitOrderId();
if (tpId != null) {
e.setShortTakeProfitOrderId(null);
executor.cancelConditionalOrder(tpId, oid -> {});
}
String slId = e.getShortStopLossOrderId();
if (slId != null) {
e.setShortStopLossOrderId(null);
executor.cancelConditionalOrder(slId, oid -> {});
}
}
GridElement.refreshIndices();
log.info("[Gate] 已提交取消所有空仓止盈+止损");
}
// ========== 止损追单 ==========
private void extendLongStopLoss(int filledQty,int gridId) {
int furthestSlId = 0;
for (GridElement e : config.getGridElements()) {
if (e.getLongStopLossOrderId() != null && e.getId() < furthestSlId) {
furthestSlId = e.getId();
}
}
int interval = 1;
if (furthestSlId == 0) {
furthestSlId = gridId;
interval = 2;
}
int stopLossCount = filledQty / Integer.parseInt(config.getQuantity());
log.info("[Gate] 多仓追挂止损, 当前最远止损gridId:{}, 成交{}张, 追加{}个止损单", furthestSlId, filledQty, stopLossCount);
for (int i = 0; i < stopLossCount; i++) {
int newSlId = furthestSlId - i - interval;
GridElement elem = GridElement.findById(newSlId);
if (elem == null) {
continue;
}
BigDecimal triggerPrice = elem.getGridPrice();
int finalSlId = newSlId;
executor.placeTakeProfit(
triggerPrice,
FuturesPriceTrigger.RuleEnum.NUMBER_2,
ORDER_TYPE_CLOSE_LONG,
negate(config.getQuantity()),
profitId -> {
elem.setLongStopLossOrderId(profitId);
GridElement.refreshIndices();
log.info("[Gate] 多仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId);
}
);
}
}
private void extendShortStopLoss(int filledQty, int gridId) {
int furthestSlId = 0;
for (GridElement e : config.getGridElements()) {
if (e.getShortStopLossOrderId() != null && e.getId() > furthestSlId) {
furthestSlId = e.getId();
}
}
int interval = 1;
if (furthestSlId == 0) {
furthestSlId = gridId;
interval = 2;
}
int stopLossCount = filledQty / Integer.parseInt(config.getQuantity());
log.info("[Gate] 空仓追挂止损, 当前最远止损gridId:{}, 成交{}张, 追加{}个止损单", furthestSlId, filledQty, stopLossCount);
for (int i = 0; i < stopLossCount; i++) {
int newSlId = furthestSlId + i + interval;
GridElement elem = GridElement.findById(newSlId);
if (elem == null) {
continue;
}
BigDecimal triggerPrice = elem.getGridPrice();
int finalSlId = newSlId;
executor.placeTakeProfit(
triggerPrice,
FuturesPriceTrigger.RuleEnum.NUMBER_1,
ORDER_TYPE_CLOSE_SHORT,
config.getQuantity(),
profitId -> {
elem.setShortStopLossOrderId(profitId);
GridElement.refreshIndices();
log.info("[Gate] 空仓止损追加, gridId:{}, 触发价:{}, stopLossId:{}", finalSlId, triggerPrice, profitId);
}
);
}
}
// ---- 工具 ----
/**
* 取反字符串数字。如 "1" → "-1","-2" → "2"。
* 用于开空单时将正数张数转为负数。
*/
private String negate(String qty) {
return qty.startsWith("-") ? qty.substring(1) : "-" + qty;
}
/**
* 预设标志位后提交条件开仓单,防止异步回调导致的竞态重复挂单。
*
* 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。
*
*
正向合约公式
*
* 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)
*
* 计价价格由 {@link GateConfig.PnLPriceMode} 决定:LAST_PRICE 用最新成交价,MARK_PRICE 用标记价格。
*/
private void updateUnrealizedPnl() {
BigDecimal price = resolvePnlPrice();
if (price == null || price.compareTo(BigDecimal.ZERO) == 0) {
return;
}
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));
}
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);
}
/**
* 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 lastKlinePrice;
}
/** @return 最新 K 线价格(每次 onKline 更新) */
public BigDecimal getLastKlinePrice() { return lastKlinePrice; }
/** 设置标记价格(外部注入,MARK_PRICE 模式时用于盈亏计算) */
public void setMarkPrice(BigDecimal markPrice) { this.markPrice = markPrice; }
/** @return 策略是否处于活跃状态(非 STOPPED 且非 WAITING_KLINE) */
public boolean isStrategyActive() { return state != StrategyState.STOPPED && state != StrategyState.WAITING_KLINE; }
/** @return 累计已实现盈亏(平仓推送驱动累加) */
public BigDecimal getCumulativePnl() { return cumulativePnl; }
/** @return 当前未实现盈亏(每根 K 线实时计算) */
public BigDecimal getUnrealizedPnl() { return unrealizedPnl; }
/** @return Gate 用户 ID(用于私有频道订阅 payload) */
public Long getUserId() { return userId; }
/** @return 当前策略状态 */
public StrategyState getState() { return state; }
/** 注入WS客户端,用于订阅状态检查 */
public void setWsClient(GateKlineWebSocketClient wsClient) { this.wsClient = wsClient; }
}