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

*
    *
  1. 获取用户 ID(用于私有频道订阅 payload)
  2. *
  3. 获取账户信息 → 记录初始本金
  4. *
  5. 如需要,切换为双向持仓模式
  6. *
  7. 如需要,调整持仓模式(single/dual)
  8. *
  9. 清除旧的止盈止损条件单
  10. *
  11. 平掉所有已有仓位
  12. *
  13. 设置杠杆倍数
  14. *
*/ 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(); 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

*
    *
  1. 更新 lastKlinePrice → 计算 unrealizedPnl(浮动盈亏)
  2. *
  3. STOPPED → 直接返回(仅保留盈亏更新)
  4. *
  5. WAITING_KLINE → 切换为 OPENING → 异步提交基底双开(开多+开空)
  6. *
  7. OPENING → 等待仓位推送回调生成队列,此处返回
  8. *
  9. ACTIVE → 执行 processShortGrid + processLongGrid
  10. *
* *

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,再重挂 cancelAllShortTakeProfitsAndStopLosses(); extendShortStopLoss(filledQty,shortGridElement.getId()); accumulatedShortLossCount = 0; // 加仓订单成交,重置止损累计 log.info("[Gate] 空单成交 gridId:{}", filledQty); // 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 (shortPositionSize.compareTo(shortBaseQty) > 0) { BigDecimal shortExcess = shortPositionSize.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,再重挂 cancelAllLongTakeProfitsAndStopLosses(); extendLongStopLoss(filledQty,longGridElement.getId()); accumulatedLongLossCount = 0; // 加仓订单成交,重置止损累计 log.info("[Gate] 多单成交 gridId:{}", filledQty); // 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 (longPositionSize.compareTo(longBaseQty) > 0) { BigDecimal longExcess = longPositionSize.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); } ); } } } } } // ---- 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: *
    *
  1. 生成空仓价格队列(降序)和多仓价格队列(升序)
  2. *
  3. 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
  4. *
  5. 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
  6. *
  7. 状态切换为 ACTIVE
  8. *
*/ 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(); 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(shortSize > 0 ? 1 : null) .downId(longSize > 0 ? -1 : null) .longTraderParam(longParam) .shortTraderParam(shortParam) .build()); } // 多仓队列:id 从 1 自增, longPriceQueue[i] → id=i+1 for (int i = 0; i < longSize; i++) { int id = i + 1; Integer downId = (i == 0) ? 0 : id - 1; Integer upId = (i == longSize - 1) ? null : id + 1; BigDecimal price = longPriceQueue.get(i); TraderParam longParam = TraderParam.builder() .direction(TraderParam.Direction.LONG) .entryPrice(price) .takeProfitPrice(price.add(step).setScale(prec, RoundingMode.HALF_UP)) .quantity(qty) .build(); TraderParam shortParam = TraderParam.builder() .direction(TraderParam.Direction.SHORT) .entryPrice(price) .takeProfitPrice(price.subtract(step).setScale(prec, RoundingMode.HALF_UP)) .quantity(qty) .build(); elements.add(GridElement.builder() .id(id) .gridPrice(price) .upId(upId) .downId(downId) .longTraderParam(longParam) .shortTraderParam(shortParam) .build()); } config.setGridElements(elements); log.info("[Gate] 网格元素列表已构建, 共{}个元素 (空仓:{} 位置:0 多仓:{})", elements.size(), shortSize, longSize); } private void processShortGrid(BigDecimal currentPrice) { 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

*
    *
  1. 多空双边均有持仓:longEntryPrice − shortEntryPrice > span × step
  2. *
  3. 仅持多仓:currentPrice − longEntryPrice > span × step
  4. *
  5. 仅持空仓:shortEntryPrice − currentPrice > span × step
  6. *
* 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; } }