package com.xcong.excoin.modules.gateApi; 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.AccountDetail; import io.gate.gateapi.models.FuturesAccount; import io.gate.gateapi.models.FuturesOrder; import io.gate.gateapi.models.FuturesPriceTrigger; import io.gate.gateapi.models.Position; import lombok.extern.slf4j.Slf4j; import java.math.BigDecimal; import java.math.RoundingMode; import java.util.ArrayList; import java.util.Collections; import java.util.List; /** * Gate 网格交易服务 — 策略核心。 * *

策略

* 多空双开基底 → 生成价格网格队列 → K线触达网格线 → 开仓+设止盈 → 队列动态转移。 * 每根 K 线更新 {@code unrealizedPnl}(浮动盈亏),平仓后累加到 {@code cumulativePnl}(已实现盈亏)。 * *

未实现盈亏公式(正向合约)

*
 *   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)
 * 
* 计价价格支持切换:{@link GateConfig.PnLPriceMode#LAST_PRICE 最新成交价} 或 * {@link GateConfig.PnLPriceMode#MARK_PRICE 标记价格}(通过 {@link #setMarkPrice(BigDecimal)} 注入)。 * 入场价和持仓量由 {@link #onPositionUpdate(String, Position.ModeEnum, BigDecimal, BigDecimal)} 实时更新。 * *

状态机

*
 *   WAITING_KLINE → (首K线) → 异步双开基底
 *
 *   仓位推送(dual_long/dual_short) → 基底成交 → 记录入场价 → 双基底都成交 → 生成队列 → ACTIVE
 *
 *   ACTIVE:
 *     ├─ 每根K线 → 更新 unrealizedPnl + processShortGrid + processLongGrid
 *     │    ├─ 当前价 < 空仓队列元素 → 匹配 → 开空 + 队列元素转移到多仓队列
 *     │    └─ 当前价 > 多仓队列元素 → 匹配 → 开多 + 队列元素转移到空仓队列
 *     ├─ 仓位推送(非基底) → 设止盈条件单 entry × (1±gridRate)
 *     ├─ 保证金≥初始本金 marginRatioLimit → 跳过开仓,队列照常更新
 *     └─ cumulativePnl ≥ overallTp 或 ≤ -maxLoss → STOPPED
 * 
* * @author Administrator */ @Slf4j public class GateGridTradeService { public enum StrategyState { WAITING_KLINE, OPENING, ACTIVE, STOPPED } private static final String AUTO_SIZE_LONG = "close_long"; private static final String AUTO_SIZE_SHORT = "close_short"; private static final String ORDER_TYPE_CLOSE_LONG = "close-long-position"; private static final String ORDER_TYPE_CLOSE_SHORT = "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<>()); /** 基底空头入场价 */ private BigDecimal shortBaseEntryPrice; /** 基底多头入场价 */ private BigDecimal longBaseEntryPrice; /** 基底多头是否已开 */ private volatile boolean baseLongOpened = false; /** 基底空头是否已开 */ private volatile boolean baseShortOpened = false; /** 空头是否活跃(有仓位) */ private volatile boolean shortActive = false; /** 多头是否活跃(有仓位) */ private volatile boolean longActive = false; 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; 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 ---- 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); if (!config.getPositionMode().equals(account.getPositionMode())) { futuresApi.setPositionMode(SETTLE, config.getPositionMode()); } log.info("[Gate] 持仓模式: {} 余额: {}", config.getPositionMode(), account.getAvailable()); futuresApi.cancelPriceTriggeredOrderList(SETTLE, config.getContract()); log.info("[Gate] 旧条件单已清除"); closeExistingPositions(); futuresApi.updateContractPositionLeverageCall( SETTLE, config.getContract(), config.getLeverage(), config.getMarginMode(), config.getPositionMode(), null); 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()); } } 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 ---- 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; shortPriceQueue.clear(); longPriceQueue.clear(); log.info("[Gate] 网格策略已启动"); } public void stopGrid() { state = StrategyState.STOPPED; executor.cancelAllPriceTriggeredOrders(); executor.shutdown(); log.info("[Gate] 策略已停止, 累计盈亏: {}", cumulativePnl); } // ---- K线回调 ---- public void onKline(BigDecimal closePrice) { lastKlinePrice = closePrice; updateUnrealizedPnl(); if (state == StrategyState.STOPPED) { return; } if (state == StrategyState.WAITING_KLINE) { state = StrategyState.OPENING; log.info("[Gate] 首根K线到达,开基底仓位..."); executor.openLong(config.getQuantity(), () -> { baseLongOpened = true; longActive = true; log.info("[Gate] 基底多已开"); }, null); executor.openShort(negate(config.getQuantity()), () -> { baseShortOpened = true; shortActive = true; log.info("[Gate] 基底空已开"); }, null); return; } if (state != StrategyState.ACTIVE) { return; } processShortGrid(closePrice); processLongGrid(closePrice); } // ---- 仓位推送回调 ---- public void onPositionUpdate(String contract, Position.ModeEnum mode, BigDecimal size, BigDecimal entryPrice) { if (state == StrategyState.STOPPED || state == StrategyState.WAITING_KLINE) { return; } boolean hasPosition = size.abs().compareTo(BigDecimal.ZERO) > 0; if (Position.ModeEnum.DUAL_LONG == mode) { if (hasPosition) { longActive = true; longEntryPrice = entryPrice; longPositionSize = size; if (!baseLongOpened) { longBaseEntryPrice = entryPrice; baseLongOpened = true; log.info("[Gate] 基底多成交价: {}", longBaseEntryPrice); tryGenerateQueues(); } else { executor.placeTakeProfit(entryPrice.add(config.getGridRate()).setScale(1, RoundingMode.HALF_UP), FuturesPriceTrigger.RuleEnum.NUMBER_1, ORDER_TYPE_CLOSE_LONG, AUTO_SIZE_LONG); log.info("[Gate] 多单止盈已设, entry:{}, tp:{}", entryPrice, entryPrice.add(config.getGridRate()).setScale(1, RoundingMode.HALF_UP)); } } else { longActive = false; longPositionSize = BigDecimal.ZERO; } } else if (Position.ModeEnum.DUAL_SHORT == mode) { if (hasPosition) { shortActive = true; shortEntryPrice = entryPrice; shortPositionSize = size.abs(); if (!baseShortOpened) { shortBaseEntryPrice = entryPrice; baseShortOpened = true; log.info("[Gate] 基底空成交价: {}", shortBaseEntryPrice); tryGenerateQueues(); } else { executor.placeTakeProfit(entryPrice.subtract(config.getGridRate()).setScale(1, RoundingMode.HALF_UP), FuturesPriceTrigger.RuleEnum.NUMBER_2, ORDER_TYPE_CLOSE_SHORT, AUTO_SIZE_SHORT); log.info("[Gate] 空单止盈已设, entry:{}, tp:{}", entryPrice, entryPrice.subtract(config.getGridRate()).setScale(1, RoundingMode.HALF_UP)); } } else { shortActive = false; shortPositionSize = BigDecimal.ZERO; } } } // ---- 平仓推送回调 ---- public void onPositionClose(String contract, String side, BigDecimal pnl) { if (state == StrategyState.STOPPED) { return; } cumulativePnl = cumulativePnl.add(pnl); log.info("[Gate] 盈亏累加:{}, 方向:{}, 累计:{}", pnl, side, cumulativePnl); if (cumulativePnl.compareTo(config.getOverallTp()) >= 0) { log.info("[Gate] 已达止盈目标 {}→已停止", cumulativePnl); state = StrategyState.STOPPED; } else if (cumulativePnl.compareTo(config.getMaxLoss().negate()) <= 0) { log.info("[Gate] 已达亏损上限 {}→已停止", cumulativePnl); state = StrategyState.STOPPED; } } // ---- 网格队列处理 ---- private void tryGenerateQueues() { if (baseLongOpened && baseShortOpened) { generateShortQueue(); generateLongQueue(); state = StrategyState.ACTIVE; log.info("[Gate] 网格队列已生成, 空队首:{} → 尾:{}, 多队首:{} → 尾:{}, 已激活", shortPriceQueue.get(0), shortPriceQueue.get(shortPriceQueue.size() - 1), longPriceQueue.get(0), longPriceQueue.get(longPriceQueue.size() - 1)); } } private void generateShortQueue() { shortPriceQueue.clear(); BigDecimal step = config.getGridRate(); for (int i = 1; i <= config.getGridQueueSize(); i++) { shortPriceQueue.add(shortBaseEntryPrice.subtract(step.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP)); } shortPriceQueue.sort((a, b) -> b.compareTo(a)); //输出队列:shortPriceQueue; log.info("[Gate] 空队列:{}", shortPriceQueue); } private void generateLongQueue() { longPriceQueue.clear(); BigDecimal step = config.getGridRate(); for (int i = 1; i <= config.getGridQueueSize(); i++) { longPriceQueue.add(longBaseEntryPrice.add(step.multiply(BigDecimal.valueOf(i))).setScale(1, RoundingMode.HALF_UP)); } longPriceQueue.sort(BigDecimal::compareTo); log.info("[Gate] 多队列:{}", longPriceQueue); } private void processShortGrid(BigDecimal currentPrice) { List matched = new ArrayList<>(); synchronized (shortPriceQueue) { for (BigDecimal p : shortPriceQueue) { if (p.compareTo(currentPrice) > 0) { matched.add(p); } else { break; } } } if (matched.isEmpty()) { return; } log.info("[Gate] 空仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice); if (!isMarginSafe()) { log.warn("[Gate] 保证金超限,跳过空单开仓"); } else { executor.openShort(negate(config.getQuantity()), null, null); } synchronized (shortPriceQueue) { shortPriceQueue.removeAll(matched); BigDecimal min = shortPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : shortPriceQueue.get(shortPriceQueue.size() - 1); BigDecimal step = config.getGridRate(); for (int i = 0; i < matched.size(); i++) { min = min.subtract(step).setScale(1, RoundingMode.HALF_UP); shortPriceQueue.add(min); } shortPriceQueue.sort((a, b) -> b.compareTo(a)); } synchronized (longPriceQueue) { longPriceQueue.addAll(matched); longPriceQueue.sort(BigDecimal::compareTo); while (longPriceQueue.size() > config.getGridQueueSize()) { longPriceQueue.remove(longPriceQueue.size() - 1); } } } private void processLongGrid(BigDecimal currentPrice) { List matched = new ArrayList<>(); synchronized (longPriceQueue) { for (BigDecimal p : longPriceQueue) { if (p.compareTo(currentPrice) < 0) { matched.add(p); } else { break; } } } if (matched.isEmpty()) { return; } log.info("[Gate] 多仓队列触发, 匹配{}个元素, 当前价:{}", matched.size(), currentPrice); if (!isMarginSafe()) { log.warn("[Gate] 保证金超限,跳过多单开仓"); } else { executor.openLong(config.getQuantity(), null, null); } synchronized (longPriceQueue) { longPriceQueue.removeAll(matched); BigDecimal max = longPriceQueue.isEmpty() ? matched.get(matched.size() - 1) : longPriceQueue.get(longPriceQueue.size() - 1); BigDecimal step = config.getGridRate(); for (int i = 0; i < matched.size(); i++) { max = max.add(step).setScale(1, RoundingMode.HALF_UP); longPriceQueue.add(max); } longPriceQueue.sort(BigDecimal::compareTo); } synchronized (shortPriceQueue) { shortPriceQueue.addAll(matched); shortPriceQueue.sort((a, b) -> b.compareTo(a)); while (shortPriceQueue.size() > config.getGridQueueSize()) { shortPriceQueue.remove(shortPriceQueue.size() - 1); } } } // ---- 保证金安全阀 ---- private boolean isMarginSafe() { try { FuturesAccount account = futuresApi.listFuturesAccounts(SETTLE); BigDecimal margin = new BigDecimal(account.getPositionInitialMargin()); BigDecimal ratio = margin.divide(initialPrincipal, 4, RoundingMode.HALF_UP); log.debug("[Gate] 保证金比例: {}/{}={}", margin, initialPrincipal, ratio); return ratio.compareTo(config.getMarginRatioLimit()) < 0; } catch (Exception e) { log.warn("[Gate] 查保证金失败,默认放行", e); return true; } } // ---- 工具 ---- private String negate(String qty) { return qty.startsWith("-") ? qty.substring(1) : "-" + qty; } /** * 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); } /** * 根据配置的 PnLPriceMode 返回计价价格。 */ private BigDecimal resolvePnlPrice() { if (config.getUnrealizedPnlPriceMode() == GateConfig.PnLPriceMode.MARK_PRICE && markPrice.compareTo(BigDecimal.ZERO) > 0) { return markPrice; } return lastKlinePrice; } public BigDecimal getLastKlinePrice() { return lastKlinePrice; } public void setMarkPrice(BigDecimal markPrice) { this.markPrice = markPrice; } public boolean isStrategyActive() { return state != StrategyState.STOPPED && state != StrategyState.WAITING_KLINE; } public BigDecimal getCumulativePnl() { return cumulativePnl; } public BigDecimal getUnrealizedPnl() { return unrealizedPnl; } public Long getUserId() { return userId; } public StrategyState getState() { return state; } }