网格挂单，一单成交才挂下一个
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@ -4,12 +4,18 @@ import vip.uuquant.exhangeapi.core.ExchangeFactory;
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import vip.uuquant.exhangeapi.core.HttpClient;
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import vip.uuquant.exhangeapi.core.WebSocketManager;
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import java.net.InetSocketAddress;
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import java.net.Proxy;
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/**
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* 交易所客户端全局单例
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*/
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public class CommonConstant {
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public static final HttpClient httpClient = HttpClient.builder().build();
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/** 全局 HTTP 代理 */
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public static final Proxy proxy = new Proxy(Proxy.Type.HTTP, new InetSocketAddress("127.0.0.1", 7897));
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public static final HttpClient httpClient = HttpClient.builder().proxy(proxy).build();
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public static final WebSocketManager webSocketManager = new WebSocketManager(httpClient);
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@ -32,6 +32,7 @@ import java.util.concurrent.CopyOnWriteArrayList;
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* 基于 ATR 的动态网格策略（只做多）。
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* <p>
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* 网格间距 = atr_multiplier × ATR，并限制在 [min_gap, max_gap] 区间。
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* 下方买单始终最多挂 1 笔：成交后再挂下一格，不会批量铺满网格。
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* 采用限价挂单买入，市价止盈卖出。
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* 网格间距变化时不撤销已有挂单，已成交仓位按最新间距计算止盈价。
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*/
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@ -54,7 +55,7 @@ public class AutoGridStrategy extends BaseStrategy {
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private boolean testMode;
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private int leverage;
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/**
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* 最大待成交买单数量
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* 最大持仓层数；达到后不再新建买单。待成交买单始终最多 1 笔。
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*/
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private int gridCount;
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@ -246,6 +247,7 @@ public class AutoGridStrategy extends BaseStrategy {
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refreshGridGap(true);
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syncOpenOrdersFromExchange();
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pruneExcessPendingBuys();
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placeInitialBuyGrids();
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createTask(this::syncAccount, 5, 600);
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@ -299,7 +301,7 @@ public class AutoGridStrategy extends BaseStrategy {
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bitGetClient.changeTestMode(testMode);
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AccountVO account = getAccount();
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bitGetClient.init(account.getApiKey(), account.getSecretKey(), account.getPassphrase(),
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null, CommonConstant.webSocketManager);
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CommonConstant.httpClient, CommonConstant.webSocketManager);
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// try {
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// bitGetClient.setLeverage(getSymbol(), leverage);
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// } catch (Exception e) {
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@ -357,19 +359,14 @@ public class AutoGridStrategy extends BaseStrategy {
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private BigDecimal fetchAtr() throws Exception {
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JSONObject params = new JSONObject();
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params.put("symbol", getPlainSymbol());
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params.put("granularity", normalizeKlineInterval(klineInterval));
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params.put("granularity", klineInterval);
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params.put("limit", String.valueOf(klinePeriod + 2));
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JSONArray klines = bitGetClient.getKLines(params);
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if (klines == null || klines.isEmpty()) {
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return null;
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}
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// BitGet 返回倒序，转为升序
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JSONArray sorted = new JSONArray();
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for (int i = klines.size() - 1; i >= 0; i--) {
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sorted.add(klines.getJSONArray(i));
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}
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return AtrCalculator.calculate(sorted, klinePeriod);
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return AtrCalculator.calculate(klines, klinePeriod);
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}
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private String normalizeKlineInterval(String interval) {
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@ -418,7 +415,7 @@ public class AutoGridStrategy extends BaseStrategy {
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// ======================== 网格挂单 ========================
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/**
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* 初始化仅挂下方一格买单，与运行中补单逻辑一致，避免网格间距调整后批量挂单失配。
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* 初始化仅挂下方一格买单，与运行中补单逻辑一致。
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*/
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private void placeInitialBuyGrids() {
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if (currentPrice == null || currentGridGap == null) {
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@ -427,25 +424,22 @@ public class AutoGridStrategy extends BaseStrategy {
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replenishBuyGrids();
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}
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/**
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* 无待成交买单时，在现价下方挂一格；已有挂单则不补，保证始终只有 1 笔买单。
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*/
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private void replenishBuyGrids() {
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if (!canPlaceBuyOrders() || currentGridGap == null) {
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if (!canPlaceBuyOrders() || currentGridGap == null || currentPrice == null) {
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return;
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}
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synchronized (tradeLock) {
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if (pendingBuyOrders.size() >= gridCount) {
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if (!pendingBuyOrders.isEmpty() || openPositions.size() >= gridCount) {
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return;
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}
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BigDecimal lowestPending = findLowestPendingBuyPrice();
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BigDecimal nextBuyPrice;
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if (lowestPending != null) {
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nextBuyPrice = lowestPending.subtract(currentGridGap);
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} else if (currentPrice != null) {
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nextBuyPrice = alignPriceDown(currentPrice, currentGridGap);
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} else {
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return;
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BigDecimal nextBuyPrice = alignPriceDown(currentPrice, currentGridGap);
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if (nextBuyPrice.compareTo(currentPrice) >= 0) {
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nextBuyPrice = nextBuyPrice.subtract(currentGridGap);
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}
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if (nextBuyPrice.compareTo(lowerBound) >= 0 && !hasBuyOrderAt(nextBuyPrice)) {
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@ -454,8 +448,28 @@ public class AutoGridStrategy extends BaseStrategy {
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}
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}
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/**
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* 买单成交后，挂「成交价再下一格」的限价买单。
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*/
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private void placeNextBuyBelow(BigDecimal filledPrice) {
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if (!canPlaceBuyOrders() || currentGridGap == null || filledPrice == null) {
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return;
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}
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synchronized (tradeLock) {
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if (!pendingBuyOrders.isEmpty() || openPositions.size() >= gridCount) {
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return;
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}
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BigDecimal nextBuyPrice = normalizePrice(filledPrice.subtract(currentGridGap));
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if (nextBuyPrice.compareTo(lowerBound) >= 0 && !hasBuyOrderAt(nextBuyPrice)) {
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placeLimitBuyOrder(nextBuyPrice);
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}
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}
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}
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private void placeLimitBuyOrder(BigDecimal price) {
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if (pendingBuyOrders.size() >= gridCount) {
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if (!pendingBuyOrders.isEmpty() || openPositions.size() >= gridCount) {
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return;
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}
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BigDecimal normalizedPrice = normalizePrice(price);
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@ -613,6 +627,9 @@ public class AutoGridStrategy extends BaseStrategy {
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submitOrderSync(orderId, clientPositionId, normalizedPrice, volume, OrderSide.BUY, OrderStatus.FILLED);
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submitPositionSync(clientPositionId, normalizedPrice, volume, true);
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// 成交后再挂下方一格，保证永远只有一笔待成交买单
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placeNextBuyBelow(normalizedPrice);
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}
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private void onSellFilled(BigDecimal price, BigDecimal volume, String orderId) {
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@ -688,6 +705,48 @@ public class AutoGridStrategy extends BaseStrategy {
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}
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}
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/**
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* 若交易所上残留多笔买单，只保留最靠近现价（价格最高）的一笔，撤销其余。
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*/
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private void pruneExcessPendingBuys() {
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if (pendingBuyOrders.size() <= 1) {
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return;
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}
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synchronized (tradeLock) {
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GridBuyOrder keep = pendingBuyOrders.values().stream()
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.max(Comparator.comparing(o -> o.buyPrice))
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.orElse(null);
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if (keep == null) {
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return;
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}
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List<GridBuyOrder> extras = new ArrayList<>();
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for (GridBuyOrder order : pendingBuyOrders.values()) {
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if (order.buyPrice.compareTo(keep.buyPrice) != 0) {
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extras.add(order);
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}
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}
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for (GridBuyOrder order : extras) {
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try {
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bitGetClient.cancelOrder(getSymbol(), order.exchangeOrderId, order.clientOrderId, null);
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pendingBuyOrders.remove(priceKey(order.buyPrice));
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logger.info("撤销多余买单：价格={}，订单号={}", order.buyPrice, order.exchangeOrderId);
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} catch (Exception e) {
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logger.error("撤销多余买单失败，价格={}", order.buyPrice, e);
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}
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}
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if (!extras.isEmpty()) {
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submitAlarm("清理多余挂单",
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String.format("仅保留最靠近现价的买单 %s，已撤销 %d 笔",
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formatPrice(keep.buyPrice), extras.size()),
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AlarmLevel.INFO);
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}
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}
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}
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private void fetchCurrentPriceFromRest() {
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try {
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JSONObject ticker = bitGetClient.getTicker(getSymbol());
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@ -772,9 +831,9 @@ public class AutoGridStrategy extends BaseStrategy {
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sb.append("<div>当前价：").append(formatPrice(currentPrice)).append("</div>");
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sb.append("<div>ATR：").append(formatPrice(currentAtr)).append("</div>");
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sb.append("<div>网格间距：").append(formatPrice(currentGridGap)).append("</div>");
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sb.append("<div>待成交买单：").append(pendingBuyOrders.size())
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.append(" / ").append(gridCount).append(" 笔</div>");
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sb.append("<div>持仓待止盈：").append(openPositions.size()).append(" 笔</div>");
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sb.append("<div>待成交买单：").append(pendingBuyOrders.size()).append(" / 1 笔</div>");
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sb.append("<div>持仓待止盈：").append(openPositions.size())
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.append(" / ").append(gridCount).append(" 层</div>");
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sb.append("<div>上限暂停：").append(upperBoundPaused ? "是" : "否").append("</div>");
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sb.append("<div>下限暂停：").append(lowerBoundPaused ? "是" : "否").append("</div>");
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@ -858,13 +917,6 @@ public class AutoGridStrategy extends BaseStrategy {
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return orderInfo;
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}
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private BigDecimal findLowestPendingBuyPrice() {
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return pendingBuyOrders.values().stream()
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.map(o -> o.buyPrice)
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.min(BigDecimal::compareTo)
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.orElse(null);
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}
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private boolean hasBuyOrderAt(BigDecimal price) {
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return pendingBuyOrders.containsKey(priceKey(normalizePrice(price)));
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}
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