挂单撤单新增参数cancel_grid_count
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pom.xml
2
pom.xml
@ -5,7 +5,7 @@
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<groupId>com.sample</groupId>
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<artifactId>trend-grid-strategy</artifactId>
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<version>1.0.4-SNAPSHOT</version>
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<version>1.0.5-SNAPSHOT</version>
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<name>trend-grid-strategy</name>
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<description>趋势网格策略</description>
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@ -36,17 +36,13 @@ import java.util.concurrent.CopyOnWriteArrayList;
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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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* 若现价相对挂单价上行超过间距 × 1.5，撤单并按现价重新挂靠下一格，避免买单悬空。
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* 若挂单价低于「现价 − 撤单网格数 × 间距」，撤单并按现价重新挂靠下一格，避免买单长期悬空。
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* 采用限价挂单买入，买单成交后在「入场价 + 间距」挂限价卖单止盈。
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* 网格间距变化时不撤销已有挂单，已挂卖单价格保持不变。
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*/
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public class AutoGridStrategy extends BaseStrategy {
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private static final String MARGIN_MODE = "crossed";
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/**
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* 现价高于挂单价超过「间距 × 该倍数」时，撤单重挂
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*/
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private static final BigDecimal BUY_REBASE_MULTIPLIER = new BigDecimal("1.5");
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private final Logger logger = LoggerFactory.getLogger(AutoGridStrategy.class);
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@ -68,6 +64,10 @@ public class AutoGridStrategy extends BaseStrategy {
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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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/**
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* 撤单网格数 N：挂单价低于「现价 − N × 间距」时撤单重挂（例：间距 5、N=5 → 撤现价−25 以下的买单）。
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*/
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private int cancelGridCount;
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// 精度
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private int pricePrecision = 2;
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@ -264,7 +264,7 @@ public class AutoGridStrategy extends BaseStrategy {
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tryParams("base_quantity", "atr_multiplier", "grid_grp_script", "kline_interval", "kline_period",
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"grid_adjust_interval", "min_gap", "max_gap", "upper_bound", "lower_bound",
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"grid_count", "test_mode");
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"grid_count", "cancel_grid_count", "test_mode");
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baseQuantity = getRunParams().getBigDecimal("base_quantity");
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atrMultiplier = getRunParams().getBigDecimal("atr_multiplier");
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@ -285,6 +285,10 @@ public class AutoGridStrategy extends BaseStrategy {
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if (gridCount <= 0) {
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throw new IllegalArgumentException("grid_count 必须大于 0");
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}
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cancelGridCount = getRunParams().getInteger("cancel_grid_count");
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if (cancelGridCount <= 0) {
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throw new IllegalArgumentException("cancel_grid_count 必须大于 0");
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}
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if (lowerBound.compareTo(upperBound) >= 0) {
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throw new IllegalArgumentException("lower_bound 必须小于 upper_bound");
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@ -432,6 +436,7 @@ public class AutoGridStrategy extends BaseStrategy {
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variables.put("upperBound", upperBound == null ? null : upperBound.doubleValue());
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variables.put("lowerBound", lowerBound == null ? null : lowerBound.doubleValue());
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variables.put("gridCount", gridCount);
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variables.put("cancelGridCount", cancelGridCount);
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variables.put("leverage", leverage);
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variables.put("pricePrecision", pricePrecision);
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variables.put("quantityPrecision", quantityPrecision);
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@ -521,11 +526,12 @@ public class AutoGridStrategy extends BaseStrategy {
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/**
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* 价格单边上行时，下方买单会悬空永远不成交。
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* 当 现价 - 挂单价 > 间距 × 1.5 时，撤单并按现价重新对齐挂单（例：1532 / 间距 5 → 1530）。
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* 当挂单价低于「现价 − 撤单网格数 × 间距」时，撤单并按现价重新对齐挂单
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* （例：现价 1532、间距 5、撤单网格数 5 → 撤销 1507 以下的买单，再挂到现价下方一格）。
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*/
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private void rebaseStalePendingBuy() {
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if (!canPlaceBuyOrders() || currentPrice == null || currentGridGap == null
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|| currentGridGap.compareTo(BigDecimal.ZERO) <= 0) {
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|| currentGridGap.compareTo(BigDecimal.ZERO) <= 0 || cancelGridCount <= 0) {
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return;
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}
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@ -535,9 +541,10 @@ public class AutoGridStrategy extends BaseStrategy {
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}
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GridBuyOrder pending = pendingBuyOrders.values().iterator().next();
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BigDecimal distance = currentPrice.subtract(pending.buyPrice);
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BigDecimal threshold = currentGridGap.multiply(BUY_REBASE_MULTIPLIER);
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if (distance.compareTo(threshold) <= 0) {
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BigDecimal cancelBelow = currentPrice.subtract(
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currentGridGap.multiply(BigDecimal.valueOf(cancelGridCount)));
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// 只撤「现价 − N×间距」以下的挂单，避免半格内频繁追价
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if (pending.buyPrice.compareTo(cancelBelow) >= 0) {
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return;
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}
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@ -549,12 +556,13 @@ public class AutoGridStrategy extends BaseStrategy {
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try {
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bitGetClient.cancelOrder(getSymbol(), pending.exchangeOrderId, pending.clientOrderId, null);
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pendingBuyOrders.remove(priceKey(pending.buyPrice));
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logger.info("买单距现价过远，撤单重挂：旧价={}，现价={}，间距={}，阈值={}，新价={}",
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pending.buyPrice, currentPrice, currentGridGap, threshold, newPrice);
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logger.info("买单距现价过远，撤单重挂：旧价={}，现价={}，间距={}，撤单网格数={}，撤单线={}，新价={}",
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pending.buyPrice, currentPrice, currentGridGap, cancelGridCount, cancelBelow, newPrice);
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submitAlarm("买单追价重挂",
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String.format("旧挂单价 %s，现价 %s，超过间距×1.5（%s），重挂至 %s",
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formatPrice(pending.buyPrice), formatPrice(currentPrice),
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formatPrice(threshold), formatPrice(newPrice)),
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String.format("旧挂单价 %s 低于撤单线 %s（现价 %s − %d×间距 %s），重挂至 %s",
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formatPrice(pending.buyPrice), formatPrice(cancelBelow),
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formatPrice(currentPrice), cancelGridCount, formatPrice(currentGridGap),
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formatPrice(newPrice)),
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AlarmLevel.INFO);
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placeLimitBuyOrder(newPrice);
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} catch (Exception e) {
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@ -1214,6 +1222,7 @@ 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>撤单网格数：").append(cancelGridCount).append("</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>待成交卖单：").append(pendingSellOrders.size()).append(" 笔</div>");
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sb.append("<div>持仓待止盈：").append(openPositions.size())
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