fetch rpc

README.md

@@ -49,6 +49,9 @@ k线推送
 价格/交易量精度->tsdb读写存储
 kline时间窗口
 
+Dragonfly redis替换
+
+### 绘图框架
 tradingview advanced-charts: 
   - https://cn.tradingview.com/advanced-charts/
 tradingview lightweight-charts: 
@@ -56,6 +59,8 @@ tradingview lightweight-charts:
   - https://github.com/tradingview/lightweight-charts
 d3js:
   - https://d3js.org/
+night-vision:
+  - [night-vision](https://github.com/project-nv/night-vision)
 
 DXcharts:
   - https://devexperts.com/dxcharts/
@@ -71,3 +76,7 @@ strategy0: 趋势追踪，增长趋势，
 2. 当前属于波段增长点
 3. 买卖点画叉
 4. 移动止盈，固定止损，风险评估止损
+
+### 量化框架参考
+
+[investing-algorithm-framework](https://github.com/coding-kitties/investing-algorithm-framework)

api/exchange.proto

@@ -63,9 +63,9 @@ message ReqHistoryKline {
   int64 before = 4;
   int64 after = 5;
   uint32 count = 6; // k线条数,before或after其中一个为0时有效
-  // bool open = 7; // 是否开区间, 不包含 before/after
+  bool open = 7; // 是否开区间, before/after不为0时不包含
   bool live = 8; // 实时k线, before和after为0时是否追加实时k线
-  bool asc = 9;  // 是否升序, 默认降序
+  bool desc = 9;  // 是否降序, 默认升序
 }
 message RspHistoryKline {
   ExchangeType exchange = 1; // 交易所

api/pub.proto

@@ -106,14 +106,14 @@ message TradeInstanceState {
 }
 
 message Kline {
-  int64 ts = 2;
+  int64 time = 2;
   string interval = 3; // 周期
-  string open = 4;
+  double open = 4;
-  string high = 5;
+  double high = 5;
-  string low = 6;
+  double low = 6;
-  string close = 7;
+  double close = 7;
-  string vol = 8;      // 交易量
+  double vol = 8;      // 交易量
-  string volQuote = 9; // 交易额
+  double volQuote = 9; // 交易额
   bool confirm = 10;   // k线是否完结
 }
 

api/trading.proto

@@ -48,6 +48,7 @@ message ReqStrategySeries {
     int64 before = 6; // 0表示最新
     int64 after = 7; // 0表示最新
     int32 count = 8; // k线条数,before或after其中一个为0时有效
+    map<string,string> sigParam = 15; // 策略参数
 }
 message RspStrategySeries {
     repeated Side signal = 1; // 0.sell,1.buy

config/config.toml

@@ -1,13 +1,12 @@
 
 [grpc]
-maxSendMsgSize = "16Mi"
+maxSendMsgSize = "8Mi"
-maxRecvMsgSize = "16Mi"
+maxRecvMsgSize = "8Mi"
 readBufferSize = "8Ki"
 writeBufferSize = "8Ki"
 
 [grpc.keepalive]
 idleTimeout = "60s" # 空闲连接超时
-forceCloseWait = "20s"
 keepAliveInterval = "60s" # 发送 ping 的间隔
 keepAliveTimeout = "20s" # ping 超时
 maxLifeTime = "2h"

config/exchange.toml

@@ -18,8 +18,8 @@ receiveBuffer = 4096
 marketSubscribeLimit = 16
 consumeBatch = 1024
 consumeLater = 2000 # 时间到达later或者数据累计到batch触发consume
-# httpProxy = "http://192.168.1.5:7890"
+httpProxy = "http://192.168.1.5:7890"
-httpProxy = "http://10.255.183.209:7890"
+# httpProxy = "http://10.255.183.209:7890"
 
 # 模拟盘API交易地址如下：
 # REST：https://www.okx.com

internal/exchange/exchange_service.go

@@ -658,7 +658,7 @@ func (svc *ExchangeService) ExchangeInstanceState(req *pb.ReqExchangeInstanceSta
 }
 
 const (
-	MaxHistoryKlines = 100
+	MaxHistoryKlines = 200
 )
 
 // HistoryKline 获取交易产品历史k线 (before < klines... < after)
@@ -691,7 +691,7 @@ func (svc *ExchangeService) HistoryKline(ctx context.Context, req *pb.ReqHistory
 	}
 	// 拉取最新的
 	lastTs := int64(0)
-	if afterTs == 0 {
+	if req.After == 0 {
 		liveK := exchangeInst.LiveKline.Get(interval)
 		lastTs = liveK.Ts
 		if !liveK.Confirm {
@@ -707,6 +707,21 @@ func (svc *ExchangeService) HistoryKline(ctx context.Context, req *pb.ReqHistory
 	if beforeTs == 0 {
 		beforeTs = max(intervalAdder(afterTs, -count+1), KlineBefore0)
 	}
+	// 开区间
+	if req.Open {
+		if req.After != 0 {
+			afterTs = max(intervalAdder(afterTs, -1), beforeTs)
+			if req.Before == 0 {
+				beforeTs = max(intervalAdder(beforeTs, -1), KlineBefore0)
+			}
+		}
+		if req.Before != 0 {
+			beforeTs = min(intervalAdder(beforeTs, 1), afterTs)
+			if req.After == 0 {
+				afterTs = min(intervalAdder(beforeTs, 1), lastTs)
+			}
+		}
+	}
 	if beforeTs > afterTs {
 		err = fmt.Errorf("time range invalid: before must less then after")
 		return
@@ -726,6 +741,10 @@ func (svc *ExchangeService) HistoryKline(ctx context.Context, req *pb.ReqHistory
 	if len(klines) == 0 {
 		return
 	}
+	// 检查k线是否连续进行补齐
+	if err = svc.paddingKlinesIfNotSeries(exchange, req.InstId, interval, klines); err != nil {
+		return
+	}
 
 	lastK := klines[len(klines)-1]
 	// vmtsdb 数据刷盘30s延迟, 使用内存数据替代第一根k线
@@ -740,7 +759,7 @@ func (svc *ExchangeService) HistoryKline(ctx context.Context, req *pb.ReqHistory
 	}
 
 	// 降序排序
-	if !req.Asc {
+	if req.Desc {
 		collect.Reverse(klines)
 	}
 
@@ -748,10 +767,10 @@ func (svc *ExchangeService) HistoryKline(ctx context.Context, req *pb.ReqHistory
 	if req.Live && len(klines) > 0 {
 		liveK := exchangeInst.LiveKline.Get(interval)
 		if latest := intervalAdder(lastK.Ts, 1) == liveK.Ts; latest {
-			if req.Asc {
+			if req.Desc {
-				klines = append(klines, &liveK)
-			} else {
 				klines = append([]*types.Kline{&liveK}, klines...)
+			} else {
+				klines = append(klines, &liveK)
 			}
 			rsp.Live = true
 		}

internal/trading/kline_series.go

@@ -80,7 +80,7 @@ func (s *KlineSeries) Series(offset, count int16) (klines series.Klines, ok bool
 	if ok = offset >= 0 && offset < MaxSeriesKlines; !ok {
 		return
 	}
-	if ok = count >= 0 && offset+count < MaxSeriesKlines; !ok {
+	if ok = count > 0 && offset+count < MaxSeriesKlines; !ok {
 		return
 	}
 

internal/trading/trading_service.go

@@ -208,11 +208,20 @@ func (svc *TradingService) IndicatorSeries(req *pb.ReqIndicatorSeries, rsp *pb.R
 
 // StrategySeries 简单策略信号测试
 func (svc *TradingService) StrategySeries(req *pb.ReqStrategySeries, rsp *pb.RspStrategySeries) (err error) {
-	strategy, ok := svc.strategyReg.NewSigStrategy(req.Strategy)
+	// sigStrategy
+	sigStrategy, ok := svc.strategyReg.NewSigStrategy(req.Strategy)
 	if !ok {
 		err = fmt.Errorf("strategy %s not exists", req.Strategy)
 		return
 	}
+	err = sigStrategy.Init(strategy.SigStrategyParam{
+		Interval: types.Interval(req.Interval),
+		Param:    req.SigParam,
+	})
+	if err != nil {
+		return
+	}
+
 	interval := types.Interval(req.Interval)
 	intervalAdd, ok := types.SupportedIntervals[interval]
 	if !ok {
@@ -230,7 +239,7 @@ func (svc *TradingService) StrategySeries(req *pb.ReqStrategySeries, rsp *pb.Rsp
 	strategyCtx := NewStrategyContext(klineSeries, svc.indicatorReg)
 	for i := range req.Count {
 		strategyCtx.SetOffset(int16(i))
-		strategy.Update(strategyCtx)
+		sigStrategy.Update(strategyCtx)
 	}
 	rsp.Signal = strategyCtx.signal
 	rsp.Times = strategyCtx.signalTimes

pkg/config/config.go

@@ -35,7 +35,6 @@ type GrpcConfig struct {
 
 type GrpcKeepalive struct {
 	IdleTimeout       string
-	ForceCloseWait    string
 	KeepAliveInterval string
 	KeepAliveTimeout  string
 	MaxLifeTime       string

pkg/config/grpc_options.go

@@ -12,13 +12,13 @@ func GetGrpcOptions(c GrpcConfig, customOpts ...grpc.ServerOption) (opts []grpc.
 		opts = append(opts, grpc.MaxSendMsgSize(conver.MustParseDataUnitInt(c.MaxSendMsgSize)))
 	}
 	if c.MaxRecvMsgSize != "" {
-		opts = append(opts, grpc.MaxSendMsgSize(conver.MustParseDataUnitInt(c.MaxRecvMsgSize)))
+		opts = append(opts, grpc.MaxRecvMsgSize(conver.MustParseDataUnitInt(c.MaxRecvMsgSize)))
 	}
 	if c.ReadBufferSize != "" {
-		opts = append(opts, grpc.MaxSendMsgSize(conver.MustParseDataUnitInt(c.ReadBufferSize)))
+		opts = append(opts, grpc.ReadBufferSize(conver.MustParseDataUnitInt(c.ReadBufferSize)))
 	}
 	if c.WriteBufferSize != "" {
-		opts = append(opts, grpc.MaxSendMsgSize(conver.MustParseDataUnitInt(c.WriteBufferSize)))
+		opts = append(opts, grpc.WriteBufferSize(conver.MustParseDataUnitInt(c.WriteBufferSize)))
 	}
 
 	// grpc server keepalive
@@ -26,9 +26,6 @@ func GetGrpcOptions(c GrpcConfig, customOpts ...grpc.ServerOption) (opts []grpc.
 	if c.keepalive.IdleTimeout != "" {
 		keep.MaxConnectionIdle = conver.MustParseDuration(c.keepalive.IdleTimeout)
 	}
-	if c.keepalive.ForceCloseWait != "" {
-		keep.MaxConnectionAgeGrace = conver.MustParseDuration(c.keepalive.ForceCloseWait)
-	}
 	if c.keepalive.KeepAliveInterval != "" {
 		keep.Time = conver.MustParseDuration(c.keepalive.KeepAliveInterval)
 	}

pkg/data/entity/trade_order.go

@@ -25,6 +25,8 @@ type TradeOrder struct {
 	TradeTime      int64           `gorm:"column:trade_time" json:"tradeTime"`            // 成交时间
 	CreateTime     int64           `gorm:"column:create_time" json:"createTime"`          // 创建时间
 	UpdateTime     int64           `gorm:"column:update_time" json:"updateTime"`          // 更新时间
+	Decision       string          `gorm:"column:decision" json:"decision"`               // 决策过程数据 json map
+	DecisionM      map[string]any  `gorm:"-" json:"decisionM"`
 }
 
 func (TradeOrder) TableName() string {

pkg/strategy/sig_strategy_params.go

@@ -81,14 +81,14 @@ type ISigStrategyParamGenerator interface {
 
 type SigStrategyParam struct {
 	Interval types.Interval    `json:"interval"` // 策略驱动周期
-	Params   map[string]string `json:"params"`   // 策略执行参数
+	Param    map[string]string `json:"param"`    // 策略执行参数
 }
 
 func (s *SigStrategyParam) Get(key string) (v string, ok bool) {
-	if len(s.Params) == 0 {
+	if len(s.Param) == 0 {
 		return
 	}
-	v, ok = s.Params[key]
+	v, ok = s.Param[key]
 	return
 }
 

pkg/types/decimals/decimal.go

@@ -13,3 +13,11 @@ func MustToFloat64(v decimal.Decimal) float64 {
 	}
 	return f
 }
+
+func MustFromFloat64(f float64) (v decimal.Decimal) {
+	v, err := decimal.NewFromFloat64(f)
+	if err != nil {
+		panic(fmt.Errorf("decimal from float64 error: %v", err))
+	}
+	return
+}

pkg/types/kline.go

@@ -2,6 +2,7 @@ package types
 
 import (
 	"sig-pub/api/pb"
+	"sig-pub/pkg/types/decimals"
 
 	"github.com/govalues/decimal"
 )
@@ -27,28 +28,34 @@ type Kline struct {
 
 func (k *Kline) ParsePBKline(exchange pb.ExchangeType, kline *pb.Kline) {
 	// k.Exchange = exchange.String()
+	k.Ts = kline.Time
 	k.Interval = Interval(kline.Interval)
-	k.Ts = kline.Ts
-	k.Open = decimal.MustParse(kline.Open)
-	k.High = decimal.MustParse(kline.High)
-	k.Low = decimal.MustParse(kline.Low)
-	k.Close = decimal.MustParse(kline.Close)
-	k.Vol = decimal.MustParse(kline.Vol)
-	k.VolQuote = decimal.MustParse(kline.VolQuote)
 	k.Confirm = kline.Confirm
+	// k.Open = decimal.MustParse(kline.Open)
+	// k.High = decimal.MustParse(kline.High)
+	// k.Low = decimal.MustParse(kline.Low)
+	// k.Close = decimal.MustParse(kline.Close)
+	// k.Vol = decimal.MustParse(kline.Vol)
+	// k.VolQuote = decimal.MustParse(kline.VolQuote)
+	k.Open = decimals.MustFromFloat64(kline.Open)
+	k.High = decimals.MustFromFloat64(kline.High)
+	k.Low = decimals.MustFromFloat64(kline.Low)
+	k.Close = decimals.MustFromFloat64(kline.Close)
+	k.Vol = decimals.MustFromFloat64(kline.Vol)
+	k.VolQuote = decimals.MustFromFloat64(kline.VolQuote)
 }
 
 func (k *Kline) ToPBKline() (kline *pb.Kline) {
 	kline = &pb.Kline{
-		Ts:       k.Ts,
+		Time:     k.Ts,
 		Interval: string(k.Interval),
-		Open:     k.Open.String(),
-		High:     k.High.String(),
-		Low:      k.Low.String(),
-		Close:    k.Close.String(),
-		Vol:      k.Vol.String(),
-		VolQuote: k.VolQuote.String(),
 		Confirm:  k.Confirm,
+		Open:     decimals.MustToFloat64(k.Open),
+		High:     decimals.MustToFloat64(k.High),
+		Low:      decimals.MustToFloat64(k.Low),
+		Close:    decimals.MustToFloat64(k.Close),
+		Vol:      decimals.MustToFloat64(k.Vol),
+		VolQuote: decimals.MustToFloat64(k.VolQuote),
 	}
 	return
 }