indicator/strategy use stream series

README.md

@@ -51,12 +51,16 @@ kline时间窗口
 
 Dragonfly redis替换
 
+CCXT – [加密货币交易所交易库](https://github.com/ccxt/ccxt)
+
 ### 绘图框架
 tradingview advanced-charts: 
   - https://cn.tradingview.com/advanced-charts/
 tradingview lightweight-charts: 
   - https://tradingview.github.io/lightweight-charts/ 
   - https://github.com/tradingview/lightweight-charts
+  - widgets: https://www.tradingview.com/widget-docs/widgets/charts/symbol-overview/
+  - free: https://www.tradingview.com/free-charting-libraries/
 d3js:
   - https://d3js.org/
 night-vision:

api/pub.proto

@@ -146,6 +146,6 @@ message SeriesRange {
   bool live = 8; // 实时k线, before和after为0时是否追加实时k线
   bool desc = 9;  // 是否降序, 默认升序
 
-  uint32 window = 10; // 需要额外拉取更早的k线条数
+  uint32 windowExtra = 10; // 需要额外拉取更早的k线条数
   uint32 limit = 11; // 大于0时检查, 数据长度超过limit则返回错误
 }

api/trading.proto

@@ -44,8 +44,6 @@ message ReqStrategySeries {
 message RspStrategySeries {
     repeated Side signal = 1; // 0.sell,1.buy
     repeated int64 times = 2;
-    repeated bool wins = 3; // 下一根k线价格方向是否正确
-    double winRate = 4;
 }
 
 message ReqBacktest {

internal/exchange/exchange_service.go

@@ -732,8 +732,8 @@ func (svc *ExchangeService) CalcSeriesRange(arg *pb.SeriesRange) (after, before,
 		}
 	}
 	// 额外拉取
-	if arg.Window > 0 {
-		before = max(intervalAdder(before, -int64(arg.Window)), KlineBefore0)
+	if arg.WindowExtra > 0 {
+		before = max(intervalAdder(before, -int64(arg.WindowExtra)), KlineBefore0)
 	}
 	if before > after {
 		err = fmt.Errorf("time range invalid: before must less then after")

internal/trading/backtest/backtest.go

@@ -40,7 +40,7 @@ func (b *Backtest) RunTradingPlan(ctx context.Context, tradingPlan *sig.TradingP
 	instId := plan.InstId
 
 	sigStrategy := tradingPlan.GetSigStrategy()
-	maxWindow := sigStrategy.MaxWindow()
+	maxWindow := int(sigStrategy.RequiredSeries())
 	if maxWindow < 0 || maxWindow > indicator.MaxWindow {
 		err = fmt.Errorf("invalid window %d 0-%d, planId=%d", maxWindow, indicator.MaxWindow, plan.Id)
 		return
@@ -61,7 +61,7 @@ func (b *Backtest) RunTradingPlan(ctx context.Context, tradingPlan *sig.TradingP
 		Open:        false,
 		Live:        false,
 		Desc:        false,
-		Window:   uint32(maxWindow),
+		WindowExtra: uint32(maxWindow),
 	}
 	// fetch history klines via stream
 	req := &pb.ReqHistoryKlineStream{Series: seriesRange}

internal/trading/sig/indicator_context.go

@@ -60,12 +60,13 @@ func (c *IndicatorContext) Series(offset, count int16) (klines series.Klines) {
 	offset += c.offset
 	ks, ok := c.kSeries.Series(offset, count)
 	if !ok {
-		zlog.Warningf("get kline series offset out of range: offset=%d, count=%d, lastTs=%d", offset, count, c.kSeries.LastTs())
+		zlog.Warningf("get kline series offset out of range: offset=%d, count=%d, length=%d, lastTs=%d", offset, count, c.kSeries.Length(), c.kSeries.LastTs())
 		panic(fmt.Errorf("get kline series offset out of range: offset=%d, count=%d", offset, count))
 	}
 	return ks
 }
 
+// Deprecated: 用流处理(exchange rpc stream)
 type HistoryIndicatorContext struct {
 	IOffsetIndicatorContext
 	exchangeClient pb.ExchangeServiceClient

internal/trading/trading_grpc_server.go

@@ -22,7 +22,7 @@ func (svr *TradingGrpcServer) Init() (err error) {
 }
 
 func (svr *TradingGrpcServer) IndicatorSeries(ctx context.Context, req *pb.ReqIndicatorSeries) (rsp *pb.RspIndicatorSeries, err error) {
-	matrix, times, err := svr.tradingService.IndicatorSeries(req.Indicator, req.Window, req.Series)
+	matrix, times, err := svr.tradingService.IndicatorSeries(ctx, req.Indicator, req.Window, req.Series)
 	if err != nil {
 		return
 	}
@@ -34,7 +34,7 @@ func (svr *TradingGrpcServer) IndicatorSeries(ctx context.Context, req *pb.ReqIn
 
 func (svr *TradingGrpcServer) StrategySeries(ctx context.Context, req *pb.ReqStrategySeries) (rsp *pb.RspStrategySeries, err error) {
 	rsp = &pb.RspStrategySeries{}
-	err = svr.tradingService.StrategySeries(req, rsp)
+	err = svr.tradingService.StrategySeries(ctx, req, rsp)
 	return
 }
 

internal/trading/trading_service.go

@@ -3,6 +3,7 @@ package trading
 import (
 	"context"
 	"fmt"
+	"io"
 	"sig-pub/api/pb"
 	"sig-pub/pkg/client"
 	"sig-pub/pkg/data"
@@ -13,12 +14,14 @@ import (
 	"sig-pub/pkg/types"
 	"sig-pub/pkg/utils/collect"
 	"sig-pub/pkg/utils/lang"
+	"sig-pub/pkg/utils/times"
 	"sig-pub/pkg/zlog"
 
 	"sig-pub/internal/trading/backtest"
 	"sig-pub/internal/trading/sig"
 
 	"github.com/bytedance/sonic"
+	"google.golang.org/grpc"
 )
 
 type TradingService struct {
@@ -153,8 +156,48 @@ func (svc *TradingService) getTradingPlan(plan *entity.TradePlan, sigKlineSeries
 	// }()
 }
 
+// fetchHistoryKlineSeries 请求k线数据流式处理
+func (svc *TradingService) fetchHistoryKlineSeries(ctx context.Context, sr *pb.SeriesRange, recvFn func(k *types.Kline) error) (err error) {
+	// fetch history klines via stream
+	req := &pb.ReqHistoryKlineStream{Series: sr}
+	stream, err := svc.exchangeClient.HistoryKlineStream(ctx, req, grpc.UseCompressor("snappy"))
+	if err != nil {
+		return
+	}
+	var msg *pb.RspHistoryKlineStream
+	recvTimes, recvTotal := 0, 0
+	watch := times.NewWatch()
+	for {
+		select {
+		case <-ctx.Done():
+			err = ctx.Err()
+			return
+		default:
+		}
+		msg, err = stream.Recv()
+		if err == io.EOF {
+			err = nil
+			break
+		}
+		if err != nil {
+			return
+		}
+		recvTimes++
+		recvTotal += len(msg.Klines)
+		for _, k := range msg.Klines {
+			kline := new(types.Kline)
+			kline.ParsePBKline(sr.Exchange, k)
+			if err = recvFn(kline); err != nil {
+				return
+			}
+		}
+	}
+	zlog.Debugf("fetch history kline series: recv=%d, total=%d, use %s", recvTimes, recvTotal, watch.ElapsedFmt("."))
+	return
+}
+
 // IndicatorSeries 获取指标实时或历史序列数据, 闭区间
-func (svc *TradingService) IndicatorSeries(indicatorName string, window uint32, sr *pb.SeriesRange) (matrix []float64, times []int64, err error) {
+func (svc *TradingService) IndicatorSeries(ctx context.Context, indicatorName string, window uint32, sr *pb.SeriesRange) (matrix []float64, times []int64, err error) {
 	// indicatorName string, exchange pb.ExchangeType, instId string, interval types.Interval, window int
 	indicator, ok := svc.indicatorReg.IndicatorW(indicatorName)
 	if !ok {
@@ -168,42 +211,35 @@ func (svc *TradingService) IndicatorSeries(indicatorName string, window uint32,
 		return
 	}
 
-	// before, after, count := sr.Before, sr.After, sr.Count
-	// var indCtx IOffsetIndicatorContext
-	// // 查询实时指标数据
-	// if before == 0 && after == 0 {
-	// 	klineSeries, err1 := svc.klineStore.GetKlineSeires(sr.Exchange, sr.InstId, interval)
-	// 	if err1 != nil {
-	// 		err = err1
-	// 		return
-	// 	}
-	// 	// recover todo out of range
-	// 	indCtx = NewIndicatorContext(klineSeries)
-	// }
-
 	// 查询历史指标数据
-	sr.Window = window
-	indCtx := sig.NewHistoryIndicatorContext(svc.exchangeClient)
-	totalK := 0
-	if totalK, err = indCtx.Init(sr); err != nil {
+	requiredSeries := int(indicator.RequiredSeries(int16(window)))
+	sr.WindowExtra = uint32(requiredSeries)
+	kSeries := sig.NewKlineSeries(sr.Exchange, sr.InstId, types.Interval(sr.Interval))
+	indicatorContext := sig.NewIndicatorContext(kSeries)
+
+	matrix = make([]float64, 0, 200)
+	times = make([]int64, 0, 200)
+	err = svc.fetchHistoryKlineSeries(ctx, sr, func(k *types.Kline) (err error) {
+		if lastTs, serial := kSeries.Update(k); !serial {
+			err = fmt.Errorf("kline not series: %s(%s), interval=%s, lastTs=%d", sr.InstId, sr.Exchange, interval, lastTs)
 			return
 		}
-	count := totalK - int(window)
-
-	matrix = make([]float64, 0, sr.Count)
-	times = make([]int64, 0, sr.Count)
-	for i := count - 1; i >= 0; i-- {
-		indCtx.SetOffset(int16(i))
-		vector := indicator.Calculate(indCtx, int16(window))
+		if kSeries.Length() < requiredSeries {
+			return
+		}
+		vector := indicator.Calculate(indicatorContext, int16(window))
 		matrix = append(matrix, vector)
-		times = append(times, indCtx.Get(0).Ts)
+		times = append(times, indicatorContext.Get(0).Ts)
+		return
+	})
+	if err != nil {
+		return
 	}
 	return
 }
 
 // StrategySeries 简单策略信号测试
-// todo 去掉 HistoryIndicatorContext, 像backtest使用stream来一个算一个
-func (svc *TradingService) StrategySeries(req *pb.ReqStrategySeries, rsp *pb.RspStrategySeries) (err error) {
+func (svc *TradingService) StrategySeries(ctx context.Context, req *pb.ReqStrategySeries, rsp *pb.RspStrategySeries) (err error) {
 	// sigStrategy
 	sigStrategy, ok := svc.strategyReg.NewSigStrategy(req.SigStrategy)
 	if !ok {
@@ -222,54 +258,31 @@ func (svc *TradingService) StrategySeries(req *pb.ReqStrategySeries, rsp *pb.Rsp
 		return
 	}
 
-	// klineSeries, err1 := svc.klineStore.GetKlineSeires(req.Exchange, req.InstId, interval)
-	// if err1 != nil {
-	// 	err = err1
-	// 	return
-	// }
-	// recover todo out of range
+	requiredSeries := int(sigStrategy.RequiredSeries())
 	sr := req.Series
-	exchange := sr.Exchange
-	series := sig.NewKlineSeries(exchange, sr.InstId, interval)
-
-	count, totalK := 0, 0
-	indctx := sig.NewIndicatorContext(series)
-	_ = indctx
-
-	indicatorContext := sig.NewHistoryIndicatorContext(svc.exchangeClient)
-	req.Series.Window += indicator.MaxWindow
-	if totalK, err = indicatorContext.Init(req.Series); err != nil {
+	sr.WindowExtra = uint32(requiredSeries)
+	kSeries := sig.NewKlineSeries(sr.Exchange, sr.InstId, interval)
+	indicatorContext := sig.NewIndicatorContext(kSeries)
+	strategyContext := sig.NewStrategyContext(indicatorContext, svc.indicatorReg)
+	err = svc.fetchHistoryKlineSeries(ctx, sr, func(k *types.Kline) (err error) {
+		if lastTs, serial := kSeries.Update(k); !serial {
+			err = fmt.Errorf("kline not series: %s(%s), interval=%s, lastTs=%d", sr.InstId, sr.Exchange, interval, lastTs)
+			return
+		}
+		if kSeries.Length() < requiredSeries {
 			return
 		}
-	count = totalK - indicator.MaxWindow
-
-	strategyContext := sig.NewStrategyContext(indicatorContext, svc.indicatorReg)
-	for i := count - 1; i >= 0; i-- {
-		strategyContext.SetOffset(int16(i))
 		sigSide := sigStrategy.Update(strategyContext)
-		if sigSide == types.SideLong || sigSide == types.SideShort {
+		if sigSide.IsValid() {
 			side := lang.Ternary(sigSide == types.SideLong, pb.Side_BUY, pb.Side_SELL)
-			signalK := strategyContext.Get(0)
 			rsp.Signal = append(rsp.Signal, side)
-			rsp.Times = append(rsp.Times, signalK.Ts)
-			{
-				// todo delete
-				win := false
-				if indicatorContext.GetOffset() > 0 {
-					nextK := indicatorContext.Get(-1)
-					if side == pb.Side_BUY {
-						win = nextK.Close.Cmp(signalK.Close) > 0
-					} else {
-						win = nextK.Close.Cmp(signalK.Close) < 0
-					}
-				}
-				rsp.Wins = append(rsp.Wins, win)
-			}
+			rsp.Times = append(rsp.Times, k.Ts)
 		}
+		return
+	})
+	if err != nil {
+		return
 	}
-	// 信号点胜率判断
-	wins := collect.Filter(rsp.Wins, func(_ int, win bool) bool { return win })
-	rsp.WinRate = float64(len(wins)) / float64(len(rsp.Wins))
 	return
 }
 

pkg/indicator/atr.go

@@ -12,6 +12,10 @@ func (c *ATR) Name() string {
 	return "atr"
 }
 
+func (c *ATR) RequiredSeries(window int16) int16 {
+	return window + 1
+}
+
 // Calculate 计算单根k线rsi指标
 func (c *ATR) Calculate(ctx IIndicatorContext, window int16) (vector float64) {
 	klineSeries := ctx.Series(0, int16(window)+1)

pkg/indicator/indicator.go

@@ -17,7 +17,11 @@ type IIndicator interface {
 
 // IIndicator 窗口指标基础计算接口
 type IWindowIndicator interface {
+	// Name 指标名称
 	Name() string
+	// RequiredSeries 计算窗口大小的指标值需要的K线数量
+	RequiredSeries(window int16) int16
+	// Calculate 计算窗口大小的指标值
 	Calculate(ctx IIndicatorContext, window int16) (vector float64)
 }
 

pkg/indicator/rsi.go

@@ -11,11 +11,14 @@ import (
 type RSI struct {
 }
 
-// indicator interface
 func (c *RSI) Name() string {
 	return "rsi"
 }
 
+func (c *RSI) RequiredSeries(window int16) int16 {
+	return window
+}
+
 // Calculate 计算单根k线rsi指标
 func (c *RSI) Calculate(ctx IIndicatorContext, window int16) (vector float64) {
 	// 读k线, 计算

pkg/indicator/sam.go

@@ -14,6 +14,10 @@ func (c *SMA) Name() string {
 	return "sma"
 }
 
+func (c *SMA) RequiredSeries(window int16) int16 {
+	return window
+}
+
 // Calculate 计算单根k线sma指标
 func (c *SMA) Calculate(ctx IIndicatorContext, window int16) (vector float64) {
 	closeSeries := ctx.Series(0, window).Close()

pkg/strategy/cross_star.go

@@ -39,8 +39,8 @@ func (s *CrossStar) Init(param StrategyParam) (err error) { // 校验参数, 并
 	return
 }
 
-func (s *CrossStar) MaxWindow() int {
-	return int(1)
+func (s *CrossStar) RequiredSeries() int16 {
+	return 1
 }
 
 func (s *CrossStar) Update(ctx ISigStrategyContext) (side types.Side) {

pkg/strategy/gold_x.go

@@ -41,8 +41,8 @@ func (s *GoldX) Init(param StrategyParam) (err error) { // 校验参数, 并根
 	return
 }
 
-func (s *GoldX) MaxWindow() int {
-	return int(max(s.long, s.short))
+func (s *GoldX) RequiredSeries() int16 {
+	return max(s.long, s.short) + 1
 }
 
 func (s *GoldX) Update(ctx ISigStrategyContext) (side types.Side) {

pkg/strategy/sig_strategy.go

@@ -10,7 +10,7 @@ import (
 type ISigStrategy interface {
 	New() ISigStrategy
 	Meta() StrategyMeta
-	MaxWindow() int                       // 需要的最大数据窗口数, 回测时用, 若不定义则取最大窗口值
+	RequiredSeries() int16                // 需要的最小数据k线数, 回测时用, 若不定义则取最大窗口值
 	Init(param StrategyParam) (err error) // 校验参数, 并根据参数初始化策略
 	Update(ctx ISigStrategyContext) (side types.Side)
 }

pkg/strategy/super_trend.go

@@ -64,8 +64,8 @@ func (s *SupertrendBOSWaves) Init(param StrategyParam) (err error) { // 校验
 	return
 }
 
-func (s *SupertrendBOSWaves) MaxWindow() int {
-	return int(s.atrLength + 1)
+func (s *SupertrendBOSWaves) RequiredSeries() int16 {
+	return s.atrLength + 1
 }
 
 func (s *SupertrendBOSWaves) Update(ctx ISigStrategyContext) (side types.Side) {

pkg/trade/account.go

@@ -1,14 +0,0 @@
-package trade
-
-import (
-	"sig-pub/api/pb"
-
-	"github.com/govalues/decimal"
-)
-
-type IAccountHolder interface {
-	Exchange() pb.ExchangeType
-	GetValueCash() decimal.Decimal // 获取账户总市值
-	GetTradeCash() decimal.Decimal // 获取可交易空闲资金
-	GetOpenTrades() []int64        // 获取未平仓交易单
-}

pkg/trade/close_strategy.go

@@ -1,24 +1,84 @@
 package trade
 
+import (
+	"sig-pub/pkg/types"
+	"sig-pub/pkg/types/decimals"
+)
+
+type ICloseStrategy interface {
+	OnKline(k types.Kline, pos *Position) (closePos bool, cause Cause)
+	OnPrice(price float64, pos *Position) (closePos bool, cause Cause)
+	OnSigStrategySingal(sigSide types.Side, pos *Position) (closePos bool, cause Cause)
+}
+
 // 平仓策略参数
 type CloseStrategyParam struct {
-	StopLossPct   float64 // 固定止损 static stoploss
-	TakeProfitPct float64 // 固定止盈 static take profit
-
-	TrailMinProfit   float64 // 启动移动止损的最小盈利阈值(例如达到 1% 后才开始追踪)  minimum profit (fraction) before trailing activates (e.g. 0.01 = 1%)；
-	TrailingPct      float64 // 移动止损百分比(例如 0.02 表示从最高价回撤 2% 时触发追踪止损) trailing stop percent (e.g. 0.02 = 2%)；
-	ProfitRetracePct float64 // close when profit retraces more than this fraction of peak profit；基于最高利润回撤触发平仓（例如从最高利润回撤超过 30% 则平仓）。
+	StopLossPct        float64 `json:"stopLossPct"`        // 固定止损 static stoploss
+	TakeProfitPct      float64 `json:"takeProfitPct"`      // 固定止盈 static take profit
+	TrailMinProfit     float64 `json:"trailMinProfit"`     // 启动移动止损的最小盈利阈值(例如达到 1% 后才开始追踪)  minimum profit (fraction) before trailing activates (e.g. 0.01 = 1%)；
+	TrailingPct        float64 `json:"trailingPct"`        // 移动止损百分比(例如 0.02 表示从最高价回撤 2% 时触发追踪止损) trailing stop percent (e.g. 0.02 = 2%)；
+	ProfitRetracePct   float64 `json:"profitRetracePct"`   // close when profit retraces more than this fraction of peak profit；基于最高利润回撤触发平仓（例如从最高利润回撤超过 30% 则平仓）。
+	CloseOnSideReverse bool    `json:"closeOnSideReverse"` // 交易信号和持单方向相反时是否进行平仓
+	Fee                bool    `json:"fee"`                // 计算止盈止损时是否包含手续费
 }
 
+// CloseStrategy 平仓策略
 type CloseStrategy struct {
+	CloseStrategyParam
+}
+
+func NewCloseStrategy(param CloseStrategyParam) *CloseStrategy {
+	return &CloseStrategy{
+		CloseStrategyParam: param,
+	}
 }
 
-func NewCloseStrategy(param CloseStrategyParam) {
+// Update 当k线更新判断是否关闭仓位
+func (s *CloseStrategy) OnKline(k types.Kline, pos *Position) (closePos bool, cause Cause) {
+	closePrice := decimals.MustToFloat64(k.Close)
+	// update peak px
+	if pos.Side == types.SideLong && closePrice > pos.PeakPx {
+		pos.PeakPx = closePrice
+	}
+	if pos.Side == types.SideShort && closePrice < pos.PeakPx {
+		pos.PeakPx = closePrice
+	}
+	return s.OnPrice(closePrice, pos)
+}
 
+// OnPrice 当k线更新判断是否关闭仓位
+func (s *CloseStrategy) OnPrice(price float64, pos *Position) (closePos bool, cause Cause) {
+	if !pos.Side.IsValid() {
+		return
+	}
+	// side long:
+	if pos.Side == types.SideLong {
+		// 固定止损
+		if s.StopLossPct > 0 && price <= pos.EntryPx*(1-s.StopLossPct) {
+			return true, CauseStoploss
+		}
+		// 固定止盈
+		if s.TakeProfitPct > 0 && price >= pos.EntryPx*(1+s.TakeProfitPct) {
+			return true, CauseTakeprofit
 		}
+		// todo dynamic trailing
 
-// OnPriceUpdate 当价格更新判断是否关闭仓位
-func (s *CloseStrategy) OnPriceUpdate(price float64, position *string) (closePos bool) {
+		return
+	}
+	// side short:
+	if s.StopLossPct > 0 && price >= pos.EntryPx*(1+s.StopLossPct) {
+		return true, CauseStoploss
+	}
+	if s.TakeProfitPct > 0 && price <= pos.EntryPx*(1-s.TakeProfitPct) {
+		return true, CauseTakeprofit
+	}
+	return
+}
 
+// OnSigStrategySingal 根据策略信号尝试平掉相反方向的仓位。例如策略返回 SELL 时，平掉 BUY 持仓
+func (s *CloseStrategy) OnSigStrategySingal(sigSide types.Side, pos *Position) (closePos bool, cause Cause) {
+	if !s.CloseOnSideReverse {
 		return
 	}
+	return sigSide != pos.Side, CauseStoploss
+}

pkg/trade/error.go

@@ -1,10 +0,0 @@
-package trade
-
-type ErrorCode int32
-
-const (
-	_              ErrorCode = iota
-	ErrorCodeArgs            // 参数有误
-	ErrorCodeValue           // 值有误
-	ErrorCodeKline           // 错误k线
-)

pkg/trade/trade_account.go

@@ -0,0 +1,40 @@
+package trade
+
+import (
+	"sig-pub/pkg/data/entity"
+	"sig-pub/pkg/types"
+
+	"github.com/govalues/decimal"
+)
+
+// sig -> close strategy
+// sig -> risk strategy -> trade strategy -> tarde account
+type ITradeAccount interface {
+	// 根据当前价格对仓位进行 mark-to-market，返回账户净值
+	GetCurrentEquity() decimal.Decimal
+
+	// 返回当前仓位的名义总敞口（绝对值）
+	GetCurrentExposure() decimal.Decimal
+
+	// 获取可交易空闲资金
+	GetCash() decimal.Decimal
+
+	// 获取未平仓交易单
+	ListOpenPosition() []*Position
+
+	// 获取交易订单
+	GetTradeOrder(tradeId int64) Trade
+
+	// 判断在给定价格下是否可以开仓（基于 MaxPosPct 和 MaxExposurePct）
+	CanOpen(instId string, side types.Side, qty, price float64) bool
+
+	// 直接用市价下单（简化），qty为基础货币数量
+	ApplyMarketOrder(instId string, side types.Side, qty float64, price float64, ts int64) (t *entity.TradeOrder, ok bool)
+
+	// 将仓位进行平仓
+	ClosePosition()
+}
+
+type OkxTradeAccount struct {
+	ITradeAccount
+}

pkg/trade/trade_strategy.go

@@ -0,0 +1,12 @@
+package trade
+
+// ITradeStrategy 下单策略
+// 根据购买信号和账户信息生成下单参数
+type ITradeStrategy interface {
+}
+
+type TradeStrategyParam struct {
+}
+
+type TradeStrategy struct {
+}

pkg/trade/types.go

@@ -0,0 +1,51 @@
+package trade
+
+import "sig-pub/pkg/types"
+
+// Position 持仓仓位
+type Position struct {
+	TradeId int64      // 交易订单id
+	Status  int32      // 1.交易中 2.持仓中 3.已平仓
+	Side    types.Side // 交易方向
+	Qty     float64    // 交易量
+	EntryPx float64    // 入场价格
+	EntryTs int64      // 入场时间
+	PeakPx  float64    // highest (for long) or lowest (for short) observed price since entry
+	Fee     float64    // 手续费
+	FeeRate float64    // 手续费率
+}
+
+type Trade struct {
+	Id         int64      // 交易id
+	Side       types.Side // 交易方向
+	Qty        float64    // 交易量
+	Price      float64    // 开仓价格
+	Fee        float64    // 开仓手续费
+	Ts         int64      // 开仓时间
+	ClosePrice float64    // 平仓价格
+	CloseFee   float64    // 平仓手续费
+	CloseTs    int64      // 平仓时间
+	CloseCause string     // 平仓原因 ["stoploss", "takeprofit", "trailing", "retrace", "signal"](“止损”、“止盈”、“动态跟踪”、“回撤”、“信号”)
+	Pnl        float64    // 盈利/亏损 pnl = (t.ClosePrice-t.Price)*t.Qty - t.Fee - t.CloseFee
+	HoldTime   string     // 持仓时间
+}
+
+type Cause int32
+
+const (
+	_                  Cause = iota
+	CauseStoploss            // 固定止损
+	CauseTakeprofit          // 固定止盈
+	CauseReverseSingal       // 策略反向信号
+)
+
+func (c Cause) String() string {
+	switch c {
+	default:
+		return ""
+	case CauseStoploss:
+		return "stoploss"
+	case CauseTakeprofit:
+		return "takeprofit"
+	}
+}