indicator meta

api/pub.proto

@@ -172,22 +172,45 @@ message Paging {
   bool asc = 3; // 升序排序
 }
 
+// 指标元数据
+message IndicatorMeta {
+	string name = 1; // 指标名称
+	string desc = 2; // 指标描述
+	repeated InputArg input = 3; // 输入参数
+  repeated string state = 4; // 向外暴露状态
+  repeated IndicatorPlotSeries plots = 5; // 指标绘图属性
+}
+
 // 指标绘图
 message IndicatorPlot {
     string indicator = 1;
     repeated IndicatorPlotSeries plots = 9;
 }
 message IndicatorPlotSeries {
-  string state = 1;
+  string name = 1;
-  int32 type = 2;
+  string state = 2;
-  google.protobuf.Struct props = 3;
+  int32 type = 3;
-  repeated IndicatorPlotExp exps = 4;
+  google.protobuf.Struct props = 4;
+  repeated IndicatorPlotExp exps = 5;
 }
 message IndicatorPlotExp {
   string exp = 1;
   google.protobuf.Struct props = 3;
 }
 
+// 输入参数定义
+message InputArg {
+	string name = 1;
+	string desc = 2;
+	int32 type = 3; // 参数类型
+	repeated InputOption options = 4 ;  // 单选/多选选项列表
+	string default = 5; // 默认值
+}
+message InputOption {
+	string name = 1;
+	string desc = 2;
+}
+
 // 输入参数范围
 message InputRange {
 	string name  = 1; // 参数名 names

api/trading.proto

@@ -7,6 +7,12 @@ option go_package = "./pb";
 
 // 交易系统服务
 service TradingService {
+    // 获取指标列表
+    rpc Indicators(ReqIndicators) returns (RspIndicators);
+
+    // 获取指标元数据
+    rpc IndicatorMetas(ReqIndicatorMetas) returns (RspIndicatorMetas);
+
     // 获取指标绘图属性
     rpc IndicatorPlots(ReqIndicatorPlots) returns (RspIndicatorPlots);
 
@@ -26,6 +32,19 @@ service TradingService {
     rpc BacktestLog(ReqBacktestLog) returns (RspBacktestLog);
 }
 
+message ReqIndicators {
+}
+message RspIndicators {
+    repeated string indicators = 1;
+}
+
+message ReqIndicatorMetas {
+    repeated string indicators = 1;
+}
+message RspIndicatorMetas {
+    repeated IndicatorMeta metas = 1;
+}
+
 message ReqIndicatorPlots {
     repeated string indicators = 1;
 }

config/exchange.toml

@@ -19,8 +19,8 @@ marketSubscribeLimit = 16
 consumeBatch = 1024
 consumeLater = 2000                             # 时间到达later或者数据累计到batch触发consume
 # httpProxy = ""
-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/trading/trading_grpc_server.go

@@ -2,8 +2,10 @@ package trading
 
 import (
 	"context"
+	"fmt"
 	"sig-pub/api/pb"
 	"sig-pub/pkg/types"
+	"sig-pub/pkg/utils/collect"
 	"sig-pub/pkg/utils/lang"
 	"sig-pub/pkg/utils/times"
 	"sig-pub/pkg/zlog"
@@ -26,6 +28,71 @@ func (svr *TradingGrpcServer) Init() (err error) {
 	return
 }
 
+func (svr *TradingGrpcServer) Indicators(ctx context.Context, req *pb.ReqIndicators) (rsp *pb.RspIndicators, err error) {
+	rsp = new(pb.RspIndicators)
+	rsp.Indicators = svr.tradingService.Indicators()
+	return
+}
+
+func (svr *TradingGrpcServer) IndicatorMetas(ctx context.Context, req *pb.ReqIndicatorMetas) (rsp *pb.RspIndicatorMetas, err error) {
+	indMetas, err := svr.tradingService.IndicatorMeta(req.Indicators...)
+	if err != nil {
+		return
+	}
+	indPlots, err := svr.tradingService.IndicatorPlots(req.Indicators...)
+	if err != nil {
+		return
+	}
+	rsp = new(pb.RspIndicatorMetas)
+	for _, indName := range req.Indicators {
+		// 指标元数据
+		meta := indMetas[indName]
+		p := &pb.IndicatorMeta{
+			Name:  indName,
+			Desc:  meta.Desc,
+			State: meta.State,
+		}
+		// 指标输入参数
+		for _, input := range meta.Input {
+			p.Input = append(p.Input, &pb.InputArg{
+				Name:    input.Name,
+				Desc:    input.Desc,
+				Type:    int32(input.Type),
+				Default: lang.Ternary(input.Default == nil, "", fmt.Sprintf("%v", input.Default)),
+				Options: collect.Mapping(input.Options, func(opt types.InputOption) *pb.InputOption {
+					return &pb.InputOption{
+						Name: opt.Name,
+						Desc: opt.Desc,
+					}
+				}),
+			})
+		}
+		// 指标绘图属性
+		for _, plot := range indPlots[indName] {
+			ps := &pb.IndicatorPlotSeries{
+				Name:  plot.Name,
+				State: plot.State,
+				Type:  int32(plot.Type),
+			}
+			if ps.Props, err = structpb.NewStruct(plot.Props); err != nil {
+				return
+			}
+			for _, exp := range plot.Exps {
+				pe := &pb.IndicatorPlotExp{
+					Exp: exp.Exp,
+				}
+				if pe.Props, err = structpb.NewStruct(exp.Props); err != nil {
+					return
+				}
+				ps.Exps = append(ps.Exps, pe)
+			}
+			p.Plots = append(p.Plots, ps)
+		}
+		rsp.Metas = append(rsp.Metas, p)
+	}
+	return
+}
+
 func (svr *TradingGrpcServer) IndicatorPlots(ctx context.Context, req *pb.ReqIndicatorPlots) (rsp *pb.RspIndicatorPlots, err error) {
 	indPlots, err := svr.tradingService.IndicatorPlots(req.Indicators...)
 	if err != nil {
@@ -37,6 +104,7 @@ func (svr *TradingGrpcServer) IndicatorPlots(ctx context.Context, req *pb.ReqInd
 		p := &pb.IndicatorPlot{Indicator: indName}
 		for _, plot := range plots {
 			ps := &pb.IndicatorPlotSeries{
+				Name:  plot.Name,
 				State: plot.State,
 				Type:  int32(plot.Type),
 			}

internal/trading/trading_service.go

@@ -18,6 +18,7 @@ import (
 	"sig-pub/pkg/utils/lang"
 	"sig-pub/pkg/utils/times"
 	"sig-pub/pkg/zlog"
+	"sort"
 
 	"sig-pub/internal/trading/backtest"
 	"sig-pub/internal/trading/sig"
@@ -199,16 +200,50 @@ func (svc *TradingService) fetchHistoryKlineSeries(ctx context.Context, sr *pb.S
 	return
 }
 
+// Indicators
+func (svc *TradingService) Indicators() (indicatorNames []string) {
+	svc.indicatorReg.RangeIndicators(func(k string, v indicator.IIndicator) bool {
+		indicatorNames = append(indicatorNames, k)
+		return true
+	})
+	sort.Strings(indicatorNames)
+	return
+}
+
+// IndicatorMeta
+func (svc *TradingService) IndicatorMeta(indicatorNames ...string) (indMetas map[string]indicator.IndicatorMeta, err error) {
+	indMetas = make(map[string]indicator.IndicatorMeta, len(indicatorNames))
+	for _, indicatorName := range indicatorNames {
+		ind, ok := svc.indicatorReg.Indicator(indicatorName)
+		if !ok {
+			err = fmt.Errorf("indicator %s not exists", indicatorName)
+			return nil, err
+		}
+		indMetas[indicatorName] = ind.Meta()
+	}
+	return
+}
+
 // IndicatorPlots
 func (svc *TradingService) IndicatorPlots(indicatorNames ...string) (indPlots map[string][]indicator.Plot, err error) {
 	indPlots = make(map[string][]indicator.Plot, len(indicatorNames))
 	for _, indicatorName := range indicatorNames {
+		plots, e := svc.indicatorPlots(indicatorName)
+		if e != nil {
+			return nil, e
+		}
+		indPlots[indicatorName] = plots
+	}
+	return
+}
+
+func (svc *TradingService) indicatorPlots(indicatorName string) (plots []indicator.Plot, err error) {
 	ind, ok := svc.indicatorReg.Indicator(indicatorName)
 	if !ok {
 		err = fmt.Errorf("indicator %s not exists", indicatorName)
 		return
 	}
-		plots := ind.Meta().Plots
+	plots = ind.Meta().Plots
 	if len(plots) == 0 {
 		plots = append(plots, indicator.Plot{
 			State: "vector",
@@ -216,8 +251,6 @@ func (svc *TradingService) IndicatorPlots(indicatorNames ...string) (indPlots ma
 			Props: indicator.PlotProps{"color": indicator.ColorBlue},
 		})
 	}
-		indPlots[indicatorName] = plots
-	}
 	return
 }
 

pkg/indicator/boll.go

@@ -5,92 +5,51 @@ import (
 	"sig-pub/pkg/types"
 )
 
-// BollMB 布林带中轨
+// Boll 布林带
-type BollMB struct {
+type Boll struct {
 }
 
-func (c *BollMB) Meta() IndicatorMeta {
+func (c *Boll) Meta() IndicatorMeta {
 	return IndicatorMeta{
-		Name: "BollMB",
+		Name: "Boll",
 		Input: []types.InputArg{
 			{Name: "window", Type: types.InputTypeUInt, Desc: "窗口大小"},
+			{Name: "pt", Type: types.InputTypeKPriceType, Desc: "k线序列类型"},
 		},
-	}
+		State: []string{"ub", "lb"},
-}
+		Plots: []Plot{
-
+			{Name: "中轨", State: "vector", Type: PlotHistogram, Props: PlotProps{"color": ColorOrange}},
-func (c *BollMB) CandlePeriods(ctx IIndicatorContext) int16 {
+			{Name: "上轨", State: "ub", Type: PlotLine, Props: PlotProps{"color": ColorRed2}},
-	return ctx.Input().Int16("window")
+			{Name: "下轨", State: "lb", Type: PlotLine, Props: PlotProps{"color": ColorRed2}},
-}
+			{Name: "布林带阴影", State: "ub,lb", Type: PlotShadow, Props: PlotProps{"color": "rgba(247, 169, 167, 0.3)"}},
-
-func (c *BollMB) Calculate(ctx IIndicatorContext) (vector float64) {
-	window := ctx.Input().Int16("window")
-	closeSeries := ctx.Series(0, int16(window)).Close()
-	vector = closeSeries.Avg()
-	return
-}
-
-// BollUB 布林带上轨
-type BollUB struct {
-}
-
-func (c *BollUB) Meta() IndicatorMeta {
-	return IndicatorMeta{
-		Name: "BollUB",
-		Input: []types.InputArg{
-			{Name: "window", Type: types.InputTypeUInt, Desc: "窗口大小"},
 		},
 	}
 }
 
-func (c *BollUB) CandlePeriods(ctx IIndicatorContext) int16 {
+func (c *Boll) CandlePeriods(ctx IIndicatorContext) int16 {
 	return ctx.Input().Int16("window")
 }
 
-func (c *BollUB) Calculate(ctx IIndicatorContext) (vector float64) {
+func (c *Boll) Calculate(ctx IIndicatorContext) (vector float64) {
 	window := ctx.Input().Int16("window")
-	closeSeries := ctx.Series(0, int16(window)).Close()
+	pt := ctx.Input().PriceType()
-	mb := closeSeries.Avg()
+	priceSeries := ctx.Series(0, int16(window)).Price(pt)
+	mb := priceSeries.Avg() // 中轨
+	vector = mb
 
 	// 标准差σ_t = sqrt(∑(P-MB)^2 / (n-1))
 	sst := float64(0)
-	for _, p := range closeSeries {
+	for _, p := range priceSeries {
 		sst += math.Pow(p-mb, 2)
 	}
 	sigma := math.Sqrt(sst / float64(window-1))
 
-	vector = mb + 2*sigma
+	// BollUB 布林带上轨
-	return
+	ub := mb + 2*sigma
-}
+	ctx.State().Set("ub", ub)
 
 	// BollLB 布林带下轨
-type BollLB struct {
+	lb := mb - 2*sigma
-}
+	ctx.State().Set("lb", lb)
-
-func (c *BollLB) Meta() IndicatorMeta {
-	return IndicatorMeta{
-		Name: "BollLB",
-		Input: []types.InputArg{
-			{Name: "window", Type: types.InputTypeUInt, Desc: "窗口大小"},
-		},
-	}
-}
-
-func (c *BollLB) CandlePeriods(ctx IIndicatorContext) int16 {
-	return ctx.Input().Int16("window")
-}
-
-func (c *BollLB) Calculate(ctx IIndicatorContext) (vector float64) {
-	window := ctx.Input().Int16("window")
-	closeSeries := ctx.Series(0, int16(window)).Close()
-	mb := closeSeries.Avg()
-
-	// 标准差σ_t = sqrt(∑(P-MB)^2 / (n-1))
-	sst := float64(0)
-	for _, p := range closeSeries {
-		sst += math.Pow(p-mb, 2)
-	}
-	sigma := math.Sqrt(sst / float64(window-1))
-
-	vector = mb - 2*sigma
 	return
 }

pkg/indicator/indicator_plot.go

@@ -1,6 +1,7 @@
 package indicator
 
 type Plot struct {
+	Name  string    `json:"name"`   // 绘图名称
 	State string    `json:"state"`  // vector, stateName
 	Type  PlotType  `json:"series"` // 绘图类型 线/柱
 	Props PlotProps `json:"props"`  // 绘图属性
@@ -23,6 +24,7 @@ const (
 	PlotLine
 	PlotHistogram
 	PlotArea
+	PlotShadow
 )
 
 // Series 绘图颜色
@@ -34,4 +36,5 @@ const (
 	ColorYellow string = "#cdcf36"
 	ColorBlue   string = "#556cd6"
 	ColorPurple string = "#e48dce"
+	ColorOrange string = "#dd5e0aff"
 )

pkg/indicator/indicator_registry.go

@@ -25,9 +25,7 @@ func (r *IndicatorRegistry) Init() (err error) {
 	r.MustRegistIndicator(&MACD{})
 	r.MustRegistIndicator(&OBV{})
 	r.MustRegistIndicator(&WOBV{})
-	r.MustRegistIndicator(&BollMB{})
+	r.MustRegistIndicator(&Boll{})
-	r.MustRegistIndicator(&BollUB{})
-	r.MustRegistIndicator(&BollLB{})
 	r.MustRegistIndicator(&SuperTrend{})
 	r.MustRegistIndicator(&ADX{})
 	r.MustRegistIndicator(&KDJ{})
@@ -55,3 +53,7 @@ func (r *IndicatorRegistry) MustRegistIndicator(ind IIndicator) {
 func (r *IndicatorRegistry) Indicator(name string) (indW IIndicator, ok bool) {
 	return r.indicators.Load(name)
 }
+
+func (r *IndicatorRegistry) RangeIndicators(fn func(k string, v IIndicator) bool) {
+	r.indicators.Range(fn)
+}

pkg/indicator/macd.go

@@ -18,12 +18,12 @@ func (c *MACD) Meta() IndicatorMeta {
 		},
 		State: []string{"dif", "dea"},
 		Plots: []Plot{
-			{State: "vector", Type: PlotHistogram, Props: PlotProps{"color": ColorGreen2}, Exps: []PlotExp{
+			{Name: "MACD", State: "vector", Type: PlotHistogram, Props: PlotProps{"color": ColorGreen2}, Exps: []PlotExp{
 				{Exp: "vector < 0", Props: PlotProps{"color": ColorRed2}},
 				{Exp: "vector >= 0", Props: PlotProps{"color": ColorGreen2}},
 			}},
-			{State: "dif", Type: PlotLine, Props: PlotProps{"color": ColorYellow}},
+			{Name: "DIF线", State: "dif", Type: PlotLine, Props: PlotProps{"color": ColorYellow}},
-			{State: "dea", Type: PlotLine, Props: PlotProps{"color": ColorRed}},
+			{Name: "DEA线", State: "dea", Type: PlotLine, Props: PlotProps{"color": ColorRed}},
 		},
 	}
 }

pkg/types/input.go

@@ -158,7 +158,7 @@ const (
 	InputTypeInt
 	InputTypeUInt
 	InputTypeTime
-	InputTypeKPriceType
+	InputTypeKPriceType // K线价格类型
 	InputTypeUFloats    // float数组
 	InputTypeUFloats2D  // float二维数组
 	InputTypeSelect     // 单选