1

api/trading.proto

@@ -78,6 +78,7 @@ message RspStrategySeries {
     repeated int32 signal = 1; // pub.Side: 1.buy,2.sell 
     repeated int64 times = 2;
     repeated double prices = 3;
+    repeated int32 direction = 4; // 1.up,2.down 
 }
 
 message ReqBacktest {

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://10.255.183.209:7890"
+httpProxy = "http://192.168.1.5:7890"
+# 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_service.go

@@ -360,6 +360,7 @@ func (svc *TradingService) StrategySeries(ctx context.Context, req *pb.ReqStrate
 		}
 		side := lang.Ternary(sigSide == types.SideLong, pb.Side_BUY, pb.Side_SELL)
 		rsp.Signal = append(rsp.Signal, int32(side))
+		rsp.Direction = append(rsp.Direction, lang.Ternary[int32](k.OpenF64() > k.CloseF64(), 1, 2))
 		rsp.Prices = append(rsp.Prices, k.CloseF64())
 		// 处理k线时间
 		ktime := k.Ts

pkg/indicator/boll.go

@@ -5,20 +5,20 @@ import (
 	"sig-pub/pkg/types"
 )
 
-// Boll 布林带
-type Boll struct {
+// BOLL 布林带
+type BOLL struct {
 }
 
-func (c *Boll) Meta() IndicatorMeta {
+func (c *BOLL) Meta() IndicatorMeta {
 	return IndicatorMeta{
-		Name: "Boll",
+		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"},
+			{Name: "pt", Type: types.InputTypePriceType, Desc: "k线序列类型"},
 		},
 		State: []string{"ub", "lb"},
 		Plots: []Plot{
-			{Name: "中轨", State: "vector", Type: PlotHistogram, Props: PlotProps{"color": ColorOrange}},
+			{Name: "中轨", State: "vector", Type: PlotLine, Props: PlotProps{"color": ColorOrange}},
 			{Name: "上轨", State: "ub", Type: PlotLine, Props: PlotProps{"color": ColorRed2}},
 			{Name: "下轨", State: "lb", Type: PlotLine, Props: PlotProps{"color": ColorRed2}},
 			{Name: "布林带阴影", State: "ub,lb", Type: PlotShadow, Props: PlotProps{"shadowColor": "rgba(241, 169, 166, 0.2)"}},
@@ -26,11 +26,11 @@ func (c *Boll) Meta() IndicatorMeta {
 	}
 }
 
-func (c *Boll) CandlePeriods(ctx IIndicatorContext) int16 {
+func (c *BOLL) CandlePeriods(ctx IIndicatorContext) int16 {
 	return ctx.Input().Int16("window")
 }
 
-func (c *Boll) Calculate(ctx IIndicatorContext) (vector float64) {
+func (c *BOLL) Calculate(ctx IIndicatorContext) (vector float64) {
 	window := ctx.Input().Int16("window")
 	pt := ctx.Input().PriceType()
 	priceSeries := ctx.Series(0, int16(window)).Price(pt)

pkg/indicator/ema.go

@@ -13,7 +13,7 @@ func (c *EMA) Meta() IndicatorMeta {
 		Name: "EMA",
 		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"},
+			{Name: "pt", Type: types.InputTypePriceType, Desc: "k线序列类型"},
 		},
 	}
 }

pkg/indicator/indicator_registry.go

@@ -25,7 +25,7 @@ func (r *IndicatorRegistry) Init() (err error) {
 	r.MustRegistIndicator(&MACD{})
 	r.MustRegistIndicator(&OBV{})
 	r.MustRegistIndicator(&WOBV{})
-	r.MustRegistIndicator(&Boll{})
+	r.MustRegistIndicator(&BOLL{})
 	r.MustRegistIndicator(&SuperTrend{})
 	r.MustRegistIndicator(&ADX{})
 	r.MustRegistIndicator(&KDJ{})

pkg/indicator/sam.go

@@ -14,7 +14,8 @@ func (c *SMA) Meta() IndicatorMeta {
 	return IndicatorMeta{
 		Name: "SMA",
 		Input: []types.InputArg{
-			{Name: "window", Type: types.InputTypeUInt, Desc: "窗口大小"},
+			{Name: "window", Type: types.InputTypeUInt, Desc: "窗口大小", Default: 9},
+			{Name: "pt", Type: types.InputTypePriceType, Desc: "k线序列类型", Default: types.PriceTypeDefault},
 		},
 	}
 }
@@ -26,9 +27,10 @@ func (c *SMA) CandlePeriods(ctx IIndicatorContext) int16 {
 // Calculate 计算单根k线sma指标
 func (c *SMA) Calculate(ctx IIndicatorContext) (vector float64) {
 	window := ctx.Input().Int16("window")
-	closeSeries := ctx.Series(0, window).Close()
+	pt := ctx.Input().PriceType()
+	priceSeries := ctx.Series(0, window).Price(pt)
 	// sma := talib.Sma(closeSeries, int(window))
 	// _ = sma[len(sma)-1]
-	vector = closeSeries.Avg()
+	vector = priceSeries.Avg()
 	return
 }

pkg/types/input.go

@@ -97,7 +97,7 @@ func (in Input) Int16(k string) (v int16) {
 func (in Input) String(k string) (v string) {
 	if k == "pt" && in != nil {
 		if _, ok := in[k]; !ok {
-			in[k] = KPriceTypeDefault
+			in[k] = PriceTypeDefault
 		}
 	}
 	v, err := cast.ToStringE(in.get(k, "string"))
@@ -115,12 +115,12 @@ func (in Input) Time(k string) (v time.Time) {
 	return
 }
 
-func (in Input) PriceType(k ...string) (v KPriceType) {
+func (in Input) PriceType(k ...string) (v PriceType) {
 	key := "pt"
 	if len(k) > 0 {
 		key = k[0]
 	}
-	v = KPriceType(in.String(key))
+	v = PriceType(in.String(key))
 	return
 }
 
@@ -158,11 +158,11 @@ const (
 	InputTypeInt
 	InputTypeUInt
 	InputTypeTime
-	InputTypeKPriceType // K线价格类型
-	InputTypeUFloats    // float数组
-	InputTypeUFloats2D  // float二维数组
-	InputTypeSelect     // 单选
-	InputTypeCheckBox   // 多选
+	InputTypePriceType // K线价格类型
+	InputTypeUFloats   // float数组
+	InputTypeUFloats2D // float二维数组
+	InputTypeSelect    // 单选
+	InputTypeCheckBox  // 多选
 )
 
 type InputArg struct {

pkg/types/kline.go

@@ -89,35 +89,35 @@ func (k Kline) HL2() float64 {
 	return (k.HighF64() + k.LowF64()) / 2
 }
 
-func (s Kline) Price(t KPriceType) float64 {
+func (s Kline) Price(t PriceType) float64 {
 	switch t {
-	case KPriceTypeOpen:
+	case PriceTypeOpen:
 		return s.OpenF64()
-	case KPriceTypeClose:
+	case PriceTypeClose:
 		return s.CloseF64()
-	case KPriceTypeHigh:
+	case PriceTypeHigh:
 		return s.HighF64()
-	case KPriceTypeLow:
+	case PriceTypeLow:
 		return s.LowF64()
-	case KPriceTypeVol:
+	case PriceTypeVol:
 		return s.VolF64()
-	case KPriceTypeVolQuote:
+	case PriceTypeVolQuote:
 		return s.VolQtyF64()
 	default:
 		panic(fmt.Errorf("kline price type %s not support", t))
 	}
 }
 
-type KPriceType string
+type PriceType string
 
 const (
-	KPriceTypeHigh     KPriceType = "high"
-	KPriceTypeLow      KPriceType = "low"
-	KPriceTypeOpen     KPriceType = "open"
-	KPriceTypeClose    KPriceType = "close"
-	KPriceTypeVol      KPriceType = "vol"
-	KPriceTypeVolQuote KPriceType = "volQuote"
-	KPriceTypeDefault  KPriceType = KPriceTypeClose
+	PriceTypeHigh     PriceType = "high"
+	PriceTypeLow      PriceType = "low"
+	PriceTypeOpen     PriceType = "open"
+	PriceTypeClose    PriceType = "close"
+	PriceTypeVol      PriceType = "vol"
+	PriceTypeVolQuote PriceType = "volQuote"
+	PriceTypeDefault  PriceType = PriceTypeClose
 )
 
 // ChannelKline k线订阅消息

pkg/types/kline_series.go

@@ -153,19 +153,19 @@ func (s Klines) VolQuote() series.Floats {
 	return collect.Mapping(s, func(k Kline) float64 { return decimals.MustToFloat64(k.VolQuote) })
 }
 
-func (s Klines) Price(t KPriceType) series.Floats {
+func (s Klines) Price(t PriceType) series.Floats {
 	switch t {
-	case KPriceTypeHigh:
+	case PriceTypeHigh:
 		return s.High()
-	case KPriceTypeLow:
+	case PriceTypeLow:
 		return s.Low()
-	case KPriceTypeOpen:
+	case PriceTypeOpen:
 		return s.Open()
-	case KPriceTypeClose:
+	case PriceTypeClose:
 		return s.Close()
-	case KPriceTypeVol:
+	case PriceTypeVol:
 		return s.Vol()
-	case KPriceTypeVolQuote:
+	case PriceTypeVolQuote:
 		return s.VolQuote()
 	default:
 		panic(fmt.Errorf("unsupport kline price type: %s", t))