rpc strategy series

api/pub.proto

@@ -40,8 +40,8 @@ enum Channel {
 }
 
 enum Side {
-  BUY = 0;
+  SELL = 0;
-  SELL = 1;
+  BUY = 1;
 }
 
 enum OrderType {

api/trading.proto

@@ -50,6 +50,8 @@ message ReqStrategySeries {
     int32 count = 8; // k线条数,before或after其中一个为0时有效
 }
 message RspStrategySeries {
-    repeated int32 signal = 1; // 0.sell,1.buy
+    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;
 }

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

go.mod

@@ -81,6 +81,7 @@ require (
 	github.com/json-iterator/go v1.1.12 // indirect
 	github.com/klauspost/cpuid/v2 v2.2.10 // indirect
 	github.com/leodido/go-urn v1.4.0 // indirect
+	github.com/markcheno/go-talib v0.0.0-20250114000313-ec55a20c902f // indirect
 	github.com/mattn/go-colorable v0.1.13 // indirect
 	github.com/mattn/go-isatty v0.0.20 // indirect
 	github.com/mitchellh/go-homedir v1.1.0 // indirect

go.sum

@@ -211,6 +211,8 @@ github.com/leodido/go-urn v1.4.0 h1:WT9HwE9SGECu3lg4d/dIA+jxlljEa1/ffXKmRjqdmIQ=
 github.com/leodido/go-urn v1.4.0/go.mod h1:bvxc+MVxLKB4z00jd1z+Dvzr47oO32F/QSNjSBOlFxI=
 github.com/lib/pq v1.10.9 h1:YXG7RB+JIjhP29X+OtkiDnYaXQwpS4JEWq7dtCCRUEw=
 github.com/lib/pq v1.10.9/go.mod h1:AlVN5x4E4T544tWzH6hKfbfQvm3HdbOxrmggDNAPY9o=
+github.com/markcheno/go-talib v0.0.0-20250114000313-ec55a20c902f h1:iKq//xEUUaeRoXNcAshpK4W8eSm7HtgI0aNznWtX7lk=
+github.com/markcheno/go-talib v0.0.0-20250114000313-ec55a20c902f/go.mod h1:3YUtoVrKWu2ql+iAeRyepSz3fy6a+19hJzGS88+u4u0=
 github.com/mattn/go-colorable v0.0.9/go.mod h1:9vuHe8Xs5qXnSaW/c/ABM9alt+Vo+STaOChaDxuIBZU=
 github.com/mattn/go-colorable v0.1.4/go.mod h1:U0ppj6V5qS13XJ6of8GYAs25YV2eR4EVcfRqFIhoBtE=
 github.com/mattn/go-colorable v0.1.6/go.mod h1:u6P/XSegPjTcexA+o6vUJrdnUu04hMope9wVRipJSqc=

internal/trading/backtrace/backtrace.go

@@ -9,5 +9,5 @@ type BacktraceEngine struct {
 
 // 多周期策略回测引擎
 type MultiIntervalBacktraceEngine struct {
-	strategy strategy.MultiIntervalStrategy
+	strategy strategy.IIntervalsSigStrategy
 }

internal/trading/indicator_context.go

@@ -16,6 +16,7 @@ import (
 type IOffsetIndicatorContext interface {
 	indicator.IIndicatorContext
 	SetOffset(offset int16)
+	AddOffset(offset int16)
 }
 
 // IndicatorContext 指标上下文, 提供k线序列给指标计算使用
@@ -35,6 +36,10 @@ func (c *IndicatorContext) SetOffset(offset int16) {
 	c.offset = offset
 }
 
+func (c *IndicatorContext) AddOffset(offset int16) {
+	c.offset += offset
+}
+
 func (c *IndicatorContext) Get(offset int16) (kline types.Kline) {
 	offset += c.offset
 	k, ok := c.kSeries.Get(offset)

internal/trading/indicator_series.go

@@ -22,17 +22,25 @@ func NewWindowIndicatorSeries(window int16, indicator indicator.IWindowIndicator
 }
 
 func (s *WindowIndicatorSeries) Get(offset int16) (vector float64) {
-	s.indicatorContext.SetOffset(offset)
+	// 根据当前相对offset
+	s.indicatorContext.AddOffset(offset)
 	vector = s.indicator.Calculate(s.indicatorContext, s.window)
+	// 计算结束后还原
+	s.indicatorContext.AddOffset(-offset)
 	return
 }
 
 func (s *WindowIndicatorSeries) Series(offset, count int16) (matrix series.Floats) {
-	for i := range count {
+	// 设置当前相对offset
-		offset += i
+	s.indicatorContext.AddOffset(offset)
-		s.indicatorContext.SetOffset(offset)
+	for range count {
 		vector := s.indicator.Calculate(s.indicatorContext, s.window)
 		matrix.Push(vector)
+
+		offset++
+		s.indicatorContext.AddOffset(1)
 	}
+	// 计算结束后还原
+	s.indicatorContext.AddOffset(-offset)
 	return
 }

internal/trading/kline_series.go

@@ -73,7 +73,9 @@ func (s *KlineSeries) Get(offset int16) (k types.Kline, ok bool) {
 	return *(s.klines[index]), true
 }
 
-// Series 闭区间升序[count...offset]
+// Series 时间升序序列[count...offset]
+// offset: 从序列尾部开始偏移量
+// count: 从offset位置开始向序列头部k线条数
 func (s *KlineSeries) Series(offset, count int16) (klines series.Klines, ok bool) {
 	if ok = offset >= 0 && offset < MaxSeriesKlines; !ok {
 		return
@@ -87,7 +89,7 @@ func (s *KlineSeries) Series(offset, count int16) (klines series.Klines, ok bool
 
 	length := len(s.klines)
 	indexEnd := (length - 1) - int(offset)
-	indexStart := (length - 1) - int(offset) - int(count)
+	indexStart := (length - 1) - int(offset) - int(count) + 1
 	if ok = indexEnd >= 0 && indexEnd < length && indexStart >= 0 && indexStart < length; !ok {
 		return
 	}

internal/trading/strategy_context.go

@@ -2,6 +2,7 @@ package trading
 
 import (
 	"fmt"
+	"sig-pub/api/pb"
 	"sig-pub/pkg/indicator"
 	"sig-pub/pkg/strategy"
 	"sig-pub/pkg/types"
@@ -20,6 +21,9 @@ type StrategyContext struct {
 
 	indicatorContext *IndicatorContext
 	indicatorsW      *collect.SyncMap[string, indicator.IWindowIndicator]
+	signal           []pb.Side // 0.sell,1.buy
+	signalTimes      []int64
+	wins             []bool
 }
 
 func NewStrategyContext(klineSeries *KlineSeries, indicatorsW *collect.SyncMap[string, indicator.IWindowIndicator]) *StrategyContext {
@@ -44,11 +48,32 @@ func (c *StrategyContext) Series(offset, count int16) (klines series.Klines) {
 // Buy 发出多信号
 func (c *StrategyContext) Buy() {
 	zlog.Infof("signal buy: %d", c.Get(0).Ts)
+
+	c.signal = append(c.signal, pb.Side_BUY)
+	c.signalTimes = append(c.signalTimes, c.Get(0).Ts)
+	win := false
+	signalPrice := c.Get(0).Close
+	if c.indicatorContext.offset > 0 {
+		c.indicatorContext.AddOffset(-1)
+		win = c.Get(0).Close.Cmp(signalPrice) > 0
+		c.indicatorContext.AddOffset(1)
+	}
+	c.wins = append(c.wins, win)
 }
 
 // Sell 发出空信号
 func (c *StrategyContext) Sell() {
 	zlog.Infof("signal sell: %d", c.Get(0).Ts)
+	c.signal = append(c.signal, pb.Side_SELL)
+	c.signalTimes = append(c.signalTimes, c.Get(0).Ts)
+	win := false
+	signalPrice := c.Get(0).Close
+	if c.indicatorContext.offset > 0 {
+		c.indicatorContext.AddOffset(-1)
+		win = c.Get(0).Close.Cmp(signalPrice) < 0
+		c.indicatorContext.AddOffset(1)
+	}
+	c.wins = append(c.wins, win)
 }
 
 // 获取窗口类型指标

internal/trading/trading_service.go

@@ -43,6 +43,7 @@ func (svc *TradingService) Init() (err error) {
 	// indicator registry
 	{
 		svc.MustRegisterWindowIndicator(&indicator.RSI{})
+		svc.MustRegisterWindowIndicator(&indicator.SMA{})
 	}
 	// strategy registry
 	{
@@ -144,7 +145,7 @@ func (svc *TradingService) IndicatorSeries(req *pb.ReqIndicatorSeries, rsp *pb.R
 
 		}
 
-		before = intervalAdd(before, int64(-req.Window-1)) // 多拉取窗口大小的k线数据
+		before = intervalAdd(before, int64(-req.Window)) // 多拉取窗口大小的k线数据
 		totalK := 0
 		if totalK, err = ctx.Init(req.Exchange, req.InstId, interval, before, after); err != nil {
 			return
@@ -190,5 +191,11 @@ func (svc *TradingService) StrategySeries(req *pb.ReqStrategySeries, rsp *pb.Rsp
 		strategyCtx.SetOffset(int16(i))
 		strategy.Update(strategyCtx)
 	}
+	rsp.Signal = strategyCtx.signal
+	rsp.Times = strategyCtx.signalTimes
+	rsp.Wins = strategyCtx.wins
+	// 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/sam.go

@@ -0,0 +1,24 @@
+package indicator
+
+import (
+	"github.com/markcheno/go-talib"
+)
+
+// RSI stateless indicator
+// 相对强弱指数 (RSI) rsi define: https://www.investopedia.com/terms/r/rsi.asp
+type SMA struct {
+}
+
+// indicator interface
+func (c *SMA) Name() string {
+	return "sma"
+}
+
+// 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()
+	sma := talib.Sma(closeSeries, int(window))
+	_ = sma[len(sma)-1]
+	vector = closeSeries.Avg()
+	return
+}

pkg/strategy/gold_x.go

@@ -2,6 +2,7 @@ package strategy
 
 // GoldX 金叉策略
 type GoldX struct {
+	ISigStrategy
 }
 
 func (s *GoldX) New() ISigStrategy {
@@ -15,10 +16,17 @@ func (s *GoldX) Meta() StrategyMeta {
 	}
 }
 
+func (s *GoldX) Arg() map[string]any {
+	return map[string]any{
+		"short": 14,
+		"long":  28,
+	}
+}
+
 func (s *GoldX) Update(ctx ISigStrategyContext) {
 	sma14 := ctx.IndicatorW("sma", 14)
 	sma28 := ctx.IndicatorW("sma", 28)
-	// 包装方法
+	// 包装方法 crossover/crossunder
 	s14 := sma14.Series(0, 2)
 	s28 := sma28.Series(0, 2)
 	crossover := s14[0] > s28[0] && s14[1] < s28[1]  // 上穿

pkg/strategy/sig_strategy.go

@@ -10,7 +10,7 @@ import (
 	"strings"
 )
 
-// ISigStrategy 交易信号策略接口
+// ISigStrategy 交易信号策略接口(单周期单交易所)
 type ISigStrategy interface {
 	New() ISigStrategy
 	Meta() StrategyMeta

pkg/strategy/sig_strategy_exchanges.go

@@ -0,0 +1,11 @@
+package strategy
+
+// IExchangesSigStrategy 多交易所策略
+type IExchangesSigStrategy interface {
+	ISigStrategy
+}
+
+// IExchangesIntervalsStrategy 多交易所多周期策略
+type IExchangesIntervalsStrategy interface {
+	ISigStrategy
+}

pkg/strategy/sig_strategy_intervals.go

@@ -0,0 +1,30 @@
+package strategy
+
+import (
+	"sig-pub/pkg/indicator"
+	"sig-pub/pkg/types"
+	"sig-pub/pkg/types/series"
+)
+
+// 多周期k线策略
+type IIntervalsSigStrategy interface {
+	New() IIntervalsSigStrategy
+	Meta() StrategyMeta
+	Update(ctx IIntervalsSigStrategyContext)
+	DriverIntervals() []types.Interval    // 驱动k线周期, 当驱动周期k线更新时则判断调用Update方法
+	SubscribeIntervals() []types.Interval // 订阅k线周期, 当同一时间的订阅周期都更新时调用Update方法
+}
+
+// ISigStrategyContext 策略外部访问能力
+// klineSeries, Indicator
+type IIntervalsSigStrategyContext interface {
+	Buy()  // 发出多信号
+	Sell() // 发出空信号
+
+	// Get [0]当前k线
+	Get(interval types.Interval, offset int16) types.Kline
+	// Series [offset...end]
+	Series(interval types.Interval, offset, count int16) (klines series.Klines)
+	// 获取窗口类型指标
+	IndicatorW(interval types.Interval, name string, window int16) indicator.IIndicatorSeries
+}

pkg/strategy/strategy_multi_interval.go

@@ -1,18 +0,0 @@
-package strategy
-
-import "sig-pub/pkg/types"
-
-// 多k线周期策略
-type MultiIntervalStrategy interface {
-	ISigStrategy
-	DriverInterval() types.Interval       // 驱动k线周期, 当驱动周期k线更新时则判断调用Update方法
-	SubscribeIntervals() []types.Interval // 订阅k线周期, 当同一时间的订阅周期都更新时调用Update方法
-}
-
-type MultiExchangeStrategy interface {
-	ISigStrategy
-}
-
-type MultiIntervalExchangeStrategy interface {
-	ISigStrategy
-}

pkg/types/series/floats.go

@@ -20,6 +20,10 @@ func (s *Floats) Append(vs ...float64) {
 	*s = append(*s, vs...)
 }
 
+func (s Floats) Length() int {
+	return len(s)
+}
+
 func (s Floats) Diff() (values Floats) {
 	for i, v := range s {
 		if i == 0 {
@@ -79,3 +83,11 @@ func (s Floats) Sum() (sum float64) {
 	}
 	return sum
 }
+
+func (s Floats) Avg() (avg float64) {
+	length := s.Length()
+	if length == 0 {
+		return
+	}
+	return s.Sum() / float64(length)
+}