strategy series align interval

api/trading.proto

@@ -72,10 +72,12 @@ message ReqStrategySeries {
     SeriesRange series = 1;
     string sig_strategy = 2;
     google.protobuf.Struct input = 3; // 指标参数
+    string alignInterval = 4; // 展示周期, 若和交易周期不一致time向展示周期靠拢
 }
 message RspStrategySeries {
-    repeated Side signal = 1; // 0.sell,1.buy
+    repeated int32 signal = 1; // pub.Side: 1.buy,2.sell 
     repeated int64 times = 2;
+    repeated double prices = 3;
 }
 
 message ReqBacktest {

internal/admin/service/backtest_service.go

@@ -23,10 +23,10 @@ func NewBacktestService(repo *repository.BacktestRepository) *BacktestService {
 }
 
 func (svc *BacktestService) Route(group *gin.RouterGroup) {
-	group.POST("listBacktest", svc.ListBacktest)             // 回测记录分页
-	group.GET("getBacktest", svc.GetBacktest)                // 回测记录详情
-	group.POST("listBacktestTrades", svc.ListBacktestTrades) // 回测记录交易订单分页
-	group.GET("testEquities", svc.TestEquities)              // 回测记录资金曲线
+	group.POST("list", svc.ListBacktest)             // 回测记录分页
+	group.GET("get", svc.GetBacktest)                // 回测记录详情
+	group.POST("listTrades", svc.ListBacktestTrades) // 回测记录交易订单分页
+	group.GET("equities", svc.BacktestEquities)      // 回测记录资金曲线
 }
 
 func (svc *BacktestService) ListBacktest(ctx *gin.Context) {
@@ -81,7 +81,7 @@ func (svc *BacktestService) ListBacktestTrades(ctx *gin.Context) {
 }
 
 // TestEquityCurve 回测记录资金曲线
-func (svc *BacktestService) TestEquities(ctx *gin.Context) {
+func (svc *BacktestService) BacktestEquities(ctx *gin.Context) {
 	backtestId, err := cast.ToInt64E(ctx.Query("backtestId"))
 	if backtestId == 0 || err != nil {
 		ctx.JSON(http.StatusBadRequest, resp.Error("param backtestId format error"))

internal/admin/service/market_service.go

@@ -4,6 +4,7 @@ import (
 	"net/http"
 	repository "sig-pub/internal/admin/repoitory"
 	"sig-pub/pkg/resp"
+	"sort"
 
 	"github.com/gin-gonic/gin"
 )
@@ -29,6 +30,7 @@ func (svc *MarketService) ListInstanceId(ctx *gin.Context) {
 		ctx.JSON(http.StatusInternalServerError, resp.Error(err.Error()))
 		return
 	}
+	sort.Strings(instIds)
 	ctx.JSON(http.StatusOK, resp.Success(instIds))
 }
 
@@ -38,7 +40,7 @@ func (svc *MarketService) ListInstance(ctx *gin.Context) {
 		ctx.JSON(http.StatusInternalServerError, resp.Error(err.Error()))
 		return
 	}
-
+	sort.Slice(insts, func(i, j int) bool { return insts[i].InstId < insts[j].InstId })
 	ctx.JSON(http.StatusOK, resp.Success(resp.H{
 		"total": len(insts),
 		"insts": insts,

internal/trading/backtest/sig_strategy_backtester.go

@@ -53,11 +53,15 @@ func (b *SigStrategyBacktester) Backtest(ctx context.Context,
 	sigStrategyInput types.Input,
 	sr *pb.SeriesRange,
 	iiks *types.InstanceIntervalKlineSeries,
+	intervalCandlePeriods *types.IntervalState[int16],
 	recvSignal func(instId string, sigSide types.Side, k types.Kline) (err error),
 ) (err error) {
 	if iiks == nil {
 		iiks = types.NewInstanceIntervalKlineSeries()
 	}
+	if intervalCandlePeriods == nil {
+		intervalCandlePeriods = types.NewIntervalState[int16]()
+	}
 	// init sig strategy
 	if err = b.sigStrategy.Init(sigStrategyInput); err != nil {
 		return
@@ -65,11 +69,11 @@ func (b *SigStrategyBacktester) Backtest(ctx context.Context,
 
 	switch b.sigStrategyType {
 	case strategy.SigStrategyTypeSingle:
-		err = b.singleStrategySeries(ctx, b.sigStrategy.(strategy.ISingleSigStrategy), sigStrategyInput, sr, iiks, recvSignal)
+		err = b.singleStrategySeries(ctx, b.sigStrategy.(strategy.ISingleSigStrategy), sigStrategyInput, sr, iiks, intervalCandlePeriods, recvSignal)
 	case strategy.SigStrategyTypeInterval:
-		err = b.intervalStrategySeries(ctx, b.sigStrategy.(strategy.IIntervalSigStrategy), sigStrategyInput, sr, iiks, recvSignal)
+		err = b.intervalStrategySeries(ctx, b.sigStrategy.(strategy.IIntervalSigStrategy), sigStrategyInput, sr, iiks, intervalCandlePeriods, recvSignal)
 	case strategy.SigStrategyTypeInstanceInterval:
-		err = b.instanceIntervalStrategySeries(ctx, b.sigStrategy.(strategy.IInstanceIntervalSigStrategy), sigStrategyInput, sr, iiks, recvSignal)
+		err = b.instanceIntervalStrategySeries(ctx, b.sigStrategy.(strategy.IInstanceIntervalSigStrategy), sigStrategyInput, sr, iiks, intervalCandlePeriods, recvSignal)
 	default:
 		err = fmt.Errorf("unknown sig strategy type %v", b.sigStrategyType)
 	}
@@ -82,16 +86,17 @@ func (b *SigStrategyBacktester) singleStrategySeries(ctx context.Context,
 	sigStrategyInput types.Input,
 	sr *pb.SeriesRange,
 	iiks *types.InstanceIntervalKlineSeries,
+	intervalCandlePeriods *types.IntervalState[int16],
 	recvSignal func(instId string, sigSide types.Side, k types.Kline) (err error),
 ) (err error) {
 	driverInstId := sr.InstId
 	driverInterval := types.Interval(sr.Interval)
 	driverSeries := iiks.Get(driverInstId, driverInterval)
 	strategyContext := sig.NewStrategyContext(sigStrategyInput, driverSeries, b.indicatorReg)
-	requiredPeriods := int(sigStrategy.CandlePeriods(strategyContext))
-
-	intervalCandlePeriods := types.NewIntervalState[int16]()
-	intervalCandlePeriods.Set(driverInterval, int16(max(1, requiredPeriods)))
+	requiredPeriods := max(1, int(sigStrategy.CandlePeriods(strategyContext)))
+	intervalCandlePeriods.SetIf(driverInterval, int16(requiredPeriods), func(old int16) bool {
+		return old < int16(requiredPeriods)
+	})
 
 	err = b.multiInstanceIntervalSeries(ctx, sr, []string{sr.InstId}, intervalCandlePeriods, iiks, func(driver bool, instId string, interval types.Interval, k *types.Kline) (err error) {
 		if !driver || instId != driverInstId || interval != driverInterval {
@@ -117,6 +122,7 @@ func (b *SigStrategyBacktester) intervalStrategySeries(ctx context.Context,
 	sigStrategyInput types.Input,
 	sr *pb.SeriesRange,
 	iiks *types.InstanceIntervalKlineSeries,
+	intervalCandlePeriods *types.IntervalState[int16],
 	recvSignal func(instId string, sigSide types.Side, k types.Kline) (err error),
 ) (err error) {
 	driverInstId := sr.InstId
@@ -125,7 +131,15 @@ func (b *SigStrategyBacktester) intervalStrategySeries(ctx context.Context,
 	// 策略上下文
 	intervalStrategyContext := sig.NewIntervalStrategyContext(sigStrategyInput, intervalKlineSeries, b.indicatorReg)
 	// 各周期所需k线数量
-	intervalCandlePeriods := intervalSigStrategy.CandlePeriods(intervalStrategyContext)
+	strategyIntervalCandlePeriods := intervalSigStrategy.CandlePeriods(intervalStrategyContext)
+	// 合并所有需加载周期
+	strategyIntervalCandlePeriods.Range(func(interval types.Interval, require int16) {
+		if require > 0 {
+			intervalCandlePeriods.SetIf(interval, require, func(old int16) bool {
+				return old < require
+			})
+		}
+	})
 
 	periodsChecked := false
 	err = b.multiInstanceIntervalSeries(ctx, sr, []string{sr.InstId}, intervalCandlePeriods, iiks, func(driver bool, instId string, interval types.Interval, k *types.Kline) (err error) {
@@ -163,6 +177,7 @@ func (b *SigStrategyBacktester) instanceIntervalStrategySeries(ctx context.Conte
 	sigStrategyInput types.Input,
 	sr *pb.SeriesRange,
 	iiks *types.InstanceIntervalKlineSeries,
+	intervalCandlePeriods *types.IntervalState[int16],
 	recvSignal func(instId string, sigSide types.Side, k types.Kline) (err error),
 ) (err error) {
 	driverInstId := sr.InstId
@@ -171,7 +186,14 @@ func (b *SigStrategyBacktester) instanceIntervalStrategySeries(ctx context.Conte
 	// 策略上下文
 	strategyContext := sig.NewInstanceIntervalSigStrategyContext(sigStrategyInput, iiks, b.indicatorReg)
 	// 各周期所需k线数量
-	tradeInsts, intervalCandlePeriods := intervalSigStrategy.CandlePeriods(strategyContext)
+	tradeInsts, strategyIntervalCandlePeriods := intervalSigStrategy.CandlePeriods(strategyContext)
+	strategyIntervalCandlePeriods.Range(func(interval types.Interval, require int16) {
+		if require > 0 {
+			intervalCandlePeriods.SetIf(interval, require, func(old int16) bool {
+				return old < require
+			})
+		}
+	})
 
 	periodsChecked := false
 	err = b.multiInstanceIntervalSeries(ctx, sr, tradeInsts, intervalCandlePeriods, iiks, func(driver bool, instId string, interval types.Interval, k *types.Kline) (err error) {

internal/trading/backtest/trading_plan_backtester.go

@@ -118,7 +118,7 @@ func (b *TradingPlanBacktester) Backtest(ctx context.Context) (test *trade.Backt
 	iiks := types.NewInstanceIntervalKlineSeries()
 	b.instanceIntervalSigStrategyContext = sig.NewInstanceIntervalSigStrategyContext(b.tradeStrategyInput, iiks, b.indicatorReg)
 
-	err = sigStrategyBacktester.Backtest(ctx, b.sigStrategyInput, b.sr, iiks, func(instId string, sigSide types.Side, k types.Kline) (err error) {
+	err = sigStrategyBacktester.Backtest(ctx, b.sigStrategyInput, b.sr, iiks, nil, func(instId string, sigSide types.Side, k types.Kline) (err error) {
 		test.Singals++
 		// 根据交易信号检查仓位平仓
 		if err = b.closeBySigSingal(instId, sigSide, k); err != nil {

internal/trading/trading_service.go

@@ -327,25 +327,50 @@ func (svc *TradingService) StrategySeries(ctx context.Context, req *pb.ReqStrate
 	}
 
 	interval := types.Interval(req.Series.Interval)
-	_, ok = types.SupportedIntervals[interval]
-	if !ok {
+	if _, ok = types.SupportedIntervals[interval]; !ok {
 		err = fmt.Errorf("unsupport interval %s", interval)
 		return
 	}
+	alignInterval := types.Interval(req.AlignInterval)
+	if req.AlignInterval == "" {
+		alignInterval = interval
+	}
+	if _, ok = types.SupportedIntervals[alignInterval]; !ok {
+		err = fmt.Errorf("unsupport alignInterval %s", alignInterval)
+		return
+	}
 
 	// 信号策略参数
 	sigStrategyInput := types.Input(req.Input.AsMap())
 	// 使用回测器回测信号策略
 	driverInstId := req.Series.InstId
+	// 各周期k线数据
+	iiks := types.NewInstanceIntervalKlineSeries()
+	// 额外拉取k线周期
+	intervalCandlePeriods := types.NewIntervalState[int16]()
+	if alignInterval != interval {
+		intervalCandlePeriods.Set(alignInterval, 1)
+	}
+
 	backtester := backtest.NewSigStrategyBacktester(sigStrategyType, sigStrategy, svc.indicatorReg, svc.exchangeClient)
-	err = backtester.Backtest(ctx, sigStrategyInput, req.Series, nil, func(instId string, sigSide types.Side, k types.Kline) (err error) {
+	err = backtester.Backtest(ctx, sigStrategyInput, req.Series, iiks, intervalCandlePeriods, func(instId string, sigSide types.Side, k types.Kline) (err error) {
 		if instId != driverInstId {
 			// todo 多币种回测
 			return
 		}
 		side := lang.Ternary(sigSide == types.SideLong, pb.Side_BUY, pb.Side_SELL)
-		rsp.Signal = append(rsp.Signal, side)
-		rsp.Times = append(rsp.Times, k.Ts)
+		rsp.Signal = append(rsp.Signal, int32(side))
+		rsp.Prices = append(rsp.Prices, k.CloseF64())
+		// 处理k线时间
+		ktime := k.Ts
+		if alignInterval != interval {
+			alignK, err := iiks.Get(driverInstId, alignInterval).Get(0)
+			if err != nil {
+				return err
+			}
+			ktime = alignK.Ts
+		}
+		rsp.Times = append(rsp.Times, ktime)
 		return
 	})
 	return

pkg/indicator/boll.go

@@ -21,7 +21,7 @@ func (c *Boll) Meta() IndicatorMeta {
 			{Name: "中轨", State: "vector", Type: PlotHistogram, 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{"color": "rgba(247, 169, 167, 0.3)"}},
+			{Name: "布林带阴影", State: "ub,lb", Type: PlotShadow, Props: PlotProps{"shadowColor": "rgba(241, 169, 166, 0.2)"}},
 		},
 	}
 }