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backtest insert ck

main
strange 10 months ago
parent
3d7a91eb71
commit
5eaccb9a12
20 changed files with 794 additions and 140 deletions
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  1. 15
      cmd/trading/main.go
  2. 5
      config/config.toml
  3. 11
      docker-compose.yml
  4. 28
      go.mod
  5. 65
      go.sum
  6. 140
      internal/trading/backtest/account.go
  7. 11
      internal/trading/backtest/trade_simulator.go
  8. 71
      internal/trading/backtest/trading_plan_backtester.go
  9. 60
      internal/trading/backtest/types.go
  10. 27
      internal/trading/trading_data_persist.go
  11. 6
      internal/trading/trading_service.go
  12. 109
      pkg/config/config.go
  13. 1
      pkg/data/sdata/trade.go
  14. 4
      pkg/grpc/interceptor/recover_interceptor.go
  15. 73
      pkg/storage/ck/clickhouse.go
  16. 27
      pkg/storage/ck/clickhouse.sql
  17. 160
      pkg/storage/ck/clickhouse_batch_writer.go
  18. 34
      pkg/trade/close_strategy.go
  19. 0
      pkg/trade/risk/manager.go.txt
  20. 87
      pkg/trade/types.go

15
cmd/trading/main.go
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@ -10,6 +10,7 @@ import (
"sig-pub/pkg/grpc/discovery"
"sig-pub/pkg/grpc/interceptor"
"sig-pub/pkg/mq"
"sig-pub/pkg/storage/ck"
"sig-pub/pkg/storage/persist"
"sig-pub/pkg/utils/exit"
"sig-pub/pkg/zlog"
@ -55,7 +56,19 @@ func main() {
if err := rdb.Init(); err != nil {
panic(err)
}
tradingDataPersist := trading.NewTradingDataPersist(rdb)
// clickhouse
ckBatchWriter := ck.NewClickhouseBatchWriter(conf.Database.Clickhouse)
if err := ckBatchWriter.Init(); err != nil {
panic(err)
}
ckDB := ck.NewClickhouseDB(conf.Database.Clickhouse)
if err := ckDB.Init(); err != nil {
panic(err)
}
tradingDataPersist := trading.NewTradingDataPersist(rdb, ckDB, ckBatchWriter)
if err := tradingDataPersist.Init(); err != nil {
panic(err)
}
// new market grpc client
marketClient, err := client.NewMarketClient(

5
config/config.toml
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@ -34,13 +34,14 @@ postgres = { DSN = "host=127.0.0.1 port=5432 user=postgres password=123456 dbnam
[database.clickhouse]
# dsn = "clickhouse://user:password@192.168.0.137:9000/game?dial_timeout=10s&read_timeout=20s"
addr = "127.0.0.1:7900"
addr = "127.0.0.1:9000"
database = "sig"
username = "root"
password = "123456"
dial_timeout = 10
read_timeout = 20
logsql = false
logsql = true
logsqlCk = false
[database.kvrocks]
addr = "127.0.0.1:7666"

11
docker-compose.yml
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@ -1,11 +1,14 @@
# docker compose up -d sig-consul sig-kvrocks sig-postgres sig-vm sig-nats sig-clickhouse
services:
sig-clickhouse:
image: 'clickhouse/clickhouse-server:24.12'
image: 'clickhouse/clickhouse-server:25.10'
user: 'root'
container_name: sig-clickhouse
hostname: sig-clickhouse
environment:
# - CLICKHOUSE_DB=sig
- CLICKHOUSE_RUN_AS_ROOT=1
- CLICKHOUSE_DB=sig
- CLICKHOUSE_USER=root
- CLICKHOUSE_DEFAULT_ACCESS_MANAGEMENT=1
- CLICKHOUSE_PASSWORD=123456
@ -16,8 +19,8 @@ services:
# - ./fs/clickhouse/config.d/config.xml:/etc/clickhouse-server/config.d/config.xml
# - ./fs/clickhouse/users.d/users.xml:/etc/clickhouse-server/users.d/users.xml
ports:
- '7123:8123'
- '7900:9000'
- '8123:8123'
- '9000:9000'
ulimits:
nofile:
soft: "262144"

28
go.mod
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@ -1,6 +1,6 @@
module sig-pub
go 1.23.8
go 1.24.0
toolchain go1.24.7
@ -29,8 +29,8 @@ require (
go.etcd.io/etcd/api/v3 v3.6.1
go.etcd.io/etcd/client/v3 v3.6.1
go.uber.org/zap v1.27.0
golang.org/x/net v0.38.0
golang.org/x/sync v0.13.0
golang.org/x/net v0.44.0
golang.org/x/sync v0.17.0
golang.org/x/time v0.8.0
gonum.org/v1/gonum v0.16.0
google.golang.org/grpc v1.71.1
@ -38,10 +38,13 @@ require (
gopkg.in/natefinch/lumberjack.v2 v2.2.1
gorm.io/driver/mysql v1.5.7
gorm.io/driver/postgres v1.6.0
gorm.io/gorm v1.25.12
gorm.io/gorm v1.30.0
)
require (
github.com/ClickHouse/ch-go v0.68.0 // indirect
github.com/ClickHouse/clickhouse-go/v2 v2.40.3 // indirect
github.com/andybalholm/brotli v1.2.0 // indirect
github.com/apapsch/go-jsonmerge/v2 v2.0.0 // indirect
github.com/armon/go-metrics v0.4.1 // indirect
github.com/bytedance/sonic/loader v0.2.4 // indirect
@ -54,6 +57,8 @@ require (
github.com/fsnotify/fsnotify v1.8.0 // indirect
github.com/gabriel-vasile/mimetype v1.4.8 // indirect
github.com/gin-contrib/sse v1.0.0 // indirect
github.com/go-faster/city v1.0.1 // indirect
github.com/go-faster/errors v0.7.1 // indirect
github.com/go-playground/locales v0.14.1 // indirect
github.com/go-playground/universal-translator v0.18.1 // indirect
github.com/go-playground/validator/v10 v10.26.0 // indirect
@ -70,6 +75,7 @@ require (
github.com/hashicorp/go-immutable-radix v1.3.1 // indirect
github.com/hashicorp/go-multierror v1.1.1 // indirect
github.com/hashicorp/go-rootcerts v1.0.2 // indirect
github.com/hashicorp/go-version v1.7.0 // indirect
github.com/hashicorp/golang-lru v0.5.4 // indirect
github.com/hashicorp/serf v0.10.1 // indirect
github.com/influxdata/line-protocol v0.0.0-20200327222509-2487e7298839 // indirect
@ -91,8 +97,12 @@ require (
github.com/nats-io/nkeys v0.4.11 // indirect
github.com/nats-io/nuid v1.0.1 // indirect
github.com/oapi-codegen/runtime v1.0.0 // indirect
github.com/paulmach/orb v0.11.1 // indirect
github.com/pelletier/go-toml/v2 v2.2.3 // indirect
github.com/pierrec/lz4/v4 v4.1.22 // indirect
github.com/sagikazarmark/locafero v0.7.0 // indirect
github.com/segmentio/asm v1.2.0 // indirect
github.com/shopspring/decimal v1.4.0 // indirect
github.com/sourcegraph/conc v0.3.0 // indirect
github.com/spf13/afero v1.12.0 // indirect
github.com/spf13/pflag v1.0.6 // indirect
@ -102,13 +112,17 @@ require (
github.com/valyala/fastrand v1.1.0 // indirect
github.com/valyala/histogram v1.2.0 // indirect
go.etcd.io/etcd/client/pkg/v3 v3.6.1 // indirect
go.opentelemetry.io/otel v1.38.0 // indirect
go.opentelemetry.io/otel/trace v1.38.0 // indirect
go.uber.org/multierr v1.11.0 // indirect
go.yaml.in/yaml/v3 v3.0.4 // indirect
golang.org/x/arch v0.15.0 // indirect
golang.org/x/crypto v0.37.0 // indirect
golang.org/x/crypto v0.42.0 // indirect
golang.org/x/exp v0.0.0-20250305212735-054e65f0b394 // indirect
golang.org/x/sys v0.32.0 // indirect
golang.org/x/text v0.24.0 // indirect
golang.org/x/sys v0.36.0 // indirect
golang.org/x/text v0.29.0 // indirect
google.golang.org/genproto/googleapis/api v0.0.0-20250303144028-a0af3efb3deb // indirect
google.golang.org/genproto/googleapis/rpc v0.0.0-20250303144028-a0af3efb3deb // indirect
gopkg.in/yaml.v3 v3.0.1 // indirect
gorm.io/driver/clickhouse v0.7.0 // indirect
)

65
go.sum
Unescape View File

@ -1,3 +1,7 @@
github.com/ClickHouse/ch-go v0.68.0 h1:zd2VD8l2aVYnXFRyhTyKCrxvhSz1AaY4wBUXu/f0GiU=
github.com/ClickHouse/ch-go v0.68.0/go.mod h1:C89Fsm7oyck9hr6rRo5gqqiVtaIY6AjdD0WFMyNRQ5s=
github.com/ClickHouse/clickhouse-go/v2 v2.40.3 h1:46jB4kKwVDUOnECpStKMVXxvR0Cg9zeV9vdbPjtn6po=
github.com/ClickHouse/clickhouse-go/v2 v2.40.3/go.mod h1:qO0HwvjCnTB4BPL/k6EE3l4d9f/uF+aoimAhJX70eKA=
github.com/DataDog/datadog-go v3.2.0+incompatible/go.mod h1:LButxg5PwREeZtORoXG3tL4fMGNddJ+vMq1mwgfaqoQ=
github.com/RaveNoX/go-jsoncommentstrip v1.0.0/go.mod h1:78ihd09MekBnJnxpICcwzCMzGrKSKYe4AqU6PDYYpjk=
github.com/VictoriaMetrics/metrics v1.36.0 h1:f3SZMpLgIG4hJm2zfDs6wicxQ/QNWBZekY5rEGgbHKs=
@ -6,6 +10,8 @@ github.com/alecthomas/template v0.0.0-20160405071501-a0175ee3bccc/go.mod h1:LOuy
github.com/alecthomas/template v0.0.0-20190718012654-fb15b899a751/go.mod h1:LOuyumcjzFXgccqObfd/Ljyb9UuFJ6TxHnclSeseNhc=
github.com/alecthomas/units v0.0.0-20151022065526-2efee857e7cf/go.mod h1:ybxpYRFXyAe+OPACYpWeL0wqObRcbAqCMya13uyzqw0=
github.com/alecthomas/units v0.0.0-20190717042225-c3de453c63f4/go.mod h1:ybxpYRFXyAe+OPACYpWeL0wqObRcbAqCMya13uyzqw0=
github.com/andybalholm/brotli v1.2.0 h1:ukwgCxwYrmACq68yiUqwIWnGY0cTPox/M94sVwToPjQ=
github.com/andybalholm/brotli v1.2.0/go.mod h1:rzTDkvFWvIrjDXZHkuS16NPggd91W3kUSvPlQ1pLaKY=
github.com/apapsch/go-jsonmerge/v2 v2.0.0 h1:axGnT1gRIfimI7gJifB699GoE/oq+F2MU7Dml6nw9rQ=
github.com/apapsch/go-jsonmerge/v2 v2.0.0/go.mod h1:lvDnEdqiQrp0O42VQGgmlKpxL1AP2+08jFMw88y4klk=
github.com/armon/circbuf v0.0.0-20150827004946-bbbad097214e/go.mod h1:3U/XgcO3hCbHZ8TKRvWD2dDTCfh9M9ya+I9JpbB7O8o=
@ -69,12 +75,17 @@ github.com/gin-contrib/sse v1.0.0 h1:y3bT1mUWUxDpW4JLQg/HnTqV4rozuW4tC9eFKTxYI9E
github.com/gin-contrib/sse v1.0.0/go.mod h1:zNuFdwarAygJBht0NTKiSi3jRf6RbqeILZ9Sp6Slhe0=
github.com/gin-gonic/gin v1.10.0 h1:nTuyha1TYqgedzytsKYqna+DfLos46nTv2ygFy86HFU=
github.com/gin-gonic/gin v1.10.0/go.mod h1:4PMNQiOhvDRa013RKVbsiNwoyezlm2rm0uX/T7kzp5Y=
github.com/go-faster/city v1.0.1 h1:4WAxSZ3V2Ws4QRDrscLEDcibJY8uf41H6AhXDrNDcGw=
github.com/go-faster/city v1.0.1/go.mod h1:jKcUJId49qdW3L1qKHH/3wPeUstCVpVSXTM6vO3VcTw=
github.com/go-faster/errors v0.7.1 h1:MkJTnDoEdi9pDabt1dpWf7AA8/BaSYZqibYyhZ20AYg=
github.com/go-faster/errors v0.7.1/go.mod h1:5ySTjWFiphBs07IKuiL69nxdfd5+fzh1u7FPGZP2quo=
github.com/go-kit/kit v0.8.0/go.mod h1:xBxKIO96dXMWWy0MnWVtmwkA9/13aqxPnvrjFYMA2as=
github.com/go-kit/kit v0.9.0/go.mod h1:xBxKIO96dXMWWy0MnWVtmwkA9/13aqxPnvrjFYMA2as=
github.com/go-logfmt/logfmt v0.3.0/go.mod h1:Qt1PoO58o5twSAckw1HlFXLmHsOX5/0LbT9GBnD5lWE=
github.com/go-logfmt/logfmt v0.4.0/go.mod h1:3RMwSq7FuexP4Kalkev3ejPJsZTpXXBr9+V4qmtdjCk=
github.com/go-logr/logr v1.4.2 h1:6pFjapn8bFcIbiKo3XT4j/BhANplGihG6tvd+8rYgrY=
github.com/go-logr/logr v1.4.2/go.mod h1:9T104GzyrTigFIr8wt5mBrctHMim0Nb2HLGrmQ40KvY=
github.com/go-logr/logr v1.4.3 h1:CjnDlHq8ikf6E492q6eKboGOC0T8CDaOvkHCIg8idEI=
github.com/go-logr/stdr v1.2.2 h1:hSWxHoqTgW2S2qGc0LTAI563KZ5YKYRhT3MFKZMbjag=
github.com/go-logr/stdr v1.2.2/go.mod h1:mMo/vtBO5dYbehREoey6XUKy/eSumjCCveDpRre4VKE=
github.com/go-playground/assert/v2 v2.2.0 h1:JvknZsQTYeFEAhQwI4qEt9cyV5ONwRHC+lYKSsYSR8s=
@ -101,8 +112,10 @@ github.com/gogo/protobuf v1.3.2/go.mod h1:P1XiOD3dCwIKUDQYPy72D8LYyHL2YPYrpS2s69
github.com/golang/protobuf v1.2.0/go.mod h1:6lQm79b+lXiMfvg/cZm0SGofjICqVBUtrP5yJMmIC1U=
github.com/golang/protobuf v1.3.1/go.mod h1:6lQm79b+lXiMfvg/cZm0SGofjICqVBUtrP5yJMmIC1U=
github.com/golang/protobuf v1.3.2/go.mod h1:6lQm79b+lXiMfvg/cZm0SGofjICqVBUtrP5yJMmIC1U=
github.com/golang/protobuf v1.5.0/go.mod h1:FsONVRAS9T7sI+LIUmWTfcYkHO4aIWwzhcaSAoJOfIk=
github.com/golang/protobuf v1.5.4 h1:i7eJL8qZTpSEXOPTxNKhASYpMn+8e5Q6AdndVa1dWek=
github.com/golang/protobuf v1.5.4/go.mod h1:lnTiLA8Wa4RWRcIUkrtSVa5nRhsEGBg48fD6rSs7xps=
github.com/golang/snappy v0.0.1/go.mod h1:/XxbfmMg8lxefKM7IXC3fBNl/7bRcc72aCRzEWrmP2Q=
github.com/golang/snappy v0.0.4 h1:yAGX7huGHXlcLOEtBnF4w7FQwA26wojNCwOYAEhLjQM=
github.com/golang/snappy v0.0.4/go.mod h1:/XxbfmMg8lxefKM7IXC3fBNl/7bRcc72aCRzEWrmP2Q=
github.com/google/btree v0.0.0-20180813153112-4030bb1f1f0c/go.mod h1:lNA+9X1NB3Zf8V7Ke586lFgjr2dZNuvo3lPJSGZ5JPQ=
@ -111,6 +124,8 @@ github.com/google/btree v1.0.1/go.mod h1:xXMiIv4Fb/0kKde4SpL7qlzvu5cMJDRkFDxJfI9
github.com/google/go-cmp v0.3.0/go.mod h1:8QqcDgzrUqlUb/G2PQTWiueGozuR1884gddMywk6iLU=
github.com/google/go-cmp v0.3.1/go.mod h1:8QqcDgzrUqlUb/G2PQTWiueGozuR1884gddMywk6iLU=
github.com/google/go-cmp v0.4.0/go.mod h1:v8dTdLbMG2kIc/vJvl+f65V22dbkXbowE6jgT/gNBxE=
github.com/google/go-cmp v0.5.2/go.mod h1:v8dTdLbMG2kIc/vJvl+f65V22dbkXbowE6jgT/gNBxE=
github.com/google/go-cmp v0.5.5/go.mod h1:v8dTdLbMG2kIc/vJvl+f65V22dbkXbowE6jgT/gNBxE=
github.com/google/go-cmp v0.7.0 h1:wk8382ETsv4JYUZwIsn6YpYiWiBsYLSJiTsyBybVuN8=
github.com/google/go-cmp v0.7.0/go.mod h1:pXiqmnSA92OHEEa9HXL2W4E7lf9JzCmGVUdgjX3N/iU=
github.com/google/gofuzz v1.0.0/go.mod h1:dBl0BpW6vV/+mYPU4Po3pmUjxk6FQPldtuIdl/M65Eg=
@ -157,6 +172,8 @@ github.com/hashicorp/go-uuid v1.0.3 h1:2gKiV6YVmrJ1i2CKKa9obLvRieoRGviZFL26PcT/C
github.com/hashicorp/go-uuid v1.0.3/go.mod h1:6SBZvOh/SIDV7/2o3Jml5SYk/TvGqwFJ/bN7x4byOro=
github.com/hashicorp/go-version v1.2.1 h1:zEfKbn2+PDgroKdiOzqiE8rsmLqU2uwi5PB5pBJ3TkI=
github.com/hashicorp/go-version v1.2.1/go.mod h1:fltr4n8CU8Ke44wwGCBoEymUuxUHl09ZGVZPK5anwXA=
github.com/hashicorp/go-version v1.7.0 h1:5tqGy27NaOTB8yJKUZELlFAS/LTKJkrmONwQKeRZfjY=
github.com/hashicorp/go-version v1.7.0/go.mod h1:fltr4n8CU8Ke44wwGCBoEymUuxUHl09ZGVZPK5anwXA=
github.com/hashicorp/golang-lru v0.5.0/go.mod h1:/m3WP610KZHVQ1SGc6re/UDhFvYD7pJ4Ao+sR/qLZy8=
github.com/hashicorp/golang-lru v0.5.4 h1:YDjusn29QI/Das2iO9M0BHnIbxPeyuCHsjMW+lJfyTc=
github.com/hashicorp/golang-lru v0.5.4/go.mod h1:iADmTwqILo4mZ8BN3D2Q6+9jd8WM5uGBxy+E8yxSoD4=
@ -192,6 +209,7 @@ github.com/juju/gnuflag v0.0.0-20171113085948-2ce1bb71843d/go.mod h1:2PavIy+JPci
github.com/julienschmidt/httprouter v1.2.0/go.mod h1:SYymIcj16QtmaHHD7aYtjjsJG7VTCxuUUipMqKk8s4w=
github.com/kisielk/errcheck v1.5.0/go.mod h1:pFxgyoBC7bSaBwPgfKdkLd5X25qrDl4LWUI2bnpBCr8=
github.com/kisielk/gotool v1.0.0/go.mod h1:XhKaO+MFFWcvkIS/tQcRk01m1F5IRFswLeQ+oQHNcck=
github.com/klauspost/compress v1.13.6/go.mod h1:/3/Vjq9QcHkK5uEr5lBEmyoZ1iFhe47etQ6QUkpK6sk=
github.com/klauspost/compress v1.18.0 h1:c/Cqfb0r+Yi+JtIEq73FWXVkRonBlf0CRNYc8Zttxdo=
github.com/klauspost/compress v1.18.0/go.mod h1:2Pp+KzxcywXVXMr50+X0Q/Lsb43OQHYWRCY2AiWywWQ=
github.com/klauspost/cpuid/v2 v2.0.9/go.mod h1:FInQzS24/EEf25PyTYn52gqo7WaD8xa0213Md/qVLRg=
@ -245,6 +263,7 @@ github.com/modern-go/reflect2 v0.0.0-20180701023420-4b7aa43c6742/go.mod h1:bx2lN
github.com/modern-go/reflect2 v1.0.1/go.mod h1:bx2lNnkwVCuqBIxFjflWJWanXIb3RllmbCylyMrvgv0=
github.com/modern-go/reflect2 v1.0.2 h1:xBagoLtFs94CBntxluKeaWgTMpvLxC4ur3nMaC9Gz0M=
github.com/modern-go/reflect2 v1.0.2/go.mod h1:yWuevngMOJpCy52FWWMvUC8ws7m/LJsjYzDa0/r8luk=
github.com/montanaflynn/stats v0.0.0-20171201202039-1bf9dbcd8cbe/go.mod h1:wL8QJuTMNUDYhXwkmfOly8iTdp5TEcJFWZD2D7SIkUc=
github.com/mostynb/go-grpc-compression v1.2.3 h1:42/BKWMy0KEJGSdWvzqIyOZ95YcR9mLPqKctH7Uo//I=
github.com/mostynb/go-grpc-compression v1.2.3/go.mod h1:AghIxF3P57umzqM9yz795+y1Vjs47Km/Y2FE6ouQ7Lg=
github.com/mwitkow/go-conntrack v0.0.0-20161129095857-cc309e4a2223/go.mod h1:qRWi+5nqEBWmkhHvq77mSJWrCKwh8bxhgT7d/eI7P4U=
@ -259,8 +278,13 @@ github.com/oapi-codegen/runtime v1.0.0/go.mod h1:LmCUMQuPB4M/nLXilQXhHw+BLZdDb18
github.com/pascaldekloe/goe v0.0.0-20180627143212-57f6aae5913c/go.mod h1:lzWF7FIEvWOWxwDKqyGYQf6ZUaNfKdP144TG7ZOy1lc=
github.com/pascaldekloe/goe v0.1.0 h1:cBOtyMzM9HTpWjXfbbunk26uA6nG3a8n06Wieeh0MwY=
github.com/pascaldekloe/goe v0.1.0/go.mod h1:lzWF7FIEvWOWxwDKqyGYQf6ZUaNfKdP144TG7ZOy1lc=
github.com/paulmach/orb v0.11.1 h1:3koVegMC4X/WeiXYz9iswopaTwMem53NzTJuTF20JzU=
github.com/paulmach/orb v0.11.1/go.mod h1:5mULz1xQfs3bmQm63QEJA6lNGujuRafwA5S/EnuLaLU=
github.com/paulmach/protoscan v0.2.1/go.mod h1:SpcSwydNLrxUGSDvXvO0P7g7AuhJ7lcKfDlhJCDw2gY=
github.com/pelletier/go-toml/v2 v2.2.3 h1:YmeHyLY8mFWbdkNWwpr+qIL2bEqT0o95WSdkNHvL12M=
github.com/pelletier/go-toml/v2 v2.2.3/go.mod h1:MfCQTFTvCcUyyvvwm1+G6H/jORL20Xlb6rzQu9GuUkc=
github.com/pierrec/lz4/v4 v4.1.22 h1:cKFw6uJDK+/gfw5BcDL0JL5aBsAFdsIT18eRtLj7VIU=
github.com/pierrec/lz4/v4 v4.1.22/go.mod h1:gZWDp/Ze/IJXGXf23ltt2EXimqmTUXEy0GFuRQyBid4=
github.com/pkg/errors v0.8.0/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINEl0=
github.com/pkg/errors v0.8.1/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINEl0=
github.com/pkg/errors v0.9.1 h1:FEBLx1zS214owpjy7qsBeixbURkuhQAwrK5UwLGTwt4=
@ -290,6 +314,10 @@ github.com/sagikazarmark/locafero v0.7.0 h1:5MqpDsTGNDhY8sGp0Aowyf0qKsPrhewaLSsF
github.com/sagikazarmark/locafero v0.7.0/go.mod h1:2za3Cg5rMaTMoG/2Ulr9AwtFaIppKXTRYnozin4aB5k=
github.com/sean-/seed v0.0.0-20170313163322-e2103e2c3529 h1:nn5Wsu0esKSJiIVhscUtVbo7ada43DJhG55ua/hjS5I=
github.com/sean-/seed v0.0.0-20170313163322-e2103e2c3529/go.mod h1:DxrIzT+xaE7yg65j358z/aeFdxmN0P9QXhEzd20vsDc=
github.com/segmentio/asm v1.2.0 h1:9BQrFxC+YOHJlTlHGkTrFWf59nbL3XnCoFLTwDCI7ys=
github.com/segmentio/asm v1.2.0/go.mod h1:BqMnlJP91P8d+4ibuonYZw9mfnzI9HfxselHZr5aAcs=
github.com/shopspring/decimal v1.4.0 h1:bxl37RwXBklmTi0C79JfXCEBD1cqqHt0bbgBAGFp81k=
github.com/shopspring/decimal v1.4.0/go.mod h1:gawqmDU56v4yIKSwfBSFip1HdCCXN8/+DMd9qYNcwME=
github.com/sirupsen/logrus v1.2.0/go.mod h1:LxeOpSwHxABJmUn/MG1IvRgCAasNZTLOkJPxbbu5VWo=
github.com/sirupsen/logrus v1.4.2/go.mod h1:tLMulIdttU9McNUspp0xgXVQah82FyeX6MwdIuYE2rE=
github.com/sourcegraph/conc v0.3.0 h1:OQTbbt6P72L20UqAkXXuLOj79LfEanQ+YQFNpLA9ySo=
@ -312,6 +340,7 @@ github.com/stretchr/objx v0.5.2/go.mod h1:FRsXN1f5AsAjCGJKqEizvkpNtU+EGNCLh3NxZ/
github.com/stretchr/testify v1.2.2/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs=
github.com/stretchr/testify v1.3.0/go.mod h1:M5WIy9Dh21IEIfnGCwXGc5bZfKNJtfHm1UVUgZn+9EI=
github.com/stretchr/testify v1.4.0/go.mod h1:j7eGeouHqKxXV5pUuKE4zz7dFj8WfuZ+81PSLYec5m4=
github.com/stretchr/testify v1.6.1/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
github.com/stretchr/testify v1.7.0/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
github.com/stretchr/testify v1.7.1/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
github.com/stretchr/testify v1.7.2/go.mod h1:R6va5+xMeoiuVRoj+gSkQ7d3FALtqAAGI1FQKckRals=
@ -320,8 +349,10 @@ github.com/stretchr/testify v1.8.1/go.mod h1:w2LPCIKwWwSfY2zedu0+kehJoqGctiVI29o
github.com/stretchr/testify v1.8.4/go.mod h1:sz/lmYIOXD/1dqDmKjjqLyZ2RngseejIcXlSw2iwfAo=
github.com/stretchr/testify v1.10.0 h1:Xv5erBjTwe/5IxqUQTdXv5kgmIvbHo3QQyRwhJsOfJA=
github.com/stretchr/testify v1.10.0/go.mod h1:r2ic/lqez/lEtzL7wO/rwa5dbSLXVDPFyf8C91i36aY=
github.com/stretchr/testify v1.11.1 h1:7s2iGBzp5EwR7/aIZr8ao5+dra3wiQyKjjFuvgVKu7U=
github.com/subosito/gotenv v1.6.0 h1:9NlTDc1FTs4qu0DDq7AEtTPNw6SVm7uBMsUCUjABIf8=
github.com/subosito/gotenv v1.6.0/go.mod h1:Dk4QP5c2W3ibzajGcXpNraDfq2IrhjMIvMSWPKKo0FU=
github.com/tidwall/pretty v1.0.0/go.mod h1:XNkn88O1ChpSDQmQeStsy+sBenx6DDtFZJxhVysOjyk=
github.com/tv42/httpunix v0.0.0-20150427012821-b75d8614f926/go.mod h1:9ESjWnEqriFuLhtthL60Sar/7RFoluCcXsuvEwTV5KM=
github.com/twitchyliquid64/golang-asm v0.15.1 h1:SU5vSMR7hnwNxj24w34ZyCi/FmDZTkS4MhqMhdFk5YI=
github.com/twitchyliquid64/golang-asm v0.15.1/go.mod h1:a1lVb/DtPvCB8fslRZhAngC2+aY1QWCk3Cedj/Gdt08=
@ -331,6 +362,10 @@ github.com/valyala/fastrand v1.1.0 h1:f+5HkLW4rsgzdNoleUOB69hyT9IlD2ZQh9GyDMfb5G
github.com/valyala/fastrand v1.1.0/go.mod h1:HWqCzkrkg6QXT8V2EXWvXCoow7vLwOFN002oeRzjapQ=
github.com/valyala/histogram v1.2.0 h1:wyYGAZZt3CpwUiIb9AU/Zbllg1llXyrtApRS815OLoQ=
github.com/valyala/histogram v1.2.0/go.mod h1:Hb4kBwb4UxsaNbbbh+RRz8ZR6pdodR57tzWUS3BUzXY=
github.com/xdg-go/pbkdf2 v1.0.0/go.mod h1:jrpuAogTd400dnrH08LKmI/xc1MbPOebTwRqcT5RDeI=
github.com/xdg-go/scram v1.1.1/go.mod h1:RaEWvsqvNKKvBPvcKeFjrG2cJqOkHTiyTpzz23ni57g=
github.com/xdg-go/stringprep v1.0.3/go.mod h1:W3f5j4i+9rC0kuIEJL0ky1VpHXQU3ocBgklLGvcBnW8=
github.com/youmark/pkcs8 v0.0.0-20181117223130-1be2e3e5546d/go.mod h1:rHwXgn7JulP+udvsHwJoVG1YGAP6VLg4y9I5dyZdqmA=
github.com/yuin/goldmark v1.1.27/go.mod h1:3hX8gzYuyVAZsxl0MRgGTJEmQBFcNTphYh9decYSb74=
github.com/yuin/goldmark v1.2.1/go.mod h1:3hX8gzYuyVAZsxl0MRgGTJEmQBFcNTphYh9decYSb74=
go.etcd.io/etcd/api/v3 v3.6.1 h1:yJ9WlDih9HT457QPuHt/TH/XtsdN2tubyxyQHSHPsEo=
@ -339,24 +374,32 @@ go.etcd.io/etcd/client/pkg/v3 v3.6.1 h1:CxDVv8ggphmamrXM4Of8aCC8QHzDM4tGcVr9p2BS
go.etcd.io/etcd/client/pkg/v3 v3.6.1/go.mod h1:aTkCp+6ixcVTZmrJGa7/Mc5nMNs59PEgBbq+HCmWyMc=
go.etcd.io/etcd/client/v3 v3.6.1 h1:KelkcizJGsskUXlsxjVrSmINvMMga0VWwFF0tSPGEP0=
go.etcd.io/etcd/client/v3 v3.6.1/go.mod h1:fCbPUdjWNLfx1A6ATo9syUmFVxqHH9bCnPLBZmnLmMY=
go.mongodb.org/mongo-driver v1.11.4/go.mod h1:PTSz5yu21bkT/wXpkS7WR5f0ddqw5quethTUn9WM+2g=
go.opentelemetry.io/auto/sdk v1.1.0 h1:cH53jehLUN6UFLY71z+NDOiNJqDdPRaXzTel0sJySYA=
go.opentelemetry.io/auto/sdk v1.1.0/go.mod h1:3wSPjt5PWp2RhlCcmmOial7AvC4DQqZb7a7wCow3W8A=
go.opentelemetry.io/otel v1.34.0 h1:zRLXxLCgL1WyKsPVrgbSdMN4c0FMkDAskSTQP+0hdUY=
go.opentelemetry.io/otel v1.34.0/go.mod h1:OWFPOQ+h4G8xpyjgqo4SxJYdDQ/qmRH+wivy7zzx9oI=
go.opentelemetry.io/otel v1.38.0 h1:RkfdswUDRimDg0m2Az18RKOsnI8UDzppJAtj01/Ymk8=
go.opentelemetry.io/otel v1.38.0/go.mod h1:zcmtmQ1+YmQM9wrNsTGV/q/uyusom3P8RxwExxkZhjM=
go.opentelemetry.io/otel/metric v1.34.0 h1:+eTR3U0MyfWjRDhmFMxe2SsW64QrZ84AOhvqS7Y+PoQ=
go.opentelemetry.io/otel/metric v1.34.0/go.mod h1:CEDrp0fy2D0MvkXE+dPV7cMi8tWZwX3dmaIhwPOaqHE=
go.opentelemetry.io/otel/metric v1.38.0 h1:Kl6lzIYGAh5M159u9NgiRkmoMKjvbsKtYRwgfrA6WpA=
go.opentelemetry.io/otel/sdk v1.34.0 h1:95zS4k/2GOy069d321O8jWgYsW3MzVV+KuSPKp7Wr1A=
go.opentelemetry.io/otel/sdk v1.34.0/go.mod h1:0e/pNiaMAqaykJGKbi+tSjWfNNHMTxoC9qANsCzbyxU=
go.opentelemetry.io/otel/sdk/metric v1.34.0 h1:5CeK9ujjbFVL5c1PhLuStg1wxA7vQv7ce1EK0Gyvahk=
go.opentelemetry.io/otel/sdk/metric v1.34.0/go.mod h1:jQ/r8Ze28zRKoNRdkjCZxfs6YvBTG1+YIqyFVFYec5w=
go.opentelemetry.io/otel/trace v1.34.0 h1:+ouXS2V8Rd4hp4580a8q23bg0azF2nI8cqLYnC8mh/k=
go.opentelemetry.io/otel/trace v1.34.0/go.mod h1:Svm7lSjQD7kG7KJ/MUHPVXSDGz2OX4h0M2jHBhmSfRE=
go.opentelemetry.io/otel/trace v1.38.0 h1:Fxk5bKrDZJUH+AMyyIXGcFAPah0oRcT+LuNtJrmcNLE=
go.opentelemetry.io/otel/trace v1.38.0/go.mod h1:j1P9ivuFsTceSWe1oY+EeW3sc+Pp42sO++GHkg4wwhs=
go.uber.org/goleak v1.3.0 h1:2K3zAYmnTNqV73imy9J1T3WC+gmCePx2hEGkimedGto=
go.uber.org/goleak v1.3.0/go.mod h1:CoHD4mav9JJNrW/WLlf7HGZPjdw8EucARQHekz1X6bE=
go.uber.org/multierr v1.11.0 h1:blXXJkSxSSfBVBlC76pxqeO+LN3aDfLQo+309xJstO0=
go.uber.org/multierr v1.11.0/go.mod h1:20+QtiLqy0Nd6FdQB9TLXag12DsQkrbs3htMFfDN80Y=
go.uber.org/zap v1.27.0 h1:aJMhYGrd5QSmlpLMr2MftRKl7t8J8PTZPA732ud/XR8=
go.uber.org/zap v1.27.0/go.mod h1:GB2qFLM7cTU87MWRP2mPIjqfIDnGu+VIO4V/SdhGo2E=
go.yaml.in/yaml/v3 v3.0.4 h1:tfq32ie2Jv2UxXFdLJdh3jXuOzWiL1fo0bu/FbuKpbc=
go.yaml.in/yaml/v3 v3.0.4/go.mod h1:DhzuOOF2ATzADvBadXxruRBLzYTpT36CKvDb3+aBEFg=
golang.org/x/arch v0.15.0 h1:QtOrQd0bTUnhNVNndMpLHNWrDmYzZ2KDqSrEymqInZw=
golang.org/x/arch v0.15.0/go.mod h1:JmwW7aLIoRUKgaTzhkiEFxvcEiQGyOg9BMonBJUS7EE=
golang.org/x/crypto v0.0.0-20180904163835-0709b304e793/go.mod h1:6SG95UA2DQfeDnfUPMdvaQW0Q7yPrPDi9nlGo2tz2b4=
@ -364,8 +407,11 @@ golang.org/x/crypto v0.0.0-20190308221718-c2843e01d9a2/go.mod h1:djNgcEr1/C05ACk
golang.org/x/crypto v0.0.0-20190923035154-9ee001bba392/go.mod h1:/lpIB1dKB+9EgE3H3cr1v9wB50oz8l4C4h62xy7jSTY=
golang.org/x/crypto v0.0.0-20191011191535-87dc89f01550/go.mod h1:yigFU9vqHzYiE8UmvKecakEJjdnWj3jj499lnFckfCI=
golang.org/x/crypto v0.0.0-20200622213623-75b288015ac9/go.mod h1:LzIPMQfyMNhhGPhUkYOs5KpL4U8rLKemX1yGLhDgUto=
golang.org/x/crypto v0.0.0-20220622213112-05595931fe9d/go.mod h1:IxCIyHEi3zRg3s0A5j5BB6A9Jmi73HwBIUl50j+osU4=
golang.org/x/crypto v0.37.0 h1:kJNSjF/Xp7kU0iB2Z+9viTPMW4EqqsrywMXLJOOsXSE=
golang.org/x/crypto v0.37.0/go.mod h1:vg+k43peMZ0pUMhYmVAWysMK35e6ioLh3wB8ZCAfbVc=
golang.org/x/crypto v0.42.0 h1:chiH31gIWm57EkTXpwnqf8qeuMUi0yekh6mT2AvFlqI=
golang.org/x/crypto v0.42.0/go.mod h1:4+rDnOTJhQCx2q7/j6rAN5XDw8kPjeaXEUR2eL94ix8=
golang.org/x/exp v0.0.0-20250305212735-054e65f0b394 h1:nDVHiLt8aIbd/VzvPWN6kSOPE7+F/fNFDSXLVYkE/Iw=
golang.org/x/exp v0.0.0-20250305212735-054e65f0b394/go.mod h1:sIifuuw/Yco/y6yb6+bDNfyeQ/MdPUy/hKEMYQV17cM=
golang.org/x/mod v0.2.0/go.mod h1:s0Qsj1ACt9ePp/hMypM3fl4fZqREWJwdYDEqhRiZZUA=
@ -379,8 +425,11 @@ golang.org/x/net v0.0.0-20200226121028-0de0cce0169b/go.mod h1:z5CRVTTTmAJ677TzLL
golang.org/x/net v0.0.0-20201021035429-f5854403a974/go.mod h1:sp8m0HH+o8qH0wwXwYZr8TS3Oi6o0r6Gce1SSxlDquU=
golang.org/x/net v0.0.0-20210226172049-e18ecbb05110/go.mod h1:m0MpNAwzfU5UDzcl9v0D8zg8gWTRqZa9RBIspLL5mdg=
golang.org/x/net v0.0.0-20210410081132-afb366fc7cd1/go.mod h1:9tjilg8BloeKEkVJvy7fQ90B1CfIiPueXVOjqfkSzI8=
golang.org/x/net v0.0.0-20211112202133-69e39bad7dc2/go.mod h1:9nx3DQGgdP8bBQD5qxJ1jj9UTztislL4KSBs9R2vV5Y=
golang.org/x/net v0.38.0 h1:vRMAPTMaeGqVhG5QyLJHqNDwecKTomGeqbnfZyKlBI8=
golang.org/x/net v0.38.0/go.mod h1:ivrbrMbzFq5J41QOQh0siUuly180yBYtLp+CKbEaFx8=
golang.org/x/net v0.44.0 h1:evd8IRDyfNBMBTTY5XRF1vaZlD+EmWx6x8PkhR04H/I=
golang.org/x/net v0.44.0/go.mod h1:ECOoLqd5U3Lhyeyo/QDCEVQ4sNgYsqvCZ722XogGieY=
golang.org/x/sync v0.0.0-20181108010431-42b317875d0f/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM=
golang.org/x/sync v0.0.0-20181221193216-37e7f081c4d4/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM=
golang.org/x/sync v0.0.0-20190423024810-112230192c58/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM=
@ -389,6 +438,8 @@ golang.org/x/sync v0.0.0-20201020160332-67f06af15bc9/go.mod h1:RxMgew5VJxzue5/jJ
golang.org/x/sync v0.0.0-20210220032951-036812b2e83c/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM=
golang.org/x/sync v0.13.0 h1:AauUjRAJ9OSnvULf/ARrrVywoJDy0YS2AwQ98I37610=
golang.org/x/sync v0.13.0/go.mod h1:1dzgHSNfp02xaA81J2MS99Qcpr2w7fw1gpm99rleRqA=
golang.org/x/sync v0.17.0 h1:l60nONMj9l5drqw6jlhIELNv9I0A4OFgRsG9k2oT9Ug=
golang.org/x/sync v0.17.0/go.mod h1:9KTHXmSnoGruLpwFjVSX0lNNA75CykiMECbovNTZqGI=
golang.org/x/sys v0.0.0-20180823144017-11551d06cbcc/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY=
golang.org/x/sys v0.0.0-20180905080454-ebe1bf3edb33/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY=
golang.org/x/sys v0.0.0-20181116152217-5ac8a444bdc5/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY=
@ -406,6 +457,8 @@ golang.org/x/sys v0.0.0-20200930185726-fdedc70b468f/go.mod h1:h1NjWce9XRLGQEsW7w
golang.org/x/sys v0.0.0-20201119102817-f84b799fce68/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
golang.org/x/sys v0.0.0-20210303074136-134d130e1a04/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
golang.org/x/sys v0.0.0-20210330210617-4fbd30eecc44/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
golang.org/x/sys v0.0.0-20210423082822-04245dca01da/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
golang.org/x/sys v0.0.0-20210615035016-665e8c7367d1/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
golang.org/x/sys v0.0.0-20210630005230-0f9fa26af87c/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
golang.org/x/sys v0.0.0-20210927094055-39ccf1dd6fa6/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
golang.org/x/sys v0.0.0-20220503163025-988cb79eb6c6/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
@ -414,13 +467,18 @@ golang.org/x/sys v0.0.0-20220811171246-fbc7d0a398ab/go.mod h1:oPkhp1MJrh7nUepCBc
golang.org/x/sys v0.6.0/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
golang.org/x/sys v0.32.0 h1:s77OFDvIQeibCmezSnk/q6iAfkdiQaJi4VzroCFrN20=
golang.org/x/sys v0.32.0/go.mod h1:BJP2sWEmIv4KK5OTEluFJCKSidICx8ciO85XgH3Ak8k=
golang.org/x/sys v0.36.0 h1:KVRy2GtZBrk1cBYA7MKu5bEZFxQk4NIDV6RLVcC8o0k=
golang.org/x/sys v0.36.0/go.mod h1:OgkHotnGiDImocRcuBABYBEXf8A9a87e/uXjp9XT3ks=
golang.org/x/term v0.0.0-20201126162022-7de9c90e9dd1/go.mod h1:bj7SfCRtBDWHUb9snDiAeCFNEtKQo2Wmx5Cou7ajbmo=
golang.org/x/text v0.3.0/go.mod h1:NqM8EUOU14njkJ3fqMW+pc6Ldnwhi/IjpwHt7yyuwOQ=
golang.org/x/text v0.3.2/go.mod h1:bEr9sfX3Q8Zfm5fL9x+3itogRgK3+ptLWKqgva+5dAk=
golang.org/x/text v0.3.3/go.mod h1:5Zoc/QRtKVWzQhOtBMvqHzDpF6irO9z98xDceosuGiQ=
golang.org/x/text v0.3.6/go.mod h1:5Zoc/QRtKVWzQhOtBMvqHzDpF6irO9z98xDceosuGiQ=
golang.org/x/text v0.3.7/go.mod h1:u+2+/6zg+i71rQMx5EYifcz6MCKuco9NR6JIITiCfzQ=
golang.org/x/text v0.24.0 h1:dd5Bzh4yt5KYA8f9CJHCP4FB4D51c2c6JvN37xJJkJ0=
golang.org/x/text v0.24.0/go.mod h1:L8rBsPeo2pSS+xqN0d5u2ikmjtmoJbDBT1b7nHvFCdU=
golang.org/x/text v0.29.0 h1:1neNs90w9YzJ9BocxfsQNHKuAT4pkghyXc4nhZ6sJvk=
golang.org/x/text v0.29.0/go.mod h1:7MhJOA9CD2qZyOKYazxdYMF85OwPdEr9jTtBpO7ydH4=
golang.org/x/time v0.8.0 h1:9i3RxcPv3PZnitoVGMPDKZSq1xW1gK1Xy3ArNOGZfEg=
golang.org/x/time v0.8.0/go.mod h1:3BpzKBy/shNhVucY/MWOyx10tF3SFh9QdLuxbVysPQM=
golang.org/x/tools v0.0.0-20180917221912-90fa682c2a6e/go.mod h1:n7NCudcB/nEzxVGmLbDWY5pfWTLqBcC2KZ6jyYvM4mQ=
@ -440,10 +498,13 @@ google.golang.org/genproto/googleapis/rpc v0.0.0-20250303144028-a0af3efb3deb h1:
google.golang.org/genproto/googleapis/rpc v0.0.0-20250303144028-a0af3efb3deb/go.mod h1:LuRYeWDFV6WOn90g357N17oMCaxpgCnbi/44qJvDn2I=
google.golang.org/grpc v1.71.1 h1:ffsFWr7ygTUscGPI0KKK6TLrGz0476KUvvsbqWK0rPI=
google.golang.org/grpc v1.71.1/go.mod h1:H0GRtasmQOh9LkFoCPDu3ZrwUtD1YGE+b2vYBYd/8Ec=
google.golang.org/protobuf v1.26.0-rc.1/go.mod h1:jlhhOSvTdKEhbULTjvd4ARK9grFBp09yW+WbY/TyQbw=
google.golang.org/protobuf v1.27.1/go.mod h1:9q0QmTI4eRPtz6boOQmLYwt+qCgq0jsYwAQnmE0givc=
google.golang.org/protobuf v1.36.6 h1:z1NpPI8ku2WgiWnf+t9wTPsn6eP1L7ksHUlkfLvd9xY=
google.golang.org/protobuf v1.36.6/go.mod h1:jduwjTPXsFjZGTmRluh+L6NjiWu7pchiJ2/5YcXBHnY=
gopkg.in/alecthomas/kingpin.v2 v2.2.6/go.mod h1:FMv+mEhP44yOT+4EoQTLFTRgOQ1FBLkstjWtayDeSgw=
gopkg.in/check.v1 v0.0.0-20161208181325-20d25e280405/go.mod h1:Co6ibVJAznAaIkqp8huTwlJQCZ016jof/cbN4VW5Yz0=
gopkg.in/check.v1 v1.0.0-20180628173108-788fd7840127/go.mod h1:Co6ibVJAznAaIkqp8huTwlJQCZ016jof/cbN4VW5Yz0=
gopkg.in/check.v1 v1.0.0-20190902080502-41f04d3bba15/go.mod h1:Co6ibVJAznAaIkqp8huTwlJQCZ016jof/cbN4VW5Yz0=
gopkg.in/check.v1 v1.0.0-20201130134442-10cb98267c6c h1:Hei/4ADfdWqJk1ZMxUNpqntNwaWcugrBjAiHlqqRiVk=
gopkg.in/check.v1 v1.0.0-20201130134442-10cb98267c6c/go.mod h1:JHkPIbrfpd72SG/EVd6muEfDQjcINNoR0C8j2r3qZ4Q=
@ -456,6 +517,8 @@ gopkg.in/yaml.v2 v2.2.5/go.mod h1:hI93XBmqTisBFMUTm0b8Fm+jr3Dg1NNxqwp+5A1VGuI=
gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=
gopkg.in/yaml.v3 v3.0.1 h1:fxVm/GzAzEWqLHuvctI91KS9hhNmmWOoWu0XTYJS7CA=
gopkg.in/yaml.v3 v3.0.1/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=
gorm.io/driver/clickhouse v0.7.0 h1:BCrqvgONayvZRgtuA6hdya+eAW5P2QVagV3OlEp1vtA=
gorm.io/driver/clickhouse v0.7.0/go.mod h1:TmNo0wcVTsD4BBObiRnCahUgHJHjBIwuRejHwYt3JRs=
gorm.io/driver/mysql v1.5.7 h1:MndhOPYOfEp2rHKgkZIhJ16eVUIRf2HmzgoPmh7FCWo=
gorm.io/driver/mysql v1.5.7/go.mod h1:sEtPWMiqiN1N1cMXoXmBbd8C6/l+TESwriotuRRpkDM=
gorm.io/driver/postgres v1.6.0 h1:2dxzU8xJ+ivvqTRph34QX+WrRaJlmfyPqXmoGVjMBa4=
@ -463,4 +526,6 @@ gorm.io/driver/postgres v1.6.0/go.mod h1:vUw0mrGgrTK+uPHEhAdV4sfFELrByKVGnaVRkXD
gorm.io/gorm v1.25.7/go.mod h1:hbnx/Oo0ChWMn1BIhpy1oYozzpM15i4YPuHDmfYtwg8=
gorm.io/gorm v1.25.12 h1:I0u8i2hWQItBq1WfE0o2+WuL9+8L21K9e2HHSTE/0f8=
gorm.io/gorm v1.25.12/go.mod h1:xh7N7RHfYlNc5EmcI/El95gXusucDrQnHXe0+CgWcLQ=
gorm.io/gorm v1.30.0 h1:qbT5aPv1UH8gI99OsRlvDToLxW5zR7FzS9acZDOZcgs=
gorm.io/gorm v1.30.0/go.mod h1:8Z33v652h4//uMA76KjeDH8mJXPm1QNCYrMeatR0DOE=
nullprogram.com/x/optparse v1.0.0/go.mod h1:KdyPE+Igbe0jQUrVfMqDMeJQIJZEuyV7pjYmp6pbG50=

140
internal/trading/backtest/account.go
Unescape View File

@ -2,47 +2,155 @@ package backtest
import (
"fmt"
"math"
"sig-pub/pkg/trade"
"sig-pub/pkg/types"
"sig-pub/pkg/types/decimals"
"sig-pub/pkg/utils/conver"
"sig-pub/pkg/utils/lang"
"sort"
"time"
)
type BacktestAccount struct {
trade.ITradeAccount
cash float64
initialCash float64
positions map[int64]*trade.Position
trades map[int64]*trade.Trade
closeTrades map[int64]*trade.Trade
trades map[int64]*Trade
closeTrades map[int64]*Trade
simulator *TradeSimulator
profit float64
winningTrades int
losingTrades int
fee float64
maxDrawdown [4]float64 // 最大回撤
}
func NewBacktestAccount(cash float64, simulator *TradeSimulator) *BacktestAccount {
return &BacktestAccount{
// keep initial cash for return calculations
initialCash: cash,
cash: cash,
positions: make(map[int64]*trade.Position),
trades: make(map[int64]*trade.Trade),
closeTrades: make(map[int64]*trade.Trade),
trades: make(map[int64]*Trade),
closeTrades: make(map[int64]*Trade),
simulator: simulator,
maxDrawdown: [4]float64{cash, cash, cash, cash},
}
}
// initialCash stores the starting capital for return calculations
// (placed here to avoid changing exported API)
func (a *BacktestAccount) InitialCash() float64 { return a.initialCash }
// SharpeRatio computes an annualized Sharpe ratio based on closed trades.
// rfAnnual is the annual risk-free rate expressed as a decimal (e.g. 0.01 for 1%).
// Method:
// - For each closed trade, we compute a period return = trade.Pnl / initialCash.
// - Period lengths are derived from successive trade close timestamps (ms).
// - Excess returns = periodReturn - rfAnnual * periodYears.
// - Sharpe = mean(excess) / stddev(excess) * sqrt(periodsPerYear)
// This provides a reasonable approximation when equity snapshots are not available.
func (a *BacktestAccount) SharpeRatio(rfAnnual float64) float64 {
if a.initialCash <= 0 {
return 0
}
n := len(a.closeTrades)
if n < 2 {
return 0
}
trades := make([]*Trade, 0, n)
for _, t := range a.closeTrades {
trades = append(trades, t)
}
sort.Slice(trades, func(i, j int) bool { return trades[i].CloseTime < trades[j].CloseTime })
// returns per closed trade (relative to initial capital)
returns := make([]float64, 0, n)
// periods in seconds between closes; length will be n-1 initially
periodsSec := make([]float64, 0, n-1)
for i, t := range trades {
returns = append(returns, t.Pnl/a.initialCash)
if i > 0 {
// CloseTs is in milliseconds in this codebase
dtSec := float64(t.CloseTime-trades[i-1].CloseTime) / 1000.0
if dtSec <= 0 {
dtSec = 1.0
}
periodsSec = append(periodsSec, dtSec)
}
}
if len(periodsSec) == 0 {
return 0
}
// average period (seconds) used to approximate period length for the first return
sumDt := 0.0
for _, d := range periodsSec {
sumDt += d
}
avgDt := sumDt / float64(len(periodsSec))
// Build final periods slice aligned with returns length
periods := make([]float64, 0, n)
periods = append(periods, avgDt)
periods = append(periods, periodsSec...)
const secsYear = 365.0 * 24.0 * 3600.0
excess := make([]float64, len(returns))
for i := range returns {
years := periods[i] / secsYear
excess[i] = returns[i] - rfAnnual*years
}
meanEx := mean(excess)
sd := stddev(excess)
if sd == 0 {
return 0
}
// approximate number of periods per year
periodsPerYear := secsYear / avgDt
return meanEx / sd * math.Sqrt(periodsPerYear)
}
func mean(x []float64) float64 {
if len(x) == 0 {
return 0
}
s := 0.0
for _, v := range x {
s += v
}
return s / float64(len(x))
}
func stddev(x []float64) float64 {
if len(x) <= 1 {
return 0
}
m := mean(x)
s := 0.0
for _, v := range x {
d := v - m
s += d * d
}
// population or sample? use sample (n-1)
return math.Sqrt(s / float64(len(x)-1))
}
// CurrentEquity 根据当前价格对仓位进行 mark-to-market，返回账户净值
func (a *BacktestAccount) CurrentEquity(price float64) float64 {
equity := a.cash
for _, p := range a.positions {
switch p.Side {
case types.SideLong:
equity += (price - p.EntryPx) * p.Qty
// equity += (price - p.EntryPx) * p.Qty
equity += price * p.Qty
case types.SideShort:
equity += (p.EntryPx - price) * p.Qty
// equity += (p.EntryPx - price) * p.Qty
equity += (p.EntryPx - price + p.EntryPx) * p.Qty
}
}
return equity
@ -152,12 +260,26 @@ func (a *BacktestAccount) ClosePosition(pos *trade.Position, kline types.Kline,
a.closeTrades[t.Id] = t
if trade, ok := a.trades[pos.TradeId]; ok {
trade.Pnl = profit
trade.ClosePrice = closePrice
trade.CloseFee = t.Fee
trade.CloseTs = kline.Ts
trade.CloseTime = kline.Ts
trade.CloseCause = cause
trade.HoldTime = conver.TimeDurationFormat(time.Duration(trade.CloseTs-trade.Time)*time.Millisecond, ".")
trade.Pnl = profit
trade.HoldTime = conver.TimeDurationFormat(time.Duration(trade.CloseTime-trade.Time)*time.Millisecond, ".")
trade.PeakPx = pos.PeakPx
}
// 记录最大回撤 [high, low, high, low]
currentEquity := a.CurrentEquity(closePrice)
if currentEquity < a.maxDrawdown[1] {
a.maxDrawdown[1] = currentEquity
}
if currentEquity > a.maxDrawdown[0] {
if a.maxDrawdown[0]-a.maxDrawdown[1] > a.maxDrawdown[2]-a.maxDrawdown[3] {
a.maxDrawdown[2], a.maxDrawdown[3] = a.maxDrawdown[0], a.maxDrawdown[1]
}
a.maxDrawdown[0] = currentEquity
a.maxDrawdown[1] = currentEquity
}
return
}

11
internal/trading/backtest/trade_simulator.go
Unescape View File

@ -2,7 +2,6 @@ package backtest
import (
"math"
"sig-pub/pkg/trade"
"sig-pub/pkg/types"
"sig-pub/pkg/types/decimals"
)
@ -19,7 +18,7 @@ func NewTradeSimulator(feePct, slippagePct float64) *TradeSimulator {
}
// ExecuteMarket 执行市价单，使用kline信息决定成交价（使用close以及滑点）
func (s *TradeSimulator) ExecuteMarket(side types.Side, qty float64, closePrice float64, ts int64) (trd *trade.Trade, ok bool) {
func (s *TradeSimulator) ExecuteMarket(side types.Side, qty float64, closePrice float64, ts int64) (trd *Trade, ok bool) {
// base price use close
base := closePrice
slippage := s.SlippagePct
@ -34,7 +33,7 @@ func (s *TradeSimulator) ExecuteMarket(side types.Side, qty float64, closePrice
return
}
fee := math.Abs(base*qty) * s.FeePct
trd = &trade.Trade{Side: side, Qty: qty, Price: base, Fee: fee, Time: ts}
trd = &Trade{Side: side, Qty: qty, Price: base, Fee: fee, Time: ts}
s.TradeId++
trd.Id = s.TradeId
ok = true
@ -42,7 +41,7 @@ func (s *TradeSimulator) ExecuteMarket(side types.Side, qty float64, closePrice
}
// ExecuteLimit 简单实现: 如果limit价格被kline的high/low包含则成交
func (s *TradeSimulator) ExecuteLimit(side types.Side, qty float64, limitPx float64, k types.Kline, ts int64) (trd *trade.Trade, filled bool) {
func (s *TradeSimulator) ExecuteLimit(side types.Side, qty float64, limitPx float64, k types.Kline, ts int64) (trd *Trade, filled bool) {
h := decimals.MustToFloat64(k.High)
l := decimals.MustToFloat64(k.Low)
switch side {
@ -52,14 +51,14 @@ func (s *TradeSimulator) ExecuteLimit(side types.Side, qty float64, limitPx floa
// assume filled at min(limitPx, open)
px := math.Min(limitPx, decimals.MustToFloat64(k.Open))
fee := math.Abs(px*qty) * s.FeePct
trd = &trade.Trade{Side: side, Qty: qty, Price: px * (1 + s.SlippagePct), Fee: fee, Time: ts}
trd = &Trade{Side: side, Qty: qty, Price: px * (1 + s.SlippagePct), Fee: fee, Time: ts}
return trd, true
}
case types.SideShort:
if h >= limitPx {
px := math.Max(limitPx, decimals.MustToFloat64(k.Open))
fee := math.Abs(px*qty) * s.FeePct
trd = &trade.Trade{Side: side, Qty: qty, Price: px * (1 - s.SlippagePct), Fee: fee, Time: ts}
trd = &Trade{Side: side, Qty: qty, Price: px * (1 - s.SlippagePct), Fee: fee, Time: ts}
return trd, true
}
}

71
internal/trading/backtest/trading_plan_backtester.go
Unescape View File

@ -5,6 +5,7 @@ import (
"errors"
"fmt"
"sig-pub/api/pb"
"sig-pub/internal/trading/sig"
"sig-pub/pkg/data/entity"
"sig-pub/pkg/indicator"
"sig-pub/pkg/strategy"
@ -12,15 +13,18 @@ import (
"sig-pub/pkg/types"
"sig-pub/pkg/utils/collect"
"sig-pub/pkg/zlog"
"time"
"github.com/bytedance/sonic"
)
// todo 将backtest独立成单独服务横向扩展
type TradingPlanBacktester struct {
indicatorReg *indicator.IndicatorRegistry
sigStrategyReg *strategy.SigStrategyRegistry
exchangeClient pb.ExchangeServiceClient
plan entity.TradePlan
account *BacktestAccount
sigStrategyType strategy.SigStrategyType
sigStrategy strategy.ISigStrategy
@ -38,6 +42,7 @@ func NewTradingPlanBacktester(indicatorReg *indicator.IndicatorRegistry, sigStra
}
func (b *TradingPlanBacktester) Init(cash float64, plan entity.TradePlan) (err error) {
b.plan = plan
// trade account
simulator := NewTradeSimulator(0.0005, 0.0008)
b.account = NewBacktestAccount(cash, simulator)
@ -85,19 +90,30 @@ func (b *TradingPlanBacktester) Init(cash float64, plan entity.TradePlan) (err e
}
// 核心引擎，模拟交易、持仓跟踪、费用计算
func (b *TradingPlanBacktester) Backtest(ctx context.Context, sr *pb.SeriesRange) (err error) {
func (b *TradingPlanBacktester) Backtest(ctx context.Context, sr *pb.SeriesRange) (test *BacktestTradingPlan, err error) {
test = &BacktestTradingPlan{
Id: time.Now().Unix(),
UserId: 10001,
PlanId: b.plan.Id,
InstId: b.plan.InstId,
Exchange: pb.ExchangeType(b.plan.Exchange),
Interval: b.plan.Interval,
SeriesBefore: sr.Before,
SeriesAfter: sr.After,
Ctime: time.Now().UnixMilli(),
Cash: b.account.cash,
}
// 交易信号回测器
sigStrategyBacktester := NewSigStrategyBacktester(b.sigStrategyType, b.sigStrategy, b.indicatorReg, b.exchangeClient)
onInterval1m, sigTimes := 0, 0
sigStrategyBacktester.SubKline(types.Interval1m, func(interval types.Interval, k types.Kline) (err error) {
onInterval1m++
// 检查仓位平仓
return b.closeByKlineInterval1m(k)
})
err = sigStrategyBacktester.Backtest(ctx, sr, nil, func(sigSide types.Side, k types.Kline) (err error) {
sigTimes++
intervalSeries := types.NewIntervalState[*sig.KlineSeries]()
err = sigStrategyBacktester.Backtest(ctx, sr, intervalSeries, func(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(sigSide, k); err != nil {
return
@ -109,16 +125,47 @@ func (b *TradingPlanBacktester) Backtest(ctx context.Context, sr *pb.SeriesRange
return
}
// todo 回测报告
var trades []*trade.Trade
// 读最新的k线
kSeries := intervalSeries.Get(types.Interval(sr.Interval))
lastCandle, ok := kSeries.Get(0)
if !ok {
err = fmt.Errorf("get series last candle error")
return
}
// 关闭所有未平仓仓位
b.forceCloseAllHoldingPosition(lastCandle)
// 回测结果
test.Etime = time.Now().UnixMilli()
test.EndCash = b.account.cash
test.Profit = b.account.profit
test.TotalTrades = len(b.account.trades)
test.WinningTrades = b.account.winningTrades
test.LosingTrades = b.account.losingTrades
test.Fee = b.account.fee
// trades
var trades []*Trade
for _, trade := range b.account.trades {
if trade.ClosePrice > 0 {
trades = append(trades, trade)
trade.BacktestId = test.Id
trade.Ctime = test.Ctime
trades = append(trades, trade)
}
collect.SortAsc(trades, func(t *Trade) int64 { return t.Id })
test.Trades = trades
// 最大回撤
drawdown := b.account.maxDrawdown
test.MaxDrawdown = max((drawdown[0]-drawdown[1])/drawdown[0], (drawdown[2]-drawdown[3])/drawdown[2])
return
}
// forceCloseAllHoldingPosition 关闭所有未平仓仓位
func (b *TradingPlanBacktester) forceCloseAllHoldingPosition(k types.Kline) (err error) {
for _, pos := range b.account.positions {
err = b.account.ClosePosition(pos, k, trade.CauseCloseForced)
if err != nil {
return
}
}
collect.SortDesc(trades, func(t *trade.Trade) float64 { return t.Pnl })
exposure := b.account.cash + b.account.CurrentExposure()
_ = exposure
return
}

60
internal/trading/backtest/types.go
Unescape View File

@ -1,13 +1,15 @@
package backtest
import (
"sig-pub/api/pb"
"sig-pub/pkg/trade"
"sig-pub/pkg/types"
)
type BacktestResult struct {
StartTs int64
EndTs int64
Trades []*trade.Trade
Trades []*Trade
Positions []*trade.Position
Cash float64
Equity float64
@ -17,6 +19,8 @@ type BacktestResult struct {
// max_drawdown 最大回撤
// num_trades 单数
// win_rate 胜率
// 资金利用率 150%/天
// 资金曲线，收益分布，持仓分析
}
type TradeStat struct {
@ -70,3 +74,57 @@ type TradeStat struct {
// LongestDaysWithoutNewHigh int64 `json:"longest_days_without_new_high"` // 权益/盈亏最长未创新高天数
// LongestPeriodWithoutNewHigh string `json:"longest_period_without_new_high"` // 权益/盈亏最长未创新高时间段
}
// BacktestTradingPlan 交易计划回测结果
type BacktestTradingPlan struct {
Id int64 `json:"id" gorm:"column:id"` // 测试id
UserId int64 `json:"userId" gorm:"column:user_id"` // 用户id
PlanId int64 `json:"planId" gorm:"column:plan_id"` // 交易计划id
InstId string `json:"instId" gorm:"column:inst_id"` // 交易产品id
Exchange pb.ExchangeType `json:"exchange" gorm:"column:exchange"` // 交易所
Interval string `json:"interval" gorm:"column:interval"` // 交易周期
SeriesBefore int64 `json:"seriesBefore" gorm:"column:series_before"` // 回测周期开始时间
SeriesAfter int64 `json:"seriesAfter" gorm:"column:series_after"` // 回测周期结束时间
Ctime int64 `json:"ctime" gorm:"column:ctime"` // 创建时间(测试时间)
Etime int64 `json:"etime" gorm:"column:etime"` // 测试结束时间
Cash float64 `json:"cash" gorm:"column:cash"` // 起始金额
EndCash float64 `json:"endCash" gorm:"column:end_cash"` // 结束金额
Profit float64 `json:"profit" gorm:"column:profit"` // 利润
Singals int `json:"singals" gorm:"column:singals"` // 交易信号数
TotalTrades int `json:"totalTrades" gorm:"column:total_trades"` // 总单数
WinningTrades int `json:"winningTrades" gorm:"column:winning_trades"` // 盈利单数
LosingTrades int `json:"losingTrades" gorm:"column:losing_trades"` // 亏损单数
Fee float64 `json:"fee" gorm:"column:fee"` // 总手续费
MaxDrawdown float64 `json:"maxDrawdown" gorm:"column:max_drawdown"` // 最大回撤
Trades []*Trade `json:"-" gorm:"-"` // 回测交易单
}
func (BacktestTradingPlan) TableName() string {
return "backtest_trading_plan"
}
// Trade 交易计划回测单
type Trade struct {
Id int64 `json:"id" gorm:"column:id"` // 交易id
BacktestId int64 `json:"backtestId" gorm:"column:backtest_id"` // 回测id
Ctime int64 `json:"ctime" gorm:"column:ctime"` // 创建时间
Side types.Side `json:"side" gorm:"column:side"` // 交易方向
Qty float64 `json:"qty" gorm:"column:qty"` // 交易量
Price float64 `json:"price" gorm:"column:price"` // 开仓价格
Fee float64 `json:"fee" gorm:"column:fee"` // 开仓手续费
Leverage int32 `json:"leverage" gorm:"column:leverage"` // 杠杆倍数
Time int64 `json:"time" gorm:"column:time"` // 开仓时间
TimeK int64 `json:"timeK" gorm:"column:time_k"` // 开仓K线时间
ClosePrice float64 `json:"closePrice" gorm:"column:close_price"` // 平仓价格
CloseFee float64 `json:"closeFee" gorm:"column:close_fee"` // 平仓手续费
CloseTime int64 `json:"closeTime" gorm:"column:close_time"` // 平仓时间
CloseTimeK int64 `json:"closeTimeK" gorm:"column:close_time_k"` // 平仓K线时间
CloseCause trade.Cause `json:"closeCause" gorm:"column:close_cause"` // 平仓原因 ["stoploss", "takeprofit", "trailing", "retrace", "signal"](“止损”、“止盈”、“动态跟踪”、“回撤”、“信号”)
Pnl float64 `json:"pnl" gorm:"column:pnl"` // 盈利/亏损 pnl = (t.ClosePrice-t.Price)*t.Qty - t.Fee - t.CloseFee
HoldTime string `json:"holdTime" gorm:"column:hold_time"` // 持仓时间
PeakPx float64 `json:"peakPx" gorm:"column:peakPx"` // highest (for long) or lowest (for short) observed price since entry
}
func (Trade) TableName() string {
return "backtest_trading_trade"
}

27
internal/trading/trading_data_persist.go
Unescape View File

@ -1,22 +1,33 @@
package trading
import (
"context"
"sig-pub/internal/trading/backtest"
"sig-pub/pkg/data"
"sig-pub/pkg/data/entity"
"sig-pub/pkg/storage/ck"
"sig-pub/pkg/storage/persist"
)
type TradingDataPersist struct {
db *persist.RDB
db *persist.RDB
ckDB *ck.ClickhouseDB
ckBatchWriter *ck.ClickhouseBatchWriter
}
func NewTradingDataPersist(db *persist.RDB) *TradingDataPersist {
func NewTradingDataPersist(db *persist.RDB, ckDB *ck.ClickhouseDB, ckBatchWriter *ck.ClickhouseBatchWriter) *TradingDataPersist {
return &TradingDataPersist{
db: db,
db: db,
ckDB: ckDB,
ckBatchWriter: ckBatchWriter,
}
}
func (p *TradingDataPersist) Init() (err error) {
err = p.ckDB.AutoMigrateTables(
&backtest.BacktestTradingPlan{},
&backtest.Trade{},
)
return
}
@ -32,3 +43,13 @@ func (p *TradingDataPersist) GetTradePlanById(planId int64) (plan *entity.TradeP
}
return
}
// SaveBacktestTradingPlan 保存交易计划回测结果
func (p *TradingDataPersist) SaveBacktestTradingPlan(ctx context.Context, backtestTradingPlan *backtest.BacktestTradingPlan) (err error) {
err = ck.InsertBatch(p.ckBatchWriter, ctx, []*backtest.BacktestTradingPlan{backtestTradingPlan})
if err != nil {
return
}
err = ck.InsertBatch(p.ckBatchWriter, ctx, backtestTradingPlan.Trades)
return
}

6
internal/trading/trading_service.go
Unescape View File

@ -297,6 +297,10 @@ func (svc *TradingService) Backtest(ctx context.Context, planId, stime, etime in
if err = tester.Init(10000, *plan); err != nil {
return
}
err = tester.Backtest(ctx, sr)
backtestTradingPlan, err := tester.Backtest(ctx, sr)
if err != nil {
return
}
err = svc.tradingDataPersist.SaveBacktestTradingPlan(ctx, backtestTradingPlan)
return
}

109
pkg/config/config.go
Unescape View File

@ -1,14 +1,21 @@
package config
import (
"context"
"net"
"os"
"sig-pub/pkg/zlog"
"time"
"github.com/redis/go-redis/v9"
clientv3 "go.etcd.io/etcd/client/v3"
"golang.org/x/crypto/ssh"
"gorm.io/driver/mysql"
"gorm.io/driver/postgres"
"gorm.io/gorm"
"gorm.io/gorm/logger"
clickhousev2 "github.com/ClickHouse/clickhouse-go/v2"
)
type Configuration struct {
@ -116,15 +123,99 @@ func (conf PostgresConfig) NewGormDB() (db *gorm.DB, err error) {
}
type ClickhouseConfig struct {
Logsql bool
Addr string
Database string
Username string
Password string
DialTimeout int // second
ReadTimeout int // second
NotAutoMigrateTable bool
DsnParams map[string]any
Logsql bool
LogsqlCk bool
Addr string
Database string
Username string
Password string
DialTimeout int // second
ReadTimeout int // second
DsnParams map[string]any
SSH bool
SSHUser string
SSHAddr string
SSHPassword string
SSHKey string
}
func (cfg ClickhouseConfig) Clickhousev2Options() (options *clickhousev2.Options, err error) {
options = &clickhousev2.Options{
Addr: []string{cfg.Addr},
DialTimeout: time.Duration(cfg.DialTimeout) * time.Second,
ReadTimeout: time.Duration(cfg.ReadTimeout) * time.Second,
Auth: clickhousev2.Auth{
Database: cfg.Database,
Username: cfg.Username,
Password: cfg.Password,
},
ClientInfo: clickhousev2.ClientInfo{
Products: []struct {
Name string
Version string
}{
{Name: "sig", Version: "0.1"},
},
},
TLS: nil,
// TLS: &tls.Config{
// InsecureSkipVerify: true,
// },
// Settings: clickhouse0.Settings{
// "max_execution_time": 60,
// "max_query_size": 10000000, // sql最大长度单位byte
// },
Settings: clickhousev2.Settings(cfg.DsnParams),
Compression: &clickhousev2.Compression{
Method: clickhousev2.CompressionLZ4,
},
Debug: cfg.LogsqlCk,
Debugf: zlog.Debugf,
}
if cfg.SSH {
var auth []ssh.AuthMethod
if cfg.SSHPassword != "" {
// SSH 密码认证
auth = append(auth, ssh.Password(cfg.SSHPassword))
}
if cfg.SSHKey != "" {
// SSH 私钥认证
k, e := os.ReadFile(cfg.SSHKey)
if e != nil {
return nil, e
}
signer, e := ssh.ParsePrivateKey(k)
if e != nil {
return nil, e
}
auth = append(auth, ssh.PublicKeysCallback(func() ([]ssh.Signer, error) {
return []ssh.Signer{signer}, nil
}))
}
sshConfig := &ssh.ClientConfig{
User: cfg.SSHUser,
Auth: auth,
HostKeyCallback: ssh.InsecureIgnoreHostKey(), // 忽略主机密钥检查（仅供开发使用）
Timeout: 5 * time.Second, // SSH 连接超时
}
// 连接 SSH 服务器
sshClient, e := ssh.Dial("tcp", cfg.SSHAddr, sshConfig)
if e != nil {
return nil, e
}
// 创建本地监听器 (本地端口)
localListener, e := sshClient.Dial("tcp", cfg.Addr) // 远程 ClickHouse 地址及端口
if e != nil {
return nil, e
}
// 设置本地 dail 代理
options.DialContext = func(ctx context.Context, addr string) (net.Conn, error) {
return localListener, nil
}
}
return
}
// ============== tsdb ==============

1
pkg/data/sdata/trade.go
Unescape View File

@ -0,0 +1 @@
package sdata

4
pkg/grpc/interceptor/recover_interceptor.go
Unescape View File

@ -29,7 +29,9 @@ func RecoverInterceptor(ctx context.Context, req any, server *grpc.UnaryServerIn
// zlog.Debugf("call method: %s", server.FullMethod) // -> /TradingService/IndicatorSeries
resp, err = handler(ctx, req)
if err == nil {
if err != nil {
zlog.Errorf("grpc request error: method=%s, %v", server.FullMethod, err)
} else {
if empty, ok := resp.(*emptypb.Empty); ok && empty == nil {
resp = &emptypb.Empty{} // grpc: error while marshaling: proto: Marshal called with nil
} else if resp == nil {

73
pkg/storage/ck/clickhouse.go
Unescape View File

@ -0,0 +1,73 @@
package ck
import (
"sig-pub/pkg/config"
"sig-pub/pkg/zlog"
clickhousev2 "github.com/ClickHouse/clickhouse-go/v2"
"gorm.io/driver/clickhouse"
"gorm.io/gorm"
"gorm.io/gorm/logger"
)
type ClickhouseDB struct {
cfg config.ClickhouseConfig
db *gorm.DB
}
func NewClickhouseDB(cfg config.ClickhouseConfig) *ClickhouseDB {
return &ClickhouseDB{
cfg: cfg,
}
}
// InitClickhouse 初始化ck
// https://github.com/go-gorm/clickhouse
// dsn: clickhouse://gorm:gorm@localhost:9942/gorm?dial_timeout=10s&read_timeout=20s
func (c *ClickhouseDB) Init() (err error) {
gormConfig := &gorm.Config{}
if c.cfg.Logsql {
gormConfig.Logger = logger.Default.LogMode(logger.Info) // 打印sql
}
// initial db
options, err := c.cfg.Clickhousev2Options()
if err != nil {
return
}
ckDB := clickhousev2.OpenDB(options)
c.db, err = gorm.Open(clickhouse.New(clickhouse.Config{Conn: ckDB}), gormConfig)
if err != nil {
return
}
return
}
func (c *ClickhouseDB) DB() *gorm.DB {
return c.db
}
// sql查询数据
func (c *ClickhouseDB) Select(r interface{}, sql string, args ...any) (err error) {
return c.db.Raw(sql, args...).Scan(r).Error
}
// 批量插入
func (c *ClickhouseDB) Insert(data any) (err error) {
err = c.db.Create(data).Error
return
}
// AutoMigrateTables 自动对齐表结构，自动根据字段修改数据库表结构，只会加改不会删字段
func (c *ClickhouseDB) AutoMigrateTables(gormStructs ...any) (err error) {
if len(gormStructs) == 0 {
return
}
err = c.db.AutoMigrate(gormStructs...)
if err != nil {
zlog.Errorf("type auto migrate clickhouse table error: %v", err)
return
}
// db.Set("gorm:table_options", "ENGINE=Distributed(cluster, default, hits)").AutoMigrate(&entity.TradeRecord{})
return
}

27
pkg/storage/ck/clickhouse.sql
Unescape View File

@ -0,0 +1,27 @@
-- optimize table sig.col_log_vbdiamond final;
create database sig;
create table sig.backtest_trading_plan (
id Int64 comment 'id',
user_id Int64 comment '用户id',
plan_id Int64 comment '交易计划id',
ctime Int64 comment '创建时间'
) ENGINE = MergeTree()
PARTITION BY toYYYYMM(toDateTime(ctime/1000))
primary key (plan_id, user_id, id)
order by (plan_id, user_id, id)
SETTINGS index_granularity = 8192
comment '交易计划回测';
create table sig.backtest_trading_trade (
id Int64 comment 'id',
backtest_id Int64 comment '回测id',
ctime Int64 comment '创建时间'
) ENGINE = MergeTree()
PARTITION BY toYYYYMM(toDateTime(ctime/1000))
primary key (backtest_id, id)
order by (backtest_id, id)
SETTINGS index_granularity = 8192
comment '交易计划回测订单';

160
pkg/storage/ck/clickhouse_batch_writer.go
Unescape View File

@ -0,0 +1,160 @@
package ck
import (
"context"
"fmt"
"reflect"
"sig-pub/pkg/config"
"strings"
"time"
"github.com/ClickHouse/clickhouse-go/v2/lib/driver"
clickhousev2 "github.com/ClickHouse/clickhouse-go/v2"
)
type ClickhouseBatchWriter struct {
cfg config.ClickhouseConfig
conn driver.Conn
}
func NewClickhouseBatchWriter(cfg config.ClickhouseConfig) *ClickhouseBatchWriter {
return &ClickhouseBatchWriter{
cfg: cfg,
}
}
func (c *ClickhouseBatchWriter) Init() (err error) {
options, err := c.cfg.Clickhousev2Options()
if err != nil {
return
}
// initial clickhouse conn
c.conn, err = clickhousev2.Open(options)
if err != nil {
return
}
ctx, cancel := context.WithTimeout(context.Background(), 5*time.Second)
defer cancel()
if err = c.conn.Ping(ctx); err != nil {
if exception, ok := err.(*clickhousev2.Exception); ok {
err = fmt.Errorf("exception [%d] %s %s", exception.Code, exception.Message, exception.StackTrace)
}
return
}
return
}
func reflectGormData(data any) (table string, columns []string, values map[string]any, err error) {
// value := reflect.ValueOf(data)
// tableNameM := value.MethodByName("TableName")
// _ = tableNameM.Call(nil)
defer func() {
if r := recover(); r != nil {
err = fmt.Errorf("%T parse gorm data error %v", data, r)
}
}()
values = make(map[string]any)
refValue := reflect.ValueOf(data)
refType := reflect.TypeOf(data)
tableNameM := refValue.MethodByName("TableName")
if !tableNameM.IsValid() {
err = fmt.Errorf("type %T not has method TableName", data)
return
}
rsp := tableNameM.Call(nil)
table = rsp[0].Interface().(string)
if refValue.Kind() == reflect.Ptr {
refValue = refValue.Elem()
}
if refType.Kind() == reflect.Ptr {
refType = refType.Elem()
}
for i := 0; i < refType.NumField(); i++ {
field := refType.Field(i)
value := refValue.Field(i).Interface()
// value
tag := field.Tag.Get("gorm")
column := getGormTagColumnName(tag)
if column == "" || strings.HasPrefix(column, "-") { // 忽略字段
continue
}
columns = append(columns, column)
values[column] = value
}
return
}
func getGormTagColumnName(tag string) (column string) {
i1 := strings.Index(tag, "column:")
if i1 < 0 {
return
}
i2 := strings.Index(tag[i1+7:], ";")
if i2 < 0 {
return tag[i1+7:]
}
return tag[i1+7 : i2+7]
}
// InsertBatch 批量插入gorm标签的结构体, 结构体用指针！
func InsertBatch[T any](c *ClickhouseBatchWriter, ctx context.Context, datas []T) (err error) {
if len(datas) == 0 {
return
}
var tColumns = make(map[string][]string, 3)
var tBatchs = make(map[string]driver.Batch, 3)
for _, data := range datas {
// 优化原生批量插入: https://clickhouse.com/docs/en/integrations/go#batch-insert
table, columns, values, e := reflectGormData(data)
if e != nil {
err = e
return
}
// 初始化该表 prepare
if _, ok := tColumns[table]; !ok {
tColumns[table] = columns
prepareSql := fmt.Sprintf("INSERT INTO %s(", table)
for i, column := range columns {
if i == 0 {
prepareSql += column
} else {
prepareSql += ("," + column)
}
}
prepareSql += ") SETTINGS async_insert=1, wait_for_async_insert=0"
batch, e := c.conn.PrepareBatch(ctx, prepareSql)
if e != nil {
err = e
return
}
tBatchs[table] = batch
}
columns = tColumns[table]
batch := tBatchs[table]
var args = make([]any, 0, len(columns))
for _, column := range columns {
args = append(args, values[column])
}
err = batch.Append(args...)
if err != nil {
return
}
}
// 批量插入
for _, batch := range tBatchs {
err = batch.Send()
if err != nil {
return
}
}
return
}

34
pkg/trade/close_strategy.go
Unescape View File

@ -48,21 +48,11 @@ func (s *CloseStrategy) OnPrice(price float64, pos *Position) (closePos bool, ca
return
}
// update peak px
peakPx, ok := pos.GetStateF64("peakPx")
updatePeakPx := false
if !ok {
updatePeakPx = true
} else {
if pos.Side == types.SideLong && price > peakPx {
updatePeakPx = true
}
if pos.Side == types.SideShort && price < peakPx {
updatePeakPx = true
}
if pos.Side == types.SideLong && (price > pos.PeakPx) {
pos.PeakPx = price
}
if updatePeakPx {
peakPx = price
pos.SetState("peakPx", price)
if pos.Side == types.SideShort && (price < pos.PeakPx) {
pos.PeakPx = price
}
entry := pos.EntryPx
@ -79,7 +69,7 @@ func (s *CloseStrategy) OnPrice(price float64, pos *Position) (closePos bool, ca
// 基于最高利润动态止盈
if len(s.ProfitRetracePcts) > 0 {
// peak profit fraction
peakProfit := (peakPx - entry) / entry
peakProfit := (pos.PeakPx - entry) / entry
minProfitToTrail, trailingPct := float64(0), float64(0)
for _, profit := range s.ProfitRetracePcts {
if len(profit) != 2 {
@ -87,15 +77,13 @@ func (s *CloseStrategy) OnPrice(price float64, pos *Position) (closePos bool, ca
}
_minProfitToTrail := profit[0] // 启动最高利润回撤的最小盈利阈值
_trailingPct := profit[1] // 基于最高利润回撤触发平仓
if peakProfit >= _minProfitToTrail {
if _minProfitToTrail > minProfitToTrail {
minProfitToTrail = _minProfitToTrail
trailingPct = _trailingPct
}
if peakProfit >= _minProfitToTrail && _minProfitToTrail > minProfitToTrail {
minProfitToTrail = _minProfitToTrail
trailingPct = _trailingPct
}
}
if minProfitToTrail > 0 && trailingPct > 0 {
trail := peakPx * (1 - trailingPct)
trail := entry + (pos.PeakPx-entry)*(1-trailingPct)
if price <= trail {
return true, CauseCloseTrailing
}
@ -114,7 +102,7 @@ func (s *CloseStrategy) OnPrice(price float64, pos *Position) (closePos bool, ca
// 基于最高利润动态止盈
if len(s.ProfitRetracePcts) > 0 {
// peak profit fraction
peakProfit := (entry - peakPx) / entry
peakProfit := (entry - pos.PeakPx) / entry
minProfitToTrail, trailingPct := float64(0), float64(0)
for _, profit := range s.ProfitRetracePcts {
if len(profit) != 2 {
@ -128,7 +116,7 @@ func (s *CloseStrategy) OnPrice(price float64, pos *Position) (closePos bool, ca
}
}
if minProfitToTrail > 0 && trailingPct > 0 {
trail := peakPx * (1 + trailingPct)
trail := entry - (entry-pos.PeakPx)*(1+trailingPct)
if price >= trail {
return true, CauseCloseTrailing
}

0
pkg/trade/risk/manager.go → pkg/trade/risk/manager.go.txt
Unescape View File

87
pkg/trade/types.go
Unescape View File

@ -2,18 +2,17 @@ package trade
import (
"sig-pub/pkg/types"
"github.com/spf13/cast"
)
type Cause int32
const (
// _ Cause = iota
CauseCloseStoploss Cause = 1001 // 平仓:固定止损
CauseCloseTakeprofit Cause = 1002 // 平仓:固定止盈
CauseCloseReverseSingal Cause = 1003 // 平仓:策略反向信号
CauseCloseTrailing Cause = 1004 // 平仓:移动止损基于最高利润点回撤百分比
CauseCloseForced Cause = 1001 // 平仓:强制平仓
CauseCloseStoploss Cause = 1002 // 平仓:固定止损
CauseCloseTakeprofit Cause = 1003 // 平仓:固定止盈
CauseCloseReverseSingal Cause = 1004 // 平仓:策略反向信号
CauseCloseTrailing Cause = 1005 // 平仓:移动止损基于最高利润点回撤百分比
CauseRiskAlreadyTrade Cause = 2001 // 风控:已有持仓
CauseRiskSideAlreadyTrade Cause = 2002 // 风控:相同方向已有持仓
)
@ -22,66 +21,32 @@ func (c Cause) String() string {
switch c {
default:
return ""
case CauseCloseForced:
return "closeForced"
case CauseCloseStoploss:
return "stoploss"
return "closeStoploss"
case CauseCloseTakeprofit:
return "takeprofit"
return "closeTakeprofit"
case CauseCloseReverseSingal:
return "closeReverseSingal"
case CauseCloseTrailing:
return "closeTrailing"
case CauseRiskAlreadyTrade:
return "riskAlreadyTrade"
case CauseRiskSideAlreadyTrade:
return "riskSideAlreadyTrade"
}
}
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
Time 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 Cause // 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
}
// 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
State map[string]any // 持仓持久化状态
}
func (pos *Position) SetState(k string, v any) {
if pos.State == nil {
pos.State = make(map[string]any)
}
pos.State[k] = v
}
func (pos *Position) GetState(k string) (v any, ok bool) {
if pos.State == nil {
return
}
v, ok = pos.State[k]
return
}
func (pos *Position) GetStateF64(k string) (f float64, ok bool) {
if pos.State == nil {
return
}
v, ok := pos.State[k]
if !ok {
return
}
f, err := cast.ToFloat64E(v)
ok = err == nil
return
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
}

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