kline series nocopy

README.md

@@ -94,11 +94,13 @@ strategy0: 趋势追踪，增长趋势，
     - python, pine script
     - Wasm(WebAssembly), 接口类型WIT
     - go plugin插件化(指标/策略, 安全问题?), 调度docker容器运行回测, grpc资源访问
+    - 自定义脚本语言（偏配置内容） -> 编译为 go plugin (安全检查) -> 直接运行
 收益方向: 
   - trade strategy
-  - 自动测试(因子挖掘): 
+  - 自动测试(因子挖掘), 因子失效检测: 
     1. 指标分类
     2. 指标参数组合迭代 (确定潜在的可调参数)!!!
+	  3. 绘图能力(plot), 回测能力
 
 KlineSeries 替换, copy性能消耗
 macd dif/dea -> state -> plot

api/pub.proto

@@ -1,5 +1,7 @@
 syntax = "proto3";
 
+import "google/protobuf/struct.proto";
+
 option go_package = "./pb";
 
 enum SubscribeType {
@@ -156,3 +158,19 @@ message Paging {
   int32 size = 2;
   bool asc = 3; // 升序排序
 }
+
+message IndicatorPlot {
+    string indicator = 1;
+    IndicatorPlotSeries series = 2;
+    repeated IndicatorPlotSeries stateSeries = 3;
+}
+message IndicatorPlotSeries {
+  string state = 1;
+  int32 type = 2;
+  google.protobuf.Struct props = 3;
+  repeated IndicatorStateToPlotProps state2Props = 4;
+}
+message IndicatorStateToPlotProps {
+  string state = 1;
+  map<int32, google.protobuf.Struct> enumProps = 2;
+}

api/trading.proto

@@ -6,12 +6,19 @@ import "api/pub.proto";
 option go_package = "./pb";
 
 service TradingService {
+    rpc IndicatorPlots(ReqIndicatorPlots) returns (RspIndicatorPlots); // 获取指标绘图属性
     rpc IndicatorSeries(ReqIndicatorSeries) returns (RspIndicatorSeries); // 获取指标序列
     rpc StrategySeries(ReqStrategySeries) returns (RspStrategySeries); // 获取指标序列
     rpc Backtest(ReqBacktest) returns (RspBacktest); // 交易计划回测
     rpc BacktestLog(ReqBacktestLog) returns (RspBacktestLog); // 交易计划回测记录
     rpc BacktestLogTrades(ReqBacktestLogTrades) returns (RspBacktestLogTrades); // 交易计划回测交易单详情
 }
+message ReqIndicatorPlots {
+    repeated string indicators = 1;
+}
+message RspIndicatorPlots{
+    repeated IndicatorPlot plots = 1;
+}
 
 message ReqIndicatorSeries {
     string indicator = 1;

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 = ""
-httpProxy = "http://192.168.1.5:7890"
+httpProxy = ""
+# httpProxy = "http://192.168.1.5:7890"
 # httpProxy = "http://10.255.183.209:7890"
 
 # 模拟盘API交易地址如下：

internal/trading/sig/kline_series.go

@@ -40,7 +40,7 @@ type KlineSeries struct {
 	Interval      types.Interval
 	IntervalAdder types.IntervalAdder
 	lastTs        int64
-	klines        []*types.Kline
+	ringSeries    *types.RingSeries[*types.Kline]
 }
 
 func NewKlineSeries(exchange pb.ExchangeType, instId string, interval types.Interval) *KlineSeries {
@@ -53,7 +53,7 @@ func NewKlineSeries(exchange pb.ExchangeType, instId string, interval types.Inte
 		InstId:        instId,
 		Interval:      interval,
 		IntervalAdder: intervalAdder,
-		klines:        make([]*types.Kline, 0, MaxSeriesKlines/10),
+		ringSeries:    types.NewRingSeries[*types.Kline](MaxSeriesKlines, MaxSeriesKlines/10),
 	}
 }
 
@@ -66,8 +66,117 @@ func (s *KlineSeries) MustGet(offset int16) (k types.Kline) {
 	return
 }
 
-// GetE [0]当前k线
+// Get [0]当前k线
 func (s *KlineSeries) Get(offset int16) (k types.Kline, err error) {
+	s.mu.RLock()
+	defer s.mu.RUnlock()
+	v, ok := s.ringSeries.Get(int(offset))
+	if !ok {
+		err = fmt.Errorf("get kline series offset out of range: offset=%d, length=%d", offset, s.ringSeries.Length())
+		return
+	}
+	k = *v
+	return
+}
+
+func (s *KlineSeries) MustSeries(offset, count int16) (klines series.Klines) {
+	klines, err := s.Series(offset, count)
+	if err != nil {
+		panic(err)
+	}
+	return
+}
+
+// Series 时间降序序列[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, err error) {
+	s.mu.RLock()
+	defer s.mu.RUnlock()
+	series, ok := s.ringSeries.Series(int(offset), int(count))
+	if !ok {
+		err = fmt.Errorf("get kline series offset out of range: offset=%d, count=%d", offset, count)
+		return
+	}
+	for _, si := range series {
+		klines = append(klines, *si)
+	}
+	return
+}
+
+func (s *KlineSeries) Length() int {
+	s.mu.RLock()
+	defer s.mu.RUnlock()
+	return s.ringSeries.Length()
+}
+
+func (s *KlineSeries) LastTs() int64 {
+	return s.lastTs
+}
+
+// 检查k线序列完整
+func (s *KlineSeries) Update(kline *types.Kline) (lastTs int64, serial bool) {
+	s.mu.Lock()
+	defer s.mu.Unlock()
+
+	serial = true
+	lastTs = s.lastTs
+	if kline.Ts <= s.lastTs {
+		return
+	}
+
+	// 检查k线是否连续
+	if s.lastTs != 0 {
+		expectTs := s.IntervalAdder(s.lastTs, 1)
+		if kline.Ts != expectTs {
+			serial = false
+			miss := (kline.Ts-s.lastTs)/s.IntervalAdder(0, 1) - 1
+			zlog.Warningf("k线不连续: instId=%s(%s), interval=%s, miss=%d, lastTs=%d, got=%d, expected=%d", s.InstId, s.Exchange, s.Interval, miss, s.lastTs, kline.Ts, expectTs)
+			return
+		}
+	}
+
+	s.ringSeries.Push(kline)
+	s.lastTs = kline.Ts
+	return
+}
+
+// Deprecated: use KlineSeries
+type KlineSeries0 struct {
+	mu            sync.RWMutex
+	Exchange      pb.ExchangeType
+	InstId        string
+	Interval      types.Interval
+	IntervalAdder types.IntervalAdder
+	lastTs        int64
+	klines        []*types.Kline
+}
+
+func NewKlineSeries0(exchange pb.ExchangeType, instId string, interval types.Interval) *KlineSeries0 {
+	intervalAdder, ok := types.SupportedIntervals[interval]
+	if !ok {
+		panic(fmt.Errorf("unsupport interval: %s", interval))
+	}
+	return &KlineSeries0{
+		Exchange:      exchange,
+		InstId:        instId,
+		Interval:      interval,
+		IntervalAdder: intervalAdder,
+		klines:        make([]*types.Kline, 0, MaxSeriesKlines/10),
+	}
+}
+
+// Get [0]当前k线
+func (s *KlineSeries0) MustGet(offset int16) (k types.Kline) {
+	k, err := s.Get(offset)
+	if err != nil {
+		panic(err)
+	}
+	return
+}
+
+// GetE [0]当前k线
+func (s *KlineSeries0) Get(offset int16) (k types.Kline, err error) {
 	if ok := offset >= 0 && offset < MaxSeriesKlines; !ok {
 		err = fmt.Errorf("get kline series offset out of range: offset=%d", offset)
 		return
@@ -84,7 +193,7 @@ func (s *KlineSeries) Get(offset int16) (k types.Kline, err error) {
 	return *(s.klines[index]), nil
 }
 
-func (s *KlineSeries) MustSeries(offset, count int16) (klines series.Klines) {
+func (s *KlineSeries0) MustSeries(offset, count int16) (klines series.Klines) {
 	klines, err := s.Series(offset, count)
 	if err != nil {
 		panic(err)
@@ -95,7 +204,7 @@ func (s *KlineSeries) MustSeries(offset, count int16) (klines series.Klines) {
 // Series 时间降序序列[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, err error) {
+func (s *KlineSeries0) Series(offset, count int16) (klines series.Klines, err error) {
 	if ok := offset >= 0 && offset < MaxSeriesKlines; !ok {
 		err = fmt.Errorf("get kline series offset out of range: offset=%d, count=%d", offset, count)
 		return
@@ -124,18 +233,18 @@ func (s *KlineSeries) Series(offset, count int16) (klines series.Klines, err err
 	return klines, nil
 }
 
-func (s *KlineSeries) Length() int {
+func (s *KlineSeries0) Length() int {
 	s.mu.RLock()
 	defer s.mu.RUnlock()
 	return len(s.klines)
 }
 
-func (s *KlineSeries) LastTs() int64 {
+func (s *KlineSeries0) LastTs() int64 {
 	return s.lastTs
 }
 
 // 检查k线序列完整
-func (s *KlineSeries) Update(kline *types.Kline) (lastTs int64, serial bool) {
+func (s *KlineSeries0) Update(kline *types.Kline) (lastTs int64, serial bool) {
 	s.mu.Lock()
 	defer s.mu.Unlock()
 

internal/trading/trading_grpc_server.go

@@ -22,6 +22,17 @@ func (svr *TradingGrpcServer) Init() (err error) {
 	return
 }
 
+func (svr *TradingGrpcServer) IndicatorPlots(ctx context.Context, req *pb.ReqIndicatorPlots) (rsp *pb.RspIndicatorPlots, err error) {
+	plots, err := svr.tradingService.IndicatorPlots(req.Indicators...)
+	if err != nil {
+		return
+	}
+	for _, plot := range plots {
+		_ = plot
+	}
+	return
+}
+
 func (svr *TradingGrpcServer) IndicatorSeries(ctx context.Context, req *pb.ReqIndicatorSeries) (rsp *pb.RspIndicatorSeries, err error) {
 	// s, err := structpb.NewStruct(map[string]any{})
 	input := req.Input.AsMap()

internal/trading/trading_service.go

@@ -198,6 +198,20 @@ func (svc *TradingService) fetchHistoryKlineSeries(ctx context.Context, sr *pb.S
 	return
 }
 
+// IndicatorPlots
+func (svc *TradingService) IndicatorPlots(indicatorNames ...string) (plots map[string]indicator.Plot, err error) {
+	plots = make(map[string]indicator.Plot, len(indicatorNames))
+	for _, indicatorName := range indicatorNames {
+		indicator, ok := svc.indicatorReg.Indicator(indicatorName)
+		if !ok {
+			err = fmt.Errorf("indicator %s not exists", indicatorName)
+			return
+		}
+		plots[indicatorName] = indicator.Meta().Plot
+	}
+	return
+}
+
 // IndicatorSeries 获取指标实时或历史序列数据, 闭区间
 func (svc *TradingService) IndicatorSeries(ctx context.Context, indicatorName string, digit int32, input types.Input, sr *pb.SeriesRange) (matrix []float64, times []int64, states map[string][]float64, err error) {
 	appros := indicator.ApproCandles

pkg/indicator/indicator_plot.go

@@ -1,26 +1,31 @@
 package indicator
 
-// 绘图属性
+// 指标绘图
 type Plot struct {
-	Props  map[string]any // 长度颜色
-	Series []PlotSeries   // 需要绘图的时间序列列表
+	Props       PlotProps // 长度颜色等属性
+	Series      PlotSeries
+	StateSeries []PlotSeries // 需要绘图的时间序列列表
 }
 
+// 指标绘图: 逻辑化 -> 配置化
 type PlotSeries struct {
 	State       string                           `json:"state"`       // vector, stateName
-	Series   SeriesType     `json:"series"` // 绘图类型 线/柱
-	Props    map[string]any `json:"props"`  // 绘图属性
-	SeriesFn func(vector float64, states map[string]float64) map[string]any
+	Type        PlotSeriesType                   `json:"series"`      // 绘图类型 线/柱
+	Props       PlotProps                        `json:"props"`       // 绘图属性
+	State2Props map[string]map[float64]PlotProps `json:"state2Props"` // state转绘图属性
 }
 
-// SeriesType 序列值绘图类型
-type SeriesType int32
+// 指标绘图
+type PlotProps map[string]any
+
+// PlotSeriesType 序列值绘图类型
+type PlotSeriesType int32
 
 const (
-	SeriesNone SeriesType = iota
-	SeriesLine
-	SeriesHistogram
-	SeriesArea
+	PlotSeriesNone PlotSeriesType = iota
+	PlotSeriesLine
+	PlotSeriesHistogram
+	PlotSeriesArea
 )
 
 // Series 绘图颜色

pkg/indicator/super_trend.go

@@ -15,9 +15,12 @@ func (c SuperTrend) Meta() IndicatorMeta {
 		},
 		State: []string{"direction"},
 		Plot: Plot{
-			Series: []PlotSeries{
-				{State: "", Series: SeriesLine, Props: map[string]any{"color": "red"}}, // hist
+			Series: PlotSeries{Type: PlotSeriesLine, Props: PlotProps{"color": ColorGreen}, State2Props: map[string]map[float64]PlotProps{
+				"direction": {
+					-1: {"color": ColorRed},
+					1:  {"color": ColorGreen},
 				},
+			}},
 		},
 	}
 }

pkg/strategy/super_trend2_macd.go

@@ -1,6 +1,8 @@
 package strategy
 
-import "sig-pub/pkg/types"
+import (
+	"sig-pub/pkg/types"
+)
 
 // SuperTrend2Macd 结合super trend和rsi指标策略
 type SuperTrend2Macd struct {

pkg/strategy/super_trend_macd_rsi.go

@@ -68,5 +68,17 @@ func (s *SuperTrendMacdRSI) Update(ctx ISingleSigStrategyContext) (side types.Si
 			}
 		}
 	}
+
+	_ = `
+		// 策略算子脚本DST, 优化golang底层不影响策略语法
+		st1 = sig.SuperTrend(window=10, mul=3)
+		rsi = sig.RSI(window=14)
+		closeAvg = close[1:10].avg()
+		st1[0]
+		st1[0:10]
+		st1.direction[0]
+		if rsi[0] > 50
+		    ...
+	`
 	return
 }

pkg/types/ring_series.go

@@ -27,7 +27,7 @@ func (r *RingSeries[T]) Length() int {
 	return r.length
 }
 
-func (r *RingSeries[T]) Push(v T) (ok bool) {
+func (r *RingSeries[T]) Push(v T) {
 	if !r.full {
 		r.values = append(r.values, v)
 		r.head++
@@ -38,7 +38,6 @@ func (r *RingSeries[T]) Push(v T) (ok bool) {
 	r.values[r.tail] = v
 	r.head = r.tail
 	r.tail = (r.tail + 1) % r.capacity
-	return
 }
 
 // Get 0当前, 1前一个