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@ -6,6 +6,7 @@ import ( |
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"io" |
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"io" |
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"math" |
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"math" |
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"sig-pub/api/pb" |
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"sig-pub/api/pb" |
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"sig-pub/internal/trading/sig" |
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"sig-pub/pkg/data" |
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"sig-pub/pkg/data" |
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"sig-pub/pkg/mq" |
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"sig-pub/pkg/mq" |
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"sig-pub/pkg/strategy" |
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"sig-pub/pkg/strategy" |
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@ -18,20 +19,20 @@ import ( |
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"google.golang.org/grpc" |
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"google.golang.org/grpc" |
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) |
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) |
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type KlineStore struct { |
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type KlineSeriesStore struct { |
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exchangeClient pb.ExchangeServiceClient |
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exchangeClient pb.ExchangeServiceClient |
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store *types.ExchangeState[*collect.ConcurrentMap[string, *TradeInstanceKlineSeries]] // K线列表: []exchange<instId, interval, klines>
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store *types.ExchangeState[*collect.ConcurrentMap[string, *sig.TradeInstanceKlineSeries]] // K线列表: []exchange<instId, interval, klines>
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subKlineIntervals []string // 订阅的k线的周期列表
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subKlineIntervals []string // 订阅的k线的周期列表
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subKlineInsts *types.ExchangeState[*collect.SyncMap[string, bool]] // 订阅k线中的交易产品列表
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subKlineInsts *types.ExchangeState[*collect.SyncMap[string, bool]] // 订阅k线中的交易产品列表
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subKlineStream grpc.BidiStreamingClient[pb.ReqStreamSubscribeKline, pb.RspStreamSubscribeKline] // 订阅k线的stream
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subKlineStream grpc.BidiStreamingClient[pb.ReqStreamSubscribeKline, pb.RspStreamSubscribeKline] // 订阅k线的stream
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klineSignalChan chan string |
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klineSignalChan chan string |
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} |
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} |
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func NewKlineSeriesStore(exchangeClient pb.ExchangeServiceClient) (kss *KlineStore) { |
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func NewKlineSeriesStore(exchangeClient pb.ExchangeServiceClient) (kss *KlineSeriesStore) { |
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kss = &KlineStore{ |
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kss = &KlineSeriesStore{ |
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exchangeClient: exchangeClient, |
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exchangeClient: exchangeClient, |
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klineSignalChan: make(chan string, 128), |
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klineSignalChan: make(chan string, 1024), |
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} |
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} |
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// 周期列表
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// 周期列表
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@ -43,15 +44,15 @@ func NewKlineSeriesStore(exchangeClient pb.ExchangeServiceClient) (kss *KlineSto |
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return collect.NewSyncMap[string, bool]() |
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return collect.NewSyncMap[string, bool]() |
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}) |
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}) |
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// 各交易所 store 初始化
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// 各交易所 store 初始化
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kss.store = types.NewExchangeStateInit(func() *collect.ConcurrentMap[string, *TradeInstanceKlineSeries] { |
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kss.store = types.NewExchangeStateInit(func() *collect.ConcurrentMap[string, *sig.TradeInstanceKlineSeries] { |
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return collect.NewConcurrentMap[string, *TradeInstanceKlineSeries](64, func(s string) string { |
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return collect.NewConcurrentMap[string, *sig.TradeInstanceKlineSeries](64, func(s string) string { |
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return s |
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return s |
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}) |
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}) |
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}) |
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}) |
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return |
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return |
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} |
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} |
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func (s *KlineStore) Init() (err error) { |
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func (s *KlineSeriesStore) Init() (err error) { |
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// 连接 exchange kline stream
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// 连接 exchange kline stream
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go s.connectSubscribeKline(false) |
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go s.connectSubscribeKline(false) |
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@ -85,7 +86,7 @@ func (s *KlineStore) Init() (err error) { |
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} |
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} |
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// connectSubscribeKline 连接exchange订阅实时k线
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// connectSubscribeKline 连接exchange订阅实时k线
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func (s *KlineStore) connectSubscribeKline(reconnect bool) { |
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func (s *KlineSeriesStore) connectSubscribeKline(reconnect bool) { |
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defer func() { |
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defer func() { |
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if s.subKlineStream != nil { |
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if s.subKlineStream != nil { |
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s.subKlineStream.CloseSend() |
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s.subKlineStream.CloseSend() |
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@ -145,7 +146,7 @@ func (s *KlineStore) connectSubscribeKline(reconnect bool) { |
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} |
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} |
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// subscribeKline 发送订阅消息
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// subscribeKline 发送订阅消息
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func (s *KlineStore) sendSubscribeKline(save bool, exchange pb.ExchangeType, instIds ...string) { |
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func (s *KlineSeriesStore) sendSubscribeKline(save bool, exchange pb.ExchangeType, instIds ...string) { |
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if len(instIds) == 0 { |
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if len(instIds) == 0 { |
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return |
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return |
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} |
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} |
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@ -182,13 +183,13 @@ func (s *KlineStore) sendSubscribeKline(save bool, exchange pb.ExchangeType, ins |
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go retry.DoWithFixDelay(math.MaxInt32, time.Second, doSend) |
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go retry.DoWithFixDelay(math.MaxInt32, time.Second, doSend) |
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} |
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} |
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func (s *KlineStore) inititalKlineSeries(exchange pb.ExchangeType, instId string) { |
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func (s *KlineSeriesStore) inititalKlineSeries(exchange pb.ExchangeType, instId string) { |
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if !s.store.IsSupport(exchange) { |
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if !s.store.IsSupport(exchange) { |
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zlog.Errorf("unsupport exchange %s", exchange) |
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zlog.Errorf("unsupport exchange %s", exchange) |
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return |
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return |
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} |
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} |
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storeInst := s.store.Get(exchange).ComputeIfAbsent(instId, func(k string) *TradeInstanceKlineSeries { |
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storeInst := s.store.Get(exchange).ComputeIfAbsent(instId, func(k string) *sig.TradeInstanceKlineSeries { |
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return NewTradeInstanceKlineSeries(exchange, k) |
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return sig.NewTradeInstanceKlineSeries(exchange, k) |
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}) |
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}) |
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// 交易产品已初始化过
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// 交易产品已初始化过
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if !storeInst.Status.CompareAndSwap(int32(data.StatusNone), int32(data.StatusProcessing)) { |
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if !storeInst.Status.CompareAndSwap(int32(data.StatusNone), int32(data.StatusProcessing)) { |
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@ -199,7 +200,7 @@ func (s *KlineStore) inititalKlineSeries(exchange pb.ExchangeType, instId string |
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// 初始化最新的 klineSeries
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// 初始化最新的 klineSeries
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for _, interval := range s.subKlineIntervals { |
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for _, interval := range s.subKlineIntervals { |
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retry.DoWithFixDelay(math.MaxInt32, 2*time.Second, func(retryTimes uint32) (_ struct{}, err error) { |
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retry.DoWithFixDelay(math.MaxInt32, 2*time.Second, func(retryTimes uint32) (_ struct{}, err error) { |
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_, err = s.fetchHistoryKlineToSeries(exchange, instId, interval, 0, 0, MaxSeriesKlines) |
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_, err = s.fetchHistoryKlineToSeries(exchange, instId, interval, 0, 0, sig.MaxSeriesKlines) |
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return |
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return |
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}) |
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}) |
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} |
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} |
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@ -210,7 +211,7 @@ func (s *KlineStore) inititalKlineSeries(exchange pb.ExchangeType, instId string |
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} |
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} |
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// fetchHistoryKlineToSeries 拉去历史k线数据更新series
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// fetchHistoryKlineToSeries 拉去历史k线数据更新series
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func (s *KlineStore) fetchHistoryKlineToSeries(exchange pb.ExchangeType, instId, interval string, before, after int64, count uint32) (total int, err error) { |
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func (s *KlineSeriesStore) fetchHistoryKlineToSeries(exchange pb.ExchangeType, instId, interval string, before, after int64, count uint32) (total int, err error) { |
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// 拉取最新的1000条k线
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// 拉取最新的1000条k线
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req := &pb.ReqHistoryKlineStream{ |
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req := &pb.ReqHistoryKlineStream{ |
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Series: &pb.SeriesRange{ |
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Series: &pb.SeriesRange{ |
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@ -253,13 +254,13 @@ func (s *KlineStore) fetchHistoryKlineToSeries(exchange pb.ExchangeType, instId, |
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return |
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return |
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} |
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} |
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func (s *KlineStore) ConsumerKlineSignel() <-chan string { |
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func (s *KlineSeriesStore) ConsumerKlineSignel() <-chan string { |
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return s.klineSignalChan |
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return s.klineSignalChan |
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} |
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} |
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// Update
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// Update
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// kline klineStore -> klineSeries -> strategy -> indicator -> klineSeries.Series
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// kline klineStore -> klineSeries -> strategy -> indicator -> klineSeries.Series
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func (s *KlineStore) Update(exchange pb.ExchangeType, instId string, kline *types.Kline) { |
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func (s *KlineSeriesStore) Update(exchange pb.ExchangeType, instId string, kline *types.Kline) { |
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if _, ok := types.SupportedIntervals[kline.Interval]; !ok { |
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if _, ok := types.SupportedIntervals[kline.Interval]; !ok { |
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zlog.Warningf("unsupport interval: %s", kline.Interval) |
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zlog.Warningf("unsupport interval: %s", kline.Interval) |
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return |
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return |
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@ -269,8 +270,8 @@ func (s *KlineStore) Update(exchange pb.ExchangeType, instId string, kline *type |
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return |
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return |
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} |
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} |
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instSeries := s.store.Get(exchange).ComputeIfAbsent(instId, func(k string) *TradeInstanceKlineSeries { |
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instSeries := s.store.Get(exchange).ComputeIfAbsent(instId, func(k string) *sig.TradeInstanceKlineSeries { |
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return NewTradeInstanceKlineSeries(exchange, k) |
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return sig.NewTradeInstanceKlineSeries(exchange, k) |
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}) |
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}) |
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before, serial := instSeries.IntervalKlines.Get(kline.Interval).Update(kline) |
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before, serial := instSeries.IntervalKlines.Get(kline.Interval).Update(kline) |
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@ -303,27 +304,55 @@ func (s *KlineStore) Update(exchange pb.ExchangeType, instId string, kline *type |
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return |
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return |
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} |
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} |
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} |
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} |
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// 判断同一时刻k线
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// 判断同一时刻其它k线
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var intervals []types.Interval |
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var intervals []types.Interval |
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endTs := kline.Interval.MustAddMul(kline.Ts, 1) |
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currentTs := kline.Interval.MustAddMul(kline.Ts, 1) |
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instSeries.IntervalKlines.Range(func(interval types.Interval, v *KlineSeries) { |
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completed := true |
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if endTs == interval.MustAddMul(v.LastTs(), 1) { |
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instSeries.IntervalKlines.Range(func(interval types.Interval, v *sig.KlineSeries) { |
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lastTs := v.LastTs() |
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if currentTs == interval.MustAddMul(lastTs, 1) { |
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intervals = append(intervals, interval) |
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intervals = append(intervals, interval) |
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} else if completed { |
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// 同一时刻其它k线是否未接收完成
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for i := range int64(100) { |
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nextTs := interval.MustAddMul(lastTs, i+2) |
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if currentTs == nextTs { |
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completed = false |
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} else if nextTs > currentTs { |
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break |
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} |
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} |
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} |
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} |
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}) |
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}) |
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// zlog.Debugf("confirm kline intervals: instId=%s(%s), interval=%s, ts=%d, %v", instId, exchange, kline.Interval, kline.Ts, intervals)
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zlog.Debugf("confirm kline intervals: instId=%s(%s), interval=%s, ts=%d, competed=%v, intervals=%v", instId, exchange, kline.Interval, kline.Ts, completed, intervals) |
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// publish kline update signal
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// publish kline update signal
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pubKey := strategy.DriverIntervalKey(instId, intervals, exchange) |
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pubKeys := []string{ |
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select { |
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strategy.DriverIntervalKey(instId, exchange, false, kline.Interval), |
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case s.klineSignalChan <- pubKey: |
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} |
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default: |
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if completed { |
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zlog.Warningf("publish kline update signal fail: instId=%s(%s), interval=%s, ts=%d, %v", instId, exchange, kline.Interval, kline.Ts, intervals) |
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for _, interval := range intervals { |
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k := strategy.DriverIntervalKey(instId, exchange, true, interval) |
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pubKeys = append(pubKeys, k) |
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} |
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} |
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// if len(intervals) > 1 {
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// k := strategy.DriverIntervalKey(instId, exchange, false, intervals...)
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// pubKeys = append(pubKeys, k)
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// }
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for _, pubKey := range pubKeys { |
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select { |
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case s.klineSignalChan <- pubKey: |
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default: |
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zlog.Warningf("publish kline update signal fail: instId=%s(%s), interval=%s, ts=%d, %v", instId, exchange, kline.Interval, kline.Ts, intervals) |
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} |
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} |
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} |
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} |
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} |
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// GetKlineSeires 获取k线序列
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// GetKlineSeires 获取k线序列
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func (s *KlineStore) GetKlineSeires(exchange pb.ExchangeType, instId string, interval types.Interval) (klineSeries *KlineSeries, err error) { |
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func (s *KlineSeriesStore) GetKlineSeires(exchange pb.ExchangeType, instId string, interval types.Interval) (klineSeries *sig.KlineSeries, err error) { |
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if _, ok := types.SupportedIntervals[interval]; !ok { |
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if _, ok := types.SupportedIntervals[interval]; !ok { |
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err = fmt.Errorf("unsupport interval: %s", interval) |
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err = fmt.Errorf("unsupport interval: %s", interval) |
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return |
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return |
