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interval strategy

main
strange 10 months ago
parent
66f075ebb0
commit
76cbd98343
3 changed files with 55 additions and 48 deletions
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  1. 95
      internal/trading/trading_service.go
  2. 2
      pkg/indicator/rsi.go
  3. 6
      pkg/strategy/cross_star.go

95
internal/trading/trading_service.go
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@ -213,7 +213,7 @@ func (svc *TradingService) IndicatorSeries(ctx context.Context, indicatorName st
// 查询历史指标数据
requiredSeries := int(indicator.RequiredSeries(int16(window)))
sr.WindowExtra = uint32(requiredSeries)
sr.WindowExtra = uint32(requiredSeries - 1)
kSeries := sig.NewKlineSeries(sr.Exchange, sr.InstId, types.Interval(sr.Interval))
indicatorContext := sig.NewIndicatorContext(kSeries)
@ -263,6 +263,38 @@ func (svc *TradingService) StrategySeries(ctx context.Context, req *pb.ReqStrate
rsp.Signal, rsp.Times, err = svc.singleStrategySeries(ctx, sigStrategy.(strategy.ISingleSigStrategy), req.Series)
case strategy.SigStrategyTypeInterval:
rsp.Signal, rsp.Times, err = svc.intervalStrategySeries(ctx, sigStrategy.(strategy.IIntervalSigStrategy), req.Series)
default:
err = fmt.Errorf("unknown sig strategy type %v", sigStrategyType)
}
return
}
// singleStrategySeries 单周期策略
func (svc *TradingService) singleStrategySeries(ctx context.Context, sigStrategy strategy.ISingleSigStrategy, sr *pb.SeriesRange) (signals []pb.Side, times []int64, err error) {
interval := types.Interval(sr.Interval)
requiredSeries := int(sigStrategy.RequiredSeries())
sr.WindowExtra = uint32(requiredSeries - 1)
kSeries := sig.NewKlineSeries(sr.Exchange, sr.InstId, interval)
indicatorContext := sig.NewIndicatorContext(kSeries)
strategyContext := sig.NewStrategyContext(indicatorContext, svc.indicatorReg)
err = svc.fetchHistoryKlineSeries(ctx, sr, func(k *types.Kline) (err error) {
if lastTs, serial := kSeries.Update(k); !serial {
err = fmt.Errorf("kline not series: %s(%s), interval=%s, lastTs=%d", sr.InstId, sr.Exchange, interval, lastTs)
return
}
if kSeries.Length() < requiredSeries {
return
}
sigSide := sigStrategy.Update(strategyContext)
if sigSide.IsValid() {
side := lang.Ternary(sigSide == types.SideLong, pb.Side_BUY, pb.Side_SELL)
signals = append(signals, side)
times = append(times, k.Ts)
}
return
})
if err != nil {
return
}
return
}
@ -295,32 +327,30 @@ func (svc *TradingService) intervalStrategySeries(ctx context.Context, intervalS
for _, interval := range otherIntervals {
kSeries := sig.NewKlineSeries(sr.Exchange, sr.InstId, interval)
intervalKlineSeries.Set(interval, kSeries)
go func(interval types.Interval, kSeries *sig.KlineSeries) {
ch := otherIntervalCh.Get(interval)
srcCh := ch[0]
dstCh := ch[1]
intervalAdder := types.SupportedIntervals[interval]
driverTs := int64(0)
isr := &pb.SeriesRange{Exchange: sr.Exchange, InstId: sr.InstId, Before: sr.Before, After: sr.After, Count: sr.Count, Open: sr.Open, Live: sr.Live, Desc: sr.Desc, WindowExtra: sr.WindowExtra, Limit: sr.Limit,
Interval: string(interval)}
isr := &pb.SeriesRange{Exchange: sr.Exchange, InstId: sr.InstId, Before: sr.Before, After: sr.After, Count: sr.Count, Open: sr.Open, Live: sr.Live, Desc: sr.Desc, Limit: sr.Limit}
isr.Interval = string(interval)
isr.WindowExtra = uint32(requiredIntervalSeries.Get(interval) - 1)
err1 := svc.fetchHistoryKlineSeries(ctx, isr, func(k *types.Kline) (err error) {
closeTs := intervalAdder(k.Ts, 1)
// 与驱动周期series保持同步更新
if closeTs > driverTs {
if driverTs != 0 {
dstCh <- 0 // 通知更新完毕
}
waitLoop:
for {
if driverTs != 0 {
dstCh <- 0 // 通知更新完毕
}
select {
case <-stopCh:
return io.EOF
case driverTs = <-srcCh:
if closeTs <= driverTs {
break waitLoop
} else {
dstCh <- 0 // 通知更新完毕
}
}
}
@ -331,9 +361,9 @@ func (svc *TradingService) intervalStrategySeries(ctx context.Context, intervalS
}
return
})
if err1 == nil {
otherIntervalCh.Set(interval, nil)
otherIntervalCh.Set(interval, nil) // 该周期数据拉取结束
dstCh <- 0 // 通知更新完毕
} else if err1 != io.EOF {
zlog.Errorf("fetch history interval error: inst=%s(%s) interval=%s, err=%v", sr.InstId, sr.Exchange, interval, err1)
err = err1
@ -348,17 +378,24 @@ func (svc *TradingService) intervalStrategySeries(ctx context.Context, intervalS
// 驱动周期数据拉取
driverSeries := sig.NewKlineSeries(sr.Exchange, sr.InstId, driverInterval)
intervalKlineSeries.Set(driverInterval, driverSeries)
sr.WindowExtra = uint32(requiredIntervalSeries.Get(driverInterval) - 1)
err = svc.fetchHistoryKlineSeries(ctx, sr, func(k *types.Kline) (err error) {
driverTS := driverIntervalAdder(k.Ts, 1)
// 通知其他周期先更新
otherIntervalCh.Range(func(interval types.Interval, ch []chan int64) {
if len(ch) == 2 {
// 通知其它周期先更新
select {
case <-stopCh:
err = io.EOF
return
case ch[0] <- driverTS:
<-ch[1] // 等待更新完毕
// 等待其它周期更新完毕
select {
case <-stopCh:
err = io.EOF
return
case <-ch[1]:
}
}
}
})
@ -366,6 +403,7 @@ func (svc *TradingService) intervalStrategySeries(ctx context.Context, intervalS
return
}
zlog.Debugf("driver series update: %s, %d", driverInterval, driverTS)
if lastTs, serial := driverSeries.Update(k); !serial {
err = fmt.Errorf("kline not series: %s(%s), interval=%s, lastTs=%d", sr.InstId, sr.Exchange, driverInterval, lastTs)
return
@ -392,7 +430,6 @@ func (svc *TradingService) intervalStrategySeries(ctx context.Context, intervalS
signals = append(signals, side)
times = append(times, k.Ts)
}
zlog.Debugf("strategy update finish ------------------------------------")
return
})
if err != io.EOF {
@ -401,36 +438,6 @@ func (svc *TradingService) intervalStrategySeries(ctx context.Context, intervalS
return
}
// singleStrategySeries 单周期策略
func (svc *TradingService) singleStrategySeries(ctx context.Context, sigStrategy strategy.ISingleSigStrategy, sr *pb.SeriesRange) (signals []pb.Side, times []int64, err error) {
interval := types.Interval(sr.Interval)
requiredSeries := int(sigStrategy.RequiredSeries())
sr.WindowExtra = uint32(requiredSeries)
kSeries := sig.NewKlineSeries(sr.Exchange, sr.InstId, interval)
indicatorContext := sig.NewIndicatorContext(kSeries)
strategyContext := sig.NewStrategyContext(indicatorContext, svc.indicatorReg)
err = svc.fetchHistoryKlineSeries(ctx, sr, func(k *types.Kline) (err error) {
if lastTs, serial := kSeries.Update(k); !serial {
err = fmt.Errorf("kline not series: %s(%s), interval=%s, lastTs=%d", sr.InstId, sr.Exchange, interval, lastTs)
return
}
if kSeries.Length() < requiredSeries {
return
}
sigSide := sigStrategy.Update(strategyContext)
if sigSide.IsValid() {
side := lang.Ternary(sigSide == types.SideLong, pb.Side_BUY, pb.Side_SELL)
signals = append(signals, side)
times = append(times, k.Ts)
}
return
})
if err != nil {
return
}
return
}
// Backtest 回测交易计划
func (svc *TradingService) Backtest(planId, stime, etime int64) (err error) {
plan, err := svc.tradingDataPersist.GetTradePlanById(planId)

2
pkg/indicator/rsi.go
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@ -22,7 +22,7 @@ func (c *RSI) RequiredSeries(window int16) int16 {
// Calculate 计算单根k线rsi指标
func (c *RSI) Calculate(ctx IIndicatorContext, window int16) (vector float64) {
// 读k线, 计算
klineSeries := ctx.Series(0, int16(window)) // 7根
klineSeries := ctx.Series(0, int16(window))
closeSeries := klineSeries.Close()
closeDiff := closeSeries.Diff()

6
pkg/strategy/cross_star.go
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@ -50,9 +50,9 @@ func (s *CrossStar) Update(ctx IIntervalSigStrategyContext) (side types.Side) {
// O 109744.8 H 110600 L 109507.5 C 109686.8
k0 := ctx.Get("5m", 0)
open, close, high, low := k0.OpenF64(), k0.CloseF64(), k0.HighF64(), k0.LowF64()
base := math.Abs(open - close) // 58
rup := (high - max(open, close)) / base // 855.2 / 2 427.6
rdown := (min(open, close) - low) / base // 179.3 / 2 89.65
base := math.Abs(open - close)
rup := (high - max(open, close)) / base
rdown := (min(open, close) - low) / base
if k0.Ts == 1761833700000 {
zlog.Debugf("base=%.4f, rup=%.4f, rdown=%.4f", base, rup, rdown)

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