indicator price type

README.md

@@ -148,3 +148,12 @@ page design:
   - 参数遍历回测
 
 对目标目标k线时序段前的k线进行特征提取, 再进行回测评估, 反复迭代得到Alpha
+
+- CodeMirror web端代码编辑器
+- go plugin 恶意代码: 
+  - IO操作(限制 import 路径, 只允许导入 sig-pub 下的包), 
+  - 死循环(1.编译时注入timeout cancel机制, 2.编译为单独进程os.Exit)
+- 目标人群:
+  - programmer: git repository actions, golang python js..., code examples
+  - trader: ai strategy coder (交易员, 交易策略, 交易信号, 交易执行)
+  - 新手学习者: 引导, 普通用户(player) ai strategy coder

config/exchange.toml

@@ -19,8 +19,8 @@ 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 = "http://192.168.1.5:7890"
-httpProxy = "http://10.255.183.209:7890"
+# httpProxy = "http://10.255.183.209:7890"
 
 # 模拟盘API交易地址如下：
 # REST：https://www.okx.com

pkg/indicator/ema.go

@@ -13,6 +13,7 @@ func (c *EMA) Meta() IndicatorMeta {
 		Name: "EMA",
 		Input: []types.InputArg{
 			{Name: "window", Type: types.InputTypeUInt, Desc: "窗口大小"},
+			{Name: "pt", Type: types.InputTypeKPriceType, Desc: "k线序列类型"},
 		},
 	}
 }
@@ -24,15 +25,17 @@ func (c *EMA) CandlePeriods(ctx IIndicatorContext) int16 {
 // Calculate 计算单根k线sma指标
 func (c *EMA) Calculate(ctx IIndicatorContext) (vector float64) {
 	window := ctx.Input().Int16("window")
+	pt := ctx.Input().PriceType()
+
 	prevEma, ok := ctx.State().Get("_vector", 1)
 	if !ok {
 		// 初始值用 sma 替代
-		prevEma = ctx.Series(1, window).Close().Avg()
+		prevEma = ctx.Series(1, window).Price(pt).Avg()
 	}
 
 	multiplier := 2.0 / float64(window+1)
-	close := ctx.Get(0).CloseF64()
+	price := ctx.Get(0).Price(pt)
-	vector = multiplier*close + (1-multiplier)*prevEma
+	vector = multiplier*price + (1-multiplier)*prevEma
 	// same: vector = ((close - prevEma) * multiplier) + prevEma
 
 	ctx.State().Set("_vector", vector)

pkg/types/input.go

@@ -94,6 +94,11 @@ func (in Input) Int16(k string) (v int16) {
 }
 
 func (in Input) String(k string) (v string) {
+	if k == "pt" && in != nil {
+		if _, ok := in[k]; !ok {
+			in[k] = KPriceTypeDefault
+		}
+	}
 	v, err := cast.ToStringE(in.get(k, "string"))
 	if err != nil {
 		panic(fmt.Errorf("input string parse error: %s", k))
@@ -109,6 +114,15 @@ func (in Input) Time(k string) (v time.Time) {
 	return
 }
 
+func (in Input) PriceType(k ...string) (v KPriceType) {
+	key := "pt"
+	if len(k) > 0 {
+		key = k[0]
+	}
+	v = KPriceType(in.String(key))
+	return
+}
+
 func (in Input) Decode(k string, point any) {
 	t := fmt.Sprintf("%T", point)
 	v := in.get(k, t)
@@ -143,6 +157,7 @@ const (
 	InputTypeInt
 	InputTypeUInt
 	InputTypeTime
+	InputTypeKPriceType
 	InputTypeUFloats   // float数组
 	InputTypeUFloats2D // float二维数组
 	InputTypeSelect    // 单选
@@ -154,6 +169,7 @@ type InputArg struct {
 	Desc    string        `json:"desc"`
 	Type    InputType     `json:"type"`    // 参数类型
 	Options []InputOption `json:"options"` // 单选/多选选项列表
+	Default any           `json:"default"` // 默认值 TODO 构造context前将默认值置入input
 }
 
 type InputOption struct {

pkg/types/kline.go

@@ -1,6 +1,7 @@
 package types
 
 import (
+	"fmt"
 	"sig-pub/api/pb"
 	"sig-pub/pkg/types/decimals"
 
@@ -88,6 +89,37 @@ func (k Kline) HL2() float64 {
 	return (k.HighF64() + k.LowF64()) / 2
 }
 
+func (s Kline) Price(t KPriceType) float64 {
+	switch t {
+	case KPriceTypeOpen:
+		return s.OpenF64()
+	case KPriceTypeClose:
+		return s.CloseF64()
+	case KPriceTypeHigh:
+		return s.HighF64()
+	case KPriceTypeLow:
+		return s.LowF64()
+	case KPriceTypeVol:
+		return s.VolF64()
+	case KPriceTypeVolQuote:
+		return s.VolQtyF64()
+	default:
+		panic(fmt.Errorf("kline price type %s not support", t))
+	}
+}
+
+type KPriceType string
+
+const (
+	KPriceTypeHigh     KPriceType = "high"
+	KPriceTypeLow      KPriceType = "low"
+	KPriceTypeOpen     KPriceType = "open"
+	KPriceTypeClose    KPriceType = "close"
+	KPriceTypeVol      KPriceType = "vol"
+	KPriceTypeVolQuote KPriceType = "volQuote"
+	KPriceTypeDefault  KPriceType = KPriceTypeClose
+)
+
 // ChannelKline k线订阅消息
 type ChannelKline struct {
 	ExgInstId string          `json:"instId"`   // 交易所交易产品id，如 BTC_USDT_SWAP

pkg/types/kline_series.go

@@ -153,6 +153,25 @@ func (s Klines) VolQuote() series.Floats {
 	return collect.Mapping(s, func(k Kline) float64 { return decimals.MustToFloat64(k.VolQuote) })
 }
 
+func (s Klines) Price(t KPriceType) series.Floats {
+	switch t {
+	case KPriceTypeHigh:
+		return s.High()
+	case KPriceTypeLow:
+		return s.Low()
+	case KPriceTypeOpen:
+		return s.Open()
+	case KPriceTypeClose:
+		return s.Close()
+	case KPriceTypeVol:
+		return s.Vol()
+	case KPriceTypeVolQuote:
+		return s.VolQuote()
+	default:
+		panic(fmt.Errorf("unsupport kline price type: %s", t))
+	}
+}
+
 // InstanceIntervalKlineSeries 保存各币种各周期k线
 type InstanceIntervalKlineSeries struct {
 	scopeIntervals []Interval