6 changed files with 92 additions and 94 deletions
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package trade |
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import ( |
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"sig-pub/pkg/strategy" |
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"sig-pub/pkg/types" |
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"github.com/govalues/decimal" |
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) |
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// ITradeAnalyzer 建仓到平仓分析器
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type ITradeAnalyzer interface { |
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IEntryAnalyzer |
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IExitAnalyzer |
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// Init 校验参数, 并根据参数初始化策略
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Init(input types.Input) (err error) |
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} |
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// IEntryAnalyzer 建仓下单策略
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type IEntryAnalyzer interface { |
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strategy.ISigStrategy |
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// 需要的各周期最小数据k线数
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CandlePeriods(ctx strategy.IInstanceIntervalSigStrategyContext) (tradeInsts []string, iPeriods *types.IntervalState[int16]) |
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// EntryAnalysis 生成下单参数(交易量/方向/杠杆) 建仓分析：确定是否入场、下单价格及仓位大小
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// 币种持仓中不能改变杠杆
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// tickets 建仓单信息
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// skipCause 跳过交易信号原因
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EntryAnalysis(ctx strategy.IInstanceIntervalSigStrategyContext, account ITradeAccount, sigInstId string, sigSide types.Side) (tickets []TradeTicket, skipCause Cause, err error) |
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} |
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// IExitAnalyzer 平仓评估评估、止盈止损策略(trading service 管理)
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type IExitAnalyzer interface { |
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strategy.ISigStrategy |
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// 需要的各周期最小数据k线数
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CandlePeriods(ctx strategy.IInstanceIntervalSigStrategyContext) (tradeInsts []string, iPeriods *types.IntervalState[int16]) |
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// ExitAnalysisOnPrice 价格更新评估是否平仓
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// @return closeTicket平仓单信息
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ExitAnalysisOnPrice(ctx strategy.IInstanceIntervalSigStrategyContext, account ITradeAccount, instId string, price float64) (closeTickets []TradeTicket, err error) |
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// ExitAnalysisOnSig 信号触发时评估是否平仓
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ExitAnalysisOnSig(ctx strategy.IInstanceIntervalSigStrategyContext, account ITradeAccount, instId string, sigSide types.Side) (closeTickets []TradeTicket, err error) |
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} |
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type TradeTicket struct { |
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TradeType TradeType |
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InstId string |
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Side types.Side // 开仓方向
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Price float64 // 开仓价格
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Leverage int32 // 杠杆倍数
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Qty decimal.Decimal // 交易量 qty为交易产品数量 todo decimal
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Interval string // k线周期
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Ktime int64 // k线时间
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Ctime int64 // 创建时间(ctime-ktime=信号延迟)
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Cause Cause |
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TradesId []int64 // 关联交易订单id (仅平仓使用)
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} |
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@ -0,0 +1,17 @@
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package trade |
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// 1. 基于风险敞口的策略 (Risk-Based Sizing)
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// 1.1 固定风险金额模型 (Fixed Fractional Risk)
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// 1.2 波动率倒数模型 (Volatility Targeting / ATR Sizing)
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// 2. 基于资金占比的策略 (Equity-Based Sizing)
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// 2.1 固定资金比例 (Fixed Percentage of Capital)
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// 2.2 最大持仓限制 (Max Position Constraints)
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// 3. 基于胜率与信号的策略 (Probability & Signal Based)
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// 3.1 凯利公式 (The Kelly Criterion)
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// 3.2 信号强度加权 (Signal Strength Weighting)
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// 策略名称,适用场景,优点,缺点,推荐指数
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// 固定风险金额,趋势跟踪、波段交易,风险恒定，极度稳健，防守性强,计算稍繁琐，需严格设止损,⭐⭐⭐⭐⭐ (首选)
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// ATR波动率模型,多品种CTA、资产组合,平滑不同品种间的波动差异,对ATR参数敏感,⭐⭐⭐⭐⭐ (机构首选)
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// 固定资金比例,股票长线投资,简单直观，便于执行,忽略了品种的风险差异,⭐⭐⭐
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// 凯利公式,高频交易、高胜率策略,理论收益最大化,风险极高，极易破产,⭐⭐ (仅限高手)
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@ -1,61 +0,0 @@
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package trade |
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import ( |
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"sig-pub/pkg/strategy" |
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"sig-pub/pkg/types" |
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"github.com/govalues/decimal" |
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) |
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// IRiskStrategy 风险控制接口
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type IRiskStrategy interface { |
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strategy.ISigStrategy |
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// 需要的各周期最小数据k线数
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CandlePeriods(ctx strategy.IInstanceIntervalSigStrategyContext) (tradeInsts []string, iPeriods *types.IntervalState[int16]) |
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// RishAssess 信号风险评估, 是否进行交易
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RishAssess(ctx strategy.IInstanceIntervalSigStrategyContext, account ITradeAccount, sigInstId string, sigSide types.Side) (ok bool, cause Cause, err error) |
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} |
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// ITradeStrategy 下单策略
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type ITradeStrategy interface { |
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strategy.ISigStrategy |
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// 需要的各周期最小数据k线数
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CandlePeriods(ctx strategy.IInstanceIntervalSigStrategyContext) (tradeInsts []string, iPeriods *types.IntervalState[int16]) |
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// TradeAssess 生成下单参数(交易量/方向/杠杆)
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// 控制滑点, 仓位管理
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// 持仓中币种不能改变杠杆
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TradeAssess(ctx strategy.IInstanceIntervalSigStrategyContext, account ITradeAccount, sigInstId string, sigSide types.Side) (tickets []TradeTicket, err error) |
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} |
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// Exit 止盈止损策略(trading service 管理)
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type ICloseStrategy interface { |
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strategy.ISigStrategy |
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// 需要的各周期最小数据k线数
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CandlePeriods(ctx strategy.IInstanceIntervalSigStrategyContext) (tradeInsts []string, iPeriods *types.IntervalState[int16]) |
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// CloseAssess 价格更新评估是否平仓
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// @return closeTicket平仓单信息
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CloseAssessOnPrice(ctx strategy.IInstanceIntervalSigStrategyContext, account ITradeAccount, instId string, price float64) (closeTickets []TradeTicket, err error) |
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// CloseAssessOnSig 信号触发时评估是否平仓
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CloseAssessOnSig(ctx strategy.IInstanceIntervalSigStrategyContext, account ITradeAccount, instId string, sigSide types.Side) (closeTickets []TradeTicket, err error) |
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} |
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type TradeTicket struct { |
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TradeType TradeType |
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InstId string |
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Side types.Side // 开仓方向
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Price float64 // 开仓价格
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Leverage int32 // 杠杆倍数
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Qty decimal.Decimal // 交易量 qty为交易产品数量 todo decimal
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Interval string // k线周期
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Ktime int64 // k线时间
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Ctime int64 // 创建时间(ctime-ktime=信号延迟)
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Cause Cause |
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TradesId []int64 // 关联交易订单id (仅平仓使用)
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} |
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Reference in new issue