sig strategy backtester

internal/trading/backtest/sig_strategy_backtester.go

@@ -0,0 +1,280 @@
+package backtest
+
+import (
+	"context"
+	"fmt"
+	"io"
+	"sig-pub/api/pb"
+	"sig-pub/internal/trading/sig"
+	"sig-pub/pkg/indicator"
+	"sig-pub/pkg/strategy"
+	"sig-pub/pkg/types"
+	"sig-pub/pkg/utils/collect"
+	"sig-pub/pkg/utils/times"
+	"sig-pub/pkg/zlog"
+
+	"google.golang.org/grpc"
+)
+
+// SigStrategyBacktester 信号策略回测
+type SigStrategyBacktester struct {
+	sigStrategyType       strategy.SigStrategyType
+	sigStrategy           strategy.ISigStrategy
+	indicatorReg          *indicator.IndicatorRegistry
+	exchangeServiceClient pb.ExchangeServiceClient
+
+	// 回测过程中订阅k线
+	intervalSubscribe map[types.Interval][]func(k types.Kline)
+}
+
+func NewSigStrategyBacktester(
+	sigStrategyType strategy.SigStrategyType,
+	sigStrategy strategy.ISigStrategy,
+	indicatorReg *indicator.IndicatorRegistry,
+	exchangeServiceClient pb.ExchangeServiceClient,
+) *SigStrategyBacktester {
+	return &SigStrategyBacktester{
+		sigStrategyType:       sigStrategyType,
+		sigStrategy:           sigStrategy,
+		indicatorReg:          indicatorReg,
+		exchangeServiceClient: exchangeServiceClient,
+		intervalSubscribe:     make(map[types.Interval][]func(k types.Kline)),
+	}
+}
+
+// SubKline 在回测过程中订阅k线
+func (b *SigStrategyBacktester) SubKline(interval types.Interval, recv func(k types.Kline)) {
+	b.intervalSubscribe[interval] = append(b.intervalSubscribe[interval], recv)
+}
+
+// Backtest 基于历史数据回测信号策略
+func (b *SigStrategyBacktester) Backtest(ctx context.Context, sr *pb.SeriesRange, recvSignal func(sigSide types.Side, k types.Kline) (err error)) (err error) {
+	switch b.sigStrategyType {
+	case strategy.SigStrategyTypeSingle:
+		err = b.singleStrategySeries(ctx, b.sigStrategy.(strategy.ISingleSigStrategy), sr, recvSignal)
+	case strategy.SigStrategyTypeInterval:
+		err = b.intervalStrategySeries(ctx, b.sigStrategy.(strategy.IIntervalSigStrategy), sr, recvSignal)
+	default:
+		err = fmt.Errorf("unknown sig strategy type %v", b.sigStrategyType)
+	}
+	return
+}
+
+// singleStrategySeries 单周期策略
+func (b *SigStrategyBacktester) singleStrategySeries(ctx context.Context, sigStrategy strategy.ISingleSigStrategy, sr *pb.SeriesRange, recvSignal func(sigSide types.Side, k types.Kline) (err error)) (err error) {
+	interval := types.Interval(sr.Interval)
+	kSeries := sig.NewKlineSeries(sr.Exchange, sr.InstId, interval)
+	indicatorContext := sig.NewIndicatorContext(kSeries)
+	strategyContext := sig.NewStrategyContext(indicatorContext, b.indicatorReg)
+
+	requiredSeries := int(sigStrategy.RequiredSeries())
+	sr.WindowExtra = uint32(requiredSeries - 1)
+	err = b.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() {
+			if err = recvSignal(sigSide, *k); err != nil {
+				return
+			}
+		}
+		return
+	})
+	return
+}
+
+// multiIntervalSeries 多周期k线数据拉取
+func (b *SigStrategyBacktester) multiIntervalSeries(sr *pb.SeriesRange, otherInterval []types.Interval,
+	revcFn func(driver bool, interval types.Interval, k *types.Kline) (err error)) (err error) {
+	return
+}
+
+// intervalStrategySeries 多周期策略
+func (b *SigStrategyBacktester) intervalStrategySeries(ctx context.Context, intervalSigStrategy strategy.IIntervalSigStrategy, sr *pb.SeriesRange, recvSignal func(sigSide types.Side, k types.Kline) (err error)) (err error) {
+	driverInterval := types.Interval(sr.Interval)
+	driverIntervalAdder := types.SupportedIntervals[driverInterval]
+	// 各周期所需k线数量
+	requiredIntervalSeries := intervalSigStrategy.RequiredIntervalSeries()
+	// 驱动周期外其他周期
+	otherIntervals := make([]types.Interval, 0, 3)
+	requiredIntervalSeries.Range(func(interval types.Interval, series int16) {
+		if series > 0 {
+			otherIntervals = append(otherIntervals, interval)
+		}
+	})
+	// 运行时订阅周期
+	for interval := range b.intervalSubscribe {
+		if collect.NotIn(interval, otherIntervals...) {
+			otherIntervals = append(otherIntervals, interval)
+		}
+	}
+	otherIntervals = collect.Filter(otherIntervals, func(_ int, interval types.Interval) bool { return interval != driverInterval })
+
+	// 通知其他周期更新的channel
+	otherIntervalCh := types.NewIntervalState[[]chan int64]()
+	// otherIntervalDstCh := types.NewIntervalState[chan int64]()
+	for _, interval := range otherIntervals {
+		otherIntervalCh.Set(interval, []chan int64{make(chan int64), make(chan int64)})
+	}
+	// 各周期 series
+	intervalKlineSeries := types.NewIntervalState[*sig.KlineSeries]()
+	// 其他周期数据拉取
+	stopCh := make(chan struct{})
+	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, Limit: sr.Limit}
+			isr.Interval = string(interval)
+			isr.WindowExtra = uint32(requiredIntervalSeries.Get(interval) - 1)
+			err1 := b.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 {
+				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
+							}
+						}
+					}
+				}
+				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
+				}
+				return
+			})
+			if err1 == 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
+				close(stopCh)
+			}
+		}(interval, kSeries)
+	}
+
+	// 策略上下文
+	intervalStrategyContext := sig.NewIntervalStrategyContext(intervalKlineSeries, b.indicatorReg)
+
+	// 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 = b.fetchHistoryKlineSeries(ctx, sr, func(k *types.Kline) (err error) {
+		driverTS := driverIntervalAdder(k.Ts, 1)
+		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:
+					// 等待其它周期更新完毕
+					select {
+					case <-stopCh:
+						err = io.EOF
+						return
+					case <-ch[1]:
+					}
+				}
+			}
+		})
+		if err != nil {
+			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
+		}
+		// 检查满足策略执行条件
+		update := true
+		requiredIntervalSeries.Range(func(interval types.Interval, require int16) {
+			if update && require > 0 {
+				series := intervalKlineSeries.Get(interval)
+				update = series.Length() >= int(require)
+			}
+		})
+		if !update {
+			return
+		}
+		// intervalKlineSeries.Range(func(interval types.Interval, v *sig.KlineSeries) {
+		// 	if v != nil {
+		// 		zlog.Debugf("strategy update: interval series %s, %d", interval, v.Length())
+		// 	}
+		// })
+		sigSide := intervalSigStrategy.Update(intervalStrategyContext)
+		if sigSide.IsValid() {
+			if err = recvSignal(sigSide, *k); err != nil {
+				return
+			}
+		}
+		return
+	})
+	if err != io.EOF {
+		close(stopCh)
+	}
+	return
+}
+
+// fetchHistoryKlineSeries 请求k线数据流式处理
+func (b *SigStrategyBacktester) fetchHistoryKlineSeries(ctx context.Context, sr *pb.SeriesRange, recvFn func(k *types.Kline) error) (err error) {
+	// fetch history klines via stream
+	req := &pb.ReqHistoryKlineStream{Series: sr}
+	stream, err := b.exchangeServiceClient.HistoryKlineStream(ctx, req, grpc.UseCompressor("snappy"))
+	if err != nil {
+		return
+	}
+	var msg *pb.RspHistoryKlineStream
+	recvTimes, recvTotal := 0, 0
+	watch := times.NewWatch()
+	for {
+		select {
+		case <-ctx.Done():
+			err = ctx.Err()
+			return
+		default:
+		}
+		msg, err = stream.Recv()
+		if err == io.EOF {
+			err = nil
+			break
+		}
+		if err != nil {
+			return
+		}
+		recvTimes++
+		recvTotal += len(msg.Klines)
+		for _, k := range msg.Klines {
+			kline := new(types.Kline)
+			kline.ParsePBKline(sr.Exchange, k)
+			if err = recvFn(kline); err != nil {
+				return
+			}
+		}
+	}
+	zlog.Debugf("fetch history kline series: inst=%s(%s), interval=%s, recv=%d, total=%d, use %s", sr.InstId, sr.Exchange, sr.Interval, recvTimes, recvTotal, watch.ElapsedFmt("."))
+	return
+}

internal/trading/backtest/trading_plan_backtester.go

@@ -6,6 +6,7 @@ import (
 	"io"
 	"sig-pub/api/pb"
 	"sig-pub/internal/trading/sig"
+	"sig-pub/pkg/data/entity"
 	"sig-pub/pkg/indicator"
 	"sig-pub/pkg/strategy"
 	"sig-pub/pkg/trade"
@@ -15,25 +16,122 @@ import (
 	"sig-pub/pkg/utils/times"
 	"sig-pub/pkg/zlog"
 
+	"github.com/bytedance/sonic"
 	"google.golang.org/grpc"
 )
 
-type Backtest struct {
+type BacktestStat struct {
-	exchangeClient pb.ExchangeServiceClient
+	// total_return 年化收益
-	indReg         *indicator.IndicatorRegistry
+	// sharpe_ratio 夏普比率
+	// max_drawdown 最大回撤
+	// num_trades 单数
+	// win_rate 胜率
+}
 
-	riskStrategy *trade.RiskStrategy
+type TradeAccount struct {
+	trade.ITradeAccount
+	cash float64
+}
+
+func NewTradeAccount(cash float64) *TradeAccount {
+	return &TradeAccount{
+		cash: cash,
+	}
 }
 
-func NewBacktest(exchangeClient pb.ExchangeServiceClient, indReg *indicator.IndicatorRegistry, sigStrategyReg *strategy.SigStrategyRegistry) *Backtest {
+type TradingPlanBacktester struct {
-	return &Backtest{
+	exchangeClient pb.ExchangeServiceClient
+	indicatorReg   *indicator.IndicatorRegistry
+	sigStrategyReg *strategy.SigStrategyRegistry
+}
+
+func NewTradingPlanBacktester(exchangeClient pb.ExchangeServiceClient, indicatorReg *indicator.IndicatorRegistry, sigStrategyReg *strategy.SigStrategyRegistry) *TradingPlanBacktester {
+	return &TradingPlanBacktester{
 		exchangeClient: exchangeClient,
-		indReg:         indReg,
+		indicatorReg:   indicatorReg,
-		riskStrategy:   trade.NewRiskStrategy(),
+		sigStrategyReg: sigStrategyReg,
 	}
 }
 
-func (b *Backtest) RunTradingPlan(ctx context.Context, tradingPlan *sig.TradingPlan, stime, etime int64, sigKlineSeries *sig.KlineSeries) (err error) {
+// 核心引擎，模拟交易、持仓跟踪、费用计算
+func (b *TradingPlanBacktester) Backtest(ctx context.Context, cash float64, plan entity.TradePlan, sr *pb.SeriesRange) (err error) {
+	// sig strategy
+	sigStrategyType, sigStrategy, ok := b.sigStrategyReg.NewSigStrategy(plan.SigStrategy)
+	if !ok {
+		err = fmt.Errorf("sig strategy not exists %s", plan.SigStrategy)
+		return
+	}
+	sigStrategyParam := make(strategy.StrategyParam)
+	if err = sonic.UnmarshalString(plan.SigStrategyParam, &sigStrategyParam); err != nil {
+		return
+	}
+	if err = sigStrategy.Init(sigStrategyParam); err != nil {
+		return
+	}
+	closeStrategyParam, tradeStrategyParam, riskStrategyParam := new(trade.CloseStrategyParam),
+		new(trade.TradeStrategyParam), new(trade.RiskStrategyParam)
+	if err = sonic.UnmarshalString(plan.CloseStrategyParam, closeStrategyParam); err != nil {
+		return
+	}
+	if err = sonic.UnmarshalString(plan.TradeStrategyParam, tradeStrategyParam); err != nil {
+		return
+	}
+	if err = sonic.UnmarshalString(plan.RiskStrategyParam, riskStrategyParam); err != nil {
+		return
+	}
+	// 平仓策略
+	closeStrategy, err := trade.NewCloseStrategy(*closeStrategyParam)
+	if err != nil {
+		return
+	}
+	// 风险管理策略
+	riskStrategy, err := trade.NewRiskStrategy(*riskStrategyParam)
+	if err != nil {
+		return
+	}
+
+	tradeAccount := NewTradeAccount(cash)
+	_ = tradeAccount
+
+	// 平仓管理器
+	closeManager := NewCloseManager(0.02, 0)
+	closeManager.SetDynamicParams(0.1, 0.02, 0)
+
+	// 回测账户
+	account := NewAccount(10000, NewSimulator(0.0005, 0.0008))
+
+	sigStrategyBacktester := NewSigStrategyBacktester(sigStrategyType, sigStrategy, b.indicatorReg, b.exchangeClient)
+	err = sigStrategyBacktester.Backtest(ctx, sr, func(sigSide types.Side, k types.Kline) (err error) {
+		closeManager.OnKline(k, account)
+		b.onSigSideSignalWithAccount(sigSide, k, account, closeManager, riskStrategy)
+		return b.onSideSingal(sigSide, k, closeStrategy)
+	})
+	return
+}
+
+// onSideSingal 出现买卖信号
+func (b *TradingPlanBacktester) onSideSingal(sigSide types.Side, k types.Kline, closeStrategy *trade.CloseStrategy) (err error) {
+
+	return
+}
+
+// onSigSideSignalWithAccount 交易策略发出交易信号（使用指定的账户和平仓管理器）
+func (b *TradingPlanBacktester) onSigSideSignalWithAccount(sigSide types.Side, k types.Kline, account *Account, closeManager *CloseManager, riskStrategy *trade.RiskStrategy) {
+	// risk check before executing
+	side := riskStrategy.SideAssess(sigSide)
+	if !side.IsValid() {
+		zlog.Debugf("risk strategy filter sig side: %s", sigSide.String())
+		return
+	}
+	// zlog.Debugf("apply market order:  ts=%d, side=%s", k.Ts, side.String())
+	price := decimals.MustToFloat64(k.Close)
+	account.ApplyMarketOrder(side, 0.01, price, k.Ts)
+
+	// 根据信号方向平掉相反方向的仓位：如果信号是买入，平掉所有卖出仓位；如果信号是卖出，平掉所有买入仓位
+	closeManager.CloseBySignal(sigSide, account, k)
+}
+
+func (b *TradingPlanBacktester) RunTradingPlan(ctx context.Context, tradingPlan *sig.TradingPlan, stime, etime int64, sigKlineSeries *sig.KlineSeries) (err error) {
 	plan := tradingPlan.Plan
 	exchange := pb.ExchangeType(plan.Exchange)
 	interval := types.Interval(plan.Interval)
@@ -108,7 +206,7 @@ func (b *Backtest) RunTradingPlan(ctx context.Context, tradingPlan *sig.TradingP
 
 			sigSide := tradingPlan.Update(strategy.StrategyTypeSig)
 			if sigSide.IsValid() {
-				b.onSigSideSignalWithAccount(sigSide, *kline, account, closeManager)
+				b.onSigSideSignalWithAccount(sigSide, *kline, account, closeManager, nil)
 			}
 		}
 	}
@@ -120,19 +218,3 @@ func (b *Backtest) RunTradingPlan(ctx context.Context, tradingPlan *sig.TradingP
 	_ = exposure
 	return
 }
-
-// onSigSideSignalWithAccount 交易策略发出交易信号（使用指定的账户和平仓管理器）
-func (b *Backtest) onSigSideSignalWithAccount(sigSide types.Side, k types.Kline, account *Account, closeManager *CloseManager) {
-	// risk check before executing
-	side := b.riskStrategy.SideAssess(sigSide)
-	if !side.IsValid() {
-		zlog.Debugf("risk strategy filter sig side: %s", sigSide.String())
-		return
-	}
-	// zlog.Debugf("apply market order:  ts=%d, side=%s", k.Ts, side.String())
-	price := decimals.MustToFloat64(k.Close)
-	account.ApplyMarketOrder(side, 0.01, price, k.Ts)
-
-	// 根据信号方向平掉相反方向的仓位：如果信号是买入，平掉所有卖出仓位；如果信号是卖出，平掉所有买入仓位
-	closeManager.CloseBySignal(sigSide, account, k)
-}

internal/trading/trading_service.go

@@ -238,7 +238,7 @@ func (svc *TradingService) IndicatorSeries(ctx context.Context, indicatorName st
 	return
 }
 
-// StrategySeries 简单策略信号测试
+// StrategySeries 信号策略回测
 func (svc *TradingService) StrategySeries(ctx context.Context, req *pb.ReqStrategySeries, rsp *pb.RspStrategySeries) (err error) {
 	// sigStrategy
 	sigStrategyType, sigStrategy, ok := svc.strategyReg.NewSigStrategy(req.SigStrategy)
@@ -258,183 +258,14 @@ func (svc *TradingService) StrategySeries(ctx context.Context, req *pb.ReqStrate
 		return
 	}
 
-	switch sigStrategyType {
+	// 使用回测器回测信号
-	case strategy.SigStrategyTypeSingle:
+	backtester := backtest.NewSigStrategyBacktester(sigStrategyType, sigStrategy, svc.indicatorReg, svc.exchangeClient)
-		rsp.Signal, rsp.Times, err = svc.singleStrategySeries(ctx, sigStrategy.(strategy.ISingleSigStrategy), req.Series)
+	err = backtester.Backtest(ctx, req.Series, func(sigSide types.Side, k types.Kline) (err error) {
-	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)
+		rsp.Signal = append(rsp.Signal, side)
-			times = append(times, k.Ts)
+		rsp.Times = append(rsp.Times, k.Ts)
-		}
 		return
 	})
-	if err != nil {
-		return
-	}
-	return
-}
-
-// intervalStrategySeries 多周期策略
-func (svc *TradingService) intervalStrategySeries(ctx context.Context, intervalSigStrategy strategy.IIntervalSigStrategy, sr *pb.SeriesRange) (signals []pb.Side, times []int64, err error) {
-	driverInterval := types.Interval(sr.Interval)
-	driverIntervalAdder := types.SupportedIntervals[driverInterval]
-	// 各周期所需k线数量
-	requiredIntervalSeries := intervalSigStrategy.RequiredIntervalSeries()
-	// 驱动周期外其他周期
-	otherIntervals := make([]types.Interval, 0, 3)
-	requiredIntervalSeries.Range(func(interval types.Interval, series int16) {
-		if series > 0 {
-			otherIntervals = append(otherIntervals, interval)
-		}
-	})
-	otherIntervals = collect.Filter(otherIntervals, func(_ int, interval types.Interval) bool { return interval != driverInterval })
-
-	// 通知其他周期更新的channel
-	otherIntervalCh := types.NewIntervalState[[]chan int64]()
-	// otherIntervalDstCh := types.NewIntervalState[chan int64]()
-	for _, interval := range otherIntervals {
-		otherIntervalCh.Set(interval, []chan int64{make(chan int64), make(chan int64)})
-	}
-	// 各周期 series
-	intervalKlineSeries := types.NewIntervalState[*sig.KlineSeries]()
-	// 其他周期数据拉取
-	stopCh := make(chan struct{})
-	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, 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 {
-				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
-							}
-						}
-					}
-				}
-				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
-				}
-				return
-			})
-			if err1 == 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
-				close(stopCh)
-			}
-		}(interval, kSeries)
-	}
-
-	// 策略上下文
-	intervalStrategyContext := sig.NewIntervalStrategyContext(intervalKlineSeries, svc.indicatorReg)
-
-	// 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)
-		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:
-					// 等待其它周期更新完毕
-					select {
-					case <-stopCh:
-						err = io.EOF
-						return
-					case <-ch[1]:
-					}
-				}
-			}
-		})
-		if err != nil {
-			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
-		}
-		// 检查满足策略执行条件
-		update := true
-		requiredIntervalSeries.Range(func(interval types.Interval, require int16) {
-			if update && require > 0 {
-				series := intervalKlineSeries.Get(interval)
-				update = series.Length() >= int(require)
-			}
-		})
-		if !update {
-			return
-		}
-		intervalKlineSeries.Range(func(interval types.Interval, v *sig.KlineSeries) {
-			if v != nil {
-				zlog.Debugf("strategy update: interval series %s, %d", interval, v.Length())
-			}
-		})
-		sigSide := intervalSigStrategy.Update(intervalStrategyContext)
-		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 != io.EOF {
-		close(stopCh)
-	}
 	return
 }
 
@@ -453,7 +284,7 @@ func (svc *TradingService) Backtest(planId, stime, etime int64) (err error) {
 		return
 	}
 
-	test := backtest.NewBacktest(svc.exchangeClient, svc.indicatorReg, svc.strategyReg)
+	test := backtest.NewTradingPlanBacktester(svc.exchangeClient, svc.indicatorReg, svc.strategyReg)
 	err = test.RunTradingPlan(context.Background(), tradingPlan, stime, etime, sigKlineSeries)
 	if err != nil {
 		return

pkg/data/entity/trade_plan.go

@@ -9,13 +9,15 @@ type TradePlan struct {
 	InstId             string `gorm:"column:inst_id" json:"instId"`                          // 交易产品id
 	Interval           string `gorm:"column:interval" json:"interval"`                       // 交易周期
 	SigStrategy        string `gorm:"column:sig_strategy" json:"sigStrategy"`                // 交易信号策略
-	ExitStrategy       string `gorm:"column:exit_strategy" json:"exitStrategy"`              // 退出策略
-	TradeStrategy      string `gorm:"column:trade_strategy" json:"tradeStrategy"`            // 下单仓位管理策略
 	SigStrategyParam   string `gorm:"column:sig_strategy_param" json:"sigStrategyParam"`     // 交易信号策略参数
-	ExitStrategyParam  string `gorm:"column:exit_strategy_param" json:"exitStrategyParam"`   // 退出策略名称参数
+	CloseStrategyParam string `gorm:"column:close_strategy_param" json:"closeStrategyParam"` // 退出策略名称参数
 	TradeStrategyParam string `gorm:"column:trade_strategy_param" json:"tradeStrategyParam"` // 下单仓位管理策略参数
+	RiskStrategyParam  string `gorm:"column:risk_strategy_param" json:"riskStrategyParam"`   // 风险管理策略参数
 	UpdateBy           string `gorm:"column:update_by" json:"updateBy"`                      // 更新人
 	UpdateTime         int64  `gorm:"column:update_time" json:"updateTime"`                  // 更新时间戳毫秒
+
+	// ExitStrategy       string `gorm:"column:exit_strategy" json:"exitStrategy"`              // 退出策略
+	// TradeStrategy      string `gorm:"column:trade_strategy" json:"tradeStrategy"`            // 下单仓位管理策略
 }
 
 func (TradePlan) TableName() string {

pkg/trade/close_strategy.go

@@ -1,6 +1,7 @@
 package trade
 
 import (
+	"fmt"
 	"sig-pub/pkg/types"
 	"sig-pub/pkg/types/decimals"
 )
@@ -28,22 +29,25 @@ type CloseStrategy struct {
 	CloseStrategyParam
 }
 
-func NewCloseStrategy(param CloseStrategyParam) *CloseStrategy {
+func NewCloseStrategy(param CloseStrategyParam) (cs *CloseStrategy, err error) {
-	return &CloseStrategy{
+	if param.StopLossPct < 0 {
-		CloseStrategyParam: param,
+		err = fmt.Errorf("stopLossPct can't less zero")
+		return
 	}
+	cs = &CloseStrategy{CloseStrategyParam: param}
+	return
 }
 
 // Update 当k线更新判断是否关闭仓位
 func (s *CloseStrategy) OnKline(k types.Kline, pos *Position) (closePos bool, cause Cause) {
 	closePrice := decimals.MustToFloat64(k.Close)
 	// update peak px
-	if pos.Side == types.SideLong && closePrice > pos.PeakPx {
+	// if pos.Side == types.SideLong && closePrice > pos.PeakPx {
-		pos.PeakPx = closePrice
+	// 	pos.PeakPx = closePrice
-	}
+	// }
-	if pos.Side == types.SideShort && closePrice < pos.PeakPx {
+	// if pos.Side == types.SideShort && closePrice < pos.PeakPx {
-		pos.PeakPx = closePrice
+	// 	pos.PeakPx = closePrice
-	}
+	// }
 	return s.OnPrice(closePrice, pos)
 }
 

pkg/trade/risk_strategy.go

@@ -14,11 +14,16 @@ type RiskStrategyParam struct {
 }
 
 // RiskStrategy 风险管理策略
+// Kelly准则优化方法
 type RiskStrategy struct {
+	RiskStrategyParam
 }
 
-func NewRiskStrategy() *RiskStrategy {
+func NewRiskStrategy(param RiskStrategyParam) (rs *RiskStrategy, err error) {
-	return &RiskStrategy{}
+	rs = &RiskStrategy{
+		RiskStrategyParam: param,
+	}
+	return
 }
 
 // SideAssess 收到信号时进行评估, 返回过滤后的交易信号