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stateful indicator

main
strange 9 months ago
parent
b93a631d76
commit
8f46075f85
11 changed files with 141 additions and 121 deletions
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  1. 4
      config/exchange.toml
  2. 2
      internal/exchange/exchange_service.go
  3. 41
      internal/trading/backtest/sig_strategy_backtester.go
  4. 23
      internal/trading/sig/indicator_context.go
  5. 56
      internal/trading/sig/indicator_state.go
  6. 13
      internal/trading/trading_service.go
  7. 4
      pkg/indicator/ema.go
  8. 3
      pkg/indicator/indicator.go
  9. 4
      pkg/indicator/indicator_registry.go
  10. 94
      pkg/indicator/macd.go
  11. 18
      pkg/strategy/gold_x.go

4
config/exchange.toml
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@ -18,8 +18,8 @@ receiveBuffer = 4096
marketSubscribeLimit = 16
consumeBatch = 1024
consumeLater = 2000 # 时间到达later或者数据累计到batch触发consume
# httpProxy = "http://192.168.1.5:7890"
httpProxy = "http://10.255.183.209:7890"
httpProxy = "http://192.168.1.5:7890"
# httpProxy = "http://10.255.183.209:7890"
# 模拟盘API交易地址如下：
# REST：https://www.okx.com

2
internal/exchange/exchange_service.go
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@ -734,7 +734,7 @@ func (svc *ExchangeService) CalcSeriesRange(arg *pb.SeriesRange) (after, before,
}
// 额外拉取
if arg.WindowExtra > 0 {
if arg.WindowExtra > indicator.MaxWindow {
if arg.WindowExtra > indicator.MaxWindow+indicator.ApproCandles {
err = fmt.Errorf("series range window extra %d big then %d", arg.WindowExtra, indicator.MaxWindow)
return
}

41
internal/trading/backtest/sig_strategy_backtester.go
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@ -141,7 +141,7 @@ func (b *SigStrategyBacktester) multiIntervalSeries(ctx context.Context, sr *pb.
if err != nil {
return
}
before, after := rsp.Before, rsp.After
driverBefore, driverAfter := rsp.Before, rsp.After
driverInterval := types.Interval(sr.Interval)
driverIntervalAdder := types.SupportedIntervals[driverInterval]
@ -175,10 +175,10 @@ func (b *SigStrategyBacktester) multiIntervalSeries(ctx context.Context, sr *pb.
intervalAdder := types.SupportedIntervals[interval]
driverTs := int64(0)
isr := &pb.SeriesRange{Exchange: sr.Exchange, InstId: sr.InstId, Open: false, Live: sr.Live, Desc: sr.Desc}
isr.Before = intervalAdder(before, -1)
isr.After = after
isr.Before = intervalAdder(driverBefore, -1)
isr.After = driverAfter
isr.Interval = string(interval)
isr.WindowExtra = uint32(max(0, requiredIntervalSeries.Get(interval)-1))
isr.WindowExtra = uint32(max(0, requiredIntervalSeries.Get(interval)-1)) + indicator.ApproCandles
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
@ -232,7 +232,7 @@ func (b *SigStrategyBacktester) multiIntervalSeries(ctx context.Context, sr *pb.
}
// 驱动周期数据拉取
driverSeries := intervalKlineSeries.ComputeIfAbsent(driverInterval, func() *sig.KlineSeries { return sig.NewKlineSeries(sr.Exchange, sr.InstId, driverInterval) })
sr.WindowExtra = max(sr.WindowExtra, uint32(max(0, requiredIntervalSeries.Get(driverInterval)-1)))
sr.WindowExtra = max(sr.WindowExtra, uint32(max(0, requiredIntervalSeries.Get(driverInterval)-1))) + indicator.ApproCandles
err0 := b.fetchHistoryKlineSeries(ctx, sr, func(k *types.Kline) (err error) {
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)
@ -257,6 +257,9 @@ func (b *SigStrategyBacktester) multiIntervalSeries(ctx context.Context, sr *pb.
if err != nil {
return
}
if k.Ts < driverBefore {
return
}
// intervalKlineSeries.Range(func(interval types.Interval, v *sig.KlineSeries) {
// if v != nil {
// zlog.Debugf("interval series update: %s, %d", interval, v.Length())
@ -324,31 +327,3 @@ recvLoop:
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
}
// Deprecated
// _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)
strategyContext := sig.NewStrategyContext(nil, kSeries, b.indicatorReg)
requiredSeries := int(sigStrategy.CandlePeriods(nil))
sr.WindowExtra = uint32(max(0, 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
}

23
internal/trading/sig/indicator_context.go
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@ -97,27 +97,26 @@ func (c *IndicatorContext) State() indicator.IIndicatorState {
state, ok := c.indicatorStates[stateKey]
if !ok {
state = NewIndicatorState(c.kSeries)
state = NewIndicatorState(c.kSeries.Interval)
c.indicatorStates[stateKey] = state
// 从头KlineSeries跑一遍，针对ema,macd等回溯迭代指标
// 从头KlineSeries跑一遍, 针对ema,macd等回溯迭代指标, 将state与KlineSeries对齐
c.backtrackIndicatorState(c.indicator)
}
state.SetIndicatorContext(c)
return state
}
// 当首次初始化某个state dea后, 把indicator在klineSeries从头跑一遍
// 当首次初始化某个state后, 把indicator在klineSeries从头跑一遍
func (c *IndicatorContext) backtrackIndicatorState(indicator indicator.IIndicator) {
_offset := c.offset
defer c.SetOffset(_offset)
previousCandles := indicator.CandlePeriods(c)
length := c.kSeries.Length()
for i := range length {
if i < int(previousCandles) {
continue
}
offset := int16(length - 1 - i)
candleLength := c.kSeries.Length()
candlePeriods := indicator.CandlePeriods(c)
for i := int(candlePeriods) - 1; i < candleLength; i++ {
offset := int16(candleLength - i - 1)
c.SetOffset(offset)
// 计算指标值，指标内部会更新state
indicator.Calculate(c)
}
}
@ -135,7 +134,9 @@ func (c *IndicatorContext) Indicator(name string, args ...any) (series indicator
}
input := matchIndicatorArgs(args...)
indicatorContext := NewIndicatorContext(indicator, input, c.indicatorStates, c.kSeries, c.indicatorsReg)
indicatorContext.offset = c.offset
indicatorContext.indicatorTrace = append(c.indicatorTrace, name)
return NewWindowIndicatorSeries(indicator, indicatorContext)
}
@ -152,7 +153,7 @@ inputLoop:
windowLoop:
for _, arg := range args {
switch v := arg.(type) {
case int16, int, int32, int64:
case int, int8, int16, int32, int64, uint, uint8, uint16, uint32, uint64:
window := cast.ToInt16(v)
if input == nil {
input = make(types.Input)

56
internal/trading/sig/indicator_state.go
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@ -1,6 +1,7 @@
package sig
import (
"fmt"
"sig-pub/pkg/indicator"
"sig-pub/pkg/types"
"sig-pub/pkg/types/series"
@ -10,38 +11,69 @@ import (
// ema, obv 指标递归计算时的状态存储
type IndicatorState struct {
indicator.IIndicatorState
kSeries *KlineSeries
state map[string]*types.RingSeries[float64]
indicatorContext indicator.IIndicatorContext
interval types.Interval
intervalAdder types.IntervalAdder
state map[string]*types.RingSeries[float64]
lastTs int64
}
func NewIndicatorState(kSeries *KlineSeries) *IndicatorState {
func NewIndicatorState(interval types.Interval) *IndicatorState {
intervalAdder, ok := types.SupportedIntervals[interval]
if !ok {
panic(fmt.Errorf("unsupport interval: %s", interval))
}
return &IndicatorState{
kSeries: kSeries,
state: make(map[string]*types.RingSeries[float64]),
interval: interval,
intervalAdder: intervalAdder,
state: make(map[string]*types.RingSeries[float64]),
}
}
func (s *IndicatorState) SetIndicatorContext(indicatorContext indicator.IIndicatorContext) {
s.indicatorContext = indicatorContext
}
func (s *IndicatorState) ring(k string) *types.RingSeries[float64] {
ring, ok := s.state[k]
if !ok {
ring = types.NewRingSeries[float64](indicator.MaxWindow, 8)
s.state[k] = ring
// 从 kSeries0 开始 calc ind 初始化
// 递归初始值
}
return ring
}
func (s *IndicatorState) Set(k string, v float64) {
s.ring(k).Push(v)
ts := s.indicatorContext.Get(0).Ts
if s.lastTs < ts {
if expectTs := s.intervalAdder(s.lastTs, 1); expectTs != ts && s.lastTs != 0 {
panic(fmt.Errorf("state 不连续: lastTs=%d, got=%d, expected=%d", s.lastTs, ts, expectTs))
}
s.ring(k).Push(v)
s.lastTs = ts
}
}
func (s *IndicatorState) Get(k string, offset int16) (v float64, ok bool) {
offset -= 1
return s.ring(k).Get(int(offset))
ts := s.indicatorContext.Get(0).Ts
target := s.intervalAdder(ts, -int64(offset))
ring := s.ring(k)
for i := 0; i < ring.Length(); i++ {
if s.intervalAdder(s.lastTs, -int64(i)) == target {
return ring.Get(i)
}
}
return
}
func (s *IndicatorState) Series(k string, offset, count int16) (v series.Floats, ok bool) {
offset -= 1
return s.ring(k).Series(int(offset), int(count))
ts := s.indicatorContext.Get(0).Ts
target := s.intervalAdder(ts, -int64(offset))
ring := s.ring(k)
for i := 0; i < ring.Length(); i++ {
if s.intervalAdder(s.lastTs, -int64(i)) == target {
return ring.Series(i, int(count))
}
}
return
}

13
internal/trading/trading_service.go
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@ -200,6 +200,7 @@ func (svc *TradingService) fetchHistoryKlineSeries(ctx context.Context, sr *pb.S
// IndicatorSeries 获取指标实时或历史序列数据, 闭区间
func (svc *TradingService) IndicatorSeries(ctx context.Context, indicatorName string, digit int32, input types.Input, sr *pb.SeriesRange) (matrix []float64, times []int64, err error) {
appros := indicator.ApproCandles
indicator, ok := svc.indicatorReg.Indicator(indicatorName)
if !ok {
err = fmt.Errorf("indicator %s not exists", indicatorName)
@ -218,7 +219,14 @@ func (svc *TradingService) IndicatorSeries(ctx context.Context, indicatorName st
candlePeriods := int(indicator.CandlePeriods(indicatorContext))
sr.Desc = false
sr.WindowExtra = uint32(max(0, candlePeriods-1))
// 计算第一个指标值需要多取candlePeriods - 1根k线; 计算ema等递归指标需要多拉取appros根k线逼近值
srRsp, err := svc.exchangeClient.SeriesRange(ctx, &pb.ReqSeriesRange{Series: sr})
if err != nil {
return
}
srBefore := srRsp.Before
sr.WindowExtra = uint32(max(0, candlePeriods-1)) + uint32(appros)
// 保留小数位数
digit = lang.Ternary(digit > 0 && digit <= 10, digit, 6)
@ -230,6 +238,9 @@ func (svc *TradingService) IndicatorSeries(ctx context.Context, indicatorName st
err = fmt.Errorf("kline not series: %s(%s), interval=%s, lastTs=%d", sr.InstId, sr.Exchange, interval, lastTs)
return
}
if k.Ts < srBefore {
return
}
if kSeries.Length() < candlePeriods {
return
}

4
pkg/indicator/ema.go
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@ -24,7 +24,7 @@ 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")
prevEma, ok := ctx.State().Get("ema", 1)
prevEma, ok := ctx.State().Get("vector", 1)
if !ok {
// 初始值用 sma 替代
prevEma = ctx.Series(1, window).Close().Avg()
@ -35,6 +35,6 @@ func (c *EMA) Calculate(ctx IIndicatorContext) (vector float64) {
vector = multiplier*close + (1-multiplier)*prevEma
// same: vector = ((close - prevEma) * multiplier) + prevEma
ctx.State().Set("ema", vector)
ctx.State().Set("vector", vector)
return
}

3
pkg/indicator/indicator.go
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@ -6,7 +6,8 @@ import (
)
const (
MaxWindow = 256
MaxWindow = 256 // 最大窗口引用大小
ApproCandles = 64 // 递归指标近似计算k线数
)
type IndicatorMeta struct {

4
pkg/indicator/indicator_registry.go
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@ -22,9 +22,9 @@ func (r *IndicatorRegistry) Init() (err error) {
r.MustRegistIndicatorW(&SMA{})
r.MustRegistIndicatorW(&ATR{})
r.MustRegistIndicatorW(&EMA{})
r.MustRegistIndicatorW(&MACD{})
r.MustRegistIndicatorW(&MacdDIF{})
r.MustRegistIndicatorW(&MacdDEA{})
r.MustRegistIndicatorW(&MacdHist{})
r.MustRegistIndicatorW(&Macd{})
r.MustRegistIndicatorW(&OBV{})
r.MustRegistIndicatorW(&WOBV{})
return

94
pkg/indicator/macd.go
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@ -4,16 +4,46 @@ import (
"sig-pub/pkg/types"
)
// MACD 拆分成: MACD线, MacdDEA(信号线), MacdHist(柱状图)
// 计算 MACD 线 (DIF): 反映短期趋势与长期趋势的“收敛/散度”
// MACD: https://www.investopedia.com/terms/m/macd.asp
type MACD struct {
// Macd macd柱状图计算
// Macd 拆分成: Macd(柱状图), MacdDIF线, MacdDEA(信号线)
// 计算 MacdDIF 线 (DIF): 反映短期趋势与长期趋势的“收敛/散度”
// Macd: https://www.investopedia.com/terms/m/macd.asp
type Macd struct {
}
// indicator interface
func (c *MACD) Meta() IndicatorMeta {
func (c *Macd) Meta() IndicatorMeta {
return IndicatorMeta{
Name: "macd",
Input: []types.InputArg{
{Name: "fast", Type: types.InputTypeUInt, Desc: "快线周期"},
{Name: "slow", Type: types.InputTypeUInt, Desc: "慢线周期"},
{Name: "singal", Type: types.InputTypeUInt, Desc: "信号线周期"},
},
}
}
func (c *Macd) CandlePeriods(ctx IIndicatorContext) int16 {
return max(
ctx.Indicator("macd_dif", ctx.Input()).CandlePeriods(),
ctx.Indicator("macd_dea", ctx.Input()).CandlePeriods(),
)
}
func (c *Macd) Calculate(ctx IIndicatorContext) (vector float64) {
macd_dea := ctx.Indicator("macd_dea", ctx.Input()).Get(0)
macd_dif := ctx.Indicator("macd_dif", ctx.Input()).Get(0)
vector = (macd_dif - macd_dea) * 2
return
}
type MacdDIF struct {
}
// indicator interface
func (c *MacdDIF) Meta() IndicatorMeta {
return IndicatorMeta{
Name: "macd_dif",
Input: []types.InputArg{
{Name: "fast", Type: types.InputTypeUInt, Desc: "快线周期"},
{Name: "slow", Type: types.InputTypeUInt, Desc: "慢线周期"},
@ -21,7 +51,7 @@ func (c *MACD) Meta() IndicatorMeta {
}
}
func (c *MACD) CandlePeriods(ctx IIndicatorContext) int16 {
func (c *MacdDIF) CandlePeriods(ctx IIndicatorContext) int16 {
return max(
ctx.Indicator("ema", ctx.Input().Int16("fast")).CandlePeriods(),
ctx.Indicator("ema", ctx.Input().Int16("slow")).CandlePeriods(),
@ -29,7 +59,7 @@ func (c *MACD) CandlePeriods(ctx IIndicatorContext) int16 {
}
// Calculate 计算单根k线sma指标
func (c *MACD) Calculate(ctx IIndicatorContext) (vector float64) {
func (c *MacdDIF) Calculate(ctx IIndicatorContext) (vector float64) {
fast := ctx.Input().Int16("fast") // 12
slow := ctx.Input().Int16("slow") // 26
@ -57,56 +87,24 @@ func (c *MacdDEA) Meta() IndicatorMeta {
}
func (c *MacdDEA) CandlePeriods(ctx IIndicatorContext) int16 {
return max(
ctx.Input().Int16("singal")+1,
ctx.Indicator("macd", ctx.Input()).CandlePeriods(),
)
return ctx.Indicator("macd_dif", ctx.Input()).CandlePeriods() + ctx.Input().Int16("singal") + 1
}
func (c *MacdDEA) Calculate(ctx IIndicatorContext) (vector float64) {
singal := ctx.Input().Int16("singal") // 9
deaPrev, ok := ctx.State().Get("macd_dea", 1)
deaPrev, ok := ctx.State().Get("vector", 1)
if !ok {
// 初始值前9期的 MACD SMA
macdPrevs := ctx.Indicator("macd", ctx.Input()).Series(1, singal)
deaPrev = macdPrevs.Avg()
// 初始值前9期的 MACD_DIF SMA
macdDifs := ctx.Indicator("macd_dif", ctx.Input()).Series(1, singal)
deaPrev = macdDifs.Avg()
}
macd := ctx.Indicator("macd", ctx.Input()).Get(0)
macd_dif := ctx.Indicator("macd_dif", ctx.Input()).Get(0)
// 计算DEA
beta := 2 / float64(singal+1)
dea := beta*macd + (1-beta)*deaPrev
ctx.State().Set("macd_dea", dea)
dea := beta*macd_dif + (1-beta)*deaPrev
ctx.State().Set("vector", dea)
vector = dea
return
}
// MacdSingal macd柱状图计算
type MacdHist struct {
}
func (c *MacdHist) Meta() IndicatorMeta {
return IndicatorMeta{
Name: "macd_hist",
Input: []types.InputArg{
{Name: "fast", Type: types.InputTypeUInt, Desc: "快线周期"},
{Name: "slow", Type: types.InputTypeUInt, Desc: "慢线周期"},
{Name: "singal", Type: types.InputTypeUInt, Desc: "信号线周期"},
},
}
}
func (c *MacdHist) CandlePeriods(ctx IIndicatorContext) int16 {
return max(
ctx.Indicator("macd", ctx.Input()).CandlePeriods(),
ctx.Indicator("macd_dea", ctx.Input()).CandlePeriods(),
)
}
func (c *MacdHist) Calculate(ctx IIndicatorContext) (vector float64) {
macd := ctx.Indicator("macd", ctx.Input()).Get(0)
macd_dea := ctx.Indicator("macd_dea", ctx.Input()).Get(0)
vector = macd - macd_dea
return
}

18
pkg/strategy/gold_x.go
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@ -33,22 +33,24 @@ func (s *GoldX) Init(input types.Input) (err error) {
func (s *GoldX) CandlePeriods(ctx ISingleSigStrategyContext) int16 {
return max(
ctx.Indicator("macd", ctx.Input()).CandlePeriods(),
ctx.Indicator("macd_dif", ctx.Input()).CandlePeriods(),
ctx.Indicator("macd_dea", ctx.Input()).CandlePeriods(),
ctx.Indicator("macd_hist", ctx.Input()).CandlePeriods(),
)
}
func (s *GoldX) Update(ctx ISingleSigStrategyContext) (side types.Side) {
macd := ctx.Indicator("macd", ctx.Input()).Series(0, 2) // macd线
macdDea := ctx.Indicator("macd_dea", ctx.Input()).Series(0, 2) // macd信号线
macdHist := ctx.Indicator("macd_hist", ctx.Input()).Get(0) // macd柱状图
macdHist := ctx.Indicator("macd", ctx.Input()).Get(0) // macd柱状图
macdDea := ctx.Indicator("macd_dea", ctx.Input()).Series(0, 2) // macd_dea信号线
macdDif := ctx.Indicator("macd_dif", ctx.Input()).Series(0, 2) // macd_dif线
// todo 包装方法 crossover/crossunder
// 1.MACD 线接近或上穿零轴（表示整体多头市场）
crossover := macd[0] > macdDea[0] && macd[1] < macdDea[1] // 上穿
crossunder := macd[0] < macdDea[0] && macd[1] > macdDea[1] // 下穿
// 1.MACD DIF线接近或上穿零轴（表示整体多头市场）
crossover := macdDif[0] > macdDea[0] && macdDif[1] < macdDea[1] // 上穿
crossunder := macdDif[0] < macdDea[0] && macdDif[1] > macdDea[1] // 下穿
ts := ctx.Get(0).Ts
_ = ts
if crossover {
_ = macdHist
// 2.附加确认条件: 柱状图从负值转为正值
if macdHist > 0 {
// todo 3.成交量放大（结合 OBV 等指标验证资金流入）。

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