trading strategy

config/exchange.toml

@@ -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://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

internal/trading/trading_plan.go

@@ -15,7 +15,7 @@ type TradingPlan struct {
 	StrategyName string          `json:"strategyName"`
 }
 
-func NewTradingPlan(plan entity.TradingPlan, strategy strategy.IStrategy) *TradingPlan {
+func NewTradingPlan(plan entity.TradingPlan, strategy strategy.ISigStrategy) *TradingPlan {
 
 	return &TradingPlan{}
 }

internal/trading/trading_service.go

@@ -14,11 +14,11 @@ type TradingService struct {
 	marketClientAside *client.TradeInstanceAside
 	exchangeClient    pb.ExchangeServiceClient
 
-	klineStore       *KlineStore
+	klineStore  *KlineStore
-	windowIndicators *collect.SyncMap[string, indicator.IWindowIndicator]
+	indicatorsW *collect.SyncMap[string, indicator.IWindowIndicator] // 注册窗口指标
-	strategies       *collect.SyncMap[string, strategy.IStrategy]
+	strategies  *collect.SyncMap[string, strategy.ISigStrategy]      // 注册信号策略
-	publisher        publish.Publisher[int64, *TradingPlan]
+	publisher   publish.Publisher[int64, *TradingPlan]
-	tradingPlan      chan *TradingPlan
+	tradingPlan chan *TradingPlan
 }
 
 func NewTradingService(
@@ -29,7 +29,8 @@ func NewTradingService(
 		marketClientAside: marketClientAside,
 		exchangeClient:    exchangeClient,
 		klineStore:        NewKlineSeriesStore(exchangeClient),
-		windowIndicators:  collect.NewSyncMap[string, indicator.IWindowIndicator](),
+		indicatorsW:       collect.NewSyncMap[string, indicator.IWindowIndicator](),
+		strategies:        collect.NewSyncMap[string, strategy.ISigStrategy](),
 	}
 }
 
@@ -55,7 +56,7 @@ func (svr *TradingService) Init() (err error) {
 // RegisterWindowIndicator
 func (svr *TradingService) RegisterWindowIndicator(ind indicator.IWindowIndicator) (err error) {
 	indName := ind.Name()
-	_, loaded := svr.windowIndicators.LoadOrStore(indName, ind)
+	_, loaded := svr.indicatorsW.LoadOrStore(indName, ind)
 	if loaded {
 		err = fmt.Errorf("window indicator name %s already duplicated", indName)
 		return
@@ -70,7 +71,7 @@ func (svr *TradingService) MustRegisterWindowIndicator(ind indicator.IWindowIndi
 }
 
 // RegisterStrategy
-func (svr *TradingService) RegisterStrategy(strategy strategy.IStrategy) (err error) {
+func (svr *TradingService) RegisterStrategy(strategy strategy.ISigStrategy) (err error) {
 	strategyName := strategy.Meta().Name
 	_, loaded := svr.strategies.LoadOrStore(strategyName, strategy)
 	if loaded {
@@ -80,7 +81,7 @@ func (svr *TradingService) RegisterStrategy(strategy strategy.IStrategy) (err er
 	return
 }
 
-func (svr *TradingService) MustRegisterStrategy(strategy strategy.IStrategy) {
+func (svr *TradingService) MustRegisterStrategy(strategy strategy.ISigStrategy) {
 	if err := svr.RegisterStrategy(strategy); err != nil {
 		panic(err)
 	}

pkg/backtrace/backtrace.go

@@ -4,7 +4,7 @@ import "sig-pub/pkg/strategy"
 
 // 回测引擎
 type BacktraceEngine struct {
-	strategy strategy.IStrategy
+	strategy strategy.ISigStrategy
 }
 
 // 多周期策略回测引擎

pkg/data/entity/trade_plan.go

@@ -6,14 +6,14 @@ import (
 )
 
 type TradingPlan struct {
-	Id           int64           `gorm:"column:id;primaryKey" json:"id"`           // 交易计划id
+	Id         int64           `gorm:"column:id;primaryKey" json:"id"`       // 交易计划id
-	Userid       string          `gorm:"column:userid" json:"userid"`              // 所属用户id
+	Userid     string          `gorm:"column:userid" json:"userid"`          // 所属用户id
-	Exchange     pb.ExchangeType `gorm:"column:exchange" json:"exchange"`          // 交易所
+	Exchange   pb.ExchangeType `gorm:"column:exchange" json:"exchange"`      // 交易所
-	InstId       string          `gorm:"column:instId" json:"instId"`              // 交易产品
+	InstId     string          `gorm:"column:instId" json:"instId"`          // 交易产品
-	Interval     types.Interval  `gorm:"column:interval" json:"interval"`          // 交易周期
+	Interval   types.Interval  `gorm:"column:interval" json:"interval"`      // 交易周期
-	StrategyName string          `gorm:"column:strategy_name" json:"strategyName"` // 策略名称
+	Strategy   string          `gorm:"column:strategy" json:"strategy"`      // 策略名称
-	UpdateBy     string          `gorm:"column:update_by" json:"updateBy"`         // 更新人
+	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
+	UpdateTime int64           `gorm:"column:update_time" json:"updateTime"` // 更新时间戳毫秒
 }
 
 func (TradingPlan) TableName() string {

pkg/strategy/buy_strategy.go

@@ -0,0 +1,5 @@
+package strategy
+
+// TradeStrategy 下单买入策略接口(控制滑点, 仓位管理)
+type TradeStrategy interface {
+}

pkg/strategy/exit_strategy.go

@@ -0,0 +1,13 @@
+package strategy
+
+import "github.com/govalues/decimal"
+
+// todo Exit 止盈止损策略(trading service 管理)
+type IExitStrategy interface {
+	Name() string // 获取策略名称，便于日志
+	Tick(ctx IExitStrategyContext)
+}
+
+type IExitStrategyContext interface {
+	LastPrice() decimal.Decimal
+}

pkg/strategy/gold_x.go

@@ -4,7 +4,7 @@ package strategy
 type GoldX struct {
 }
 
-func (s *GoldX) New() IStrategy {
+func (s *GoldX) New() ISigStrategy {
 	return &GoldX{}
 }
 
@@ -15,7 +15,7 @@ func (s *GoldX) Meta() StrategyMeta {
 	}
 }
 
-func (s *GoldX) Update(ctx IStrategyContext) {
+func (s *GoldX) Update(ctx ISigStrategyContext) {
 	sma14 := ctx.IndicatorW("sma", 14)
 	sma28 := ctx.IndicatorW("sma", 28)
 	// 包装方法

pkg/strategy/sig_strategy.go

@@ -10,16 +10,16 @@ import (
 	"strings"
 )
 
-// todo Exit 止盈止损策略(trading service 管理)
+// ISigStrategy 交易信号策略接口
-type IStrategy interface {
+type ISigStrategy interface {
-	New() IStrategy
+	New() ISigStrategy
 	Meta() StrategyMeta
-	Update(ctx IStrategyContext)
+	Update(ctx ISigStrategyContext)
 }
 
 // todo Meta 策略调参, 回测引擎自动调参回测(最佳参数) argGenerator.next() (arg, ok)
-type IStrategyAdjustable interface {
+type ISigStrategyAdjustable interface {
-	IStrategy
+	ISigStrategy
 	NextParams() map[string]any  // 根据当前策略参数, 返回下一批策略参数(并行回测 stateless)
 	AdjustParams(map[string]any) // 重置策略设置策略参数
 }
@@ -30,9 +30,9 @@ type StrategyMeta struct {
 	Desc string
 }
 
-// IStrategyContext 策略外部访问能力
+// ISigStrategyContext 策略外部访问能力
 // klineSeries, Indicator
-type IStrategyContext interface {
+type ISigStrategyContext interface {
 	Buy()  // 发出多信号
 	Sell() // 发出空信号
 
@@ -45,11 +45,11 @@ type IStrategyContext interface {
 }
 
 // DriverIntervalKey 生成周期驱动事件key
-// interval/okx/BTC_USDT/1m,3m,5m
+// interval/BTC_USDT/OKX,BINANCE/1m,3m,5m
-func DriverIntervalKey(exchangeType pb.ExchangeType, instId string, intervals ...types.Interval) string {
+func DriverIntervalKey(instId string, intervals []types.Interval, exchanges ...pb.ExchangeType) string {
 	types.IntervalsSort(intervals)
 	strIntervals := collect.Mapping(intervals, func(_ int, interval types.Interval) string { return string(interval) })
-
+	strExchanges := collect.Mapping(exchanges, func(_ int, exchange pb.ExchangeType) string { return exchange.String() })
-	pubKey := fmt.Sprintf("/interval/%s/%s/%s", exchangeType.String(), instId, strings.Join(strIntervals, ","))
+	pubKey := fmt.Sprintf("/interval/%s/%s/%s", instId, strings.Join(strExchanges, ","), strings.Join(strIntervals, ","))
 	return pubKey
 }

pkg/strategy/strategy_multi_interval.go

@@ -4,15 +4,15 @@ import "sig-pub/pkg/types"
 
 // 多k线周期策略
 type MultiIntervalStrategy interface {
-	IStrategy
+	ISigStrategy
 	DriverInterval() types.Interval       // 驱动k线周期, 当驱动周期k线更新时则判断调用Update方法
 	SubscribeIntervals() []types.Interval // 订阅k线周期, 当同一时间的订阅周期都更新时调用Update方法
 }
 
 type MultiExchangeStrategy interface {
-	IStrategy
+	ISigStrategy
 }
 
 type MultiIntervalExchangeStrategy interface {
-	IStrategy
+	ISigStrategy
 }