backtest

api/trading.proto

@@ -8,6 +8,7 @@ service TradingService {
     rpc SubIndicator(IndicatorSubReq) returns (stream Indicator); // 订阅指标
     rpc IndicatorSeries(ReqIndicatorSeries) returns (RspIndicatorSeries); // 获取指标序列
     rpc StrategySeries(ReqStrategySeries) returns (RspStrategySeries); // 获取指标序列
+    rpc Backtest(ReqBacktest) returns (RspBacktest); // 交易计划回测 
 }
 
 message IndicatorSubReq {
@@ -46,3 +47,12 @@ message RspStrategySeries {
     repeated bool wins = 3; // 下一根k线价格方向是否正确
     double winRate = 4;
 }
+
+message ReqBacktest {
+    int64 planId = 1;
+    string stime = 2;
+    string etime = 3;
+}
+message RspBacktest{
+
+}

cmd/market/main.go

@@ -8,7 +8,7 @@ import (
 	"sig-pub/pkg/config"
 	"sig-pub/pkg/grpc/discovery"
 	"sig-pub/pkg/grpc/interceptor"
-	"sig-pub/pkg/storage/rdb"
+	"sig-pub/pkg/storage/persist"
 	"sig-pub/pkg/utils/exit"
 	"sig-pub/pkg/zlog"
 
@@ -41,7 +41,7 @@ func main() {
 	if err != nil {
 		panic(err)
 	}
-	rdb := rdb.NewRDB(db)
+	rdb := persist.NewRDB(db)
 	if err := rdb.Init(); err != nil {
 		panic(err)
 	}

cmd/trading/main.go

@@ -10,6 +10,7 @@ import (
 	"sig-pub/pkg/grpc/discovery"
 	"sig-pub/pkg/grpc/interceptor"
 	"sig-pub/pkg/mq"
+	"sig-pub/pkg/storage/persist"
 	"sig-pub/pkg/utils/exit"
 	"sig-pub/pkg/zlog"
 
@@ -45,6 +46,17 @@ func main() {
 		panic(err)
 	}
 
+	// database
+	db, err := conf.Database.Postgres.NewGormDB()
+	if err != nil {
+		panic(err)
+	}
+	rdb := persist.NewRDB(db)
+	if err := rdb.Init(); err != nil {
+		panic(err)
+	}
+	tradingDataPersist := trading.NewTradingDataPersist(rdb)
+
 	// new market grpc client
 	marketClient, err := client.NewMarketClient(
 		grpc.WithResolvers(resolver),
@@ -63,7 +75,7 @@ func main() {
 	}
 
 	// services
-	tradingService := trading.NewTradingService(tradeInstanceAside, exchangeClient)
+	tradingService := trading.NewTradingService(tradeInstanceAside, exchangeClient, tradingDataPersist)
 	if err := tradingService.Init(); err != nil {
 		panic(err)
 	}

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/exchange/exchange_service.go

@@ -745,7 +745,7 @@ func (svc *ExchangeService) CalcSeriesRange(arg *pb.SeriesRange) (after, before,
 }
 
 // HistoryKline 获取交易产品历史k线 (before < klines... < after)
-func (svc *ExchangeService) HistoryKline(arg *pb.SeriesRange, recvBranch int, recvKline func(klines []*pb.Kline) error) (live bool, err error) {
+func (svc *ExchangeService) HistoryKline(arg *pb.SeriesRange, recvBranch int, recvKlineFn func(klines []*pb.Kline) error) (live bool, err error) {
 	// 交易产品参数检查
 	exchange := svc.exchanges.Get(arg.Exchange)
 	exchangeInstId, ok := exchange.TradeInstIds.Load(arg.InstId)
@@ -787,7 +787,7 @@ func (svc *ExchangeService) HistoryKline(arg *pb.SeriesRange, recvBranch int, re
 	// 分批查询
 	branch := int64(2000)
 	before, after := beforeTs, afterTs
-	recvBuffer := make([]*pb.Kline, 0, recvBranch)
+	recvBuffer := make([]*pb.Kline, 0, min(recvBranch, int(branch)))
 	var prevFirstK, prevLastK *types.Kline
 	for range 10000 {
 		if arg.Desc {
@@ -861,7 +861,7 @@ func (svc *ExchangeService) HistoryKline(arg *pb.SeriesRange, recvBranch int, re
 			if len(recvBuffer) < recvBranch && i < length-1 {
 				continue
 			}
-			if err = recvKline(recvBuffer); err != nil {
+			if err = recvKlineFn(recvBuffer); err != nil {
 				break
 			}
 			recvBuffer = recvBuffer[:0]

internal/market/trade_instance_service.go

@@ -6,17 +6,17 @@ import (
 	"sig-pub/pkg/data"
 	"sig-pub/pkg/data/args"
 	"sig-pub/pkg/data/entity"
-	"sig-pub/pkg/storage/rdb"
+	"sig-pub/pkg/storage/persist"
 	"time"
 )
 
 // TradeInstanceService 交易产品管理
 // TODO cache
 type TradeInstanceService struct {
-	db *rdb.RDB
+	db *persist.RDB
 }
 
-func NewTradeInstanceService(db *rdb.RDB) *TradeInstanceService {
+func NewTradeInstanceService(db *persist.RDB) *TradeInstanceService {
 	return &TradeInstanceService{
 		db: db,
 	}

internal/trading/backtest/backtest.go

@@ -2,12 +2,15 @@ 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/types/decimals"
+	"sig-pub/pkg/utils/times"
 	"sig-pub/pkg/zlog"
 
 	"google.golang.org/grpc"
@@ -16,18 +19,91 @@ import (
 type Backtest struct {
 	exchangeClient pb.ExchangeServiceClient
 	indReg         *indicator.IndicatorRegistry
-	sim            *Simulator
+	sigStrategyReg *strategy.SigStrategyRegistry
 }
 
-func NewBacktest(exchangeClient pb.ExchangeServiceClient, indReg *indicator.IndicatorRegistry, sim *Simulator) *Backtest {
+func NewBacktest(exchangeClient pb.ExchangeServiceClient, indReg *indicator.IndicatorRegistry, sigStrategyReg *strategy.SigStrategyRegistry) *Backtest {
-	return &Backtest{exchangeClient: exchangeClient, indReg: indReg, sim: sim}
+	return &Backtest{exchangeClient: exchangeClient, indReg: indReg}
+}
+
+func (b *Backtest) RunTradingPlan(ctx context.Context, tradingPlan *sig.TradingPlan, stime, etime int64, sigKlineSeries *sig.KlineSeries) (err error) {
+	var sim *Simulator
+	_ = sim
+	plan := tradingPlan.Plan
+	exchange := pb.ExchangeType(plan.Exchange)
+	interval := types.Interval(plan.Interval)
+	instId := plan.InstId
+
+	sigStrategy := tradingPlan.GetSigStrategy()
+	maxWindow := sigStrategy.MaxWindow()
+	if maxWindow < 0 || maxWindow > indicator.MaxWindow {
+		err = fmt.Errorf("invalid window %d 0-%d, planId=%d", maxWindow, indicator.MaxWindow, plan.Id)
+		return
+	}
+
+	seriesRange := &pb.SeriesRange{
+		Exchange: exchange,
+		InstId:   instId,
+		Interval: string(interval),
+		Before:   stime,
+		After:    etime,
+		Open:     false,
+		Live:     false,
+		Desc:     false,
+		Window:   uint32(maxWindow),
+	}
+	// fetch history klines via stream
+	req := &pb.ReqHistoryKlineStream{Series: seriesRange}
+	stream, err := b.exchangeClient.HistoryKlineStream(context.Background(), req, grpc.UseCompressor("snappy"))
+	if err != nil {
+		return
+	}
+
+	recvTimes, total := 0, 0
+	watch := times.NewWatch()
+	for {
+		msg, err0 := stream.Recv()
+		if err0 == io.EOF {
+			break
+		}
+		if err0 != nil {
+			err = err0
+			return
+		}
+		recvTimes++
+		total += len(msg.Klines)
+		for _, k := range msg.Klines {
+			kline := new(types.Kline)
+			kline.ParsePBKline(seriesRange.Exchange, k)
+
+			if lastTs, serial := sigKlineSeries.Update(kline); !serial {
+				err = fmt.Errorf("kline not series: %s(%s), interval=%s, lastTs=%d", instId, exchange, interval, lastTs)
+				return
+			}
+			length := sigKlineSeries.Length()
+			if length <= maxWindow {
+				continue
+			}
+
+			signalSide := tradingPlan.Update(strategy.StrategyTypeSig)
+			switch signalSide {
+			case types.SideBuy, types.SideSell:
+				k, _ := sigKlineSeries.Get(0)
+				_ = k
+				// zlog.Infof("sigSide: ts=%d, %s", k.Ts, sigSide)
+			}
+		}
+	}
+
+	zlog.Debugf("recv=%d, total=%d, use %s", recvTimes, total, watch.ElapsedFmt("."))
+	return
 }
 
 // Run 执行回测
 // seriesRange: 回测的交易产品/周期/时间区间
 // sigStrategy: 已创建的策略实例（将调用 New() 并 Init）
 // params: 策略参数
-func (b *Backtest) Run(ctx context.Context, seriesRange *pb.SeriesRange, sigStrategy strategy.ISigStrategy, params strategy.SigStrategyParam, initialCash float64) (res BacktestResult, err error) {
+func (b *Backtest) Run0(ctx context.Context, seriesRange *pb.SeriesRange, sigStrategy strategy.ISigStrategy, params strategy.StrategyParam, initialCash float64) (res BacktestResult, err error) {
 	// prepare strategy
 	strat := sigStrategy.New()
 	if err = strat.Init(params); err != nil {
@@ -64,7 +140,7 @@ func (b *Backtest) Run(ctx context.Context, seriesRange *pb.SeriesRange, sigStra
 	}
 
 	// prepare account and set risk limits from params if provided
-	acct := NewAccount(initialCash, b.sim)
+	acct := NewAccount(initialCash, nil)
 	if v, ok := params.GetFloat64("max_pos_pct"); ok && v > 0 {
 		acct.MaxPosPct = v
 	}
@@ -99,12 +175,12 @@ func (b *Backtest) Run(ctx context.Context, seriesRange *pb.SeriesRange, sigStra
 			qty = 1
 		}
 
-		if side == pb.Side_BUY || side == pb.Side_SELL {
+		if side == types.SideBuy || side == types.SideSell {
 			// signal-based close: close opposite positions first
 			if cm != nil {
-				cm.CloseBySignal(side, acct, klines[i])
+				cm.CloseBySignal(pb.Side_BUY, acct, klines[i])
 			}
-			if _, ok := acct.ApplyMarketOrder(side, qty, klines[i].Ts, klines[i]); ok {
+			if _, ok := acct.ApplyMarketOrder(pb.Side_BUY, qty, klines[i].Ts, klines[i]); ok {
 				// trade recorded
 			} else {
 				zlog.Debugf("order rejected or insufficient cash at ts=%d", klines[i].Ts)

internal/trading/backtest/risk_strategy.go

@@ -0,0 +1,22 @@
+package backtest
+
+import (
+	"sig-pub/api/pb"
+	"sig-pub/pkg/indicator"
+)
+
+// RickStrategy 风险管理策略
+type RickStrategy struct {
+	indicatorCtx indicator.IIndicatorContext
+}
+
+// OnSingle 收到信号时进行评估, 返回过滤后的交易信号
+// todo 对交易方向进行信心分数评估, 后续开仓仓位
+func (s *RickStrategy) OnSingle(signalSide pb.Side) (side pb.Side) {
+	k := s.indicatorCtx.Get(0)
+	price := k.Close
+	ts := k.Ts
+	_, _ = price, ts
+
+	return
+}

internal/trading/sig/kline_series.go

@@ -34,7 +34,7 @@ func NewTradeInstanceKlineSeries(exchange pb.ExchangeType, instId string) *Trade
 }
 
 type KlineSeries struct {
-	sync.RWMutex
+	mu            sync.RWMutex
 	Exchange      pb.ExchangeType
 	InstId        string
 	Interval      types.Interval
@@ -62,8 +62,8 @@ func (s *KlineSeries) Get(offset int16) (k types.Kline, ok bool) {
 	if ok = offset >= 0 && offset < MaxSeriesKlines; !ok {
 		return
 	}
-	s.RLock()
+	s.mu.RLock()
-	defer s.RUnlock()
+	defer s.mu.RUnlock()
 
 	length := len(s.klines)
 	index := (length - 1) - int(offset)
@@ -84,8 +84,8 @@ func (s *KlineSeries) Series(offset, count int16) (klines series.Klines, ok bool
 		return
 	}
 
-	s.RLock()
+	s.mu.RLock()
-	defer s.RUnlock()
+	defer s.mu.RUnlock()
 
 	length := len(s.klines)
 	indexEnd := (length - 1) - int(offset)
@@ -102,14 +102,20 @@ func (s *KlineSeries) Series(offset, count int16) (klines series.Klines, ok bool
 	return klines, true
 }
 
+func (s *KlineSeries) Length() int {
+	s.mu.RLock()
+	defer s.mu.RUnlock()
+	return len(s.klines)
+}
+
 func (s *KlineSeries) LastTs() int64 {
 	return s.lastTs
 }
 
 // 检查k线序列完整
 func (s *KlineSeries) Update(kline *types.Kline) (lastTs int64, serial bool) {
-	s.Lock()
+	s.mu.Lock()
-	defer s.Unlock()
+	defer s.mu.Unlock()
 
 	serial = true
 	lastTs = s.lastTs

internal/trading/sig/trading_plan.go

@@ -4,23 +4,24 @@ import (
 	"sig-pub/pkg/data/entity"
 	"sig-pub/pkg/indicator"
 	"sig-pub/pkg/strategy"
+	"sig-pub/pkg/types"
 	"sync/atomic"
 )
 
 type TradingPlan struct {
 	Status       atomic.Int32
-	plan         entity.TradePlan
+	Plan         entity.TradePlan
 	indicatorReg *indicator.IndicatorRegistry
 
 	sigStrategy        strategy.ISigStrategy
-	sigStrategyContext *StrategyContext
+	sigStrategyContext strategy.ISigStrategyContext
 	// publisher    publish.Publisher[int32, any]
 	// signalKey    map[string]int32
 }
 
 func NewTradingPlan(plan entity.TradePlan, indicatorReg *indicator.IndicatorRegistry) *TradingPlan {
 	return &TradingPlan{
-		plan:         plan,
+		Plan:         plan,
 		indicatorReg: indicatorReg,
 	}
 }
@@ -42,19 +43,25 @@ func (r *TradingPlan) Init() (err error) {
 
 // initSigStrategy 初始化多空信号策略
 // buy/sell -> 过滤/风控 -> tradeStrategy -> closeStrategy
-func (r *TradingPlan) InitSigStrategy(sigStrategy strategy.ISigStrategy, params strategy.SigStrategyParam, sigIndCtx IOffsetIndicatorContext) (err error) {
+func (r *TradingPlan) InitSigStrategy(sigStrategy strategy.ISigStrategy, param strategy.StrategyParam, sigStrategyContext strategy.ISigStrategyContext) (err error) {
-	if err = sigStrategy.Init(params); err != nil {
+	if err = sigStrategy.Init(param); err != nil {
 		return
 	}
 	r.sigStrategy = sigStrategy
-	r.sigStrategyContext = NewStrategyContext(sigIndCtx, r.indicatorReg)
+	r.sigStrategyContext = sigStrategyContext
 	return
 }
 
+func (r *TradingPlan) GetSigStrategy() strategy.ISigStrategy {
+	return r.sigStrategy
+}
+
 // Update 订阅k线更新
-func (r *TradingPlan) Update(signalType strategy.StrategyType) {
+// todo filted sigle
+func (r *TradingPlan) Update(signalType strategy.StrategyType) (side types.Side) {
 	switch signalType {
 	case strategy.StrategyTypeSig:
-		r.sigStrategy.Update(r.sigStrategyContext)
+		return r.sigStrategy.Update(r.sigStrategyContext)
 	}
+	return
 }

internal/trading/trading_data_persist.go

@@ -0,0 +1,34 @@
+package trading
+
+import (
+	"sig-pub/pkg/data"
+	"sig-pub/pkg/data/entity"
+	"sig-pub/pkg/storage/persist"
+)
+
+type TradingDataPersist struct {
+	db *persist.RDB
+}
+
+func NewTradingDataPersist(db *persist.RDB) *TradingDataPersist {
+	return &TradingDataPersist{
+		db: db,
+	}
+}
+
+func (p *TradingDataPersist) Init() (err error) {
+	return
+}
+
+func (p *TradingDataPersist) GetTradePlanById(planId int64) (plan *entity.TradePlan, err error) {
+	plan = new(entity.TradePlan)
+	err = p.db.Select(plan, `select * from t_trade_plan where id = ?`, planId)
+	if err != nil {
+		return
+	}
+	if plan.InstId == "" {
+		err = data.ErrorNotExists
+		return
+	}
+	return
+}

internal/trading/trading_grpc_server.go

@@ -3,6 +3,7 @@ package trading
 import (
 	"context"
 	"sig-pub/api/pb"
+	"sig-pub/pkg/utils/times"
 )
 
 type TradingGrpcServer struct {
@@ -36,3 +37,20 @@ func (svr *TradingGrpcServer) StrategySeries(ctx context.Context, req *pb.ReqStr
 	err = svr.tradingService.StrategySeries(req, rsp)
 	return
 }
+
+func (svr *TradingGrpcServer) Backtest(ctx context.Context, req *pb.ReqBacktest) (rsp *pb.RspBacktest, err error) {
+	stime, err := times.ParseFORMAT(req.Stime)
+	if err != nil {
+		return
+	}
+	etime, err := times.ParseFORMAT(req.Etime)
+	if err != nil {
+		return
+	}
+	err = svr.tradingService.Backtest(req.PlanId, stime.UnixMilli(), etime.UnixMilli())
+	if err != nil {
+		return
+	}
+	rsp = new(pb.RspBacktest)
+	return
+}

internal/trading/trading_service.go

@@ -1,6 +1,7 @@
 package trading
 
 import (
+	"context"
 	"fmt"
 	"sig-pub/api/pb"
 	"sig-pub/pkg/client"
@@ -11,8 +12,10 @@ import (
 	"sig-pub/pkg/strategy"
 	"sig-pub/pkg/types"
 	"sig-pub/pkg/utils/collect"
+	"sig-pub/pkg/utils/lang"
 	"sig-pub/pkg/zlog"
 
+	"sig-pub/internal/trading/backtest"
 	"sig-pub/internal/trading/sig"
 
 	"github.com/bytedance/sonic"
@@ -21,6 +24,7 @@ import (
 type TradingService struct {
 	marketClientAside  *client.TradeInstanceAside
 	exchangeClient     pb.ExchangeServiceClient
+	tradingDataPersist *TradingDataPersist
 
 	klineSeriesStore *KlineSeriesStore
 	indicatorReg     *indicator.IndicatorRegistry                     // 注册窗口指标
@@ -32,10 +36,12 @@ type TradingService struct {
 func NewTradingService(
 	marketClientAside *client.TradeInstanceAside,
 	exchangeClient pb.ExchangeServiceClient,
+	tradingDataPersist *TradingDataPersist,
 ) *TradingService {
 	return &TradingService{
 		marketClientAside:  marketClientAside,
 		exchangeClient:     exchangeClient,
+		tradingDataPersist: tradingDataPersist,
 		klineSeriesStore:   NewKlineSeriesStore(exchangeClient),
 		indicatorReg:       indicator.NewIndicatorRegistry(),
 		strategyReg:        strategy.NewSigStrategyRegistry(),
@@ -84,47 +90,24 @@ func (svc *TradingService) consumerKlineSignal() {
 	}
 }
 
-// runTradingPlan 运行交易计划
+// getTradingPlan 获取交易计划
 // todo 止盈止损策略, 下单策略...
-func (svc *TradingService) runTradingPlan(plan *entity.TradePlan) (err error) {
+func (svc *TradingService) getTradingPlan(plan *entity.TradePlan, sigKlineSeries *sig.KlineSeries) (tradingPlan *sig.TradingPlan, err error) {
-	var planId = plan.Id
+	exchange := pb.ExchangeType(plan.Exchange)
-	var instId = plan.InstId
+	interval := types.Interval(plan.Interval)
-	var exchange pb.ExchangeType
+	instId := plan.InstId
-	var sigInterval types.Interval
-
-	exchange = pb.ExchangeType(plan.Exchange)
 	if !types.IsSupportExchange(exchange) {
 		err = fmt.Errorf("unsupport exchange %d", plan.Exchange)
 		return
 	}
-
+	if _, ok := types.SupportedIntervals[interval]; !ok {
-	tradingPlan := sig.NewTradingPlan(*plan, svc.indicatorReg)
+		err = fmt.Errorf("unsupport interval %d", plan.Exchange)
-	if _, load := svc.tradingPlans.LoadOrStore(planId, tradingPlan); load {
-		err = fmt.Errorf("plan already running: planId=%d", planId)
 		return
 	}
-	tradingPlan.Status.Store(int32(data.StatusProcessing))
-
-	defer func() {
-		if err != nil {
-			svc.tradingPlans.Delete(planId)
-		} else {
-			// 订阅交易信号策略k线周期
-			sigSubKey := strategy.DriverIntervalKey(instId, exchange, false, sigInterval)
-			svc.signalPublisher.Subscribe(sigSubKey, planId, strategy.StrategyTypeSig)
-
-			tradingPlan.Status.Store(int32(data.StatusOk))
-		}
-	}()
 
 	// sigStrategy
-	sigStrategyParam := new(strategy.SigStrategyParam)
+	sigStrategyParam := make(strategy.StrategyParam)
-	if err = sonic.UnmarshalString(plan.SigStrategyParam, sigStrategyParam); err != nil {
+	if err = sonic.UnmarshalString(plan.SigStrategyParam, &sigStrategyParam); err != nil {
-		return
-	}
-	sigInterval = types.Interval(sigStrategyParam.Interval)
-	if _, ok := types.SupportedIntervals[sigInterval]; !ok {
-		err = fmt.Errorf("unsupport interval %d", plan.Exchange)
 		return
 	}
 	sigStrategy, ok := svc.strategyReg.NewSigStrategy(plan.SigStrategy)
@@ -132,19 +115,42 @@ func (svc *TradingService) runTradingPlan(plan *entity.TradePlan) (err error) {
 		err = fmt.Errorf("strategy %s not exists", plan.SigStrategy)
 		return
 	}
-	sigKlineSeries, err := svc.klineSeriesStore.GetKlineSeires(exchange, instId, sigInterval)
+
+	if sigKlineSeries == nil {
+		sigKlineSeries, err = svc.klineSeriesStore.GetKlineSeires(exchange, instId, interval)
 		if err != nil {
 			return
 		}
+	}
 
+	tradingPlan = sig.NewTradingPlan(*plan, svc.indicatorReg)
 	if err = tradingPlan.Init(); err != nil {
 		return
 	}
-	sigIndCtx := sig.NewIndicatorContext(sigKlineSeries)
+	sigIndicatorCtx := sig.NewIndicatorContext(sigKlineSeries)
-	if err = tradingPlan.InitSigStrategy(sigStrategy, *sigStrategyParam, sigIndCtx); err != nil {
+	sigStrategyCtx := sig.NewStrategyContext(sigIndicatorCtx, svc.indicatorReg)
+	if err = tradingPlan.InitSigStrategy(sigStrategy, sigStrategyParam, sigStrategyCtx); err != nil {
 		return
 	}
 	return
+
+	// if _, load := svc.tradingPlans.LoadOrStore(planId, tradingPlan); load {
+	// 	err = fmt.Errorf("plan already running: planId=%d", planId)
+	// 	return
+	// }
+	// tradingPlan.Status.Store(int32(data.StatusProcessing))
+
+	// defer func() {
+	// 	if err != nil {
+	// 		svc.tradingPlans.Delete(planId)
+	// 	} else {
+	// 		// 订阅交易信号策略k线周期
+	// 		sigSubKey := strategy.DriverIntervalKey(instId, exchange, false, sigInterval)
+	// 		svc.signalPublisher.Subscribe(sigSubKey, planId, strategy.StrategyTypeSig)
+
+	// 		tradingPlan.Status.Store(int32(data.StatusOk))
+	// 	}
+	// }()
 }
 
 // IndicatorSeries 获取指标实时或历史序列数据, 闭区间
@@ -195,10 +201,6 @@ func (svc *TradingService) IndicatorSeries(indicatorName string, window uint32,
 	return
 }
 
-const (
-	MaxIndicatorWindow = 128
-)
-
 // StrategySeries 简单策略信号测试
 func (svc *TradingService) StrategySeries(req *pb.ReqStrategySeries, rsp *pb.RspStrategySeries) (err error) {
 	// sigStrategy
@@ -207,11 +209,8 @@ func (svc *TradingService) StrategySeries(req *pb.ReqStrategySeries, rsp *pb.Rsp
 		err = fmt.Errorf("strategy %s not exists", req.SigStrategy)
 		return
 	}
-	err = sigStrategy.Init(strategy.SigStrategyParam{
+	// init sigStrategy
-		Interval: types.Interval(req.Series.Interval),
+	if err = sigStrategy.Init(req.SigParam); err != nil {
-		Param:    req.SigParam,
-	})
-	if err != nil {
 		return
 	}
 
@@ -230,17 +229,18 @@ func (svc *TradingService) StrategySeries(req *pb.ReqStrategySeries, rsp *pb.Rsp
 	// recover todo out of range
 	count, totalK := 0, 0
 	indicatorContext := sig.NewHistoryIndicatorContext(svc.exchangeClient)
-	req.Series.Window += MaxIndicatorWindow
+	req.Series.Window += indicator.MaxWindow
 	if totalK, err = indicatorContext.Init(req.Series); err != nil {
 		return
 	}
-	count = totalK - MaxIndicatorWindow
+	count = totalK - indicator.MaxWindow
 
 	strategyContext := sig.NewStrategyContext(indicatorContext, svc.indicatorReg)
 	for i := count - 1; i >= 0; i-- {
 		strategyContext.SetOffset(int16(i))
-		side := sigStrategy.Update(strategyContext)
+		sigSide := sigStrategy.Update(strategyContext)
-		if side == pb.Side_BUY || side == pb.Side_SELL {
+		if sigSide == types.SideBuy || sigSide == types.SideSell {
+			side := lang.Ternary(sigSide == types.SideBuy, pb.Side_BUY, pb.Side_SELL)
 			signalK := strategyContext.Get(0)
 			rsp.Signal = append(rsp.Signal, side)
 			rsp.Times = append(rsp.Times, signalK.Ts)
@@ -264,3 +264,26 @@ func (svc *TradingService) StrategySeries(req *pb.ReqStrategySeries, rsp *pb.Rsp
 	rsp.WinRate = float64(len(wins)) / float64(len(rsp.Wins))
 	return
 }
+
+// Backtest 回测交易计划
+func (svc *TradingService) Backtest(planId, stime, etime int64) (err error) {
+	plan, err := svc.tradingDataPersist.GetTradePlanById(planId)
+	if err != nil {
+		return
+	}
+	exchange := pb.ExchangeType(plan.Exchange)
+	interval := types.Interval(plan.Interval)
+
+	sigKlineSeries := sig.NewKlineSeries(exchange, plan.InstId, interval)
+	tradingPlan, err := svc.getTradingPlan(plan, sigKlineSeries)
+	if err != nil {
+		return
+	}
+
+	test := backtest.NewBacktest(svc.exchangeClient, svc.indicatorReg, svc.strategyReg)
+	err = test.RunTradingPlan(context.Background(), tradingPlan, stime, etime, sigKlineSeries)
+	if err != nil {
+		return
+	}
+	return
+}

pkg/indicator/base.go

@@ -5,6 +5,10 @@ import (
 	"sig-pub/pkg/types/series"
 )
 
+const (
+	MaxWindow = 128
+)
+
 // IIndicator 指标基础计算接口
 type IIndicator interface {
 	Name() string

pkg/storage/persist/rdb.go

@@ -1,4 +1,4 @@
-package rdb
+package persist
 
 import (
 	"gorm.io/gorm"

pkg/strategy/gold_x.go

@@ -2,7 +2,6 @@ package strategy
 
 import (
 	"fmt"
-	"sig-pub/api/pb"
 	"sig-pub/pkg/types"
 )
 
@@ -28,7 +27,7 @@ func (s *GoldX) Meta() StrategyMeta {
 	}
 }
 
-func (s *GoldX) Init(param SigStrategyParam) (err error) { // 校验参数, 并根据参数初始化策略
+func (s *GoldX) Init(param StrategyParam) (err error) { // 校验参数, 并根据参数初始化策略
 	if s.short, err = param.GetInt16E("short"); err != nil {
 		return
 	}
@@ -42,7 +41,11 @@ func (s *GoldX) Init(param SigStrategyParam) (err error) { // 校验参数, 并
 	return
 }
 
-func (s *GoldX) Update(ctx ISigStrategyContext) (side pb.Side) {
+func (s *GoldX) MaxWindow() int {
+	return int(max(s.long, s.short))
+}
+
+func (s *GoldX) Update(ctx ISigStrategyContext) (side types.Side) {
 	sma14 := ctx.IndicatorW("sma", s.short)
 	sma28 := ctx.IndicatorW("sma", s.long)
 	// 包装方法 crossover/crossunder
@@ -51,15 +54,15 @@ func (s *GoldX) Update(ctx ISigStrategyContext) (side pb.Side) {
 	crossover := s14[0] > s28[0] && s14[1] < s28[1]  // 上穿
 	crossunder := s14[0] < s28[0] && s14[1] > s28[1] // 下穿
 	if crossover {
-		return pb.Side_BUY
+		return types.SideBuy
 	}
 	if crossunder {
-		return pb.Side_SELL
+		return types.SideSell
 	}
 	return
 }
 
-func (s *GoldX) UpdateByIntervals(ctx IIntervalStrategyContext) (side pb.Side) {
+func (s *GoldX) UpdateByIntervals(ctx IIntervalStrategyContext) (side types.Side) {
 	series5m := ctx.Series(types.Interval5m, 0, 2)
 	series5m.Close().Diff()
 	return

pkg/strategy/sig_strategy.go

@@ -1,7 +1,6 @@
 package strategy
 
 import (
-	"sig-pub/api/pb"
 	"sig-pub/pkg/indicator"
 	"sig-pub/pkg/types"
 	"sig-pub/pkg/types/series"
@@ -11,14 +10,14 @@ import (
 type ISigStrategy interface {
 	New() ISigStrategy
 	Meta() StrategyMeta
-	Init(param SigStrategyParam) (err error) // 校验参数, 并根据参数初始化策略
+	MaxWindow() int                       // 需要的最大数据窗口数, 回测时用, 若不定义则取最大窗口值
-	Update(ctx ISigStrategyContext) (side pb.Side)
+	Init(param StrategyParam) (err error) // 校验参数, 并根据参数初始化策略
+	Update(ctx ISigStrategyContext) (side types.Side)
 }
 
 type StrategyMeta struct {
 	Name string  `json:"name"`
 	Desc string  `json:"desc"`
-	MaxWindow int     `json:"maxWindow"` // 需要的最大窗口数, 回测时用, 若不定义则取最大窗口值
 	Args []Param `json:"args"` // 参数定义
 }
 

pkg/strategy/sig_strategy_intervals.go

@@ -1,7 +1,6 @@
 package strategy
 
 import (
-	"sig-pub/api/pb"
 	"sig-pub/pkg/indicator"
 	"sig-pub/pkg/types"
 	"sig-pub/pkg/types/series"
@@ -9,7 +8,7 @@ import (
 
 // 多周期k线策略接口
 type IIntervalSigStrategy interface {
-	UpdateByInterval(ctx IIntervalStrategyContext) (side pb.Side)
+	UpdateByInterval(ctx IIntervalStrategyContext) (side types.Side)
 }
 
 // IIntervalStrategyContext 多周期策略上下文

pkg/strategy/sig_strategy_params.go

@@ -79,20 +79,22 @@ type ISigStrategyParamGenerator interface {
 	NextParam(map[string]string) (map[string]string, bool) // 根据当前策略参数, 返回下一批策略参数(并行回测 stateless)
 }
 
-type SigStrategyParam struct {
+type IntervalStrategyParam struct {
 	Interval types.Interval `json:"interval"` // 策略驱动周期
-	Param    map[string]string `json:"param"`    // 策略执行参数
+	Param    StrategyParam  `json:"param"`    // 策略执行参数
 }
 
-func (s *SigStrategyParam) Get(key string) (v string, ok bool) {
+type StrategyParam map[string]string
-	if len(s.Param) == 0 {
+
+func (s *StrategyParam) Get(key string) (v string, ok bool) {
+	if len(*s) == 0 {
 		return
 	}
-	v, ok = s.Param[key]
+	v, ok = (*s)[key]
 	return
 }
 
-func (s *SigStrategyParam) GetInt(key string) (r int, ok bool) {
+func (s *StrategyParam) GetInt(key string) (r int, ok bool) {
 	v, ok := s.Get(key)
 	if !ok {
 		return
@@ -104,7 +106,7 @@ func (s *SigStrategyParam) GetInt(key string) (r int, ok bool) {
 	return
 }
 
-func (s *SigStrategyParam) GetInt16E(key string) (r int16, err error) {
+func (s *StrategyParam) GetInt16E(key string) (r int16, err error) {
 	v, ok := s.Get(key)
 	if !ok {
 		err = fmt.Errorf("param %s not provided", key)
@@ -114,7 +116,7 @@ func (s *SigStrategyParam) GetInt16E(key string) (r int16, err error) {
 	return
 }
 
-func (s *SigStrategyParam) GetFloat64(key string) (r float64, ok bool) {
+func (s *StrategyParam) GetFloat64(key string) (r float64, ok bool) {
 	v, ok := s.Get(key)
 	if !ok {
 		return
@@ -126,7 +128,7 @@ func (s *SigStrategyParam) GetFloat64(key string) (r float64, ok bool) {
 	return
 }
 
-func (s *SigStrategyParam) GetBool(key string) (r bool, ok bool) {
+func (s *StrategyParam) GetBool(key string) (r bool, ok bool) {
 	v, ok := s.Get(key)
 	if !ok {
 		return

pkg/types/signal.go

@@ -0,0 +1,19 @@
+package types
+
+type Side int32
+
+const (
+	SideBuy  Side = 1 // BUY
+	SideSell Side = 2 // SELL
+)
+
+func (side Side) String() string {
+	switch side {
+	default:
+		return ""
+	case SideBuy:
+		return "BUY"
+	case SideSell:
+		return "SELL"
+	}
+}

pkg/utils/times/times.go

@@ -1,5 +1,7 @@
 package times
 
+import "time"
+
 const FORMAT string = "2006-01-02 15:04:05"
 const FORMAT2 string = "2006/01/02 15:04:05"
 const FORMAT_DATE string = "2006-01-02"
@@ -7,3 +9,9 @@ const FORMAT_DATE2 string = "2006/01/02"
 const FORMAT_MONTH string = "2006-01"
 const FORMAT_TIME string = "15:04:05"
 const FORMAT_TIME_Minute string = "15:04"
+
+// ParseFORMAT 按FORMAT格式解析时间
+// todo in location
+func ParseFORMAT(datetime string) (time.Time, error) {
+	return time.Parse(FORMAT, datetime)
+}