vrvp strategy

config/exchange.toml

@@ -18,9 +18,9 @@ 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 = ""
+httpProxy = ""
 # httpProxy = "http://192.168.1.4:7890"
-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/sig/indicator_context.go

@@ -173,6 +173,11 @@ func (c *IndicatorContext) SummaryIndicator(name string, args ...any) (summary i
 }
 
 func matchIndicatorArgs(args ...any) (input types.Input) {
+	defer func() {
+		if input == nil {
+			input = make(types.Input)
+		}
+	}()
 inputLoop:
 	for _, arg := range args {
 		switch v := arg.(type) {

pkg/strategy/mean_reversion_v1.go

@@ -1,16 +1,16 @@
 package strategy
 
 import (
-	"math"
 	"sig-pub/pkg/types"
-	"sig-pub/pkg/zlog"
 )
 
 // MeanReversionV1
 type MeanReversionV1 struct {
 	IIntervalSigStrategy
-	rate  float64
+	interval  types.Interval
-	rate2 float64
+	period    int
+	threshold float64
+	buckets   int
 }
 
 func (s *MeanReversionV1) New() ISigStrategy {
@@ -20,44 +20,86 @@ func (s *MeanReversionV1) New() ISigStrategy {
 func (s *MeanReversionV1) Meta() StrategyMeta {
 	return StrategyMeta{
 		Name: "MeanReversionV1",
-		Desc: "均值回归策略v1",
+		Desc: "VRVP Mean Reversion Strategy",
 		Input: []types.InputArg{
-			{Name: "rate", Type: types.InputTypeUFloat, Desc: "上线影线与基线比例"},
+			{Name: "interval", Type: types.InputTypeString, Desc: "Target Interval (e.g., 1m, 1h)", Default: "1m"},
-			{Name: "rate2", Type: types.InputTypeUFloat, Desc: "上线影线之间比例"},
+			{Name: "period", Type: types.InputTypeInt, Desc: "VRVP calculation window", Default: 100},
+			{Name: "threshold", Type: types.InputTypeUFloat, Desc: "Reversion Threshold Ratio (e.g. 0.01)", Default: 0.01},
+			{Name: "buckets", Type: types.InputTypeInt, Desc: "VRVP Buckets", Default: 24},
 		},
 	}
 }
 
-func (s *MeanReversionV1) Init(input types.Input) (err error) { // 校验参数, 并根据参数初始化策略
+func (s *MeanReversionV1) Init(input types.Input) (err error) {
-	s.rate = input.Float("rate")
+	s.interval = types.Interval(input.String("interval"))
-	s.rate2 = input.Float("rate2")
+	if _, ok := types.SupportedIntervals[s.interval]; !ok {
+		s.interval = types.Interval1m
+	}
+	s.period = input.Int("period")
+	if s.period <= 0 {
+		s.period = 100
+	}
+	s.threshold = input.Float("threshold")
+	s.buckets = input.Int("buckets")
+	if s.buckets <= 0 {
+		s.buckets = 24
+	}
 	return
 }
 
 func (s *MeanReversionV1) CandlePeriods(ctx IIntervalSigStrategyContext) (iss *types.IntervalState[int16]) {
 	iss = types.NewIntervalState[int16]()
-	iss.Set(types.Interval5m, 1)
+	iss.Set(s.interval, int16(s.period))
-	iss.Set(types.Interval15m, 2)
-	iss.Set(types.Interval30m, 2)
 	return
 }
 
 func (s *MeanReversionV1) Update(ctx IIntervalSigStrategyContext) (side types.Side) {
-	// O 109744.8 H 110600 L 109507.5 C 109686.8
+	// Calculate VRVP period candles
-	k0 := ctx.Get("5m", 0)
+	summaryObj := ctx.SummaryIndicator(s.interval, "VRVP", map[string]any{"buckets": s.buckets})
-	open, close, high, low := k0.OpenF64(), k0.CloseF64(), k0.HighF64(), k0.LowF64()
+	summaryAny, ok := summaryObj.Summary(0, int16(s.period))
-	base := math.Abs(open - close)
+	if !ok {
-	rup := (high - max(open, close)) / base
+		return
-	rdown := (min(open, close) - low) / base
+	}
 
-	if k0.Ts == 1761833700000 {
+	vrvpSummary, ok := summaryAny.(*types.VRVPSummary)
-		zlog.Debugf("base=%.4f, rup=%.4f, rdown=%.4f", base, rup, rdown)
+	if !ok || vrvpSummary == nil || len(vrvpSummary.Buckets) == 0 {
+		return
 	}
-	if rup > s.rate && rup/rdown > s.rate2 {
+
-		return types.SideLong
+	// Find POC (Point of Control) - Bucket with max volume
+	var maxVol float64
+	var pocPrice float64
+	found := false
+
+	for _, bucket := range vrvpSummary.Buckets {
+		if bucket.Volume > maxVol {
+			maxVol = bucket.Volume
+			pocPrice = bucket.Price
+			found = true
+		}
 	}
-	if rdown > s.rate && rdown/rup > s.rate2 {
+
-		return types.SideShort
+	if !found {
+		return
 	}
+
+	// Get Current Price
+	k := ctx.Get(s.interval, 0)
+	currentPrice := k.CloseF64()
+
+	// Deviation ratio
+	if pocPrice <= 0 {
+		return
+	}
+	deviation := (currentPrice - pocPrice) / pocPrice
+
+	if deviation > s.threshold {
+		// 当前价格高于 POC, 预期回落
+		side = types.SideShort
+	} else if deviation < -s.threshold {
+		// 当前价格低于 POC, 预期回升
+		side = types.SideLong
+	}
+
 	return
 }

pkg/strategy/sig_strategy.go

@@ -58,6 +58,8 @@ type IIntervalSigStrategyContext interface {
 	Series(interval types.Interval, offset, count int16) (klines types.Klines)
 	// 获取窗口类型指标
 	Indicator(interval types.Interval, name string, args ...any) indicator.IIndicatorSeries
+	// SummaryIndicator 获取Summary类型指标
+	SummaryIndicator(interval types.Interval, name string, args ...any) indicator.IIndicatorSummary
 }
 
 // 多币种多周期策略接口
@@ -77,4 +79,6 @@ type IInstanceIntervalSigStrategyContext interface {
 	Series(instId string, interval types.Interval, offset, count int16) (klines types.Klines)
 	// 获取窗口类型指标
 	Indicator(instId string, interval types.Interval, name string, args ...any) indicator.IIndicatorSeries
+	// SummaryIndicator 获取Summary类型指标
+	SummaryIndicator(instId string, interval types.Interval, name string, args ...any) indicator.IIndicatorSummary
 }

pkg/strategy/sig_strategy_registry.go

@@ -31,6 +31,7 @@ func (r *SigStrategyRegistry) Init() (err error) {
 	r.MustRegistStrategy(&TrendTrackV1{})
 	r.MustRegistStrategy(&Grid{})
 	r.MustRegistStrategy(&BollGrid{})
+	r.MustRegistStrategy(&MeanReversionV1{})
 	return
 }