trading strategy series, all series sort desc

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://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

internal/trading/indicator_series.go

@@ -30,6 +30,7 @@ func (s *WindowIndicatorSeries) Get(offset int16) (vector float64) {
 	return
 }
 
+// Series 返回指标值序列降序
 func (s *WindowIndicatorSeries) Series(offset, count int16) (matrix series.Floats) {
 	// 设置当前相对offset
 	s.indicatorContext.AddOffset(offset)

internal/trading/kline_series.go

@@ -73,7 +73,7 @@ func (s *KlineSeries) Get(offset int16) (k types.Kline, ok bool) {
 	return *(s.klines[index]), true
 }
 
-// Series 时间升序序列[count...offset]
+// Series 时间降序序列[count...offset]
 // offset: 从序列尾部开始偏移量
 // count: 从offset位置开始向序列头部k线条数
 func (s *KlineSeries) Series(offset, count int16) (klines series.Klines, ok bool) {
@@ -93,9 +93,11 @@ func (s *KlineSeries) Series(offset, count int16) (klines series.Klines, ok bool
 	if ok = indexEnd >= 0 && indexEnd < length && indexStart >= 0 && indexStart < length; !ok {
 		return
 	}
-	klines = make(series.Klines, 0, indexEnd-indexStart+1)
+	total := indexEnd - indexStart + 1
+	klines = make(series.Klines, total)
 	for i := indexStart; i <= indexEnd; i++ {
-		klines = append(klines, *(s.klines[i]))
+		offset := total - 1 - (i - indexStart)
+		klines[offset] = *(s.klines[i])
 	}
 	return klines, true
 }

internal/trading/trading_service.go

@@ -180,11 +180,11 @@ func (svc *TradingService) IndicatorSeries(indicatorName string, window uint32,
 	if totalK, err = indCtx.Init(sr); err != nil {
 		return
 	}
-	count := uint32(totalK) - window
+	count := totalK - int(window)
 
 	matrix = make([]float64, 0, sr.Count)
 	times = make([]int64, 0, sr.Count)
-	for i := range count {
+	for i := count - 1; i >= 0; i-- {
 		indCtx.SetOffset(int16(i))
 		vector := indicator.Calculate(indCtx, int16(window))
 		matrix = append(matrix, vector)
@@ -227,30 +227,34 @@ func (svc *TradingService) StrategySeries(req *pb.ReqStrategySeries, rsp *pb.Rsp
 	// }
 	// recover todo out of range
 	count, totalK := 0, 0
-	indCtx := NewHistoryIndicatorContext(svc.exchangeClient)
+	indicatorContext := NewHistoryIndicatorContext(svc.exchangeClient)
 	req.Series.Window += MaxIndicatorWindow
-	if totalK, err = indCtx.Init(req.Series); err != nil {
+	if totalK, err = indicatorContext.Init(req.Series); err != nil {
 		return
 	}
 	count = totalK - MaxIndicatorWindow
 
-	strategyCtx := NewStrategyContext(indCtx, svc.indicatorReg)
-	for i := range count {
-		strategyCtx.SetOffset(int16(i))
-		side := sigStrategy.Update(strategyCtx)
+	strategyContext := NewStrategyContext(indicatorContext, svc.indicatorReg)
+	for i := count - 1; i >= 0; i-- {
+		strategyContext.SetOffset(int16(i))
+		side := sigStrategy.Update(strategyContext)
 		if side == pb.Side_BUY || side == pb.Side_SELL {
-			k := strategyCtx.Get(0)
+			signalK := strategyContext.Get(0)
 			rsp.Signal = append(rsp.Signal, side)
-			rsp.Times = append(rsp.Times, k.Ts)
-
-			strategyCtx.indicatorContext.AddOffset(1)
-			nextK := strategyCtx.Get(0)
-			strategyCtx.indicatorContext.AddOffset(-1)
-			// 		win = c.Get(0).Close.Cmp(signalPrice) < 0
-			rsp.Wins = strategyCtx.wins
-			// signal           []pb.Side // 0.sell,1.buy
-			// signalTimes      []int64
-			// wins             []bool
+			rsp.Times = append(rsp.Times, signalK.Ts)
+			{
+				// todo delete
+				win := false
+				if indicatorContext.GetOffset() > 0 {
+					nextK := indicatorContext.Get(-1)
+					if side == pb.Side_BUY {
+						win = nextK.Close.Cmp(signalK.Close) > 0
+					} else {
+						win = nextK.Close.Cmp(signalK.Close) < 0
+					}
+				}
+				rsp.Wins = append(rsp.Wins, win)
+			}
 		}
 	}
 	// 信号点胜率判断

pkg/types/series/floats.go

@@ -6,6 +6,7 @@ import (
 	"gonum.org/v1/gonum/floats"
 )
 
+// 时间降序指标
 type Floats []float64
 
 func NewFloats(vs ...float64) Floats {
@@ -25,12 +26,13 @@ func (s Floats) Length() int {
 }
 
 func (s Floats) Diff() (values Floats) {
+	length := s.Length()
 	for i, v := range s {
-		if i == 0 {
+		if i == length-1 {
 			values.Push(0)
 			continue
 		}
-		values.Push(v - s[i-1])
+		values.Push(v - s[i+1])
 	}
 	return values
 }