backtest

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/backtest/account.go

@@ -124,7 +124,7 @@ func (a *Account) ClosePosition(index int, kline types.Kline, ts int64, cause st
 	}
 
 	t = a.Simulator.ExecuteMarket(closeSide, pos.Qty, kline, ts)
-	t.Cause = cause
+	t.CloseCause = cause
 	// apply cash change
 	if closeSide == pb.Side_SELL {
 		// selling a long position -> receive cash

internal/trading/backtest/types.go

@@ -15,12 +15,17 @@ type Position struct {
 }
 
 type Trade struct {
-	Side  Side
+	Id         int64   // 交易id
-	Qty   float64
+	Side       pb.Side // 交易方向
-	Price float64
+	Status     int32   // 1.交易中 2.持仓中 3.已平仓
-	Fee   float64
+	Qty        float64 // 交易量
-	Ts    int64
+	Price      float64 // 开仓价格
-	Cause string // close reason or 'open' for open trades, ["stoploss", "takeprofit", "trailing", "retrace", "signal"](“止损”、“止盈”、“动态跟踪”、“回撤”、“信号”)
+	Fee        float64 // 开仓手续费
+	Ts         int64   // 开仓时间
+	ClosePrice float64 // 平仓价格
+	CloseFee   float64 // 平仓手续费
+	CloseTs    int64   // 平仓时间
+	CloseCause string  // 平仓原因 ["stoploss", "takeprofit", "trailing", "retrace", "signal"](“止损”、“止盈”、“动态跟踪”、“回撤”、“信号”)
 }
 
 type BacktestResult struct {

internal/trading/okx/account_holder.go

@@ -0,0 +1,4 @@
+package okx
+
+type OkxAccountHolder struct {
+}

pkg/trade/account.go

@@ -0,0 +1,14 @@
+package trade
+
+import (
+	"sig-pub/api/pb"
+
+	"github.com/govalues/decimal"
+)
+
+type IAccountHolder interface {
+	Exchange() pb.ExchangeType
+	GetValueCash() decimal.Decimal // 获取账户总市值
+	GetTradeCash() decimal.Decimal // 获取可交易空闲资金
+	GetOpenTrades() []int64        // 获取未平仓交易单
+}

pkg/trade/error.go

@@ -1,4 +1,4 @@
-package trader
+package trade
 
 type ErrorCode int32
 

pkg/trade/risk_strategy.go

@@ -1,10 +1,15 @@
-package backtest
+package trade
 
 import (
 	"sig-pub/api/pb"
 	"sig-pub/pkg/indicator"
+	"sig-pub/pkg/types"
 )
 
+type IRickStrategy interface {
+	OnSingle(signalSide types.Side)
+}
+
 // RickStrategy 风险管理策略
 type RickStrategy struct {
 	indicatorCtx indicator.IIndicatorContext
@@ -18,5 +23,5 @@ func (s *RickStrategy) OnSingle(signalSide pb.Side) (side pb.Side) {
 	ts := k.Ts
 	_, _ = price, ts
 
-	return
+	return signalSide
 }

pkg/trader/indicator.go

@@ -1,34 +0,0 @@
-package trader
-
-import (
-	"sig-pub/pkg/types"
-
-	"github.com/govalues/decimal"
-)
-
-// 定义
-// Dependes() []IndicatorDef // 需要订阅的指标列表(包括k线, 实时k线/关闭k线)
-type IndicatorDef struct {
-	IndicatorName string
-	Intervals     []types.Interval
-}
-
-// 指标定义接口
-type Indicator interface {
-	Meta() IndicatorMeta
-	// init id, 计算完成 publish 时使用id,
-	// exchange: 封装indicator访问, 封装历史k线访问
-	// args: 动态指标参数定义, 执行时创建
-	Init(ctx Context, exchange any, args map[string]any) (code ErrorCode, err error) // 初始化指标参数, 上下文
-	Update(kline types.Kline) (err error)                                            // 驱动k线数据, 待驱动k线到达后, 再待subscribe计算完成后执行
-	Emit(func(klineTs int64, indicators map[string]decimal.Decimal))                 // 指标计算完成后发送, 由指标执行器进行存储或分发
-}
-
-// 窗口函数
-type SeriesWindow interface {
-	Range(count int) // 当前k到
-}
-
-// 指标能力
-type Context interface {
-}

pkg/trader/strategy.go

@@ -1,42 +0,0 @@
-package trader
-
-import "sig-pub/pkg/types"
-
-type StrategyName string
-
-// 下单策略接口
-type Strategy interface {
-	Meta() StrategyMeta
-	// init id, 计算完成 publish 时使用id,
-	// exchange: 封装indicator访问, 封装历史k线访问
-	// args: 动态策略参数, 执行时创建
-	Init(ctx StrategyContext, args map[string]any) (code ErrorCode, err error)
-	Update(ctx StrategyContext, kline types.Kline) (code ErrorCode, err error)
-	// Emit() // 下单: sell/buy -> 持单,双方向?, score(分数权重)
-}
-
-type StrategyMeta struct {
-	// Id     string `json:"id"` // 策略注册/执行器系统分配
-	Name         string
-	Desc         string
-	SubIntervals []types.Interval // 订阅k线周期
-}
-
-// KlineServiceClient
-// IndicatorClient.Sub(MACD5) stream[Indicator]
-// IndicatorClient.Sub(ALMA) stream[Indicator]
-//
-
-// 持单策略接口，动态止盈/止损/加仓/减仓
-type OrderStrategy interface {
-}
-
-// 策略外部访问能力
-type StrategyContext interface {
-	Previous(offset int) types.Kline
-	Range(offset int) []types.Kline
-}
-
-// 策略a
-type StrategyA struct {
-}

pkg/trader/strategy_trend_trace.go

@@ -1,78 +0,0 @@
-package trader
-
-import (
-	"fmt"
-	"sig-pub/pkg/types"
-	"sig-pub/pkg/types/series"
-	"sig-pub/pkg/zlog"
-
-	"github.com/spf13/cast"
-)
-
-// stateful
-type StrategyTrendTrace struct {
-	intervalDatas map[types.Interval]*series.LimitFloats
-
-	argBaseLine int
-}
-
-func NewStrategyTrendTrace() *StrategyTrendTrace {
-	return &StrategyTrendTrace{}
-}
-
-func (StrategyTrendTrace) Meta() StrategyMeta {
-	return StrategyMeta{
-		SubIntervals: []types.Interval{
-			types.Interval5m, types.Interval15m, types.Interval1d,
-		},
-	}
-}
-
-func (s *StrategyTrendTrace) initArgs(args map[string]string) (err error) {
-
-	return
-}
-
-func (s *StrategyTrendTrace) Init(ctx StrategyContext, args map[string]string) (code ErrorCode, err error) {
-	s.argBaseLine, err = cast.ToIntE(args["baseLine"])
-	if err != nil {
-		return
-	}
-	if s.argBaseLine <= 0 {
-
-	}
-
-	s.intervalDatas = map[types.Interval]*series.LimitFloats{
-		types.Interval5m:  series.NewLimitFloats(s.argBaseLine),
-		types.Interval15m: series.NewLimitFloats(s.argBaseLine),
-		types.Interval1d:  series.NewLimitFloats(s.argBaseLine),
-	}
-	return
-}
-
-func (s *StrategyTrendTrace) Update(ctx StrategyContext, kline types.Kline) (code ErrorCode, err error) {
-	data, ok := s.intervalDatas[kline.Interval]
-	if !ok {
-		zlog.Warningf("ignore interval kline: %v", kline.Interval)
-		return
-	}
-
-	v, ok := kline.Close.Float64()
-	if !ok {
-		code = ErrorCodeKline
-		err = fmt.Errorf("kline close value error: %#v", kline)
-		return
-	}
-	data.Push(v)
-
-	// calc klines
-	s.caculate()
-	return
-}
-
-func (s *StrategyTrendTrace) caculate() {
-	// 5m判断趋势, 15m/1h 确认趋势
-	datas5m := s.intervalDatas[types.Interval5m]
-	minV, maxV := datas5m.MinMax()
-	_, _ = minV, maxV
-}

pkg/trader/trader_meta.go

@@ -1,66 +0,0 @@
-package trader
-
-import "github.com/spf13/cast"
-
-// 指标注册/执行器系统分配
-// k线频率, 执行时指定
-// 指标数据(频率)存储, 实时计算 ?
-type IndicatorMeta struct {
-	Name string
-	Desc string
-	Args []Arg
-}
-
-type Arg struct {
-	Name    string
-	Desc    string
-	ArgType ArgType     // 参数类型
-	Options []ArgOption // 单选/多选选项列表
-}
-
-type ArgOption struct {
-	Name string
-	Desc string
-}
-
-// CastValidate 数据类型校验
-func (t Arg) CastValidate(v string) bool {
-	switch t.ArgType {
-	default:
-		return false
-	case ArgTypeString:
-		return true
-	case ArgTypeInt:
-		fallthrough
-	case ArgTypeUInt:
-		if r, e := cast.ToIntE(v); e != nil {
-			return false
-		} else if t.ArgType == ArgTypeUInt {
-			return r >= 0
-		}
-		return true
-	case ArgTypeFloat:
-		fallthrough
-	case ArgTypeUFloat:
-		if r, e := cast.ToFloat64E(v); e != nil {
-			return false
-		} else if t.ArgType == ArgTypeUFloat {
-			return r >= 0
-		}
-		return true
-	}
-}
-
-// 参数类型
-type ArgType int8
-
-const (
-	_ ArgType = iota
-	ArgTypeString
-	ArgTypeInt
-	ArgTypeUInt
-	ArgTypeFloat
-	ArgTypeUFloat
-	ArgTypeSelect   // 单选
-	ArgTypeCheckBox // 多选
-)