trading plan

internal/trading/trading_plan_runner.go

@@ -1,40 +1,38 @@
 package trading
 
 import (
-	"fmt"
 	"sig-pub/pkg/data/entity"
 	"sig-pub/pkg/indicator"
-	"sig-pub/pkg/publish"
 	"sig-pub/pkg/strategy"
+	"sync/atomic"
 )
 
-type TradingPlanRunner struct {
+type TradingPlan struct {
+	Status       atomic.Int32
 	plan         entity.TradePlan
-	indicatorReg indicator.IndicatorRegistry
-	strategyReg  strategy.SigStrategyRegistry
-	publisher    publish.Publisher[int32, any]
+	indicatorReg *indicator.IndicatorRegistry
+
+	sigStrategy        strategy.ISigStrategy
+	sigStrategyContext *StrategyContext
+	// publisher    publish.Publisher[int32, any]
+	// signalKey    map[string]int32
 }
 
-func NewTradingPlan(plan entity.TradePlan,
-	indicatorReg indicator.IndicatorRegistry,
-	strategyReg strategy.SigStrategyRegistry,
-) *TradingPlanRunner {
-	return &TradingPlanRunner{
+func NewTradingPlan(plan entity.TradePlan, indicatorReg *indicator.IndicatorRegistry) *TradingPlan {
+	return &TradingPlan{
 		plan:         plan,
 		indicatorReg: indicatorReg,
-		strategyReg:  strategyReg,
 	}
 }
 
 // Init 初始化交易计划
 // subKlineKeys 订阅k线更新, 更新时调用Update方法
 // 交易信号/下单/平仓/风控
-func (r *TradingPlanRunner) Init() (subSignalKeyKeys []string, err error) {
+func (r *TradingPlan) Init() (err error) {
 	// 初始化执行策略
-	_, err = r.initSigStrategy(r.plan.SigStrategy, r.plan.SigStrategyParams)
-	if err != nil {
-		return
-	}
+	// if err = r.initSigStrategy(r.sigStrategy, r.plan.SigStrategyParams); err != nil {
+	// 	return
+	// }
 
 	// sigStrategy 1m
 	// tradeStrategy 1s
@@ -44,18 +42,19 @@ func (r *TradingPlanRunner) Init() (subSignalKeyKeys []string, err error) {
 
 // initSigStrategy 初始化多空信号策略
 // buy/sell -> 过滤/风控 -> tradeStrategy -> closeStrategy
-func (r *TradingPlanRunner) initSigStrategy(name, params string) (subSignalKeyKeys []string, err error) {
-	strategy, ok := r.strategyReg.NewSigStrategy(name)
-	if !ok {
-		err = fmt.Errorf("strategy not exists: %s", name)
+func (r *TradingPlan) InitSigStrategy(sigStrategy strategy.ISigStrategy, params strategy.SigStrategyParam, klineSeries *KlineSeries) (err error) {
+	if err = sigStrategy.Init(params); err != nil {
 		return
 	}
-	_ = strategy
-	// strategy.Update()
+	r.sigStrategy = sigStrategy
+	r.sigStrategyContext = NewStrategyContext(klineSeries, r.indicatorReg)
 	return
 }
 
 // Update 订阅k线更新
-func (r *TradingPlanRunner) Update(signalKey string) {
-
+func (r *TradingPlan) Update(signalType strategy.StrategyType) {
+	switch signalType {
+	case strategy.StrategyTypeSig:
+		r.sigStrategy.Update(r.sigStrategyContext)
+	}
 }

internal/trading/trading_service.go

@@ -4,6 +4,7 @@ import (
 	"fmt"
 	"sig-pub/api/pb"
 	"sig-pub/pkg/client"
+	"sig-pub/pkg/data"
 	"sig-pub/pkg/data/entity"
 	"sig-pub/pkg/indicator"
 	"sig-pub/pkg/publish"
@@ -11,6 +12,8 @@ import (
 	"sig-pub/pkg/types"
 	"sig-pub/pkg/utils/collect"
 	"sig-pub/pkg/zlog"
+
+	"github.com/bytedance/sonic"
 )
 
 type TradingService struct {
@@ -20,8 +23,8 @@ type TradingService struct {
 	klineStore      *KlineStore
 	indicatorReg    *indicator.IndicatorRegistry                     // 注册窗口指标
 	strategyReg     *strategy.SigStrategyRegistry                    // 注册信号策略
-	publisher    *publish.Publisher[int64, *TradingPlanRunner]
-	tradingPlan  chan *TradingPlanRunner
+	signalPublisher *publish.Publisher[int64, strategy.StrategyType] // planId -> strategyType
+	tradingPlans    *collect.SyncMap[int64, *TradingPlan]            // 运行中交易计划
 }
 
 func NewTradingService(
@@ -34,7 +37,8 @@ func NewTradingService(
 		klineStore:        NewKlineSeriesStore(exchangeClient),
 		indicatorReg:      indicator.NewIndicatorRegistry(),
 		strategyReg:       strategy.NewSigStrategyRegistry(),
-		publisher:         publish.NewPublisher[int64, *TradingPlanRunner](8),
+		signalPublisher:   publish.NewPublisher[int64, strategy.StrategyType](16),
+		tradingPlans:      collect.NewSyncMap[int64, *TradingPlan](),
 	}
 }
 
@@ -52,6 +56,8 @@ func (svc *TradingService) Init() (err error) {
 	}
 
 	go svc.consumerKlineSignal()
+
+	// todo loading trading plan
 	return
 }
 
@@ -61,24 +67,80 @@ func (svc *TradingService) consumerKlineSignal() {
 	for {
 		signalKey := <-c
 		zlog.Debugf("signal: %s", signalKey)
-		_, plans := svc.publisher.Publisher(signalKey)
-		for _, plan := range plans {
-			plan.Update(signalKey)
+		planIds, strategyTypes := svc.signalPublisher.Publisher(signalKey)
+		for i, strategyType := range strategyTypes {
+			planId := planIds[i]
+			plan, ok := svc.tradingPlans.Load(planId)
+			if !ok {
+				zlog.Warningf("plan not running: id=%d", planId)
+				continue
+			}
+			if plan.Status.Load() == int32(data.StatusOk) {
+				plan.Update(strategyType)
+			}
 		}
 	}
 }
 
-// RunStrategy 运行策略
-// todo 止盈止损...
-func (svc *TradingService) RunQuantPlan(plan *entity.TradePlan) (err error) {
-	strategy, ok := svc.strategyReg.NewSigStrategy(plan.SigStrategy)
+// runTradingPlan 运行交易计划
+// todo 止盈止损策略, 下单策略...
+func (svc *TradingService) runTradingPlan(plan *entity.TradePlan) (err error) {
+	var planId = plan.Id
+	var instId = plan.InstId
+	var exchange pb.ExchangeType
+	var sigInterval types.Interval
+
+	exchange = pb.ExchangeType(plan.Exchange)
+	if !types.IsSupportExchange(exchange) {
+		err = fmt.Errorf("unsupport exchange %d", plan.Exchange)
+		return
+	}
+
+	tradingPlan := NewTradingPlan(*plan, svc.indicatorReg)
+	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, []types.Interval{sigInterval}, exchange)
+			svc.signalPublisher.Subscribe(sigSubKey, planId, strategy.StrategyTypeSig)
+
+			tradingPlan.Status.Store(int32(data.StatusOk))
+		}
+	}()
+
+	// sigStrategy
+	sigStrategyParam := new(strategy.SigStrategyParam)
+	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)
 	if !ok {
 		err = fmt.Errorf("strategy %s not exists", plan.SigStrategy)
 		return
 	}
-	runner := strategy.New()
-	_ = runner
-	runner.Update(nil)
+	sigKlineSeries, err := svc.klineStore.GetKlineSeires(exchange, instId, sigInterval)
+	if err != nil {
+		return
+	}
+
+	if err = tradingPlan.Init(); err != nil {
+		return
+	}
+	if err = tradingPlan.InitSigStrategy(sigStrategy, *sigStrategyParam, sigKlineSeries); err != nil {
+		return
+	}
 	return
 }
 

pkg/data/entity/trade_plan.go

@@ -11,9 +11,9 @@ type TradePlan struct {
 	SigStrategy        string `gorm:"column:sig_strategy" json:"sigStrategy"`                // 交易信号策略
 	ExitStrategy       string `gorm:"column:exit_strategy" json:"exitStrategy"`              // 退出策略
 	TradeStrategy      string `gorm:"column:trade_strategy" json:"tradeStrategy"`            // 下单仓位管理策略
-	SigStrategyParams   string `gorm:"column:sig_strategy_params" json:"sigStrategyParams"`     // 交易信号策略参数
-	ExitStrategyParams  string `gorm:"column:exit_strategy_params" json:"exitStrategyParams"`   // 退出策略名称参数
-	TradeStrategyParams string `gorm:"column:trade_strategy_params" json:"tradeStrategyParams"` // 下单仓位管理策略参数
+	SigStrategyParam   string `gorm:"column:sig_strategy_param" json:"sigStrategyParam"`     // 交易信号策略参数
+	ExitStrategyParam  string `gorm:"column:exit_strategy_param" json:"exitStrategyParam"`   // 退出策略名称参数
+	TradeStrategyParam string `gorm:"column:trade_strategy_param" json:"tradeStrategyParam"` // 下单仓位管理策略参数
 	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
 }

pkg/strategy/strategy.go

@@ -0,0 +1,10 @@
+package strategy
+
+type StrategyType int32
+
+const (
+	_                 StrategyType = iota
+	StrategyTypeSig                // 交易信号策略
+	StrategyTypeTrade              // 交易下单策略
+	StrategyTypeClose              // 交易平仓策略
+)

pkg/utils/collect/sync_map.go

@@ -27,6 +27,10 @@ func (m *SyncMap[K, V]) Load(k K) (v V, ok bool) {
 	return
 }
 
+func (m *SyncMap[K, V]) Delete(k K) {
+	m.m.Delete(k)
+}
+
 func (m *SyncMap[K, V]) Range(f func(k K, v V) bool) {
 	m.m.Range(func(key, value any) bool {
 		return f(key.(K), value.(V))