sig-pub/internal/trading/trading_service.go

package trading

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"
	"sig-pub/pkg/strategy"
	"sig-pub/pkg/types"
	"sig-pub/pkg/utils/collect"
	"sig-pub/pkg/zlog"

	"github.com/bytedance/sonic"
)

type TradingService struct {
	marketClientAside *client.TradeInstanceAside
	exchangeClient    pb.ExchangeServiceClient

	klineStore      *KlineStore
	indicatorReg    *indicator.IndicatorRegistry                     // 注册窗口指标
	strategyReg     *strategy.SigStrategyRegistry                    // 注册信号策略
	signalPublisher *publish.Publisher[int64, strategy.StrategyType] // planId -> strategyType
	tradingPlans    *collect.SyncMap[int64, *TradingPlan]            // 运行中交易计划
}

func NewTradingService(
	marketClientAside *client.TradeInstanceAside,
	exchangeClient pb.ExchangeServiceClient,
) *TradingService {
	return &TradingService{
		marketClientAside: marketClientAside,
		exchangeClient:    exchangeClient,
		klineStore:        NewKlineSeriesStore(exchangeClient),
		indicatorReg:      indicator.NewIndicatorRegistry(),
		strategyReg:       strategy.NewSigStrategyRegistry(),
		signalPublisher:   publish.NewPublisher[int64, strategy.StrategyType](16),
		tradingPlans:      collect.NewSyncMap[int64, *TradingPlan](),
	}
}

// 初始化历史k线, 订阅实时k线
func (svc *TradingService) Init() (err error) {
	if err = svc.indicatorReg.Init(); err != nil {
		return
	}
	if err = svc.strategyReg.Init(); err != nil {
		return
	}

	if err = svc.klineStore.Init(); err != nil {
		return
	}

	go svc.consumerKlineSignal()

	// todo loading trading plan
	return
}

// consumerKlineSignal 订阅k线更新
func (svc *TradingService) consumerKlineSignal() {
	c := svc.klineStore.ConsumerKlineSignel()
	for {
		signalKey := <-c
		zlog.Debugf("signal: %s", 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)
			}
		}
	}
}

// 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
	}
	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
}

// IndicatorSeries 获取指标实时或历史序列数据, 闭区间
func (svc *TradingService) IndicatorSeries(req *pb.ReqIndicatorSeries, rsp *pb.RspIndicatorSeries) (err error) {
	// indicatorName string, exchange pb.ExchangeType, instId string, interval types.Interval, window int
	indicator, ok := svc.indicatorReg.IndicatorW(req.Indicator)
	if !ok {
		err = fmt.Errorf("indicator %s not exists", req.Indicator)
		return
	}
	interval := types.Interval(req.Interval)
	intervalAdd, ok := types.SupportedIntervals[interval]
	if !ok {
		err = fmt.Errorf("unsupport interval %s", interval)
		return
	}
	if req.Count <= 0 {
		req.Count = 100
	}
	if req.Count > 0 {
		// ...
	}

	// todo trade instance status check

	before, after, count := req.Before, req.After, req.Count
	var indCtx IOffsetIndicatorContext
	// 查询实时指标数据
	if before == 0 && after == 0 {
		klineSeries, err1 := svc.klineStore.GetKlineSeires(req.Exchange, req.InstId, interval)
		if err1 != nil {
			err = err1
			return
		}
		// recover todo out of range
		indCtx = NewIndicatorContext(klineSeries)
	} else {
		// 查询历史指标数据
		// todo calc before after...
		ctx := NewHistoryIndicatorContext(svc.exchangeClient)
		if count := int32((after-before)/intervalAdd(0, 1) + 1); count > 100 {

		}

		before = intervalAdd(before, int64(-req.Window)) // 多拉取窗口大小的k线数据
		totalK := 0
		if totalK, err = ctx.Init(req.Exchange, req.InstId, interval, before, after); err != nil {
			return
		}
		count = int32(totalK) - req.Window
		indCtx = ctx
	}

	rsp.Matrix = make([]float64, 0, req.Count)
	rsp.Times = make([]int64, 0, req.Count)
	for i := range count {
		indCtx.SetOffset(int16(i))
		vector := indicator.Calculate(indCtx, int16(req.Window))
		rsp.Matrix = append(rsp.Matrix, vector)
		rsp.Times = append(rsp.Times, indCtx.Get(0).Ts)
	}
	return
}

// StrategySeries 简单策略信号测试
func (svc *TradingService) StrategySeries(req *pb.ReqStrategySeries, rsp *pb.RspStrategySeries) (err error) {
	// sigStrategy
	sigStrategy, ok := svc.strategyReg.NewSigStrategy(req.Strategy)
	if !ok {
		err = fmt.Errorf("strategy %s not exists", req.Strategy)
		return
	}
	err = sigStrategy.Init(strategy.SigStrategyParam{
		Interval: types.Interval(req.Interval),
		Param:    req.SigParam,
	})
	if err != nil {
		return
	}

	interval := types.Interval(req.Interval)
	intervalAdd, ok := types.SupportedIntervals[interval]
	if !ok {
		err = fmt.Errorf("unsupport interval %s", interval)
		return
	}
	_ = intervalAdd

	klineSeries, err1 := svc.klineStore.GetKlineSeires(req.Exchange, req.InstId, interval)
	if err1 != nil {
		err = err1
		return
	}
	// recover todo out of range
	strategyCtx := NewStrategyContext(klineSeries, svc.indicatorReg)
	for i := range req.Count {
		strategyCtx.SetOffset(int16(i))
		sigStrategy.Update(strategyCtx)
	}
	rsp.Signal = strategyCtx.signal
	rsp.Times = strategyCtx.signalTimes
	rsp.Wins = strategyCtx.wins
	// 信号点胜率判断
	wins := collect.Filter(rsp.Wins, func(_ int, win bool) bool { return win })
	rsp.WinRate = float64(len(wins)) / float64(len(rsp.Wins))
	return
}