sig-pub/internal/trading/backtest/trade_simulator.go

package backtest

import (
	"math"
	"sig-pub/pkg/data"
	"sig-pub/pkg/trade"
	"sig-pub/pkg/types"
	"sig-pub/pkg/types/decimals"
)

type TradeSimulator struct {
	FeePct      float64 // e.g. 0.0005 = 0.05%
	SlippagePct float64 // e.g. 0.001 = 0.1%

}

func NewTradeSimulator(feePct, slippagePct float64) *TradeSimulator {
	return &TradeSimulator{FeePct: feePct, SlippagePct: slippagePct}
}

// ExecuteMarket 执行市价单，使用kline信息决定成交价（使用close以及滑点）
func (s *TradeSimulator) ExecuteMarket(tradeId int64, symbol string, ticket trade.TradeTicket) (order *trade.TradeOrder) {
	price := ticket.Price
	slippage := s.SlippagePct
	switch ticket.Side {
	default:
		panic("invalid trade side")
	case types.SideLong:
		// buy: worse price higher
		price = price * (1 + slippage)
	case types.SideShort:
		// sell: worse price lower
		price = price * (1 - slippage)
	}
	ticketQty := decimals.MustToFloat64(ticket.Qty)
	fee := math.Abs(price*ticketQty) * s.FeePct
	order = &trade.TradeOrder{
		TradeId:    tradeId,
		TradeType:  ticket.TradeType,
		InstId:     symbol,
		Side:       ticket.Side,
		Qty:        ticket.Qty,
		Price:      price,
		Fee:        fee,
		Leverage:   ticket.Leverage,
		Ctime:      ticket.Ktime,
		Status:     data.StatusOk,
		PeakPx:     ticket.Price,
		CloseCause: ticket.Cause,
	}
	return
}

// ExecuteLimit 简单实现: 如果limit价格被kline的high/low包含则成交
func (s *TradeSimulator) ExecuteLimit(side types.Side, qty float64, limitPx float64, k types.Kline, ts int64) (trd *Trade, filled bool) {
	h := decimals.MustToFloat64(k.High)
	l := decimals.MustToFloat64(k.Low)
	switch side {
	case types.SideLong:
		// buy limit: filled if low <= price
		if l <= limitPx {
			// assume filled at min(limitPx, open)
			px := math.Min(limitPx, decimals.MustToFloat64(k.Open))
			fee := math.Abs(px*qty) * s.FeePct
			trd = &Trade{Side: side, Qty: qty, Price: px * (1 + s.SlippagePct), Fee: fee, Time: ts}
			return trd, true
		}
	case types.SideShort:
		if h >= limitPx {
			px := math.Max(limitPx, decimals.MustToFloat64(k.Open))
			fee := math.Abs(px*qty) * s.FeePct
			trd = &Trade{Side: side, Qty: qty, Price: px * (1 - s.SlippagePct), Fee: fee, Time: ts}
			return trd, true
		}
	}
	return nil, false
}