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86 lines
2.3 KiB
86 lines
2.3 KiB
package trading |
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import ( |
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"fmt" |
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"sig-pub/api/pb" |
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"sig-pub/pkg/indicator" |
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"sig-pub/pkg/strategy" |
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"sig-pub/pkg/types" |
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"sig-pub/pkg/types/series" |
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"sig-pub/pkg/utils/collect" |
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"sig-pub/pkg/zlog" |
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) |
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type IOffsetStrategyContext interface { |
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strategy.ISigStrategyContext |
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SetOffset(offset int16) |
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} |
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type StrategyContext struct { |
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IOffsetStrategyContext |
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indicatorContext *IndicatorContext |
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indicatorsW *collect.SyncMap[string, indicator.IWindowIndicator] |
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signal []pb.Side // 0.sell,1.buy |
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signalTimes []int64 |
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wins []bool |
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} |
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func NewStrategyContext(klineSeries *KlineSeries, indicatorsW *collect.SyncMap[string, indicator.IWindowIndicator]) *StrategyContext { |
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return &StrategyContext{ |
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indicatorContext: NewIndicatorContext(klineSeries), |
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indicatorsW: indicatorsW, |
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} |
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} |
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func (c *StrategyContext) SetOffset(offset int16) { |
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c.indicatorContext.SetOffset(offset) |
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} |
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func (c *StrategyContext) Get(offset int16) (kline types.Kline) { |
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return c.indicatorContext.Get(offset) |
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} |
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func (c *StrategyContext) Series(offset, count int16) (klines series.Klines) { |
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return c.indicatorContext.Series(offset, count) |
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} |
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// Buy 发出多信号 |
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func (c *StrategyContext) Buy() { |
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zlog.Infof("signal buy: %d", c.Get(0).Ts) |
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c.signal = append(c.signal, pb.Side_BUY) |
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c.signalTimes = append(c.signalTimes, c.Get(0).Ts) |
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win := false |
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signalPrice := c.Get(0).Close |
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if c.indicatorContext.offset > 0 { |
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c.indicatorContext.AddOffset(-1) |
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win = c.Get(0).Close.Cmp(signalPrice) > 0 |
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c.indicatorContext.AddOffset(1) |
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} |
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c.wins = append(c.wins, win) |
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} |
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// Sell 发出空信号 |
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func (c *StrategyContext) Sell() { |
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zlog.Infof("signal sell: %d", c.Get(0).Ts) |
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c.signal = append(c.signal, pb.Side_SELL) |
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c.signalTimes = append(c.signalTimes, c.Get(0).Ts) |
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win := false |
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signalPrice := c.Get(0).Close |
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if c.indicatorContext.offset > 0 { |
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c.indicatorContext.AddOffset(-1) |
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win = c.Get(0).Close.Cmp(signalPrice) < 0 |
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c.indicatorContext.AddOffset(1) |
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} |
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c.wins = append(c.wins, win) |
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} |
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// 获取窗口类型指标 |
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func (c *StrategyContext) IndicatorW(name string, window int16) (s indicator.IIndicatorSeries) { |
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indicator, ok := c.indicatorsW.Load(name) |
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if !ok { |
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panic(fmt.Errorf("indicatorW %s not exists", name)) |
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} |
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return NewWindowIndicatorSeries(window, indicator, c.indicatorContext) |
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}
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