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57 lines
1.9 KiB
57 lines
1.9 KiB
package strategy |
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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/types" |
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"sig-pub/pkg/types/series" |
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"sig-pub/pkg/utils/collect" |
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"strings" |
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) |
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// ISigStrategy 交易信号策略接口(单周期单交易所) |
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type ISigStrategy interface { |
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New() ISigStrategy |
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Meta() StrategyMeta |
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Update(ctx ISigStrategyContext) |
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} |
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// todo Meta 策略调参, 回测引擎自动调参回测(最佳参数) argGenerator.next() (arg, ok) |
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// argA range -> [1,...,5], argB:=[0.1,...,0.7], argC:=[true,false] |
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// 可变参数组合 argValidate(argA, ArgB, argC...) bool(true则使用该组合进行回测，记录组合参数回测结果) |
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type ISigStrategyAdjustable interface { |
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ISigStrategy |
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NextParams() map[string]any // 根据当前策略参数, 返回下一批策略参数(并行回测 stateless) |
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AdjustParams(map[string]any) // 重置策略设置策略参数 |
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} |
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type StrategyMeta struct { |
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// Id string `json:"id"` // 策略注册/执行器系统分配 |
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Name string |
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Desc string |
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} |
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// ISigStrategyContext 策略外部访问能力 |
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// klineSeries, Indicator |
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type ISigStrategyContext interface { |
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Buy() // 发出多信号 |
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Sell() // 发出空信号 |
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// Get [0]当前k线 |
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Get(offset int16) types.Kline |
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// Series [offset...end] |
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Series(offset, count int16) (klines series.Klines) |
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// 获取窗口类型指标 |
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IndicatorW(name string, window int16) indicator.IIndicatorSeries |
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} |
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// DriverIntervalKey 生成周期驱动事件key |
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// interval/BTC_USDT/OKX,BINANCE/1m,3m,5m |
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func DriverIntervalKey(instId string, intervals []types.Interval, exchanges ...pb.ExchangeType) string { |
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types.IntervalsSort(intervals) |
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strIntervals := collect.Mapping(intervals, func(_ int, interval types.Interval) string { return string(interval) }) |
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strExchanges := collect.Mapping(exchanges, func(_ int, exchange pb.ExchangeType) string { return exchange.String() }) |
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pubKey := fmt.Sprintf("/interval/%s/%s/%s", instId, strings.Join(strExchanges, ","), strings.Join(strIntervals, ",")) |
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return pubKey |
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}
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