sig-pub/internal/trading/kline_series.go

package trading

import (
	"fmt"
	"sig-pub/api/pb"
	"sig-pub/pkg/data"
	"sig-pub/pkg/types"
	"sig-pub/pkg/types/series"
	"sig-pub/pkg/zlog"
	"sync"
	"sync/atomic"
)

const (
	MaxSeriesKlines    = 1000 // 有效k线数量
	MaxCapSeriesKlines = 1280 // 最大k线数量, slice扩容12次后cap=1280
)

// TradeInstanceKlineSeries 单个交易产品所有周期k线
type TradeInstanceKlineSeries struct {
	IntervalKlines *types.IntervalState[*KlineSeries]
	Status         atomic.Int32 // 交易产品状态
}

func NewTradeInstanceKlineSeries(exchange pb.ExchangeType, instId string) *TradeInstanceKlineSeries {
	si := new(TradeInstanceKlineSeries)
	si.Status.Store(int32(data.StatusNone))
	si.IntervalKlines = types.NewIntervalState[*KlineSeries]()

	for interval := range types.SupportedIntervals {
		si.IntervalKlines.Set(interval, NewKlineSeries(exchange, instId, interval))
	}
	return si
}

type KlineSeries struct {
	sync.RWMutex
	Exchange      pb.ExchangeType
	InstId        string
	Interval      types.Interval
	IntervalAdder types.IntervalAdder
	lastTs        int64
	klines        []*types.Kline
}

func NewKlineSeries(exchange pb.ExchangeType, instId string, interval types.Interval) *KlineSeries {
	intervalAdder, ok := types.SupportedIntervals[interval]
	if !ok {
		panic(fmt.Errorf("unsupport interval: %s", interval))
	}
	return &KlineSeries{
		Exchange:      exchange,
		InstId:        instId,
		Interval:      interval,
		IntervalAdder: intervalAdder,
		klines:        make([]*types.Kline, 0, MaxSeriesKlines/10),
	}
}

// Get [0]当前k线
func (s *KlineSeries) Get(start int16) types.Kline {
	index := len(s.klines) - 1 - int(start)
	if index >= 0 && index < len(s.klines)-1 {
		return *(s.klines[index])
	}

	// todo query store
	ts := s.Interval.MustAddMul(s.lastTs, int64(-start))
	for _, k := range s.klines {
		if k.Ts == ts {
			return *k
		}
	}

	panic("kline not exists")
}

// Series [start...end]
func (s *KlineSeries) Series(start, end int16) (klines series.Klines) {
	s.RLock()
	defer s.RUnlock()
	endTs := s.Interval.MustAddMul(s.lastTs, int64(-start))
	startTs := s.Interval.MustAddMul(s.lastTs, int64(-end))
	_ = endTs
	_ = startTs
	// return a.klineStore.GetRange(startTs, endTs)
	// todo
	return
}

// 检查k线序列完整
func (s *KlineSeries) Update(kline *types.Kline) (lastTs int64, serial bool) {
	s.Lock()
	defer s.Unlock()

	serial = true
	lastTs = s.lastTs
	if kline.Ts <= s.lastTs {
		return
	}
	// 检查k线是否连续
	if len(s.klines) > 0 {
		expectTs := s.Interval.MustAddMul(s.lastTs, 1)
		if kline.Ts != expectTs {
			serial = false
			zlog.Warningf("k线不连续: instId=%s(%s), interval=%s, lastTs=%d, expected=%d, got=%d", s.InstId, s.Exchange, s.Interval, s.lastTs, expectTs, kline.Ts)
			return
		}
	}

	if len(s.klines) < MaxCapSeriesKlines {
		s.klines = append(s.klines, kline)
		// 容量超过0.65, 直接扩容到最大
		if capacity := cap(s.klines); capacity < MaxCapSeriesKlines && capacity > MaxCapSeriesKlines*0.65 {
			klines := make([]*types.Kline, len(s.klines), MaxCapSeriesKlines)
			copy(klines, s.klines)
			s.klines = klines
		}
	} else {
		// 循环复用切片空间，避免扩容
		length := len(s.klines)
		copy(s.klines, s.klines[length-MaxSeriesKlines+1:])
		s.klines[MaxSeriesKlines-1] = kline
		s.klines = s.klines[:MaxSeriesKlines]
	}
	s.lastTs = kline.Ts
	return
}