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54 lines
1.4 KiB
54 lines
1.4 KiB
package backtest |
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import ( |
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"math" |
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"sig-pub/pkg/data" |
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"sig-pub/pkg/trade" |
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"sig-pub/pkg/types" |
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"sig-pub/pkg/types/decimals" |
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) |
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type TradeSimulator struct { |
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FeePct float64 // e.g. 0.0005 = 0.05% |
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SlippagePct float64 // e.g. 0.001 = 0.1% |
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} |
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func NewTradeSimulator(feePct, slippagePct float64) *TradeSimulator { |
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return &TradeSimulator{FeePct: feePct, SlippagePct: slippagePct} |
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} |
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// ExecuteMarket 执行市价单，使用kline信息决定成交价（使用close以及滑点） |
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func (s *TradeSimulator) ExecuteMarket(tradeId int64, symbol string, ticket trade.TradeTicket) (order *trade.TradeOrder) { |
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price := ticket.Price |
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slippage := s.SlippagePct |
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switch ticket.Side { |
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default: |
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panic("invalid trade side") |
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case types.SideLong: |
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// buy: worse price higher |
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price = price * (1 + slippage) |
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case types.SideShort: |
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// sell: worse price lower |
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price = price * (1 - slippage) |
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} |
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ticketQty := decimals.MustToFloat64(ticket.Qty) |
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fee := math.Abs(price*ticketQty) * s.FeePct |
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order = &trade.TradeOrder{ |
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TradeId: tradeId, |
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TradeType: ticket.TradeType, |
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InstId: symbol, |
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Side: ticket.Side, |
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Qty: ticket.Qty, |
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Price: price, |
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Fee: fee, |
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Leverage: ticket.Leverage, |
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Ctime: ticket.Ktime, |
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Status: data.StatusOk, |
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PeakPx: ticket.Price, |
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CloseCause: ticket.Cause, |
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} |
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return |
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} |
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// ExecuteLimit todo 简单实现: 如果limit价格被kline的high/low包含则成交
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