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

package backtest

import (
	"context"
	"errors"
	"fmt"
	"sig-pub/api/pb"
	"sig-pub/internal/trading/sig"
	"sig-pub/pkg/data/entity"
	"sig-pub/pkg/indicator"
	"sig-pub/pkg/strategy"
	"sig-pub/pkg/trade"
	"sig-pub/pkg/types"
	"sig-pub/pkg/utils/collect"
	"sig-pub/pkg/zlog"
	"time"

	"github.com/bytedance/sonic"
)

// todo 将backtest独立成单独服务横向扩展
type TradingPlanBacktester struct {
	indicatorReg   *indicator.IndicatorRegistry
	sigStrategyReg *strategy.SigStrategyRegistry
	exchangeClient pb.ExchangeServiceClient

	plan            entity.TradePlan
	account         *BacktestAccount
	sigStrategyType strategy.SigStrategyType
	sigStrategy     strategy.ISigStrategy
	closeStrategy   *trade.CloseStrategy
	riskStrategy    *trade.RiskStrategy
	tradeStrategy   *trade.TradeStrategy
}

func NewTradingPlanBacktester(indicatorReg *indicator.IndicatorRegistry, sigStrategyReg *strategy.SigStrategyRegistry, exchangeClient pb.ExchangeServiceClient) *TradingPlanBacktester {
	return &TradingPlanBacktester{
		indicatorReg:   indicatorReg,
		sigStrategyReg: sigStrategyReg,
		exchangeClient: exchangeClient,
	}
}

func (b *TradingPlanBacktester) Init(cash float64, plan entity.TradePlan) (err error) {
	b.plan = plan
	// trade account
	simulator := NewTradeSimulator(0.0005, 0.0008)
	b.account = NewBacktestAccount(cash, simulator)
	// sig strategy
	ok := false
	b.sigStrategyType, b.sigStrategy, ok = b.sigStrategyReg.NewSigStrategy(plan.SigStrategy)
	if !ok {
		err = fmt.Errorf("sig strategy not exists %s", plan.SigStrategy)
		return
	}
	sigStrategyParam := make(strategy.StrategyParam)
	if err = sonic.UnmarshalString(plan.SigStrategyParam, &sigStrategyParam); err != nil {
		return
	}
	if err = b.sigStrategy.Init(sigStrategyParam); err != nil {
		return
	}
	closeStrategyParam, tradeStrategyParam, riskStrategyParam := new(trade.CloseStrategyParam),
		new(trade.TradeStrategyParam), new(trade.RiskStrategyParam)
	if err = sonic.UnmarshalString(plan.CloseStrategyParam, closeStrategyParam); err != nil {
		return
	}
	if err = sonic.UnmarshalString(plan.TradeStrategyParam, tradeStrategyParam); err != nil {
		return
	}
	if err = sonic.UnmarshalString(plan.RiskStrategyParam, riskStrategyParam); err != nil {
		return
	}
	// 平仓策略
	b.closeStrategy, err = trade.NewCloseStrategy(*closeStrategyParam)
	if err != nil {
		return
	}
	// 风险管理策略
	b.riskStrategy, err = trade.NewRiskStrategy(*riskStrategyParam)
	if err != nil {
		return
	}
	// 交易策略
	b.tradeStrategy, err = trade.NewTradeStrategy(*tradeStrategyParam)
	if err != nil {
		return
	}
	return
}

// 核心引擎，模拟交易、持仓跟踪、费用计算
func (b *TradingPlanBacktester) Backtest(ctx context.Context, sr *pb.SeriesRange) (test *BacktestTradingPlan, err error) {
	test = &BacktestTradingPlan{
		Id:           time.Now().Unix(),
		UserId:       10001,
		PlanId:       b.plan.Id,
		InstId:       b.plan.InstId,
		Exchange:     pb.ExchangeType(b.plan.Exchange),
		Interval:     b.plan.Interval,
		SeriesBefore: sr.Before,
		SeriesAfter:  sr.After,
		Ctime:        time.Now().UnixMilli(),
		Cash:         b.account.cash,
	}
	// 交易信号回测器
	sigStrategyBacktester := NewSigStrategyBacktester(b.sigStrategyType, b.sigStrategy, b.indicatorReg, b.exchangeClient)

	sigStrategyBacktester.SubKline(types.Interval1m, func(interval types.Interval, k types.Kline) (err error) {
		// 检查仓位平仓
		return b.closeByKlineInterval1m(k)
	})

	intervalSeries := types.NewIntervalState[*sig.KlineSeries]()
	err = sigStrategyBacktester.Backtest(ctx, sr, intervalSeries, func(sigSide types.Side, k types.Kline) (err error) {
		test.Singals++
		// 根据交易信号检查仓位平仓
		if err = b.closeBySigSingal(sigSide, k); err != nil {
			return
		}
		// 交易下单
		return b.onSideSingal(sigSide, k)
	})
	if err != nil {
		return
	}

	// 读最新的k线
	kSeries := intervalSeries.Get(types.Interval(sr.Interval))
	lastCandle, ok := kSeries.Get(0)
	if !ok {
		err = fmt.Errorf("get series last candle error")
		return
	}
	// 关闭所有未平仓仓位
	b.forceCloseAllHoldingPosition(lastCandle)

	// 回测结果
	test.Etime = time.Now().UnixMilli()
	test.EndCash = b.account.cash
	test.Profit = b.account.profit
	test.TotalTrades = len(b.account.trades)
	test.WinningTrades = b.account.winningTrades
	test.LosingTrades = b.account.losingTrades
	test.Fee = b.account.fee
	// trades
	var trades []*Trade
	for _, trade := range b.account.trades {
		trade.BacktestId = test.Id
		trade.Ctime = test.Ctime
		trades = append(trades, trade)
	}
	collect.SortAsc(trades, func(t *Trade) int64 { return t.Id })
	test.Trades = trades
	// 最大回撤
	drawdown := b.account.maxDrawdown
	test.MaxDrawdown = max((drawdown[0]-drawdown[1])/drawdown[0], (drawdown[2]-drawdown[3])/drawdown[2])
	return
}

// forceCloseAllHoldingPosition 关闭所有未平仓仓位
func (b *TradingPlanBacktester) forceCloseAllHoldingPosition(k types.Kline) (err error) {
	for _, pos := range b.account.positions {
		err = b.account.ClosePosition(pos, k, trade.CauseCloseForced)
		if err != nil {
			return
		}
	}
	return
}

// closeByKlineInterval1m k线更新时检查平仓
func (b *TradingPlanBacktester) closeByKlineInterval1m(k types.Kline) (err error) {
	var posErrs []error
	positions := b.account.OpenPositions()
	for _, pos := range positions {
		closePos, cause := b.closeStrategy.OnKline(k, pos)
		if closePos {
			errc := b.account.ClosePosition(pos, k, cause)
			if errc != nil {
				posErrs = append(posErrs, errc)
				zlog.Errorf("close position error: k=%#v, err=%v", k, errc)
			}
		}
	}
	if len(posErrs) > 0 {
		err = errors.Join(posErrs...)
		return
	}
	return
}

// closeBySigSingal 交易信号出现时检查平仓
func (b *TradingPlanBacktester) closeBySigSingal(sigSide types.Side, kline types.Kline) (err error) {
	var posErrs []error
	positions := b.account.OpenPositions()
	for _, pos := range positions {
		closePos, cause := b.closeStrategy.OnSigStrategySingal(sigSide, pos)
		if closePos {
			errc := b.account.ClosePosition(pos, kline, cause)
			if errc != nil {
				posErrs = append(posErrs, errc)
				zlog.Error("close position error: ", errc)
			}
		}
	}
	if len(posErrs) > 0 {
		err = errors.Join(posErrs...)
		return
	}
	return
}

// onSideSingal 出现买卖信号
func (b *TradingPlanBacktester) onSideSingal(sigSide types.Side, k types.Kline) (err error) {
	// 买卖信号交易风险分析
	doTrade, causes, err := b.riskStrategy.SigRiskAnalyze(sigSide)
	if err != nil {
		return
	}
	if !doTrade {
		_ = causes // todo 记录信号不交易原因分析 log db analyze
		return
	}
	tradeArg, err := b.tradeStrategy.SigTrade(sigSide, k)
	if err != nil {
		return
	}
	ok, cause, err := b.account.TradeOrder(tradeArg)
	if err != nil {
		return
	}
	if !ok {
		_ = cause // todo 记录不交易原因
	}
	return
}