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95 lines
3.1 KiB
95 lines
3.1 KiB
package trade |
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import ( |
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"fmt" |
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"sig-pub/pkg/strategy" |
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"sig-pub/pkg/types" |
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"sig-pub/pkg/types/decimals" |
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"time" |
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"github.com/govalues/decimal" |
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) |
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const ( |
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PriceDriverInterval = types.Interval1m // 价格更新使用1分钟k线 |
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) |
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type SigTradeStrategy struct { |
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closeParam *CloseStrategyInput |
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} |
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func NewSigTradeStrategy() *SigTradeStrategy { |
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return &SigTradeStrategy{} |
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} |
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func (s *SigTradeStrategy) New() strategy.ISigStrategy { |
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return &SigTradeStrategy{} |
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} |
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func (s *SigTradeStrategy) Meta() strategy.StrategyMeta { |
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return strategy.StrategyMeta{ |
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Name: "SigTradeStrategy", |
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Desc: "默认交易策略", |
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Input: []types.InputArg{ |
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// 交易参数 |
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{Name: "maxPosPct", Type: types.InputTypeUFloat, Desc: "单笔交易最大仓位占比"}, |
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{Name: "maxExposurePct", Type: types.InputTypeUFloat, Desc: "最大总敞口占比"}, |
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{Name: "maxLots", Type: types.InputTypeUInt, Desc: "最大手数/数量"}, |
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// 平仓止损参数 |
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{Name: "stopLossPct", Type: types.InputTypeUFloat, Desc: "固定止损比例"}, |
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{Name: "takeProfitPct", Type: types.InputTypeUFloat, Desc: "固定止盈比例"}, |
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{Name: "profitRetracePcts", Type: types.InputTypeUFloats2D, Desc: "基于最高利润回撤触发平仓 (例如 [[0.01, 0.3], [0.02, 0.2]] 最高利润超过1%时30%回撤则触发平仓, 最高利润超过2%时20%回撤就触发平仓)"}, |
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{Name: "closeOnSideReverse", Type: types.InputTypeBool, Desc: "交易信号和持单方向相反时是否进行平仓"}, |
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{Name: "fee", Type: types.InputTypeBool, Desc: "计算止盈止损时是否包含手续费"}, |
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// 风险评估参数... |
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}, |
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} |
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} |
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// 校验参数, 并根据参数初始化策略 |
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func (s *SigTradeStrategy) Init(input types.Input) (err error) { |
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s.closeParam = new(CloseStrategyInput) |
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input.DecodeInput(s.closeParam) |
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if s.closeParam.StopLossPct < 0 { |
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err = fmt.Errorf("stopLossPct can't less zero") |
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return |
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} |
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return |
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} |
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// 需要的各周期最小数据k线数 |
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func (s *SigTradeStrategy) CandlePeriods(ctx strategy.IInstanceIntervalSigStrategyContext) (tradeInsts []string, iPeriods *types.IntervalState[int16]) { |
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iPeriods = types.NewIntervalState[int16]() |
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iPeriods.Set(PriceDriverInterval, 1) |
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return |
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} |
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// EntryAnalysis 生成下单参数(交易量/方向/杠杆) |
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// 控制滑点, 仓位管理 |
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// 持仓中币种不能改变杠杆 |
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func (s *SigTradeStrategy) EntryAnalysis(ctx strategy.IInstanceIntervalSigStrategyContext, account ITradeAccount, sigInstId string, sigSide types.Side) (tickets []TradeTicket, skipCause Cause, err error) { |
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// todo 买卖信号交易风险分析 |
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if pos := account.GetPosition(sigInstId); pos != nil { |
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// 已持仓不能下反方向单, todo 副账户做反方向单,对冲(viceAccount) |
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if pos.Side != sigSide { |
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return |
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} |
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} |
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k := ctx.Get(sigInstId, PriceDriverInterval, 0) |
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price := decimals.MustToFloat64(k.Close) |
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ta := TradeTicket{ |
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TradeType: TradeTypeOpen, |
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InstId: sigInstId, |
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Side: sigSide, |
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Price: price, |
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Leverage: 1, |
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Qty: decimal.MustParse("0.02"), |
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Interval: string(k.Interval), |
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Ktime: k.Interval.MustAddMul(k.Ts, 1), |
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Ctime: time.Now().UnixMilli(), |
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} |
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tickets = append(tickets, ta) |
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return |
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}
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