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

package backtest

import (
	"math"
	"sig-pub/pkg/types"
	"sig-pub/pkg/types/decimals"
	"sig-pub/pkg/utils/collect"
	"sig-pub/pkg/utils/conver"
	"time"
)

type Account struct {
	Cash           float64
	Positions      []*Position
	Trades         []*Trade // 交易订单利润分布，回测结果echart折线显示，评估止盈止损策略效果
	CloseTrades    []*Trade
	MaxPosPct      float64 // 最大仓位占比
	MaxExposurePct float64 // 最大总敞口占比
	MaxLots        float64 // 最大手数/数量 (optional)
	Simulator      *Simulator

	Stat   *TradeStat // 交易统计
	Profit float64
}

func NewAccount(cash float64, sim *Simulator) *Account {
	return &Account{
		Cash: cash, Simulator: sim, MaxPosPct: 1.0, MaxExposurePct: 1.0,
		Stat: &TradeStat{},
	}
}

func (a *Account) SetRiskLimits(maxPosPct, maxExposurePct float64) {
	if maxPosPct > 0 {
		a.MaxPosPct = maxPosPct
	}
	if maxExposurePct > 0 {
		a.MaxExposurePct = maxExposurePct
	}
}

// CurrentEquity 根据当前价格对仓位进行 mark-to-market，返回账户净值
func (a *Account) CurrentEquity(price float64) float64 {
	equity := a.Cash
	for _, p := range a.Positions {
		switch p.Side {
		case types.SideLong:
			equity += (price - p.EntryPx) * p.Qty
		case types.SideShort:
			equity += (p.EntryPx - price) * p.Qty
		}
	}
	return equity
}

// CurrentExposure 返回当前仓位的名义总敞口（绝对值）
func (a *Account) CurrentExposure(price float64) float64 {
	var sum float64
	for _, p := range a.Positions {
		sum += math.Abs(p.Qty * price)
	}
	return sum
}

func (a *Account) PositionCost() float64 {
	var sum float64
	for _, p := range a.Positions {
		sum += math.Abs(p.Qty * p.EntryPx)
	}
	return sum
}

// CanOpen 判断在给定价格下是否可以开仓（基于 MaxPosPct 和 MaxExposurePct）
func (a *Account) CanOpen(side types.Side, qty, price float64) bool {
	if qty <= 0 || price <= 0 {
		return false
	}
	equity := a.CurrentEquity(price)
	if equity <= 0 {
		return false
	}
	notional := math.Abs(qty * price)
	// 单仓位限制
	if a.MaxPosPct > 0 {
		if notional > a.MaxPosPct*equity {
			return false
		}
	}
	// 总敞口限制
	if a.MaxExposurePct > 0 {
		if a.CurrentExposure(price)+notional > a.MaxExposurePct*equity {
			return false
		}
	}
	return true
}

// ApplyMarketOrder 直接用市价下单（简化），qty为基础货币数量
func (a *Account) ApplyMarketOrder(side types.Side, qty float64, price float64, ts int64) (t *Trade, ok bool) {
	if !a.CanOpen(side, qty, price) {
		return t, false
	}
	trade, ok := a.Simulator.ExecuteMarket(side, qty, price, ts)
	if !ok {
		return
	}

	// apply cash/position, short side also need earnest money
	cost := trade.Price*qty + trade.Fee
	if cost > a.Cash {
		return trade, false
	}
	a.Cash -= cost
	// open/add position
	pos := &Position{TradeId: trade.Id, Side: side, Qty: qty, EntryPx: trade.Price, EntryTs: ts, PeakPx: trade.Price, Fee: trade.Fee}
	a.Positions = append(a.Positions, pos)
	a.Trades = append(a.Trades, trade)
	{
		a.Stat.TotalTrades++
		a.Stat.Fee += trade.Fee
	}
	return trade, true
}

// ClosePosition 根据索引平仓（全部平仓该仓位）
func (a *Account) ClosePosition(index int, pos *Position, kline types.Kline, ts int64, cause string) (t *Trade, ok bool) {
	// determine close side (opposite)
	var closeSide types.Side
	if pos.Side == types.SideLong {
		closeSide = types.SideShort
	} else {
		closeSide = types.SideLong
	}

	closePrice := decimals.MustToFloat64(kline.Close)
	t, ok = a.Simulator.ExecuteMarket(closeSide, pos.Qty, closePrice, ts)
	if !ok {
		return t, false
	}
	t.CloseCause = cause

	// apply cash change
	// calc profit
	var receive, profit float64
	if pos.Side == types.SideLong {
		profit = t.Qty*(t.Price-pos.EntryPx) - t.Fee - pos.Fee
		receive = t.Price*pos.Qty - t.Fee
	} else {
		profit = (pos.EntryPx - t.Price) * t.Qty
		receive = pos.EntryPx*pos.Qty + profit - t.Fee
		profit = profit - t.Fee - pos.Fee
	}
	a.Cash += receive
	a.Profit += profit

	if profit > 0 {
		a.Stat.WinningTrades++
	} else {
		a.Stat.LosingTrades++
	}
	a.Stat.Fee += t.Fee

	// remove position
	a.Positions = append(a.Positions[:index], a.Positions[index+1:]...)
	a.CloseTrades = append(a.CloseTrades, t)

	trade, ok := collect.Find(a.Trades, func(t *Trade) bool { return t.Id == pos.TradeId })
	if ok {
		trade.Pnl = profit
		trade.ClosePrice = closePrice
		trade.CloseFee = t.Fee
		trade.CloseTs = kline.Ts
		trade.CloseCause = cause
		trade.HoldTime = conver.TimeDurationFormat(time.Duration(trade.CloseTs-trade.Ts)*time.Millisecond, ".")
	}
	return t, true
}