sig-pub/internal/trading/trading_service.go

package trading

import (
	"context"
	"fmt"
	"sig-pub/api/pb"
	"sig-pub/pkg/client"
	"sig-pub/pkg/data"
	"sig-pub/pkg/data/entity"
	"sig-pub/pkg/indicator"
	"sig-pub/pkg/publish"
	"sig-pub/pkg/strategy"
	"sig-pub/pkg/types"
	"sig-pub/pkg/utils/collect"
	"sig-pub/pkg/utils/lang"
	"sig-pub/pkg/zlog"

	"sig-pub/internal/trading/backtest"
	"sig-pub/internal/trading/sig"

	"github.com/bytedance/sonic"
)

type TradingService struct {
	marketClientAside  *client.TradeInstanceAside
	exchangeClient     pb.ExchangeServiceClient
	tradingDataPersist *TradingDataPersist

	klineSeriesStore *KlineSeriesStore
	indicatorReg     *indicator.IndicatorRegistry                     // 注册窗口指标
	strategyReg      *strategy.SigStrategyRegistry                    // 注册信号策略
	signalPublisher  *publish.Publisher[int64, strategy.StrategyType] // planId -> strategyType
	tradingPlans     *collect.SyncMap[int64, *sig.TradingPlan]        // 运行中交易计划
}

func NewTradingService(
	marketClientAside *client.TradeInstanceAside,
	exchangeClient pb.ExchangeServiceClient,
	tradingDataPersist *TradingDataPersist,
) *TradingService {
	return &TradingService{
		marketClientAside:  marketClientAside,
		exchangeClient:     exchangeClient,
		tradingDataPersist: tradingDataPersist,
		klineSeriesStore:   NewKlineSeriesStore(exchangeClient),
		indicatorReg:       indicator.NewIndicatorRegistry(),
		strategyReg:        strategy.NewSigStrategyRegistry(),
		signalPublisher:    publish.NewPublisher[int64, strategy.StrategyType](16),
		tradingPlans:       collect.NewSyncMap[int64, *sig.TradingPlan](),
	}
}

// 初始化历史k线, 订阅实时k线
func (svc *TradingService) Init() (err error) {
	if err = svc.indicatorReg.Init(); err != nil {
		return
	}
	if err = svc.strategyReg.Init(); err != nil {
		return
	}

	if err = svc.klineSeriesStore.Init(); err != nil {
		return
	}

	go svc.consumerKlineSignal()

	// todo loading trading plan
	return
}

// consumerKlineSignal 订阅k线更新
func (svc *TradingService) consumerKlineSignal() {
	c := svc.klineSeriesStore.ConsumerKlineSignel()
	for {
		signalKey := <-c
		zlog.Debugf("signal: %s", signalKey)
		planIds, strategyTypes := svc.signalPublisher.Publisher(signalKey)
		for i, strategyType := range strategyTypes {
			planId := planIds[i]
			plan, ok := svc.tradingPlans.Load(planId)
			if !ok {
				zlog.Warningf("plan not running: id=%d", planId)
				continue
			}
			if plan.Status.Load() == int32(data.StatusOk) {
				plan.Update(strategyType)
			}
		}
	}
}

// getTradingPlan 获取交易计划
// todo 止盈止损策略, 下单策略...
func (svc *TradingService) getTradingPlan(plan *entity.TradePlan, sigKlineSeries *sig.KlineSeries) (tradingPlan *sig.TradingPlan, err error) {
	exchange := pb.ExchangeType(plan.Exchange)
	interval := types.Interval(plan.Interval)
	instId := plan.InstId
	if !types.IsSupportExchange(exchange) {
		err = fmt.Errorf("unsupport exchange %d", plan.Exchange)
		return
	}
	if _, ok := types.SupportedIntervals[interval]; !ok {
		err = fmt.Errorf("unsupport interval %d", plan.Exchange)
		return
	}

	// sigStrategy
	sigStrategyParam := make(strategy.StrategyParam)
	if err = sonic.UnmarshalString(plan.SigStrategyParam, &sigStrategyParam); err != nil {
		return
	}
	sigStrategy, ok := svc.strategyReg.NewSigStrategy(plan.SigStrategy)
	if !ok {
		err = fmt.Errorf("strategy %s not exists", plan.SigStrategy)
		return
	}

	if sigKlineSeries == nil {
		sigKlineSeries, err = svc.klineSeriesStore.GetKlineSeires(exchange, instId, interval)
		if err != nil {
			return
		}
	}

	tradingPlan = sig.NewTradingPlan(*plan, svc.indicatorReg)
	if err = tradingPlan.Init(); err != nil {
		return
	}
	sigIndicatorCtx := sig.NewIndicatorContext(sigKlineSeries)
	sigStrategyCtx := sig.NewStrategyContext(sigIndicatorCtx, svc.indicatorReg)
	if err = tradingPlan.InitSigStrategy(sigStrategy, sigStrategyParam, sigStrategyCtx); err != nil {
		return
	}
	return

	// if _, load := svc.tradingPlans.LoadOrStore(planId, tradingPlan); load {
	// 	err = fmt.Errorf("plan already running: planId=%d", planId)
	// 	return
	// }
	// tradingPlan.Status.Store(int32(data.StatusProcessing))

	// defer func() {
	// 	if err != nil {
	// 		svc.tradingPlans.Delete(planId)
	// 	} else {
	// 		// 订阅交易信号策略k线周期
	// 		sigSubKey := strategy.DriverIntervalKey(instId, exchange, false, sigInterval)
	// 		svc.signalPublisher.Subscribe(sigSubKey, planId, strategy.StrategyTypeSig)

	// 		tradingPlan.Status.Store(int32(data.StatusOk))
	// 	}
	// }()
}

// IndicatorSeries 获取指标实时或历史序列数据, 闭区间
func (svc *TradingService) IndicatorSeries(indicatorName string, window uint32, sr *pb.SeriesRange) (matrix []float64, times []int64, err error) {
	// indicatorName string, exchange pb.ExchangeType, instId string, interval types.Interval, window int
	indicator, ok := svc.indicatorReg.IndicatorW(indicatorName)
	if !ok {
		err = fmt.Errorf("indicator %s not exists", indicatorName)
		return
	}
	interval := types.Interval(sr.Interval)
	_, ok = types.SupportedIntervals[interval]
	if !ok {
		err = fmt.Errorf("unsupport interval %s", interval)
		return
	}

	// before, after, count := sr.Before, sr.After, sr.Count
	// var indCtx IOffsetIndicatorContext
	// // 查询实时指标数据
	// if before == 0 && after == 0 {
	// 	klineSeries, err1 := svc.klineStore.GetKlineSeires(sr.Exchange, sr.InstId, interval)
	// 	if err1 != nil {
	// 		err = err1
	// 		return
	// 	}
	// 	// recover todo out of range
	// 	indCtx = NewIndicatorContext(klineSeries)
	// }

	// 查询历史指标数据
	sr.Window = window
	indCtx := sig.NewHistoryIndicatorContext(svc.exchangeClient)
	totalK := 0
	if totalK, err = indCtx.Init(sr); err != nil {
		return
	}
	count := totalK - int(window)

	matrix = make([]float64, 0, sr.Count)
	times = make([]int64, 0, sr.Count)
	for i := count - 1; i >= 0; i-- {
		indCtx.SetOffset(int16(i))
		vector := indicator.Calculate(indCtx, int16(window))
		matrix = append(matrix, vector)
		times = append(times, indCtx.Get(0).Ts)
	}
	return
}

// StrategySeries 简单策略信号测试
// todo 去掉 HistoryIndicatorContext, 像backtest使用stream来一个算一个
func (svc *TradingService) StrategySeries(req *pb.ReqStrategySeries, rsp *pb.RspStrategySeries) (err error) {
	// sigStrategy
	sigStrategy, ok := svc.strategyReg.NewSigStrategy(req.SigStrategy)
	if !ok {
		err = fmt.Errorf("strategy %s not exists", req.SigStrategy)
		return
	}
	// init sigStrategy
	if err = sigStrategy.Init(req.SigParam); err != nil {
		return
	}

	interval := types.Interval(req.Series.Interval)
	_, ok = types.SupportedIntervals[interval]
	if !ok {
		err = fmt.Errorf("unsupport interval %s", interval)
		return
	}

	// klineSeries, err1 := svc.klineStore.GetKlineSeires(req.Exchange, req.InstId, interval)
	// if err1 != nil {
	// 	err = err1
	// 	return
	// }
	// recover todo out of range
	sr := req.Series
	exchange := sr.Exchange
	series := sig.NewKlineSeries(exchange, sr.InstId, interval)

	count, totalK := 0, 0
	indctx := sig.NewIndicatorContext(series)
	_ = indctx

	indicatorContext := sig.NewHistoryIndicatorContext(svc.exchangeClient)
	req.Series.Window += indicator.MaxWindow
	if totalK, err = indicatorContext.Init(req.Series); err != nil {
		return
	}
	count = totalK - indicator.MaxWindow

	strategyContext := sig.NewStrategyContext(indicatorContext, svc.indicatorReg)
	for i := count - 1; i >= 0; i-- {
		strategyContext.SetOffset(int16(i))
		sigSide := sigStrategy.Update(strategyContext)
		if sigSide == types.SideLong || sigSide == types.SideShort {
			side := lang.Ternary(sigSide == types.SideLong, pb.Side_BUY, pb.Side_SELL)
			signalK := strategyContext.Get(0)
			rsp.Signal = append(rsp.Signal, side)
			rsp.Times = append(rsp.Times, signalK.Ts)
			{
				// todo delete
				win := false
				if indicatorContext.GetOffset() > 0 {
					nextK := indicatorContext.Get(-1)
					if side == pb.Side_BUY {
						win = nextK.Close.Cmp(signalK.Close) > 0
					} else {
						win = nextK.Close.Cmp(signalK.Close) < 0
					}
				}
				rsp.Wins = append(rsp.Wins, win)
			}
		}
	}
	// 信号点胜率判断
	wins := collect.Filter(rsp.Wins, func(_ int, win bool) bool { return win })
	rsp.WinRate = float64(len(wins)) / float64(len(rsp.Wins))
	return
}

// Backtest 回测交易计划
func (svc *TradingService) Backtest(planId, stime, etime int64) (err error) {
	plan, err := svc.tradingDataPersist.GetTradePlanById(planId)
	if err != nil {
		return
	}
	exchange := pb.ExchangeType(plan.Exchange)
	interval := types.Interval(plan.Interval)

	sigKlineSeries := sig.NewKlineSeries(exchange, plan.InstId, interval)
	tradingPlan, err := svc.getTradingPlan(plan, sigKlineSeries)
	if err != nil {
		return
	}

	test := backtest.NewBacktest(svc.exchangeClient, svc.indicatorReg, svc.strategyReg)
	err = test.RunTradingPlan(context.Background(), tradingPlan, stime, etime, sigKlineSeries)
	if err != nil {
		return
	}
	return
}