sig-pub/internal/trading/trading_service.go

package trading

import (
	"context"
	"fmt"
	"io"
	"math"
	"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/utils/times"
	"sig-pub/pkg/zlog"

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

	"github.com/bytedance/sonic"
	"google.golang.org/grpc"
)

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 %s", plan.Interval)
		return
	}

	// sigStrategy
	var sigStrategyInput types.Input
	if err = sonic.UnmarshalString(plan.SigStrategyParam, &sigStrategyInput); err != nil {
		return
	}
	sigStrategyType, 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
	}
	_, _ = sigStrategyType, sigStrategy
	// sigIndicatorCtx := sig.NewIndicatorContext(sigKlineSeries)
	// sigStrategyCtx := sig.NewStrategyContext(sigIndicatorCtx, svc.indicatorReg)
	// if err = tradingPlan.InitSigStrategy(sigStrategyType, 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))
	// 	}
	// }()
}

// fetchHistoryKlineSeries 请求k线数据流式处理
func (svc *TradingService) fetchHistoryKlineSeries(ctx context.Context, sr *pb.SeriesRange, recvFn func(k *types.Kline) error) (err error) {
	// fetch history klines via stream
	req := &pb.ReqHistoryKlineStream{Series: sr}
	stream, err := svc.exchangeClient.HistoryKlineStream(ctx, req, grpc.UseCompressor("snappy"))
	if err != nil {
		return
	}
	var msg *pb.RspHistoryKlineStream
	recvTimes, recvTotal := 0, 0
	watch := times.NewWatch()
	for {
		select {
		case <-ctx.Done():
			err = ctx.Err()
			return
		default:
		}
		msg, err = stream.Recv()
		if err == io.EOF {
			err = nil
			break
		}
		if err != nil {
			return
		}
		recvTimes++
		recvTotal += len(msg.Klines)
		for _, k := range msg.Klines {
			kline := new(types.Kline)
			kline.ParsePBKline(sr.Exchange, k)
			if err = recvFn(kline); err != nil {
				return
			}
		}
	}
	zlog.Debugf("fetch history kline series: inst=%s(%s), interval=%s, recv=%d, total=%d, use %s", sr.InstId, sr.Exchange, sr.Interval, recvTimes, recvTotal, watch.ElapsedFmt("."))
	return
}

// IndicatorSeries 获取指标实时或历史序列数据, 闭区间
func (svc *TradingService) IndicatorSeries(ctx context.Context, indicatorName string, digit int32, input types.Input, sr *pb.SeriesRange) (matrix []float64, times []int64, err error) {
	appros := indicator.ApproCandles
	indicator, ok := svc.indicatorReg.Indicator(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
	}

	// 查询历史指标数据
	kSeries := sig.NewKlineSeries(sr.Exchange, sr.InstId, types.Interval(sr.Interval))
	indicatorContext := sig.NewIndicatorContext(indicator, input, sig.NewIndicatorStates(), kSeries, svc.indicatorReg)

	candlePeriods := int(indicator.CandlePeriods(indicatorContext))
	sr.Desc = false

	// 计算第一个指标值需要多取candlePeriods - 1根k线; 计算ema等递归指标需要多拉取appros根k线逼近值
	srRsp, err := svc.exchangeClient.SeriesRange(ctx, &pb.ReqSeriesRange{Series: sr})
	if err != nil {
		return
	}
	srBefore := srRsp.Before
	sr.WindowExtra = uint32(max(0, candlePeriods-1)) + uint32(appros)

	// 保留小数位数
	digit = lang.Ternary(digit > 0 && digit <= 10, digit, 6)
	pow := math.Pow(10, float64(digit))
	matrix = make([]float64, 0, 200)
	times = make([]int64, 0, 200)
	err = svc.fetchHistoryKlineSeries(ctx, sr, func(k *types.Kline) (err error) {
		if lastTs, serial := kSeries.Update(k); !serial {
			err = fmt.Errorf("kline not series: %s(%s), interval=%s, lastTs=%d", sr.InstId, sr.Exchange, interval, lastTs)
			return
		}
		if k.Ts < srBefore {
			return
		}
		if kSeries.Length() < candlePeriods {
			return
		}
		vector := indicator.Calculate(indicatorContext)
		matrix = append(matrix, math.Round(vector*pow)/pow)
		times = append(times, indicatorContext.Get(0).Ts)
		return
	})
	if err != nil {
		return
	}
	return
}

// StrategySeries 信号策略回测
func (svc *TradingService) StrategySeries(ctx context.Context, req *pb.ReqStrategySeries, rsp *pb.RspStrategySeries) (err error) {
	// sigStrategy
	sigStrategyType, sigStrategy, ok := svc.strategyReg.NewSigStrategy(req.SigStrategy)
	if !ok {
		err = fmt.Errorf("strategy %s not exists", req.SigStrategy)
		return
	}

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

	// 信号策略参数
	sigStrategyInput := types.Input(req.Input.AsMap())

	// 使用回测器回测信号
	backtester := backtest.NewSigStrategyBacktester(sigStrategyType, sigStrategy, svc.indicatorReg, svc.exchangeClient)
	err = backtester.Backtest(ctx, sigStrategyInput, req.Series, nil, func(sigSide types.Side, k types.Kline) (err error) {
		side := lang.Ternary(sigSide == types.SideLong, pb.Side_BUY, pb.Side_SELL)
		rsp.Signal = append(rsp.Signal, side)
		rsp.Times = append(rsp.Times, k.Ts)
		return
	})
	return
}

// Backtest 回测交易计划
func (svc *TradingService) Backtest(ctx context.Context, 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)
	if _, ok := types.SupportedIntervals[interval]; !ok {
		err = fmt.Errorf("unsupport interval %s", interval)
		return
	}

	sr := &pb.SeriesRange{
		Exchange: exchange,
		InstId:   plan.InstId,
		Interval: plan.Interval,
		Before:   stime,
		After:    etime,
		Open:     false,
		Live:     false,
		Desc:     false,
	}

	tester := backtest.NewTradingPlanBacktester(svc.indicatorReg, svc.strategyReg, svc.exchangeClient)
	if err = tester.Init(10000, *plan); err != nil {
		return
	}
	w := times.NewWatch()
	backtestTradingPlan, err := tester.Backtest(ctx, sr)
	if err != nil {
		return
	}
	zlog.Infof("backtest use %s", w.ElapsedFmt(""))
	w.Reset()
	err = svc.tradingDataPersist.SaveBacktestTradingPlan(ctx, backtestTradingPlan)
	zlog.Infof("insert backtest ret use %s", w.ElapsedFmt(""))
	return
}

// BacktestLog 回测记录查询
func (svc *TradingService) BacktestLog(ctx context.Context, userId int64) (backtestLogs []*backtest.BacktestTradingPlan, err error) {
	// todo userid from ctx
	backtestLogs, err = svc.tradingDataPersist.ListBacktestLogs(userId)
	return
}