sig-pub/pkg/trade/close_strategy.go

package trade

import (
	"sig-pub/pkg/types"
	"sig-pub/pkg/types/decimals"
)

type ICloseStrategy interface {
	OnKline(k types.Kline, pos *Position) (closePos bool, cause Cause)
	OnPrice(price float64, pos *Position) (closePos bool, cause Cause)
	OnSigStrategySingal(sigSide types.Side, pos *Position) (closePos bool, cause Cause)
}

// 平仓策略参数
type CloseStrategyParam struct {
	StopLossPct        float64 `json:"stopLossPct"`        // 固定止损 static stoploss
	TakeProfitPct      float64 `json:"takeProfitPct"`      // 固定止盈 static take profit
	TrailMinProfit     float64 `json:"trailMinProfit"`     // 启动移动止损的最小盈利阈值(例如达到 1% 后才开始追踪)  minimum profit (fraction) before trailing activates (e.g. 0.01 = 1%)；
	TrailingPct        float64 `json:"trailingPct"`        // 移动止损百分比(例如 0.02 表示从最高价回撤 2% 时触发追踪止损) trailing stop percent (e.g. 0.02 = 2%)；
	ProfitRetracePct   float64 `json:"profitRetracePct"`   // close when profit retraces more than this fraction of peak profit；基于最高利润回撤触发平仓（例如从最高利润回撤超过 30% 则平仓）。
	CloseOnSideReverse bool    `json:"closeOnSideReverse"` // 交易信号和持单方向相反时是否进行平仓
	Fee                bool    `json:"fee"`                // 计算止盈止损时是否包含手续费
}

// CloseStrategy 平仓策略
type CloseStrategy struct {
	CloseStrategyParam
}

func NewCloseStrategy(param CloseStrategyParam) *CloseStrategy {
	return &CloseStrategy{
		CloseStrategyParam: param,
	}
}

// Update 当k线更新判断是否关闭仓位
func (s *CloseStrategy) OnKline(k types.Kline, pos *Position) (closePos bool, cause Cause) {
	closePrice := decimals.MustToFloat64(k.Close)
	// update peak px
	if pos.Side == types.SideLong && closePrice > pos.PeakPx {
		pos.PeakPx = closePrice
	}
	if pos.Side == types.SideShort && closePrice < pos.PeakPx {
		pos.PeakPx = closePrice
	}
	return s.OnPrice(closePrice, pos)
}

// OnPrice 当k线更新判断是否关闭仓位
func (s *CloseStrategy) OnPrice(price float64, pos *Position) (closePos bool, cause Cause) {
	if !pos.Side.IsValid() {
		return
	}
	// side long:
	if pos.Side == types.SideLong {
		// 固定止损
		if s.StopLossPct > 0 && price <= pos.EntryPx*(1-s.StopLossPct) {
			return true, CauseStoploss
		}
		// 固定止盈
		if s.TakeProfitPct > 0 && price >= pos.EntryPx*(1+s.TakeProfitPct) {
			return true, CauseTakeprofit
		}
		// todo dynamic trailing

		return
	}
	// side short:
	if s.StopLossPct > 0 && price >= pos.EntryPx*(1+s.StopLossPct) {
		return true, CauseStoploss
	}
	if s.TakeProfitPct > 0 && price <= pos.EntryPx*(1-s.TakeProfitPct) {
		return true, CauseTakeprofit
	}
	return
}

// OnSigStrategySingal 根据策略信号尝试平掉相反方向的仓位。例如策略返回 SELL 时，平掉 BUY 持仓
func (s *CloseStrategy) OnSigStrategySingal(sigSide types.Side, pos *Position) (closePos bool, cause Cause) {
	if !s.CloseOnSideReverse {
		return
	}
	return sigSide != pos.Side, CauseStoploss
}