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

package backtest

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

// CloseManager 管理持仓平仓逻辑：stoploss/takeprofit 与 基于信号的平仓
type CloseManager struct {
	StopLossPct      float64 // static stoploss
	TakeProfitPct    float64 // static take profit
	TrailingPct      float64 // trailing stop percent (e.g. 0.02 = 2%)；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）。
	MinProfitToTrail float64 // minimum profit (fraction) before trailing activates (e.g. 0.01 = 1%)；启动移动止损的最小盈利阈值（例如达到 1% 后才开始追踪）。
	ProfitRetracePct float64 // 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）。
}

func NewCloseManager(stopLossPct, takeProfitPct float64) *CloseManager {
	return &CloseManager{StopLossPct: stopLossPct, TakeProfitPct: takeProfitPct}
}

func (m *CloseManager) SetDynamicParams(trailingPct, minProfitToTrail, profitRetracePct float64) {
	m.TrailingPct = trailingPct
	m.MinProfitToTrail = minProfitToTrail
	m.ProfitRetracePct = profitRetracePct
}

// OnKline 根据最新 kline 检查是否触发 stoploss 或 takeprofit，触发则平仓（市价）
// 返回发生的平仓成交记录
func (m *CloseManager) OnKline(k types.Kline, acct *Account) (trades []Trade) {
	if acct == nil {
		return
	}
	if (m.StopLossPct <= 0) && (m.TakeProfitPct <= 0) {
		return
	}

	// collect indices to close to avoid modifying slice during iteration
	type closeTask struct {
		idx   int
		cause string
	}
	var toClose []closeTask
	priceHigh := decimals.MustToFloat64(k.High)
	priceLow := decimals.MustToFloat64(k.Low)

	for i, p := range acct.Positions {
		if p == nil {
			continue
		}
		entry := p.EntryPx
		// update peak px
		high := decimals.MustToFloat64(k.High)
		low := decimals.MustToFloat64(k.Low)
		if p.Side == pb.Side_BUY {
			if high > p.PeakPx {
				p.PeakPx = high
			}
		} else if p.Side == pb.Side_SELL {
			if low < p.PeakPx {
				p.PeakPx = low
			}
		}
		if p.Side == pb.Side_BUY {
			// stoploss
			if m.StopLossPct > 0 && priceLow <= entry*(1-m.StopLossPct) {
				toClose = append(toClose, closeTask{idx: i, cause: "stoploss"})
				continue
			}
			// takeprofit
			if m.TakeProfitPct > 0 && priceHigh >= entry*(1+m.TakeProfitPct) {
				toClose = append(toClose, closeTask{idx: i, cause: "takeprofit"})
				continue
			}
			// dynamic trailing stop based on peak price
			if m.TrailingPct > 0 && m.MinProfitToTrail > 0 {
				// peak profit fraction
				peakProfit := (p.PeakPx - entry) / entry
				if peakProfit >= m.MinProfitToTrail {
					// trailing level
					trailLevel := p.PeakPx * (1 - m.TrailingPct)
					if priceLow <= trailLevel {
						toClose = append(toClose, closeTask{idx: i, cause: "trailing"})
						continue
					}
				}
			}
			// profit retrace rule: if peakProfit>0 and current retrace > ProfitRetracePct
			if m.ProfitRetracePct > 0 {
				peakProfit := (p.PeakPx - entry) / entry
				curProfit := (priceHigh - entry) / entry
				if peakProfit > 0 {
					retrace := (peakProfit - curProfit) / peakProfit
					if retrace >= m.ProfitRetracePct {
						toClose = append(toClose, closeTask{idx: i, cause: "retrace"})
						continue
					}
				}
			}
		} else if p.Side == pb.Side_SELL {
			// short: stoploss if high >= entry*(1+stop), takeprofit if low <= entry*(1-tp)
			if m.StopLossPct > 0 && priceHigh >= entry*(1+m.StopLossPct) {
				toClose = append(toClose, closeTask{idx: i, cause: "stoploss"})
				continue
			}
			if m.TakeProfitPct > 0 && priceLow <= entry*(1-m.TakeProfitPct) {
				toClose = append(toClose, closeTask{idx: i, cause: "takeprofit"})
				continue
			}
			// update trailing for short based on PeakPx (lower is better for short)
			if m.TrailingPct > 0 && m.MinProfitToTrail > 0 {
				peakProfit := (entry - p.PeakPx) / entry
				if peakProfit >= m.MinProfitToTrail {
					trailLevel := p.PeakPx * (1 + m.TrailingPct)
					if priceHigh >= trailLevel {
						toClose = append(toClose, closeTask{idx: i, cause: "trailing"})
						continue
					}
				}
			}
			if m.ProfitRetracePct > 0 {
				peakProfit := (entry - p.PeakPx) / entry
				curProfit := (entry - priceLow) / entry
				if peakProfit > 0 {
					retrace := (peakProfit - curProfit) / peakProfit
					if retrace >= m.ProfitRetracePct {
						toClose = append(toClose, closeTask{idx: i, cause: "retrace"})
						continue
					}
				}
			}
		}
	}

	// close collected positions (process from high index to low to safely remove)
	for j := len(toClose) - 1; j >= 0; j-- {
		idx := toClose[j].idx
		cause := toClose[j].cause
		if idx < 0 || idx >= len(acct.Positions) {
			continue
		}
		// perform market close: side opposite
		pos := acct.Positions[idx]
		var closeSide pb.Side
		if pos.Side == pb.Side_BUY {
			closeSide = pb.Side_SELL
		} else {
			closeSide = pb.Side_BUY
		}
		tr, ok := acct.ClosePosition(idx, k, k.Ts, cause)
		if ok {
			trades = append(trades, tr)
		}
		_ = closeSide // closeSide kept for clarity if we later need it
	}
	return
}

// CloseBySignal 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，尝试平掉所有 BUY 持仓
func (m *CloseManager) CloseBySignal(sigSide pb.Side, acct *Account, k types.Kline) (trades []Trade) {
	if acct == nil {
		return
	}
	// determine which positions to close: positions with opposite side to sigSide
	type closeTask struct {
		idx   int
		cause string
	}
	var toClose []closeTask
	for i, p := range acct.Positions {
		if p == nil {
			continue
		}
		if sigSide == pb.Side_BUY && p.Side == pb.Side_SELL {
			toClose = append(toClose, closeTask{idx: i, cause: "signal"})
		} else if sigSide == pb.Side_SELL && p.Side == pb.Side_BUY {
			toClose = append(toClose, closeTask{idx: i, cause: "signal"})
		}
	}
	for j := len(toClose) - 1; j >= 0; j-- {
		idx := toClose[j].idx
		cause := toClose[j].cause
		tr, ok := acct.ClosePosition(idx, k, k.Ts, cause)
		if ok {
			trades = append(trades, tr)
		}
	}
	return
}