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

package backtest

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

type Simulator struct {
	FeePct      float64 // e.g. 0.0005 = 0.05%
	SlippagePct float64 // e.g. 0.001 = 0.1%
}

func NewSimulator(feePct, slippagePct float64) *Simulator {
	return &Simulator{FeePct: feePct, SlippagePct: slippagePct}
}

// ExecuteMarket 执行市价单，使用kline信息决定成交价（使用close以及滑点）
func (s *Simulator) ExecuteMarket(side pb.Side, qty float64, k types.Kline, ts int64) (trade Trade) {
	// base price use close
	base := decimals.MustToFloat64(k.Close)
	slippage := s.SlippagePct
	if side == pb.Side_SELL {
		// sell: worse price lower
		base = base * (1 - slippage)
	} else {
		// buy: worse price higher
		base = base * (1 + slippage)
	}
	fee := math.Abs(base*qty) * s.FeePct
	trade = Trade{Side: side, Qty: qty, Price: base, Fee: fee, Ts: ts}
	return
}

// ExecuteLimit 简单实现: 如果limit价格被kline的high/low包含则成交
func (s *Simulator) ExecuteLimit(side pb.Side, qty float64, limitPx float64, k types.Kline, ts int64) (filled bool, trade Trade) {
	h := decimals.MustToFloat64(k.High)
	l := decimals.MustToFloat64(k.Low)
	if side == pb.Side_BUY {
		// buy limit: filled if low <= price
		if l <= limitPx {
			// assume filled at min(limitPx, open)
			px := math.Min(limitPx, decimals.MustToFloat64(k.Open))
			fee := math.Abs(px*qty) * s.FeePct
			trade = Trade{Side: side, Qty: qty, Price: px * (1 + s.SlippagePct), Fee: fee, Ts: ts}
			return true, trade
		}
	} else if side == pb.Side_SELL {
		if h >= limitPx {
			px := math.Max(limitPx, decimals.MustToFloat64(k.Open))
			fee := math.Abs(px*qty) * s.FeePct
			trade = Trade{Side: side, Qty: qty, Price: px * (1 - s.SlippagePct), Fee: fee, Ts: ts}
			return true, trade
		}
	}
	return false, trade
}