sig-pub/internal/trading/sig/strategy_context.go

package sig

import (
	"fmt"
	"sig-pub/pkg/indicator"
	"sig-pub/pkg/strategy"
	"sig-pub/pkg/types"
	"sig-pub/pkg/utils/collect"
)

type StrategyContext struct {
	strategy.ISingleSigStrategyContext

	input                  types.Input
	kSeries                *types.KlineSeries
	indicatorsReg          *indicator.IndicatorRegistry
	indicatorContextStates IndicatorStates
}

func NewStrategyContext(input types.Input, kSeries *types.KlineSeries, indicatorsReg *indicator.IndicatorRegistry) *StrategyContext {
	return &StrategyContext{
		input:                  input,
		kSeries:                kSeries,
		indicatorsReg:          indicatorsReg,
		indicatorContextStates: NewIndicatorStates(),
	}
}

// Input 获取输入参数
func (c *StrategyContext) Input() (in types.Input) {
	return c.input
}

func (c *StrategyContext) Get(offset int16) (kline types.Kline) {
	return c.kSeries.MustGet(offset)
}

func (c *StrategyContext) Series(offset, count int16) (klines types.Klines) {
	return c.kSeries.MustSeries(offset, count)
}

// 获取窗口类型指标
func (c *StrategyContext) Indicator(name string, args ...any) (s indicator.IIndicatorSeries) {
	indicator, ok := c.indicatorsReg.Indicator(name)
	if !ok {
		panic(fmt.Errorf("indicator %s not exists", name))
	}
	input := matchIndicatorArgs(args...)
	indicatorContext := NewIndicatorContext(indicator, input, c.indicatorContextStates, c.kSeries, c.indicatorsReg)
	return NewWindowIndicatorSeries(indicator, indicatorContext)
}

// IntervalStrategyContext 周期策略上下文
type IntervalStrategyContext struct {
	strategy.IIntervalSigStrategyContext

	input                          types.Input
	intervalKlineSeries            *types.IntervalState[*types.KlineSeries]
	indicatorsReg                  *indicator.IndicatorRegistry
	intervalIndicatorContextStates map[types.Interval]IndicatorStates
}

func NewIntervalStrategyContext(input types.Input, intervalKlineSeries *types.IntervalState[*types.KlineSeries], indicatorsReg *indicator.IndicatorRegistry) *IntervalStrategyContext {
	return &IntervalStrategyContext{
		input:                          input,
		intervalKlineSeries:            intervalKlineSeries,
		indicatorsReg:                  indicatorsReg,
		intervalIndicatorContextStates: make(map[types.Interval]IndicatorStates),
	}
}

// Input 获取输入参数
func (c *IntervalStrategyContext) Input() (in types.Input) {
	return c.input
}

func (c *IntervalStrategyContext) getCandleSeries(interval types.Interval) *types.KlineSeries {
	klineSeries := c.intervalKlineSeries.Get(interval)
	if klineSeries == nil {
		panic(fmt.Errorf("interval %s kline series is nil", interval))
	}
	return klineSeries
}

// Get [0]当前k线
func (c *IntervalStrategyContext) Get(interval types.Interval, offset int16) (kline types.Kline) {
	ks := c.getCandleSeries(interval)
	return ks.MustGet(offset)
}

// Series [offset...end]
func (c *IntervalStrategyContext) Series(interval types.Interval, offset, count int16) (klines types.Klines) {
	cs := c.getCandleSeries(interval)
	return cs.MustSeries(offset, count)
}

// 获取窗口类型指标
func (c *IntervalStrategyContext) Indicator(interval types.Interval, name string, args ...any) (series indicator.IIndicatorSeries) {
	indicator, ok := c.indicatorsReg.Indicator(name)
	if !ok {
		panic(fmt.Errorf("indicator %s not exists", name))
	}

	input := matchIndicatorArgs(args...)
	kSeries := c.getCandleSeries(interval)
	// 状态传递
	state, ok := c.intervalIndicatorContextStates[interval]
	if !ok {
		state = NewIndicatorStates()
		c.intervalIndicatorContextStates[interval] = state
	}
	indicatorContext := NewIndicatorContext(indicator, input, state, kSeries, c.indicatorsReg)
	return NewWindowIndicatorSeries(indicator, indicatorContext)
}

// InstIntervalStrategyContext 多币种多周期策略上下文
type InstanceIntervalSigStrategyContext struct {
	strategy.IInstanceIntervalSigStrategyContext
	input         types.Input
	iiks          *types.InstanceIntervalKlineSeries
	indicatorsReg *indicator.IndicatorRegistry

	// 指标运行时状态
	instanceIntervalIndicatorStates *collect.ConcurrentMap[string, *types.IntervalState[IndicatorStates]]
}

func NewInstanceIntervalSigStrategyContext(input types.Input, iis *types.InstanceIntervalKlineSeries, indicatorsReg *indicator.IndicatorRegistry) *InstanceIntervalSigStrategyContext {
	return &InstanceIntervalSigStrategyContext{
		input:                           input,
		iiks:                            iis,
		indicatorsReg:                   indicatorsReg,
		instanceIntervalIndicatorStates: collect.NewConcurrentMap[string, *types.IntervalState[IndicatorStates]](4, func(s string) string { return s }),
	}
}

// Input 获取输入参数
func (c *InstanceIntervalSigStrategyContext) Input() types.Input {
	return c.input
}

// Get [0]当前k线
func (c *InstanceIntervalSigStrategyContext) Get(instId string, interval types.Interval, offset int16) types.Kline {
	return c.iiks.Get(instId, interval).MustGet(offset)
}

// Series [offset...end]
func (c *InstanceIntervalSigStrategyContext) Series(instId string, interval types.Interval, offset, count int16) (klines types.Klines) {
	return c.iiks.Get(instId, interval).MustSeries(offset, count)
}

// 获取窗口类型指标
func (c *InstanceIntervalSigStrategyContext) Indicator(instId string, interval types.Interval, name string, args ...any) indicator.IIndicatorSeries {
	indicator, ok := c.indicatorsReg.Indicator(name)
	if !ok {
		panic(fmt.Errorf("indicator %s not exists", name))
	}

	input := matchIndicatorArgs(args...)
	kSeries := c.iiks.Get(instId, interval)
	// 状态传递
	intervalIndicatorStates := c.instanceIntervalIndicatorStates.ComputeIfAbsent(instId, func(k string) (iss *types.IntervalState[IndicatorStates]) {
		iss = types.NewIntervalState[IndicatorStates]()
		for _, interval := range c.iiks.GetScopeIntervals() {
			iss.Set(interval, NewIndicatorStates())
		}
		return
	})
	indicatorStates := intervalIndicatorStates.Get(interval)
	indicatorContext := NewIndicatorContext(indicator, input, indicatorStates, kSeries, c.indicatorsReg)
	return NewWindowIndicatorSeries(indicator, indicatorContext)
}