sig-pub/pkg/strategy/sig_strategy.go

package strategy

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

// ISigStrategy 交易信号策略接口(单周期单交易所)
type ISigStrategy interface {
	New() ISigStrategy
	Meta() StrategyMeta
	Init(input types.Input) (err error) // 校验参数, 并根据参数初始化策略
}

type StrategyMeta struct {
	Name  string           `json:"name"`
	Desc  string           `json:"desc"`
	Input []types.InputArg `json:"input"` // 参数定义
}

// ISingleSigStrategy 单周期单交易所策略
type ISingleSigStrategy interface {
	ISigStrategy
	// 需要的最小数据k线数, 回测时用, 若不定义则取最大窗口值
	CandlePeriods(ctx ISingleSigStrategyContext) int16
	Update(ctx ISingleSigStrategyContext) (side types.Side)
}

// ISingleSigStrategyContext 策略上下文
type ISingleSigStrategyContext interface {
	// Input 获取输入参数
	Input() types.Input
	// Get [0]当前k线
	Get(offset int16) types.Kline
	// Series [offset...end]
	Series(offset, count int16) (klines types.Klines)
	// Indicator 获取窗口类型指标
	Indicator(name string, args ...any) indicator.IIndicatorSeries
}

// 多周期k线策略接口
type IIntervalSigStrategy interface {
	ISigStrategy
	// 需要的各周期最小数据k线数, 回测时用
	CandlePeriods(ctx IIntervalSigStrategyContext) (iPeriods *types.IntervalState[int16])
	Update(ctx IIntervalSigStrategyContext) (side types.Side)
}

// IIntervalSigStrategyContext 多周期策略上下文
type IIntervalSigStrategyContext interface {
	// Input 获取输入参数
	Input() types.Input
	// Get [0]当前k线
	Get(interval types.Interval, offset int16) types.Kline
	// Series [offset...end]
	Series(interval types.Interval, offset, count int16) (klines types.Klines)
	// 获取窗口类型指标
	Indicator(interval types.Interval, name string, args ...any) indicator.IIndicatorSeries
}

// 多币种多周期策略接口
type IInstanceIntervalSigStrategy interface {
	ISigStrategy
	// 需要的各周期最小数据k线数, 回测时用
	CandlePeriods(ctx IIntervalSigStrategyContext) (tradeInsts []string, iPeriods *types.IntervalState[int16])
	Update(ctx IInstanceIntervalSigStrategyContext) (sides []types.SideInst)
}

type IInstanceIntervalSigStrategyContext interface {
	// Input 获取输入参数
	Input() types.Input
	// Get [0]当前k线
	Get(instId string, interval types.Interval, offset int16) types.Kline
	// Series [offset...end]
	Series(instId string, interval types.Interval, offset, count int16) (klines types.Klines)
	// 获取窗口类型指标
	Indicator(instId string, interval types.Interval, name string, args ...any) indicator.IIndicatorSeries
}