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42 lines
1.1 KiB
42 lines
1.1 KiB
package trade |
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import ( |
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"sig-pub/pkg/types" |
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) |
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type IRickStrategy interface { |
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OnSignal(signalSide types.Side) (ok bool, cause Cause) |
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} |
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type RiskStrategyParam struct { |
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SkipOnSideOpposite bool // 当前持有反方向单时 |
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SkipOnSideSame bool // 当前持有相同方向单时 |
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} |
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// RiskStrategy 风险管理策略 |
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// Kelly准则优化方法 |
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type RiskStrategy struct { |
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RiskStrategyParam |
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} |
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func NewRiskStrategy(param RiskStrategyParam) (rs *RiskStrategy, err error) { |
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rs = &RiskStrategy{ |
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RiskStrategyParam: param, |
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} |
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return |
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} |
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// SideAssess 收到信号时进行评估, 返回过滤后的交易信号 |
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// 对交易方向进行信心分数评估, 后续开仓仓位 |
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// 1.当前持有反方向单时, 不进行开仓 |
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// 2.当前持有同方向单时, 根据信心分数评估是否加仓 |
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func (s *RiskStrategy) SigRiskAnalyze(signalSide types.Side) (doTrade bool, causes []Cause, err error) { |
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return true, nil, nil |
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} |
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func (s *RiskStrategy) SigRiskAnalyze1(account string, signalSide types.Side) (doTrade bool, causes []Cause, err error) { |
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return true, nil, nil |
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}
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