sig-pub/internal/trading/kline_store.go

package trading

import (
	"sig-pub/api/pb"
	vmts "sig-pub/pkg/storage/tsdb/victoria_metrics"
	"sig-pub/pkg/types"
	"sig-pub/pkg/utils/collect"
)

type KlineStore struct {
	vmdb  vmts.VictoriaMetricsTSDB
	store [3]*collect.ConcurrentMap[string, *KlineStoreInstance] // K线列表: []exchange<instId, interval, klines>
}

func NewKlineSeriesStore() (kss *KlineStore) {
	kss = &KlineStore{}
	kss.store[pb.ExchangeType_OKX] = collect.NewConcurrentMap[string, *KlineStoreInstance](64, func(s string) string { return s })
	// kss.klines[pb.ExchangeType_BINANCE] =
	return
}

func (s *KlineStore) Update(exchange pb.ExchangeType, instId string, kline *types.Kline) (k types.Kline) {
	storeInst := s.store[exchange].ComputeIfAbsent(instId, func(k string) *KlineStoreInstance {
		return NewKlineStoreInstance(exchange, k)
	})
	storeInst.Update(kline)
	return
}

// KlineStoreInstance 单个交易产品所有周期k线
type KlineStoreInstance struct {
	Exchange       pb.ExchangeType
	InstId         string
	IntervalKlines *collect.SyncMap[types.Interval, *KlineSeries]
}

func NewKlineStoreInstance(exchange pb.ExchangeType, instId string) *KlineStoreInstance {
	si := &KlineStoreInstance{
		Exchange:       exchange,
		InstId:         instId,
		IntervalKlines: collect.NewSyncMap[types.Interval, *KlineSeries](),
	}
	for interval := range types.SupportedIntervals {
		si.IntervalKlines.Store(interval, NewKlineSeries(exchange, instId, interval))
	}
	return si
}

// Update 更新k线
// kline klineStore -> klineSeries -> strategy -> indicator -> klineSeries.Series
func (si *KlineStoreInstance) Update(kline *types.Kline) (ok bool) {
	ks, ok := si.IntervalKlines.Load(kline.Interval)
	if !ok {
		return
	}

	if lastTs, serial := ks.Update(kline); !serial {
		// k线不完整
		// 拉取k线
		start := lastTs
		end := kline.Ts
		_, _ = start, end
	}

	ok = true
	// emit kline event
	return
}