feat(market): Phase 1 扩展 — 更多 symbol + Bollinger/Vegas + 衍生品信号
- collector.symbols 与 supportedSymbols 加 SOL/BNB/DOGE，env-default 与 README 同步 - entity 追加 TechnicalStructure.Intervals（每周期 Bollinger + Vegas，omitempty 不破坏既有字段）与 DerivativesBundle.Signal - 新增纯解析 usecase derivatives_signal.go：fundingBias 绝对阈值、oiSignal 用 P20 baseline + 价格方向（OI up + 价格 up/down → long/short_building，funding 不参与方向）、lsrRegime 绝对阈值；signal 数据不足走 warnings 进 DataQuality - indicator.go 加 sma/stddev/ema/bollinger/vegas + computeIntervalTechnicals；IndicatorComputer 签名收 klines map - harness 同步：G12 扩入 derivatives_signal.go（含 Makefile G12.5/6 + ADR-0002 适用范围 + project-map / harness-health 更新）
This commit is contained in:
dela
215
internal/usecase/derivatives_signal.go
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215
internal/usecase/derivatives_signal.go
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@@ -0,0 +1,215 @@
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// Package usecase: derivatives_signal.go 把 funding/OI/LSR 三个原始
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// 衍生品维度翻译成上游策略引擎可直接消费的语义字段。
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//
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// 与 indicator.go 同款约束：纯函数 usecase，零 repo 依赖，G1/G12 守卫。
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// 价格 / 比例值在文件内部允许 transient float64，不写回 entity。
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//
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// 判定策略（混合）：
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// - FundingBias 用绝对阈值（funding rate 本身是百分比，跨 symbol 可比）
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// - OISignal 用滚动分位（OI 数量级跨 symbol 差异大，需归一化）
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// + 价格方向（OI up + price up/down 判 long/short_building，
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// funding 不参与，避免价格下跌但 funding 仍为正时误判）
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// - LSRRegime 用绝对阈值（比例值，可比）
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//
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// 数据不足的子判定通过 warnings 显式告知调用方，调用方应把 warnings
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// 合并到 DataQuality.Warnings 让消费端看到。
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package usecase
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import (
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"fmt"
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"math"
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"sort"
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"strconv"
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"cryptoHermes/internal/entity"
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)
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const (
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// FundingBias: 单期 funding rate（8h 结算）超过 ±0.05% 视为拥挤
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fundingCrowdedAbs = 0.0005
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// OISignal: 用最近 N 根 OI 历史的 P20 做基线，
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// |latest / p20 - 1| < oiStableBandPct 视为 stable；
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// 历史不足 oiMinHistoryPoints 根则不出该字段。
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oiRollingP = 0.20
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oiStableBandPct = 0.02
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oiMinHistoryPoints = 24
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// OI 在涨时判 long/short_building 需要价格方向：
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// 取末根 close 与 oiPriceLookback 根之前的 close 比较。
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// 1h K 线 × 24 ≈ 与 OI baseline 同窗口（最近 24h）。
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oiPriceLookback = 24
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// LSRRegime: 全局多空账户比阈值
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lsrRetailHi = 1.5
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lsrRetailLo = 0.67
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)
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// DerivativesSignalUsecase 实现 DerivativesSignalComputer。
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type DerivativesSignalUsecase struct{}
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// NewDerivativesSignalUsecase 构造器；无依赖。
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func NewDerivativesSignalUsecase() *DerivativesSignalUsecase {
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return &DerivativesSignalUsecase{}
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}
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// Compute 把三个维度合并成一个 *DerivativesSignal + warnings。
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// 三个子判定相互独立：任何一项数据不足，对应字段留空 + 一条 warning，
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// 不影响其它字段。全部都判不出来时返回 nil signal。
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func (u *DerivativesSignalUsecase) Compute(
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currentFunding *entity.FundingRate,
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oiHistory []entity.OpenInterest,
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globalLSR []entity.LongShortRatio,
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primaryKlines []entity.Kline,
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) (*entity.DerivativesSignal, []string) {
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var warnings []string
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fb, fbWarn := fundingBias(currentFunding)
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if fbWarn != "" {
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warnings = append(warnings, fbWarn)
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}
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oi, oiWarn := oiSignal(oiHistory, primaryKlines)
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if oiWarn != "" {
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warnings = append(warnings, oiWarn)
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}
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lsr, lsrWarn := lsrRegime(globalLSR)
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if lsrWarn != "" {
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warnings = append(warnings, lsrWarn)
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}
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if fb == "" && oi == "" && lsr == "" {
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return nil, warnings
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}
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return &entity.DerivativesSignal{
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FundingBias: fb,
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OISignal: oi,
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LSRRegime: lsr,
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}, warnings
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}
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// fundingBias 用绝对阈值判定当前 funding 是否"拥挤"。
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// 解析失败 / 缺数据 → ("", warning)。
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func fundingBias(f *entity.FundingRate) (string, string) {
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if f == nil {
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return "", "signal.fundingBias: current funding unavailable"
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}
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v, ok := parseFloat(f.FundingRate)
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if !ok {
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return "", "signal.fundingBias: current funding rate unparseable"
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}
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switch {
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case v > fundingCrowdedAbs:
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return "crowded_long", ""
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case v < -fundingCrowdedAbs:
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return "crowded_short", ""
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default:
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return "neutral", ""
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}
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}
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// oiSignal 用 OI 历史 P20 做基线，与最新值比较：
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// - |pct| < oiStableBandPct → stable
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// - pct < 0 → deleveraging
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// - pct > 0 → 看 1h 价格方向（latest close vs ~24h 前）:
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// price up → long_building；price down → short_building；
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// 价格 K 线不足 oiPriceLookback+1 根则留空 + warning（不靠 funding 兜底，
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// funding 是拥挤度而非新仓方向，会误判）。
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//
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// 历史不足 oiMinHistoryPoints 根或全部 parse 失败 → ("", warning)。
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func oiSignal(history []entity.OpenInterest, primaryKlines []entity.Kline) (string, string) {
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if len(history) < oiMinHistoryPoints {
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return "", fmt.Sprintf("signal.oiSignal: OI history insufficient (have %d, need %d)", len(history), oiMinHistoryPoints)
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}
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values := make([]float64, 0, len(history))
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for _, p := range history {
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if v, ok := parseFloat(p.OpenInterest); ok && v > 0 {
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values = append(values, v)
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}
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}
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if len(values) < oiMinHistoryPoints {
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return "", fmt.Sprintf("signal.oiSignal: OI history mostly unparseable (parsed %d of %d)", len(values), len(history))
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}
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latest := values[len(values)-1]
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sorted := make([]float64, len(values))
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copy(sorted, values)
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sort.Float64s(sorted)
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baseline := percentile(sorted, oiRollingP)
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if baseline <= 0 {
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return "", "signal.oiSignal: OI baseline non-positive"
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}
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pct := (latest - baseline) / baseline
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if math.Abs(pct) < oiStableBandPct {
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return "stable", ""
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}
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if pct < 0 {
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return "deleveraging", ""
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}
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// OI 在涨：用价格方向判定多头建仓 / 空头建仓
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dir, warn := priceDirection(primaryKlines, oiPriceLookback)
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switch dir {
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case "up":
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return "long_building", ""
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case "down":
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return "short_building", ""
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default:
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return "", warn
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}
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}
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// priceDirection 比较末根 close 与回看 lookback 根之前的 close。
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// 返回 "up" / "down" / ""（数据不足或解析失败 → 带 warning）。
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// flat（严格相等）视为 down 的退化情况——但这种概率几乎为零，
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// 与其引入 stable 分支让 OI 信号变三态，不如归到 down 简化语义。
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func priceDirection(klines []entity.Kline, lookback int) (string, string) {
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need := lookback + 1
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if len(klines) < need {
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return "", fmt.Sprintf("signal.oiSignal: primary klines insufficient for price direction (have %d, need %d)", len(klines), need)
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}
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latestIdx := len(klines) - 1
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priorIdx := latestIdx - lookback
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latest, ok1 := parsePrice(klines[latestIdx].Close)
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prior, ok2 := parsePrice(klines[priorIdx].Close)
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if !ok1 || !ok2 || prior == 0 {
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return "", "signal.oiSignal: primary klines close unparseable"
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}
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if latest > prior {
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return "up", ""
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}
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return "down", ""
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}
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// lsrRegime 用最新一根全局多空账户比判定散户拥挤方向。
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// 切片为空或末尾解析失败 → ("", warning)。
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func lsrRegime(ls []entity.LongShortRatio) (string, string) {
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if len(ls) == 0 {
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return "", "signal.lsrRegime: global LSR empty"
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}
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last := ls[len(ls)-1]
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v, ok := parseFloat(last.LongShortRatio)
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if !ok {
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return "", "signal.lsrRegime: latest LSR unparseable"
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}
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switch {
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case v > lsrRetailHi:
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return "retail_long_heavy", ""
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case v < lsrRetailLo:
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return "retail_short_heavy", ""
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default:
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return "balanced", ""
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}
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}
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// parseFloat 是 derivatives_signal 内部用的 float 解析。
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// 比 parsePrice 多接受负数（funding 可负）；NaN/Inf/空串视为失败。
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func parseFloat(s string) (float64, bool) {
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if s == "" {
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return 0, false
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}
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f, err := strconv.ParseFloat(s, 64)
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if err != nil {
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return 0, false
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}
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if math.IsNaN(f) || math.IsInf(f, 0) {
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return 0, false
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}
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return f, true
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}
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280
internal/usecase/derivatives_signal_test.go
Normal file
280
internal/usecase/derivatives_signal_test.go
Normal file
@@ -0,0 +1,280 @@
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package usecase
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import (
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"strconv"
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"testing"
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"cryptoHermes/internal/entity"
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"github.com/stretchr/testify/require"
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)
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func mkOI(idx int, v string) entity.OpenInterest {
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return entity.OpenInterest{
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Symbol: "BTCUSDT",
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Period: "1h",
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Timestamp: int64(idx) * 3600 * 1000,
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OpenInterest: v,
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}
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}
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func mkLSRAt(idx int, ratio string) entity.LongShortRatio {
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return entity.LongShortRatio{
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Symbol: "BTCUSDT",
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Period: "1h",
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RatioType: entity.RatioTypeGlobalAccount,
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Timestamp: int64(idx) * 3600 * 1000,
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LongShortRatio: ratio,
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}
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}
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// klinesWithLastClose 构造 n 根 1h K 线，全部 close = baseClose，
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// 最后一根 close = lastClose（用来精准控制价格方向）。
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// 价格趋势靠"末根 vs 末根-lookback 根"判定，中间不影响。
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func klinesWithLastClose(n int, baseClose, lastClose float64) []entity.Kline {
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out := make([]entity.Kline, n)
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for i := 0; i < n; i++ {
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c := baseClose
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if i == n-1 {
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c = lastClose
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}
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out[i] = mkKline(int64(i),
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strconv.FormatFloat(c, 'f', -1, 64),
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strconv.FormatFloat(c+0.5, 'f', -1, 64),
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strconv.FormatFloat(c-0.5, 'f', -1, 64),
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strconv.FormatFloat(c, 'f', -1, 64),
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)
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}
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return out
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}
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// ---- FundingBias ------------------------------------------------------
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func TestFundingBias_Cases(t *testing.T) {
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tests := []struct {
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name string
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rate string
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want string
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}{
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{"crowded_long", "0.001", "crowded_long"},
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{"crowded_short", "-0.001", "crowded_short"},
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{"neutral_zero", "0", "neutral"},
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{"neutral_small_pos", "0.0001", "neutral"},
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{"neutral_small_neg", "-0.0001", "neutral"},
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{"boundary_high", "0.0005", "neutral"}, // 严格 >
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{"boundary_low", "-0.0005", "neutral"},
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}
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for _, tc := range tests {
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t.Run(tc.name, func(t *testing.T) {
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got, warn := fundingBias(&entity.FundingRate{FundingRate: tc.rate})
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require.Equal(t, tc.want, got)
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require.Empty(t, warn)
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})
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}
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}
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func TestFundingBias_NilAndBadInput(t *testing.T) {
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got, warn := fundingBias(nil)
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require.Equal(t, "", got)
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require.NotEmpty(t, warn)
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got, warn = fundingBias(&entity.FundingRate{FundingRate: ""})
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require.Equal(t, "", got)
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require.NotEmpty(t, warn)
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got, warn = fundingBias(&entity.FundingRate{FundingRate: "not-a-number"})
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require.Equal(t, "", got)
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require.NotEmpty(t, warn)
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}
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// ---- OISignal ---------------------------------------------------------
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func makeOIHistory(values []float64) []entity.OpenInterest {
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out := make([]entity.OpenInterest, len(values))
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for i, v := range values {
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out[i] = mkOI(i, formatPrice(v))
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}
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return out
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}
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// 25+ 根 K 线方便 priceDirection 拿到（需要 lookback+1 = 25 根）。
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func sufficientKlines(latestClose float64) []entity.Kline {
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return klinesWithLastClose(25, 100, latestClose)
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}
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func TestOISignal_InsufficientHistory(t *testing.T) {
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values := make([]float64, 23) // 23 < oiMinHistoryPoints(24)
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for i := range values {
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values[i] = 1000
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}
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got, warn := oiSignal(makeOIHistory(values), sufficientKlines(100))
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require.Equal(t, "", got)
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require.Contains(t, warn, "OI history insufficient")
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}
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func TestOISignal_Stable(t *testing.T) {
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values := make([]float64, 30)
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for i := range values {
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values[i] = 1000
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}
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got, warn := oiSignal(makeOIHistory(values), sufficientKlines(100))
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require.Equal(t, "stable", got)
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require.Empty(t, warn)
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}
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func TestOISignal_Deleveraging(t *testing.T) {
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// 前 25 根 1000，最后 5 根降到 800：OI 在跌，不看价格
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values := make([]float64, 30)
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for i := 0; i < 25; i++ {
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values[i] = 1000
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}
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for i := 25; i < 30; i++ {
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values[i] = 800
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}
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got, warn := oiSignal(makeOIHistory(values), sufficientKlines(100))
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require.Equal(t, "deleveraging", got)
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require.Empty(t, warn)
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}
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func TestOISignal_LongBuilding_PriceUp(t *testing.T) {
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// OI 涨 + 价格涨（末根 110 > base 100）→ long_building
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values := make([]float64, 30)
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for i := 0; i < 25; i++ {
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values[i] = 1000
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}
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for i := 25; i < 30; i++ {
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values[i] = 1200
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}
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got, warn := oiSignal(makeOIHistory(values), sufficientKlines(110))
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require.Equal(t, "long_building", got)
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require.Empty(t, warn)
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}
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func TestOISignal_ShortBuilding_PriceDown(t *testing.T) {
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// OI 涨 + 价格跌（末根 90 < base 100）→ short_building
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values := make([]float64, 30)
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for i := 0; i < 25; i++ {
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values[i] = 1000
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}
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for i := 25; i < 30; i++ {
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values[i] = 1200
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}
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got, warn := oiSignal(makeOIHistory(values), sufficientKlines(90))
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require.Equal(t, "short_building", got)
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require.Empty(t, warn)
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}
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func TestOISignal_OIUp_KlinesInsufficient(t *testing.T) {
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// OI 涨但价格 K 线只有 10 根，无法判定方向
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values := make([]float64, 30)
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for i := 0; i < 25; i++ {
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values[i] = 1000
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}
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for i := 25; i < 30; i++ {
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values[i] = 1200
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}
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got, warn := oiSignal(makeOIHistory(values), klinesWithLastClose(10, 100, 110))
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require.Equal(t, "", got)
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require.Contains(t, warn, "primary klines insufficient")
|
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}
|
||||
|
||||
func TestOISignal_FundingIgnoredForDirection(t *testing.T) {
|
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// 关键回归用例：funding 为正但价格下跌
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// 旧逻辑会误判 long_building，新逻辑应判 short_building
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values := make([]float64, 30)
|
||||
for i := 0; i < 25; i++ {
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values[i] = 1000
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}
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for i := 25; i < 30; i++ {
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values[i] = 1200
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}
|
||||
got, warn := oiSignal(makeOIHistory(values), sufficientKlines(90))
|
||||
require.Equal(t, "short_building", got)
|
||||
require.Empty(t, warn)
|
||||
}
|
||||
|
||||
// ---- LSRRegime --------------------------------------------------------
|
||||
|
||||
func TestLSRRegime_Cases(t *testing.T) {
|
||||
tests := []struct {
|
||||
name string
|
||||
last string
|
||||
want string
|
||||
}{
|
||||
{"retail_long_heavy", "1.6", "retail_long_heavy"},
|
||||
{"retail_short_heavy", "0.5", "retail_short_heavy"},
|
||||
{"balanced_mid", "1.0", "balanced"},
|
||||
{"balanced_near_hi", "1.5", "balanced"},
|
||||
{"balanced_near_lo", "0.67", "balanced"},
|
||||
}
|
||||
for _, tc := range tests {
|
||||
t.Run(tc.name, func(t *testing.T) {
|
||||
got, warn := lsrRegime([]entity.LongShortRatio{mkLSRAt(0, tc.last)})
|
||||
require.Equal(t, tc.want, got)
|
||||
require.Empty(t, warn)
|
||||
})
|
||||
}
|
||||
}
|
||||
|
||||
func TestLSRRegime_UsesLatest(t *testing.T) {
|
||||
got, warn := lsrRegime([]entity.LongShortRatio{
|
||||
mkLSRAt(0, "1.6"),
|
||||
mkLSRAt(1, "0.5"),
|
||||
})
|
||||
require.Equal(t, "retail_short_heavy", got)
|
||||
require.Empty(t, warn)
|
||||
}
|
||||
|
||||
func TestLSRRegime_Empty(t *testing.T) {
|
||||
got, warn := lsrRegime(nil)
|
||||
require.Equal(t, "", got)
|
||||
require.NotEmpty(t, warn)
|
||||
}
|
||||
|
||||
// ---- Compute（编排） ---------------------------------------------------
|
||||
|
||||
func TestCompute_AllDataPresent(t *testing.T) {
|
||||
u := NewDerivativesSignalUsecase()
|
||||
values := make([]float64, 30)
|
||||
for i := 0; i < 25; i++ {
|
||||
values[i] = 1000
|
||||
}
|
||||
for i := 25; i < 30; i++ {
|
||||
values[i] = 1200
|
||||
}
|
||||
got, warnings := u.Compute(
|
||||
&entity.FundingRate{FundingRate: "0.001"},
|
||||
makeOIHistory(values),
|
||||
[]entity.LongShortRatio{mkLSRAt(0, "1.6")},
|
||||
sufficientKlines(110),
|
||||
)
|
||||
require.NotNil(t, got)
|
||||
require.Equal(t, "crowded_long", got.FundingBias)
|
||||
require.Equal(t, "long_building", got.OISignal)
|
||||
require.Equal(t, "retail_long_heavy", got.LSRRegime)
|
||||
require.Empty(t, warnings)
|
||||
}
|
||||
|
||||
func TestCompute_AllEmpty_ReturnsNilWithWarnings(t *testing.T) {
|
||||
u := NewDerivativesSignalUsecase()
|
||||
got, warnings := u.Compute(nil, nil, nil, nil)
|
||||
require.Nil(t, got)
|
||||
// 三个子判定都失败，应有 3 条 warning
|
||||
require.Len(t, warnings, 3)
|
||||
}
|
||||
|
||||
func TestCompute_PartialData(t *testing.T) {
|
||||
u := NewDerivativesSignalUsecase()
|
||||
got, warnings := u.Compute(
|
||||
&entity.FundingRate{FundingRate: "0.001"},
|
||||
nil,
|
||||
nil,
|
||||
nil,
|
||||
)
|
||||
require.NotNil(t, got)
|
||||
require.Equal(t, "crowded_long", got.FundingBias)
|
||||
require.Equal(t, "", got.OISignal)
|
||||
require.Equal(t, "", got.LSRRegime)
|
||||
// OI + LSR 缺数据，应有 2 条 warning
|
||||
require.Len(t, warnings, 2)
|
||||
}
|
||||
@@ -4,6 +4,8 @@
|
||||
// - Support / Resistance：pivot 局部极值 + 0.3% 价格聚类
|
||||
// - RangeHigh / RangeLow：近 N 根 P95(High) / P5(Low) 线性插值
|
||||
// - LongShortLine：近 N 根 LSR 穿越 1.0 的价位中位数
|
||||
// - Bollinger（per interval）：SMA20 + 2σ
|
||||
// - Vegas（per interval）：EMA12/144/169 三线 + 趋势判定
|
||||
//
|
||||
// 数值边界：本文件内部允许 transient float64，但输出到 entity 前
|
||||
// 必须 FormatFloat 转回 string。详见 ai/adr/0002-indicator-numeric-boundary.md
|
||||
@@ -38,6 +40,17 @@ const (
|
||||
// TechnicalLevel.Source 值
|
||||
sourceSupportPivot = "pivot_low"
|
||||
sourceResistancePivot = "pivot_high"
|
||||
|
||||
// Bollinger：周期 20、倍数 2、Squeeze 阈值按 BandwidthPct（百分比）
|
||||
bbPeriod = 20
|
||||
bbStdMult = 2.0
|
||||
bbSqueezeTight = 4.0
|
||||
bbSqueezeExpanded = 12.0
|
||||
|
||||
// Vegas 通道 EMA 周期
|
||||
vegasFast = 12
|
||||
vegasMid = 144
|
||||
vegasSlow = 169
|
||||
)
|
||||
|
||||
// IndicatorUsecase 实现 IndicatorComputer 接口。
|
||||
@@ -54,14 +67,18 @@ type pivotPoint struct {
|
||||
}
|
||||
|
||||
// Compute 是 IndicatorComputer 的唯一对外方法。
|
||||
// klines 必须按 OpenTime 升序排好（KlineRepository.FindRecent 已保证）。
|
||||
// klinesByInterval 每个 value 必须按 OpenTime 升序排好（KlineRepository.FindRecent 已保证）。
|
||||
// primaryInterval 指定 support/resistance/range/longShortLine 用哪个周期；
|
||||
// 其它周期（包括 primary 自己）都会参与 Intervals 里的 Bollinger / Vegas。
|
||||
// longShort 同样升序；可能为空。
|
||||
func (u *IndicatorUsecase) Compute(
|
||||
klines []entity.Kline,
|
||||
klinesByInterval map[string][]entity.Kline,
|
||||
primaryInterval string,
|
||||
longShort []entity.LongShortRatio,
|
||||
) entity.TechnicalStructure {
|
||||
highs := pivotHighs(klines, pivotLeft, pivotRight)
|
||||
lows := pivotLows(klines, pivotLeft, pivotRight)
|
||||
primary := klinesByInterval[primaryInterval]
|
||||
highs := pivotHighs(primary, pivotLeft, pivotRight)
|
||||
lows := pivotLows(primary, pivotLeft, pivotRight)
|
||||
resistance := clusterLevels(highs, clusterPctThreshold, sourceResistancePivot)
|
||||
support := clusterLevels(lows, clusterPctThreshold, sourceSupportPivot)
|
||||
if support == nil {
|
||||
@@ -70,17 +87,45 @@ func (u *IndicatorUsecase) Compute(
|
||||
if resistance == nil {
|
||||
resistance = []entity.TechnicalLevel{}
|
||||
}
|
||||
hi, lo := rangeHighLow(klines)
|
||||
lsLine := longShortCrossings(longShort, klines, longShortCrossKeep)
|
||||
hi, lo := rangeHighLow(primary)
|
||||
lsLine := longShortCrossings(longShort, primary, longShortCrossKeep)
|
||||
|
||||
intervals := make(map[string]entity.IntervalTechnicals, len(klinesByInterval))
|
||||
for iv, ks := range klinesByInterval {
|
||||
intervals[iv] = computeIntervalTechnicals(ks)
|
||||
}
|
||||
|
||||
return entity.TechnicalStructure{
|
||||
Support: support,
|
||||
Resistance: resistance,
|
||||
RangeHigh: hi,
|
||||
RangeLow: lo,
|
||||
LongShortLine: lsLine,
|
||||
Intervals: intervals,
|
||||
}
|
||||
}
|
||||
|
||||
// computeIntervalTechnicals 在单周期 K 线上算 Bollinger 与 Vegas。
|
||||
// 任一项数据不足则对应字段为 nil。
|
||||
func computeIntervalTechnicals(klines []entity.Kline) entity.IntervalTechnicals {
|
||||
closes := parseCloses(klines)
|
||||
return entity.IntervalTechnicals{
|
||||
Bollinger: bollinger(closes),
|
||||
Vegas: vegas(closes),
|
||||
}
|
||||
}
|
||||
|
||||
// parseCloses 提取 close 价位，跳过解析失败的根。
|
||||
func parseCloses(klines []entity.Kline) []float64 {
|
||||
out := make([]float64, 0, len(klines))
|
||||
for _, k := range klines {
|
||||
if v, ok := parsePrice(k.Close); ok {
|
||||
out = append(out, v)
|
||||
}
|
||||
}
|
||||
return out
|
||||
}
|
||||
|
||||
// parsePrice 用 strconv 把 string 价格解析成 float64。
|
||||
// 失败（空 / 非数字 / 含空格）返回 ok=false，调用者应跳过该值不 panic。
|
||||
// NaN 与 ±Inf 也视为解析失败。
|
||||
@@ -377,3 +422,111 @@ func medianFloat(xs []float64) float64 {
|
||||
}
|
||||
return (xs[n/2-1] + xs[n/2]) / 2
|
||||
}
|
||||
|
||||
// sma 计算切片末尾 period 个值的简单移动均值。
|
||||
// len < period 返回 ok=false。
|
||||
func sma(values []float64, period int) (float64, bool) {
|
||||
n := len(values)
|
||||
if period <= 0 || n < period {
|
||||
return 0, false
|
||||
}
|
||||
sum := 0.0
|
||||
for _, v := range values[n-period:] {
|
||||
sum += v
|
||||
}
|
||||
return sum / float64(period), true
|
||||
}
|
||||
|
||||
// stddevPop 计算切片末尾 period 个值相对 mean 的总体标准差（除以 N）。
|
||||
// 金融惯例（TradingView / TA-Lib）：布林带用 population stddev，不用 sample。
|
||||
func stddevPop(values []float64, period int, mean float64) (float64, bool) {
|
||||
n := len(values)
|
||||
if period <= 0 || n < period {
|
||||
return 0, false
|
||||
}
|
||||
sumSq := 0.0
|
||||
for _, v := range values[n-period:] {
|
||||
d := v - mean
|
||||
sumSq += d * d
|
||||
}
|
||||
return math.Sqrt(sumSq / float64(period)), true
|
||||
}
|
||||
|
||||
// emaLast 计算时间序列末尾的 EMA(period)。
|
||||
// 初值用前 period 根的 SMA（标准做法），之后用 α=2/(period+1) 递推。
|
||||
// len < period 返回 ok=false。
|
||||
func emaLast(values []float64, period int) (float64, bool) {
|
||||
n := len(values)
|
||||
if period <= 0 || n < period {
|
||||
return 0, false
|
||||
}
|
||||
seed := 0.0
|
||||
for _, v := range values[:period] {
|
||||
seed += v
|
||||
}
|
||||
ema := seed / float64(period)
|
||||
if n == period {
|
||||
return ema, true
|
||||
}
|
||||
alpha := 2.0 / float64(period+1)
|
||||
for _, v := range values[period:] {
|
||||
ema = alpha*v + (1-alpha)*ema
|
||||
}
|
||||
return ema, true
|
||||
}
|
||||
|
||||
// bollinger 在 closes 上算 20 周期、2σ 布林带。
|
||||
// 数据不足 bbPeriod 根或 mid 为 0 时返回 nil。
|
||||
// Squeeze 按 BandwidthPct（百分比）分档：< 4 tight，> 12 expanded，否则 normal。
|
||||
func bollinger(closes []float64) *entity.Bollinger {
|
||||
mid, ok := sma(closes, bbPeriod)
|
||||
if !ok || mid == 0 {
|
||||
return nil
|
||||
}
|
||||
sd, ok := stddevPop(closes, bbPeriod, mid)
|
||||
if !ok {
|
||||
return nil
|
||||
}
|
||||
upper := mid + bbStdMult*sd
|
||||
lower := mid - bbStdMult*sd
|
||||
bw := (upper - lower) / mid * 100
|
||||
squeeze := "normal"
|
||||
switch {
|
||||
case bw < bbSqueezeTight:
|
||||
squeeze = "tight"
|
||||
case bw > bbSqueezeExpanded:
|
||||
squeeze = "expanded"
|
||||
}
|
||||
return &entity.Bollinger{
|
||||
Mid: formatPrice(mid),
|
||||
Upper: formatPrice(upper),
|
||||
Lower: formatPrice(lower),
|
||||
BandwidthPct: formatPrice(bw),
|
||||
Squeeze: squeeze,
|
||||
}
|
||||
}
|
||||
|
||||
// vegas 在 closes 上算 EMA12/144/169 + 趋势判定。
|
||||
// 任一 EMA 计算失败（长度不足 169）则返回 nil。
|
||||
// Trend：fast > mid > slow → bull；fast < mid < slow → bear；其余 range。
|
||||
func vegas(closes []float64) *entity.Vegas {
|
||||
fast, ok1 := emaLast(closes, vegasFast)
|
||||
mid, ok2 := emaLast(closes, vegasMid)
|
||||
slow, ok3 := emaLast(closes, vegasSlow)
|
||||
if !ok1 || !ok2 || !ok3 {
|
||||
return nil
|
||||
}
|
||||
trend := "range"
|
||||
switch {
|
||||
case fast > mid && mid > slow:
|
||||
trend = "bull"
|
||||
case fast < mid && mid < slow:
|
||||
trend = "bear"
|
||||
}
|
||||
return &entity.Vegas{
|
||||
EMA12: formatPrice(fast),
|
||||
EMA144: formatPrice(mid),
|
||||
EMA169: formatPrice(slow),
|
||||
Trend: trend,
|
||||
}
|
||||
}
|
||||
|
||||
@@ -491,7 +491,7 @@ func TestNearestKlineIndex(t *testing.T) {
|
||||
|
||||
func TestCompute_EmptyInputs(t *testing.T) {
|
||||
u := NewIndicatorUsecase()
|
||||
out := u.Compute(nil, nil)
|
||||
out := u.Compute(nil, "1h", nil)
|
||||
require.NotNil(t, out.Support)
|
||||
require.NotNil(t, out.Resistance)
|
||||
require.Empty(t, out.Support)
|
||||
@@ -499,6 +499,8 @@ func TestCompute_EmptyInputs(t *testing.T) {
|
||||
require.Nil(t, out.RangeHigh)
|
||||
require.Nil(t, out.RangeLow)
|
||||
require.Nil(t, out.LongShortLine)
|
||||
require.NotNil(t, out.Intervals)
|
||||
require.Empty(t, out.Intervals)
|
||||
}
|
||||
|
||||
func TestCompute_SmokeWithVShape(t *testing.T) {
|
||||
@@ -519,10 +521,113 @@ func TestCompute_SmokeWithVShape(t *testing.T) {
|
||||
strconv.FormatFloat(p+0.25, 'f', -1, 64),
|
||||
)
|
||||
}
|
||||
out := u.Compute(klines, nil)
|
||||
out := u.Compute(map[string][]entity.Kline{"1h": klines}, "1h", nil)
|
||||
require.Len(t, out.Support, 1)
|
||||
require.Empty(t, out.Resistance)
|
||||
require.NotNil(t, out.RangeHigh)
|
||||
require.NotNil(t, out.RangeLow)
|
||||
require.Nil(t, out.LongShortLine, "no LSR data → nil")
|
||||
require.Contains(t, out.Intervals, "1h")
|
||||
}
|
||||
|
||||
// ---- Bollinger / Vegas -------------------------------------------------
|
||||
|
||||
// flatCloses 生成 n 根价位恒为 v 的 closes（用于 Squeeze=tight 验证）。
|
||||
func flatCloses(n int, v float64) []float64 {
|
||||
out := make([]float64, n)
|
||||
for i := range out {
|
||||
out[i] = v
|
||||
}
|
||||
return out
|
||||
}
|
||||
|
||||
// ascCloses 生成等差递增 closes：base, base+step, ...
|
||||
func ascCloses(n int, base, step float64) []float64 {
|
||||
out := make([]float64, n)
|
||||
for i := range out {
|
||||
out[i] = base + float64(i)*step
|
||||
}
|
||||
return out
|
||||
}
|
||||
|
||||
func TestBollinger_FlatSeries_Tight(t *testing.T) {
|
||||
bb := bollinger(flatCloses(20, 100))
|
||||
require.NotNil(t, bb)
|
||||
require.Equal(t, "100", bb.Mid)
|
||||
require.Equal(t, "100", bb.Upper)
|
||||
require.Equal(t, "100", bb.Lower)
|
||||
require.Equal(t, "0", bb.BandwidthPct)
|
||||
require.Equal(t, "tight", bb.Squeeze)
|
||||
}
|
||||
|
||||
func TestBollinger_AscendingSeries_Expanded(t *testing.T) {
|
||||
// 0..29 等差，末 20 根 mid=19.5、σ ≈ 5.77、bw ≈ 118%
|
||||
bb := bollinger(ascCloses(30, 0, 1))
|
||||
require.NotNil(t, bb)
|
||||
require.Equal(t, "expanded", bb.Squeeze)
|
||||
mid, _ := strconv.ParseFloat(bb.Mid, 64)
|
||||
require.InDelta(t, 19.5, mid, 1e-9)
|
||||
}
|
||||
|
||||
func TestBollinger_InsufficientData(t *testing.T) {
|
||||
require.Nil(t, bollinger(flatCloses(19, 100)))
|
||||
require.Nil(t, bollinger(nil))
|
||||
}
|
||||
|
||||
func TestVegas_BullishStack(t *testing.T) {
|
||||
// 上升序列 → EMA12 > EMA144 > EMA169，趋势 bull
|
||||
v := vegas(ascCloses(200, 100, 1))
|
||||
require.NotNil(t, v)
|
||||
e12, _ := strconv.ParseFloat(v.EMA12, 64)
|
||||
e144, _ := strconv.ParseFloat(v.EMA144, 64)
|
||||
e169, _ := strconv.ParseFloat(v.EMA169, 64)
|
||||
require.Greater(t, e12, e144)
|
||||
require.Greater(t, e144, e169)
|
||||
require.Equal(t, "bull", v.Trend)
|
||||
}
|
||||
|
||||
func TestVegas_BearishStack(t *testing.T) {
|
||||
// 下降序列
|
||||
v := vegas(ascCloses(200, 300, -1))
|
||||
require.NotNil(t, v)
|
||||
require.Equal(t, "bear", v.Trend)
|
||||
}
|
||||
|
||||
func TestVegas_FlatRange(t *testing.T) {
|
||||
// 平盘：三条线相等
|
||||
v := vegas(flatCloses(200, 100))
|
||||
require.NotNil(t, v)
|
||||
require.Equal(t, "range", v.Trend)
|
||||
}
|
||||
|
||||
func TestVegas_InsufficientData(t *testing.T) {
|
||||
require.Nil(t, vegas(ascCloses(168, 100, 1)))
|
||||
}
|
||||
|
||||
func TestCompute_IntervalsPopulated(t *testing.T) {
|
||||
u := NewIndicatorUsecase()
|
||||
// 给 1h（25 根） 与 4h（200 根） 喂上升序列
|
||||
mk := func(n int) []entity.Kline {
|
||||
out := make([]entity.Kline, n)
|
||||
for i := 0; i < n; i++ {
|
||||
p := 100 + float64(i)
|
||||
out[i] = mkKline(int64(i),
|
||||
strconv.FormatFloat(p, 'f', -1, 64),
|
||||
strconv.FormatFloat(p+0.5, 'f', -1, 64),
|
||||
strconv.FormatFloat(p, 'f', -1, 64),
|
||||
strconv.FormatFloat(p+0.25, 'f', -1, 64),
|
||||
)
|
||||
}
|
||||
return out
|
||||
}
|
||||
out := u.Compute(map[string][]entity.Kline{
|
||||
"1h": mk(25),
|
||||
"4h": mk(200),
|
||||
}, "1h", nil)
|
||||
require.Contains(t, out.Intervals, "1h")
|
||||
require.Contains(t, out.Intervals, "4h")
|
||||
require.NotNil(t, out.Intervals["1h"].Bollinger, "25 closes 够算 BB")
|
||||
require.Nil(t, out.Intervals["1h"].Vegas, "25 closes 不够算 EMA169")
|
||||
require.NotNil(t, out.Intervals["4h"].Bollinger)
|
||||
require.NotNil(t, out.Intervals["4h"].Vegas)
|
||||
}
|
||||
|
||||
@@ -14,8 +14,11 @@ import (
|
||||
)
|
||||
|
||||
var supportedSymbols = map[string]bool{
|
||||
"BTCUSDT": true,
|
||||
"ETHUSDT": true,
|
||||
"BTCUSDT": true,
|
||||
"ETHUSDT": true,
|
||||
"SOLUSDT": true,
|
||||
"BNBUSDT": true,
|
||||
"DOGEUSDT": true,
|
||||
}
|
||||
|
||||
var supportedIntervals = []string{"15m", "1h", "4h", "1d", "1w"}
|
||||
@@ -39,7 +42,8 @@ type MarketContextUsecase struct {
|
||||
oiRepo OpenInterestRepository
|
||||
lsRepo LongShortRatioRepository
|
||||
|
||||
indicator IndicatorComputer
|
||||
indicator IndicatorComputer
|
||||
derivSignal DerivativesSignalComputer
|
||||
|
||||
log *slog.Logger
|
||||
}
|
||||
@@ -52,6 +56,7 @@ func NewMarketContextUsecase(
|
||||
oiRepo OpenInterestRepository,
|
||||
lsRepo LongShortRatioRepository,
|
||||
indicator IndicatorComputer,
|
||||
derivSignal DerivativesSignalComputer,
|
||||
log *slog.Logger,
|
||||
) *MarketContextUsecase {
|
||||
return &MarketContextUsecase{
|
||||
@@ -62,6 +67,7 @@ func NewMarketContextUsecase(
|
||||
oiRepo: oiRepo,
|
||||
lsRepo: lsRepo,
|
||||
indicator: indicator,
|
||||
derivSignal: derivSignal,
|
||||
log: log,
|
||||
}
|
||||
}
|
||||
@@ -167,27 +173,36 @@ func (u *MarketContextUsecase) Build(ctx context.Context, symbol string) (*entit
|
||||
addWarn("top trader position long/short query failed: " + err.Error())
|
||||
}
|
||||
|
||||
derivBundle := entity.DerivativesBundle{
|
||||
Funding: entity.FundingBundle{
|
||||
Current: currentFund,
|
||||
History: fundingHist,
|
||||
},
|
||||
OpenInterest: entity.OpenInterestBundle{
|
||||
Current: currentOI,
|
||||
History: oiHist,
|
||||
},
|
||||
LongShortRatio: entity.LongShortBundle{
|
||||
Global: globalLS,
|
||||
TopTraderPosition: topLS,
|
||||
},
|
||||
TakerBuySellVolume: nil,
|
||||
}
|
||||
if u.derivSignal != nil {
|
||||
signal, sigWarnings := u.derivSignal.Compute(currentFund, oiHist, globalLS, klines[derivativePeriod])
|
||||
derivBundle.Signal = signal
|
||||
for _, w := range sigWarnings {
|
||||
addWarn(w)
|
||||
}
|
||||
}
|
||||
|
||||
out := &entity.MarketContext{
|
||||
Symbol: symbol,
|
||||
GeneratedAt: time.Now().UnixMilli(),
|
||||
Snapshot: snapshot,
|
||||
Klines: klines,
|
||||
Derivatives: entity.DerivativesBundle{
|
||||
Funding: entity.FundingBundle{
|
||||
Current: currentFund,
|
||||
History: fundingHist,
|
||||
},
|
||||
OpenInterest: entity.OpenInterestBundle{
|
||||
Current: currentOI,
|
||||
History: oiHist,
|
||||
},
|
||||
LongShortRatio: entity.LongShortBundle{
|
||||
Global: globalLS,
|
||||
TopTraderPosition: topLS,
|
||||
},
|
||||
TakerBuySellVolume: nil,
|
||||
},
|
||||
Technical: u.indicator.Compute(klines[derivativePeriod], globalLS),
|
||||
Derivatives: derivBundle,
|
||||
Technical: u.indicator.Compute(klines, derivativePeriod, globalLS),
|
||||
DataQuality: entity.DataQuality{
|
||||
Source: "binance",
|
||||
Warnings: warnings,
|
||||
|
||||
@@ -58,7 +58,34 @@ type TakerVolumeRepository interface {
|
||||
// 过 kline 与 long-short ratio，复用结果即可，二次注入仓库引用会
|
||||
// 重复 IO。
|
||||
//
|
||||
// klinesByInterval 是按周期分组的 K 线 map（每周期一份升序切片）；
|
||||
// primaryInterval 指定哪个周期参与 support/resistance/range/longShortLine
|
||||
// 的计算（其它周期只参与 Intervals 多周期指标如 Bollinger / Vegas）。
|
||||
// 实现可见 internal/usecase/indicator.go。
|
||||
type IndicatorComputer interface {
|
||||
Compute(klines []entity.Kline, longShort []entity.LongShortRatio) entity.TechnicalStructure
|
||||
Compute(
|
||||
klinesByInterval map[string][]entity.Kline,
|
||||
primaryInterval string,
|
||||
longShort []entity.LongShortRatio,
|
||||
) entity.TechnicalStructure
|
||||
}
|
||||
|
||||
// DerivativesSignalComputer 把 funding/OI/LSR 的原始数据翻译成
|
||||
// 可读语义（crowded_long、long_building 之类）。
|
||||
//
|
||||
// 与 IndicatorComputer 一样是纯函数式接口、零 repo 依赖。
|
||||
//
|
||||
// primaryKlines 是用来给 OI 信号做"价格方向"判定的：OI 在涨时，配合
|
||||
// 价格涨 → long_building，价格跌 → short_building（funding 不参与 OI
|
||||
// 判定，避免价格下跌但 funding 仍为正时被误判）。
|
||||
//
|
||||
// 返回 warnings 用来告诉调用方"哪一项数据不够、对应字段为什么留空"，
|
||||
// 由调用方合并到 DataQuality.Warnings。signal 整体不可判时返回 nil。
|
||||
type DerivativesSignalComputer interface {
|
||||
Compute(
|
||||
currentFunding *entity.FundingRate,
|
||||
oiHistory []entity.OpenInterest,
|
||||
globalLSR []entity.LongShortRatio,
|
||||
primaryKlines []entity.Kline,
|
||||
) (*entity.DerivativesSignal, []string)
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user