feat: 简化交易计算

leopard-core/src/main/java/com/lanyuanxiaoyao/leopard/core/strategy/TradeEngine.java

@@ -3,13 +3,11 @@ package com.lanyuanxiaoyao.leopard.core.strategy;
 import cn.hutool.core.util.ObjectUtil;
 import com.lanyuanxiaoyao.leopard.core.entity.Daily;
 import com.lanyuanxiaoyao.leopard.core.entity.QDaily;
+import com.lanyuanxiaoyao.leopard.core.entity.Stock;
 import com.lanyuanxiaoyao.leopard.core.repository.DailyRepository;
 import java.time.LocalDate;
 import java.util.ArrayList;
-import java.util.HashMap;
 import java.util.List;
-import java.util.Map;
-import java.util.stream.Collectors;
 import lombok.Data;
 import lombok.extern.slf4j.Slf4j;
 import org.springframework.stereotype.Service;
@@ -29,9 +27,9 @@ public class TradeEngine {
     this.dailyRepository = dailyRepository;
   }
 
-  public Asset backtest(List<Long> stocks, TradeStrategy strategy, LocalDate startDate, LocalDate endDate) {
+  public Asset backtest(Stock stock, TradeStrategy strategy, LocalDate startDate, LocalDate endDate) {
     var dailies = dailyRepository.findAll(
-      QDaily.daily.stock.id.in(stocks)
+      QDaily.daily.stock.eq(stock)
         .and(QDaily.daily.tradeDate.before(endDate)),
       QDaily.daily.tradeDate.asc()
     );
@@ -45,67 +43,59 @@ public class TradeEngine {
         continue;
       }
       final var currentDate = now;
-      var trades = strategy.trade(
+      var trade = strategy.trade(
         now,
         asset,
         dailies.stream()
           .filter(daily -> daily.getTradeDate().isBefore(currentDate))
-          .collect(Collectors.groupingBy(daily -> daily.getStock().getId()))
+          .toList()
       );
-      for (var trade : trades) {
+      if (trade == 0) {
-        dailies.stream()
+        continue;
-          .filter(daily -> ObjectUtil.equals(daily.getStock().getId(), trade.stockId))
-          .filter(daily -> ObjectUtil.equals(daily.getTradeDate(), currentDate))
-          .findFirst()
-          .map(Daily::getHfqClose)
-          .ifPresent(close -> {
-            if (trade.volume < 0) {
-              asset.setCash(asset.getCash() + Math.abs(trade.volume) * close);
-            } else if (trade.volume > 0) {
-              asset.setCash(asset.getCash() - Math.abs(trade.volume) * close);
-            }
-            asset.getStocks().put(
-              trade.stockId,
-              asset.getStocks().getOrDefault(trade.stockId, 0) + trade.volume
-            );
-          });
       }
-      asset.getHistories().add(new Asset.History(
+      var daily = dailies.stream()
-        now,
+        .filter(d -> ObjectUtil.equals(d.getTradeDate(), currentDate))
-        asset.getCash(),
+        .findFirst()
-        asset.getStocks(),
+        .orElseThrow();
-        trades.stream()
+      asset.addTrade(now, trade, daily.getHfqClose());
-          .collect(Collectors.groupingBy(trade -> trade.stockId))
-      ));
     }
     return asset;
   }
 
   public interface TradeStrategy {
-    List<Trade> trade(LocalDate now, Asset asset, Map<Long, List<Daily>> dailies);
+    int trade(LocalDate now, Asset asset, List<Daily> dailies);
   }
 
   @Data
   public static final class Asset {
-    private double cash = 0;
+    private List<Trade> trades = new ArrayList<>();
-    private double profit = 0.0;
-    private Map<Long, Integer> stocks = new HashMap<>();
-    private List<History> histories = new ArrayList<>();
 
-    public record History(
+    public void addTrade(LocalDate date, int volume, double price) {
+      trades.add(new Trade(date, volume, price));
+    }
+
+    public int getVolume() {
+      return trades.stream()
+        .mapToInt(Trade::volume)
+        .sum();
+    }
+
+    public double getCash() {
+      return trades.stream()
+        .mapToDouble(trade -> -1 * trade.volume() * trade.price())
+        .sum();
+    }
+
+    public double getPrice() {
+      int volume = getVolume();
+      return volume == 0 ? 0 : getCash() / volume;
+    }
+
+    public record Trade(
       LocalDate date,
-      double cash,
+      int volume,
-      Map<Long, Integer> stocks,
+      double price
-      Map<Long, List<Trade>> trades
     ) {
     }
   }
-
-  public record Trade(
-    LocalDate date,
-    Long stockId,
-    // 用正负数表达买卖
-    Integer volume
-  ) {
-  }
 }

leopard-strategy/src/main/java/com/lanyuanxiaoyao/leopard/strategy/StrategyApplication.java

@@ -1,7 +1,6 @@
 package com.lanyuanxiaoyao.leopard.strategy;
 
 import cn.hutool.core.lang.Dict;
-import cn.hutool.core.util.ObjectUtil;
 import cn.hutool.core.util.StrUtil;
 import cn.hutool.extra.template.TemplateConfig;
 import cn.hutool.extra.template.TemplateEngine;
@@ -71,33 +70,26 @@ public class StrategyApplication {
       .forEach(code -> {
         var stock = stockRepository.findOne(QStock.stock.code.eq(code)).orElseThrow();
         var asset = tradeEngine.backtest(
-          List.of(stock.getId()),
+          stockRepository.findById(stock.getId()).orElseThrow(),
           (now, currentAsset, dailies) -> {
-            return dailies.entrySet()
+            var stockDailies = dailies
               .stream()
-              .map(entry -> {
+              .sorted(Comparator.comparing(Daily::getTradeDate))
-                var stockId = entry.getKey();
-                var stockDailies = entry.getValue()
-                  .stream()
-                  .sorted(Comparator.comparing(Daily::getTradeDate))
-                  .toList();
-                var yesterday = stockDailies.getLast();
-                if (yesterday.getHfqClose() > yesterday.getHfqOpen()) {
-                  log.info("{} Buy for price {} {}", now, yesterday.getHfqOpen(), yesterday.getHfqClose());
-                  return new TradeEngine.Trade(now, stockId, 100);
-                } else if (yesterday.getHfqClose() < yesterday.getHfqOpen()) {
-                  var hold = currentAsset.getStocks().getOrDefault(stockId, 0);
-                  if (hold > 0) {
-                    log.info("{} Sell for price {} {}", now, yesterday.getHfqOpen(), yesterday.getHfqClose());
-                    return new TradeEngine.Trade(now, stockId, -1 * hold);
-                  }
-                } else {
-                  log.info("{} Hold for price {} {}", now, yesterday.getHfqOpen(), yesterday.getHfqClose());
-                }
-                return null;
-              })
-              .filter(ObjectUtil::isNotNull)
               .toList();
+            var yesterday = stockDailies.getLast();
+            if (yesterday.getHfqClose() > yesterday.getHfqOpen()) {
+              log.info("{} Buy for price {} {}", now, yesterday.getHfqOpen(), yesterday.getHfqClose());
+              return 100;
+            } else if (yesterday.getHfqClose() < yesterday.getHfqOpen()) {
+              var hold = currentAsset.getVolume();
+              if (hold > 0) {
+                log.info("{} Sell for price {} {}", now, yesterday.getHfqOpen(), yesterday.getHfqClose());
+                return -1 * hold;
+              }
+            } else {
+              log.info("{} Hold for price {} {}", now, yesterday.getHfqOpen(), yesterday.getHfqClose());
+            }
+            return 0;
           },
           startDate,
           endDate
@@ -121,37 +113,34 @@ public class StrategyApplication {
           dailyYList.add(List.of(daily.getHfqOpen(), daily.getHfqClose(), daily.getHfqLow(), daily.getHfqHigh()));
           dailyCloseMapping.put(daily.getTradeDate().toString(), daily.getHfqClose());
         }
-        charts.add(Dict.create()
+        charts.add(
-          .set("title", code)
+          Dict.create()
-          .set(
+            .set("title", code)
-            "data",
+            .set(
-            Dict.create()
+              "data",
-              .set(
+              Dict.create()
-                "日线",
+                .set(
-                Dict.create()
+                  "日线",
-                  .set("xList", dailyXList)
+                  Dict.create()
-                  .set("yList", dailyYList)
+                    .set("xList", dailyXList)
-                  .set(
+                    .set("yList", dailyYList)
-                    "points",
+                    .set(
-                    asset.getHistories()
+                      "points",
-                      .stream()
+                      asset.getTrades()
-                      .filter(history -> ObjectUtil.isNotEmpty(history.trades()))
+                        .stream()
-                      .filter(history -> history.trades().containsKey(stock.getId()))
+                        .map(trade -> {
-                      .filter(history -> ObjectUtil.isNotEmpty(history.trades().get(stock.getId())))
+                            return Dict.create()
-                      .map(history -> {
+                              .set("value", trade.volume())
-                          var trade = history.trades().get(stock.getId()).getFirst();
+                              .set("itemStyle", Dict.create()
-                          return Dict.create()
+                                .set("color", trade.volume() > 0 ? "#e5b8b5" : "#b5e2e5")
-                            .set("value", trade.volume())
+                              )
-                            .set("itemStyle", Dict.create()
+                              .set("coord", List.of(trade.date().toString(), dailyCloseMapping.getOrDefault(trade.date().toString(), 0.0)));
-                              .set("color", trade.volume() > 0 ? "#e5b8b5" : "#b5e2e5")
+                          }
-                            )
+                        )
-                            .set("coord", List.of(history.date().toString(), dailyCloseMapping.getOrDefault(history.date().toString(), 0.0)));
+                        .toList()
-                        }
+                    )
-                      )
+                )
-                      .toList()
+            )
-                  )
-              )
-          )
         );
         /*log.info("Final Cash: {}", asset.getCash());
         for (var history : asset.getHistories()) {