AssetManager.API/AssetManager.Infrastructure/StrategyEngine/Calculators/ChandelierExitCalculator.cs

using AssetManager.Data;
using AssetManager.Infrastructure.Services;
using AssetManager.Models.DTOs;
using Microsoft.Extensions.Logging;
using System.Text.Json;

namespace AssetManager.Infrastructure.StrategyEngine.Calculators;

/// <summary>
/// 吊灯止损策略计算器
/// </summary>
public class ChandelierExitCalculator : IStrategyCalculator
{
    private readonly ILogger<ChandelierExitCalculator> _logger;
    private readonly IMarketDataService _marketDataService;

    public string StrategyType => AssetManager.Models.DTOs.StrategyType.ChandelierExit;

    public ChandelierExitCalculator(
        ILogger<ChandelierExitCalculator> logger,
        IMarketDataService marketDataService)
    {
        _logger = logger;
        _marketDataService = marketDataService;
    }

    public async Task<StrategySignal> CalculateAsync(
        string configJson,
        List<Position> positions,
        CancellationToken cancellationToken = default)
    {
        _logger.LogInformation("计算吊灯止损策略信号");

        var config = JsonSerializer.Deserialize<ChandelierExitConfig>(configJson, new JsonSerializerOptions
        {
            PropertyNameCaseInsensitive = true
        }) ?? new ChandelierExitConfig();

        if (positions.Count == 0)
        {
            return new StrategySignal
            {
                StrategyType = StrategyType,
                Signal = "HOLD",
                Reason = "无持仓",
                GeneratedAt = DateTime.UtcNow
            };
        }

        var positionSignals = new List<PositionSignal>();
        bool shouldSell = false;
        var reasons = new List<string>();

        foreach (var position in positions)
        {
            cancellationToken.ThrowIfCancellationRequested();

            if (position.StockCode == null)
            {
                continue;
            }

            try
            {
                // 获取历史 K 线数据（需要 period + 1 根来计算 ATR）
                var historicalData = position.AssetType?.ToLower() == "crypto"
                    ? await _marketDataService.GetCryptoHistoricalDataAsync(position.StockCode, "1d", config.Period + 1)
                    : await _marketDataService.GetStockHistoricalDataAsync(position.StockCode, "1d", config.Period + 1);

                if (historicalData.Count < config.Period)
                {
                    positionSignals.Add(new PositionSignal
                    {
                        Symbol = position.StockCode,
                        Signal = "HOLD",
                        Reason = $"历史数据不足（需要 {config.Period} 根，实际 {historicalData.Count} 根）"
                    });
                    continue;
                }

                // 按时间排序（确保从旧到新）
                var sortedData = historicalData.OrderBy(d => d.Timestamp).ToList();
                var highs = sortedData.Select(d => d.High).ToList();
                var lows = sortedData.Select(d => d.Low).ToList();
                var closes = sortedData.Select(d => d.Close).ToList();

                // 计算 ATR
                var atrList = TechnicalIndicators.CalculateATR(highs, lows, closes, config.Period);
                var latestAtr = atrList.Last();

                // 计算最高价（最近 period 根）
                var priceSeries = config.UseClose ? closes : highs;
                var highestHighList = TechnicalIndicators.CalculateHighestHigh(priceSeries, config.Period);
                var latestHighestHigh = highestHighList.Last();

                if (!latestAtr.HasValue || !latestHighestHigh.HasValue)
                {
                    positionSignals.Add(new PositionSignal
                    {
                        Symbol = position.StockCode,
                        Signal = "HOLD",
                        Reason = "无法计算指标（数据不足）"
                    });
                    continue;
                }

                // 计算吊灯止损价
                decimal stopLossPrice = latestHighestHigh.Value - latestAtr.Value * config.Multiplier;
                decimal currentPrice = closes.Last();

                // 判断信号：如果当前价格跌破止损价，卖出
                string signal = currentPrice < stopLossPrice ? "SELL" : "HOLD";
                if (signal == "SELL") shouldSell = true;

                reasons.Add($"{position.StockCode}: 止损价 {stopLossPrice:F2}, 当前价 {currentPrice:F2}, 信号 {signal}");

                positionSignals.Add(new PositionSignal
                {
                    Symbol = position.StockCode,
                    Signal = signal,
                    Reason = $"止损价: {stopLossPrice:F2}, 当前价: {currentPrice:F2}, ATR({config.Period}): {latestAtr.Value:F2}",
                    SuggestedQuantity = signal == "SELL" ? position.Shares : null
                });
            }
            catch (Exception ex)
            {
                _logger.LogError(ex, "计算 {Symbol} 的吊灯止损信号失败", position.StockCode);
                positionSignals.Add(new PositionSignal
                {
                    Symbol = position.StockCode,
                    Signal = "HOLD",
                    Reason = $"计算失败: {ex.Message}"
                });
            }
        }

        return new StrategySignal
        {
            StrategyType = StrategyType,
            Signal = shouldSell ? "SELL" : "HOLD",
            PositionSignals = positionSignals,
            Reason = string.Join("; ", reasons),
            GeneratedAt = DateTime.UtcNow
        };
    }
}