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@@ -1,201 +1,276 @@
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+use std::io;
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+use ndarray::prelude::*;
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+use rust_decimal::prelude::{ToPrimitive, Zero};
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+use crate::as_libs::*;
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+use crate::exchange_middle_ware::{Account, cancel_okx_order, get_binance_depth, get_binance_klines, get_okx_account, get_okx_order, Order, place_okx_order, Record};
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+use time::OffsetDateTime;
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+
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+mod as_libs;
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mod exchange_libs;
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mod exchange_middle_ware;
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-use time::OffsetDateTime;
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-fn main() {
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+
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+#[derive(Debug)]
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+struct RiskLevel{
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+ gamma: f64,
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+ mid_price: f64,
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+ rp: f64,
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+ theta_a_b_half: f64,
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+ bid: f64,
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+ bid_best: f64,
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+ ask: f64,
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+ ask_best: f64,
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+ kappa: f64,
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+ cal_theta: f64,
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+ order_amount: f64
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+}
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+
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+#[derive(Debug)]
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+struct OrderDict {
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+ order_amount: f64,
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+ buy_price: f64,
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+ sell_price: f64
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+}
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+// 订单信息
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+
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+#[derive(Debug)]
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+struct OrderInfo {
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+ id: String,
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+ sell_price: f64,
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+ time_num: i64
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+}
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+
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+struct Bot {
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+ spread_list: Vec<f64>,
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+ symbol: String,
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+ limit: i32,
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+ short_interval: String,
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+ rl_start: f64,
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+ rl_end: f64,
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+ quantity_max: f64,
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+ amount_decimal_places: usize,
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+ order_info_list: Vec<OrderInfo>,
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+ last_buy_time: i64,
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+ buy_time_limit: i64,
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+ cancel_time_limit: i64,
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+ price_decimal_places: usize
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+}
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+
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+impl Bot {
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+ fn new(spread_list: Vec<f64>, symbol: String, limit: i32, short_interval: String, rl_start: f64, rl_end: f64, quantity_max: f64, amount_decimal_places: usize, order_info_list: Vec<OrderInfo>, last_buy_time: i64, buy_time_limit: i64, cancel_time_limit: i64, price_decimal_places: usize) -> Bot {
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+ Bot {
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+ spread_list,
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+ symbol,
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+ limit,
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+ short_interval,
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+ rl_start,
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+ rl_end,
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+ quantity_max,
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+ amount_decimal_places,
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+ order_info_list,
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+ last_buy_time,
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+ buy_time_limit,
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+ cancel_time_limit,
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+ price_decimal_places
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+ }
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+ }
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+
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+ async fn start(&mut self){
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+ while true {
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+ let f = match self.do_logic().await {
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+ Ok(m) => m,
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+ Err(error) => {
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+ 1
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+ },
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+ };
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+ }
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+ }
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+
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+ async fn do_logic(&mut self) -> Result<i8, io::Error>{
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+ let depth = get_binance_depth(&self.symbol, self.limit).await;
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+
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+ // 1.获取最新spread，如何将主逻辑和spread（ws推送方式）关联起来
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+ let (spread, mid_price, ask, bid) = get_spread(&depth);
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+
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+ if self.spread_list.len() > 300 {
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+ self.spread_list.remove(0);
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+ }
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+ self.spread_list.push(spread);
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+
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+ // 使用 max_by 方法和 partial_cmp 进行比较
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+ let max_option = self.spread_list.iter().max_by(|a, b| a.partial_cmp(b).unwrap_or(std::cmp::Ordering::Equal));
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+ match max_option {
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+ Some(max_value) => { },
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+ None => eprintln!("列表为空"),
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+ }
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+ let max_spread = *max_option.unwrap();
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+
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+ if self.spread_list.len() < 10 {
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+
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+ } else {
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+ // 1.获取账户信息
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+ let balance_info = get_okx_account(&self.symbol).await;
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+ // 取消超时订单
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+ self.order_list_deal(&balance_info.stocks).await;
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+
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+ // 2.获取最新k线
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+ let k_line_data = get_binance_klines(&self.symbol.to_string(), &self.short_interval, &200).await;
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+ // rl_list 计算
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+ let (q, rl_list) = self.calc_params(&k_line_data, balance_info, max_spread, mid_price, bid, ask);
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+
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+ let rate :f64 = (q/self.quantity_max) * 100.0;
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+ let index_f :f64 = rl_list.len().to_f64().unwrap() / 100.0 * rate;
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+ let index = index_f.round().to_usize().unwrap();
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+
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+ let order_amount = rl_list.get(index).unwrap().order_amount;
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+ let order_dict :OrderDict = OrderDict{
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+ order_amount,
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+ buy_price: truncate_decimal_places(rl_list.get(index).unwrap().bid, self.price_decimal_places),
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+ sell_price: truncate_decimal_places(rl_list.get(index).unwrap().ask, self.price_decimal_places)
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+ };
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+
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+ let now_time = OffsetDateTime::now_utc().unix_timestamp();
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+ // TODO: 检测交易间隔，发起交易
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+ if self.order_info_list.len() > 0 || self.last_buy_time + self.buy_time_limit > now_time {
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+ return Ok(0);
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+ }
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+ // 下单
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+ let buy_order_id = place_okx_order(&self.symbol, &"buy".to_string(), &"limit".to_string(), &order_dict.buy_price.to_string(), &order_dict.order_amount.to_string()).await;
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+ let order = OrderInfo{
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+ id: buy_order_id,
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+ sell_price: order_dict.sell_price,
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+ time_num: now_time
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+ };
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+ eprintln!("buy_order: {:?}", order);
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+ self.order_info_list.push(order);
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+ self.last_buy_time = now_time;
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+ }
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+ return Ok(1);
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+ }
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+
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+ fn calc_params(&self, k_line_data: &Vec<Record>, balance_info: Account, max_spread: f64, mid_price:f64, bid: f64, ask: f64) -> (f64, Vec<RiskLevel>){
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+ // 计算最近20根K线的标准差
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+ // 3.获取标准差数组的最后一个值
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+ let last_std = std_n_by_records(k_line_data, 20);
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+ // 4.计算库存资产折合本位币价值
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+ let mut q = (balance_info.stocks + balance_info.frozen_stocks) * mid_price;
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+ if q < 1.0 {
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+ q = 1.0;
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+ }
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+
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+ // 5.计算gamma值
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+ let gamma = calc_gamma(max_spread, q, last_std);
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+
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+ // 6.生成等差数列
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+ let rl = Array::linspace(self.rl_start, self.rl_end, 50).into_owned();
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+ let mut rl_list: Vec<RiskLevel> = Vec::new();
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+ for i in rl.iter(){
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+ // 7.获取dd
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+ let dd = calc_deviation_range(self.rl_end, &self.spread_list, *i);
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+ // 8.获取Reservation price 预定价格
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+ let rp = calc_rp(mid_price, q, *i, gamma, last_std);
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+ // eprintln!("rp {}, dd {}, ask {}, bid {}", rp, dd, ask, bid);
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+ if (rp + 0.5 * dd) < ask || (rp - 0.5 * dd) > bid {
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+ continue;
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+ }
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+ // 9.获取dk，用于计算e的dk次方
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+ let dk = calc_dk(dd, gamma, last_std, *i);
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+ // eprintln!("dk {}", dk);
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+ // 10.获取kappa
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+ let kappa = calc_kappa(gamma, dk, dd, *i);
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+ // eprintln!("kappa {}", kappa);
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+ // 11.获取theta
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+ let cal_theta = calc_theta(gamma, last_std, kappa, *i);
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+ // 交易数量
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+ let order_amount = calc_order_amount(self.rl_end, *i, q, self.quantity_max, bid, self.amount_decimal_places);
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+ let rl_info = RiskLevel{
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+ gamma: gamma*i,
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+ mid_price,
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+ rp,
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+ theta_a_b_half: 0.5*dd,
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+ bid: rp - cal_theta,
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+ bid_best: bid,
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+ ask: rp + cal_theta,
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+ ask_best: ask,
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+ kappa,
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+ cal_theta,
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+ order_amount
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+ };
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+ rl_list.push(rl_info);
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+ }
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+ return (q, rl_list);
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+ }
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+
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+ async fn order_list_deal(&mut self, stocks: &f64){
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+ if self.order_info_list.len() == 0{
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+ return;
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+ }
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+ let now_time = OffsetDateTime::now_utc().unix_timestamp();
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+ let mut next_list:Vec<OrderInfo> = vec![];
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+
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+ // 超300s 需取消的订单
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+ for order in self.order_info_list.iter_mut(){
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+ eprintln!("order_id: {:?} ", order);
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+ let order_info: Order = get_okx_order(&self.symbol, &order.id).await;
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+ eprintln!("order_info: {:?}", order_info);
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+ // 已成交的订单
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+ if order_info.status.eq("filled"){
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+ // 防止有手续费的账户导致的余额小于实际下单数额
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+ let order_amount = f64::min(*stocks, order_info.amount);
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+ let id = place_okx_order(&self.symbol, &"sell".to_string(), &"limit".to_string(), &order.sell_price.to_string(), &order_amount.to_string()).await;
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+ eprintln!("卖单id: {}", id);
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+ } else if order.time_num + self.cancel_time_limit < now_time { // 未成交 && 超时
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+ cancel_okx_order(&self.symbol, &order.id).await;
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+ // 取消订单，可以在这里执行取消订单的操作
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+ eprintln!("取消订单: {}, 订单下单时间：{}, 现在时间: {}", order.id, order.time_num, now_time);
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+ } else {
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+ // 使用解构复制满足条件的订单
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+ let new_order = OrderInfo {
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+ id: order.id.clone(),
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+ sell_price: order.sell_price,
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+ time_num: order.time_num
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+ };
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+ next_list.push(new_order); // 克隆满足条件的订单并添加到 next_list 中
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+ }
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+ eprintln!("下轮待确认订单: {:?}", next_list);
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+ }
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+ self.order_info_list.clear();
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+ self.order_info_list.extend(next_list);
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+ }
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+
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+}
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+
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+
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+
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+#[tokio::main]
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+async fn main() {
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+
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+ let spread_list:Vec<f64> = Vec::new();
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+ // 币对-获取深度信息参数
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+ let symbol:String = "BTC_USDT".to_string();
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+ // 限制数-获取深度信息参数
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+ let limit = 10;
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+ // 开始
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+ let rl_start= 0.0;
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+ // 结束
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+ let rl_end= 20.0;
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+ let short_interval = "5m".to_string();
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+ // 最大库存
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+ let quantity_max = 20.0;
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+ // 交易数量小数位数
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+ let amount_decimal_places: usize = 8;
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+ // 订单信息list
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+ let order_info_list:Vec<OrderInfo> = Vec::new();
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+ // 最后买入时间
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+ let last_buy_time:i64 = 1;
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+ // 下单时间间隔
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+ let buy_time_limit = 20;
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+ // 取消订单时间间隔
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+ let cancel_time_limit = 30;
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+ // 价格小数位数
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+ let price_decimal_places = 2;
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+
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+
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+ let mut bot = Bot::new(spread_list, symbol, limit, short_interval, rl_start, rl_end, quantity_max, amount_decimal_places, order_info_list, last_buy_time, buy_time_limit, cancel_time_limit, price_decimal_places);
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+ bot.start().await;
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}
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-//
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-// use ndarray::prelude::*;
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-// use rust_decimal::prelude::ToPrimitive;
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-// use crate::as_libs::*;
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-// use crate::exchange_middle_ware::{Account, get_binance_depth, get_binance_klines, get_okx_account, Record};
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-// use time::OffsetDateTime;
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-//
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-// mod as_libs;
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-// mod exchange_libs;
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-// mod exchange_middle_ware;
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-//
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-// #[derive(Debug)]
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-// struct Ira{
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-// ira: f64,
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-// gamma: f64,
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-// mid_price: f64,
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-// rp: f64,
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-// theta_a_b_half: f64,
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-// bid: f64,
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-// bid_best: f64,
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-// ask: f64,
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-// ask_best: f64,
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-// kappa: f64,
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-// cal_theta: f64
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-// }
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-//
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-// #[derive(Debug)]
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-// struct OrderDict {
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-// zj: f64,
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-// buy_price: f64,
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-// sell_price: f64
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-// }
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-// // 订单信息
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-//
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-// #[derive(Debug)]
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-// struct OrderInfo {
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-// id: String,
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-// time_num: i64
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-// }
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-//
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-//
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-// fn calc_params(k_line_data:&Vec<Record>, balance_info: &Account, mid_price: f64, max_spread: f64, ira_start: f64, ira_end: f64, spread_list: &mut Vec<f64>, ask: f64, bid: f64) -> (f64, Vec<Ira>){
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-// // 计算最近20根K线的标准差
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-// // 3.获取标准差数组的最后一个值
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-// let last_std = std_n_by_records(k_line_data, 20);
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-// // 4.计算库存资产折合本位币价值
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-// let mut q = (balance_info.stocks + balance_info.frozen_stocks) * mid_price;
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-// if q == 0.0{
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-// q = 10.0;
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-// }
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-// // 5.计算gamma值
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-// let gamma = calc_gamma(max_spread, q, last_std);
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-// // 6.生成等差数列
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-// let ira = Array::linspace(ira_start, ira_end, 50).into_owned();
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-// let mut ira_list: Vec<Ira> = Vec::new();
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-// for i in ira.iter(){
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-// // 7.获取dd
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-// let dd = calc_deviation_range(ira_end, spread_list, *i);
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-// // 8.获取Reservation price 预定价格
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-// let rp = calc_rp(mid_price, q, *i, gamma, last_std);
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-// if (rp + 0.5 * dd) < ask || (rp - 0.5 * dd) > bid {
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-// continue;
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-// }
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-// // 9.获取dk，用于计算e的dk次方
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-// let dk = calc_dk(dd, gamma, last_std, *i);
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-// // 10.获取kappa
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-// let kappa = calc_kappa(gamma, dk, dd, *i);
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-// // 11.获取theta
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-// let cal_theta = calc_theta(gamma, last_std, kappa, *i);
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-// let ira_info = Ira{
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-// ira: *i,
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-// gamma: gamma*i,
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-// mid_price,
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-// rp,
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-// theta_a_b_half: 0.5*dd,
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-// bid: rp - cal_theta,
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-// bid_best: bid,
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-// ask: rp + cal_theta,
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-// ask_best: ask,
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-// kappa,
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-// cal_theta
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-// };
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-// ira_list.push(ira_info);
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-// }
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|
-// return (q, ira_list);
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|
|
-// }
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|
|
-//
|
|
|
-// fn order_list_deal(order_info_list: &mut Vec<OrderInfo>){
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|
|
-// if order_info_list.len() == 0{
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|
|
-// return;
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|
|
-// }
|
|
|
-// let now_time = OffsetDateTime::now_utc().unix_timestamp();
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|
|
-// let mut next_list:Vec<OrderInfo> = vec![];
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|
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-//
|
|
|
-// // 超300s 需取消的订单
|
|
|
-// for order in order_info_list.iter_mut(){
|
|
|
-// if order.time_num + 300 <= now_time {
|
|
|
-// // 取消订单，可以在这里执行取消订单的操作
|
|
|
-// println!("取消订单: {}", order.id);
|
|
|
-// } else {
|
|
|
-// // 使用解构复制满足条件的订单
|
|
|
-// let new_order = OrderInfo {
|
|
|
-// id: order.id.clone(),
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|
|
-// time_num: order.time_num
|
|
|
-// };
|
|
|
-// next_list.push(new_order); // 克隆满足条件的订单并添加到 next_list 中
|
|
|
-// }
|
|
|
-// }
|
|
|
-// order_info_list.clear();
|
|
|
-// order_info_list.extend(next_list);
|
|
|
-// }
|
|
|
-//
|
|
|
-// async fn do_logic(spread_list: &mut Vec<f64>, symbol: &String, limit: i32, short_interval: &String, ira_start: f64, ira_end: f64, quantity_max: f64, amount_decimal_places: usize, order_info_list: &mut Vec<OrderInfo>) -> i8{
|
|
|
-// let depth = get_binance_depth(&symbol, limit).await;
|
|
|
-//
|
|
|
-// // 1.获取最新spread，如何将主逻辑和spread（ws推送方式）关联起来
|
|
|
-// let (spread, mid_price, ask, bid) = get_spread(&depth);
|
|
|
-//
|
|
|
-// if spread_list.len() > 300 {
|
|
|
-// spread_list.remove(0);
|
|
|
-// }
|
|
|
-// spread_list.push(spread);
|
|
|
-//
|
|
|
-// // 使用 max_by 方法和 partial_cmp 进行比较
|
|
|
-// let max_option = spread_list.iter().max_by(|a, b| a.partial_cmp(b).unwrap_or(std::cmp::Ordering::Equal));
|
|
|
-// match max_option {
|
|
|
-// Some(max_value) => println!("最大值是: {}", max_value),
|
|
|
-// None => println!("列表为空"),
|
|
|
-// }
|
|
|
-// let max_spread = *max_option.unwrap();
|
|
|
-// println!("max_spread: {}", max_spread);
|
|
|
-//
|
|
|
-// if spread_list.len() >= 10 {
|
|
|
-//
|
|
|
-// } else {
|
|
|
-// // 1.获取账户信息
|
|
|
-// let balance_info = get_okx_account(symbol).await;
|
|
|
-// // 2.获取最新k线
|
|
|
-// let k_line_data = get_binance_klines(&symbol.to_string(), &short_interval, &200).await;
|
|
|
-// // ira_list 计算
|
|
|
-// let (q, ira_list) = calc_params(&k_line_data, &balance_info, mid_price, max_spread, ira_start, ira_end, spread_list, ask, bid);
|
|
|
-// println!("q: {}", q);
|
|
|
-// println!("ira_list: {:?}", ira_list);
|
|
|
-//
|
|
|
-// let rate :f64 = 50.0;
|
|
|
-// let index_f :f64 = ira_list.len().to_f64().unwrap() / 100.0 * rate;
|
|
|
-// let index = index_f.round().to_usize().unwrap();
|
|
|
-// println!("index: {}", index);
|
|
|
-//
|
|
|
-// let zj = calc_order_amount(ira_end, ira_list.get(index).unwrap().ira, q, quantity_max, ira_list.get(index).unwrap().bid, amount_decimal_places);
|
|
|
-// let order_dict :OrderDict = OrderDict{
|
|
|
-// zj,
|
|
|
-// buy_price: truncate_decimal_places(ira_list.get(index).unwrap().bid, 2),
|
|
|
-// sell_price: truncate_decimal_places(ira_list.get(index).unwrap().ask, 2)
|
|
|
-// };
|
|
|
-// println!("order_dict: {:?}", order_dict);
|
|
|
-//
|
|
|
-// // TODO: 发起交易
|
|
|
-// }
|
|
|
-//
|
|
|
-// // 取消超时订单
|
|
|
-// order_list_deal(order_info_list);
|
|
|
-// return 1;
|
|
|
-// }
|
|
|
-//
|
|
|
-// #[tokio::main]
|
|
|
-// async fn main() {
|
|
|
-// let mut spreadlist:Vec<f64> = Vec::new();
|
|
|
-// // 币对-获取深度信息参数
|
|
|
-// let symbol:String = "btc_usdt".to_string();
|
|
|
-// // 限制数-获取深度信息参数
|
|
|
-// let limit = 12;
|
|
|
-// // 开始
|
|
|
-// let ira_start= 0.0;
|
|
|
-// // 结束
|
|
|
-// let ira_end= 20.0;
|
|
|
-// let short_interval = "5m".to_string();
|
|
|
-// // 最大库存
|
|
|
-// let quantity_max = 50.0;
|
|
|
-//
|
|
|
-// let amount_decimal_places: usize = 2;
|
|
|
-// // 订单信息list
|
|
|
-// let mut order_info_list:Vec<OrderInfo> = Vec::new();
|
|
|
-//
|
|
|
-// while true {
|
|
|
-// do_logic(&mut spreadlist, &symbol, limit, &short_interval, ira_start, ira_end, quantity_max, amount_decimal_places, &mut order_info_list).await;
|
|
|
-//
|
|
|
-// // match future_result {
|
|
|
-// // Ok(value) => println!("Result: "),
|
|
|
-// // Err(error) => println!("Error: "),
|
|
|
-// // }
|
|
|
-//
|
|
|
-// }
|
|
|
-//
|
|
|
-// }
|
JiahengHe