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@@ -1,32 +1,32 @@
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+use std::num::FpCategory::Nan;
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use crate::exchange_middle_ware::{Depth, Record};
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// 获取买一卖一价差(spread)、中间价
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-pub fn get_spread(depth: Depth) -> (f64, f64, f64, f64) {
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- return (0f64, 0f64, 0f64, 0f64);
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-}
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-
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-// 方向判断函数
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-pub fn get_direction(records: Vec<Record>) -> String {
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- // // 遍历列表中的每一条记录
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- // for record in records {
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- // println!("Time: {}, Open: {}, High: {}, Low: {}, Close: {}, Volume: {}",
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- // record.time, record.open, record.high, record.low, record.close, record.volume);
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- // }
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+pub fn get_spread(depth: &Depth) -> (f64, f64, f64, f64) {
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+ // 定义一个乘法系数，主要是防止f64精度丢失问题
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+ let mul = 1e6;
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- let mut dir = "long";
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+ let ask = depth.asks[0].price;
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+ let bid = depth.bids[0].price;
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+ let spread = (ask * mul - bid * mul) / mul;
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+ let price_diff = (ask * mul + bid * mul) / (2f64 * mul);
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- return dir.to_string();
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+ return (spread, price_diff, ask, bid);
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}
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// 计算最近N根K线的收盘价的标准差
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-pub fn std_n_by_records(records: Vec<Record>, n: i8) -> Vec<f64> {
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- let mut rst = Vec::new();
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+pub fn std_n_by_records(records: &Vec<Record>, n: usize) -> f64 {
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+ let close_list: Vec<_> = records.iter().rev().take(n).map(|r| r.close).collect();
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- for i in 0..n {
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- rst.push(i as f64)
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- }
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+ let count = close_list.len();
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- return rst;
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+ let mean = close_list.iter().sum::<f64>() / (count as f64);
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+ let variance = close_list.iter().map(|&value| {
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+ let diff = mean - value;
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+ diff * diff
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+ }).sum::<f64>() / count as f64;
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+
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+ return variance.sqrt();
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}
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// 计算gamma值
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@@ -38,7 +38,7 @@ pub fn calc_gamma(max_spread: f64, q: f64, std: f64) -> f64 {
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}
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// 计算价格偏差范围(加权平均值)
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-pub fn calc_deviation_range(max_ira: f64, spread_list: Vec<f64>, ira: f64) -> f64 {
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+pub fn calc_deviation_range(max_ira: f64, spread_list: &Vec<f64>, ira: f64) -> f64 {
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let max_spread = spread_list.iter().cloned().fold(f64::NAN, f64::max);
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let min_spread = spread_list.iter().cloned().fold(f64::NAN, f64::min);
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@@ -75,35 +75,132 @@ pub fn calc_theta(gamma: f64, std: f64, kappa: f64, ira: f64) -> f64 {
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return (a + b) / 2f64;
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}
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+// 给定ira、当前库存、最大库存、买入价格、下单数量小数位数，计算合理下单数量
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+// 下单数量要与ira(风险系数)、quantity(库存)成反比
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+pub fn calc_order_amount(ira_max: f64, ira: f64, quantity: f64, quantity_max: f64, bid_price: f64, amount_decimal_places: usize) -> f64 {
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+ let eta = (ira_max / (ira + 1.0)) / (quantity * 2);
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+ let order_value = (-quantity_max * eta).abs();
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+ let order_amount = order_value / bid_price;
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+
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+ return truncate_decimal_places(order_amount, amount_decimal_places);
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+}
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+
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+// 保留指定位数的小数
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+pub fn truncate_decimal_places(num: f64, decimal_places: usize) -> f64 {
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+ let multiplier = 10f64.powi(decimal_places as i32);
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+ (num * multiplier).trunc() / multiplier
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+}
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+
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+// 单元测试集
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#[cfg(test)]
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mod tests {
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+ use crate::exchange_middle_ware::{get_binance_depth, get_binance_klines};
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use super::*;
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#[test]
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- fn test_direction() {
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- // 创建一个空的 Record 列表
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- let mut records = Vec::new();
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-
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- // // 向列表中添加一条记录
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- // records.push(Record {
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- // time: 1,
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- // open: 100.0,
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- // high: 200.0,
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- // low: 50.0,
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- // close: 150.0,
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- // volume: 5000.0,
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- // });
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- //
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- // // 向列表中添加另一条记录
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- // records.push(Record {
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- // time: 2,
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- // open: 150.0,
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- // high: 250.0,
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- // low: 100.0,
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- // close: 200.0,
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- // volume: 7000.0,
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- // });
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-
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- println!("{}", get_direction(records));
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+ fn test_get_spread() {
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+ let depth = get_binance_depth("BTC_USDT", "100");
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+ let ask = depth.asks[0].price;
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+ let bid = depth.bids[0].price;
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+
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+ println!("ask={}, bid={}", ask, bid);
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+ println!("{:?}", get_spread(&depth))
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+ }
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+
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+ #[test]
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+ fn test_std_n_by_records() {
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+ let records = vec![
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+ Record{
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+ time: 1567736576000,
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+ open: 1000.0,
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+ high: 1500.0,
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+ low: 900.9,
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+ close: 1200.9,
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+ volume: 1000000.0,
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+ }, Record{
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+ time: 1567736576000,
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+ open: 1000.0,
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+ high: 1500.0,
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+ low: 900.9,
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+ close: 1219.9,
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+ volume: 1000000.0,
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+ }, Record{
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+ time: 1567736576000,
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+ open: 1000.0,
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+ high: 1500.0,
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+ low: 900.9,
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+ close: 1218.1,
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+ volume: 1000000.0,
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+ }];
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+
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+ println!("{}", std_n_by_records(&records, 3))
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+ }
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+
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+ #[test]
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+ fn test_calc_gamma() {
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+ println!("{}", calc_gamma(0.1, 49.0, 23.0))
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+ }
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+
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+ #[test]
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+ fn test_calc_deviation_range() {
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+ let max_ira = 10.0;
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+ let ira = 0.1;
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+ let spread_list = vec![
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+ 0.1,
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+ 0.2,
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+ 0.15,
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+ 0.1
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+ ];
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+
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+ println!("{}", calc_deviation_range(max_ira, &spread_list, ira));
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+ }
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+
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+ #[test]
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+ fn test_calc_rp() {
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+ let mid_price = 1992.01;
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+ let quantity = 49.0;
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+ let ira = 0.1;
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+ let gamma = 1.9289379267775165e-06;
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+ let std = 23.0;
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+
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+ println!("{}", calc_rp(mid_price, quantity, ira, gamma, std));
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+ }
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+
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+ #[test]
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+ fn test_calc_dk() {
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+ let deviation_range = 1.9900000000000002;
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+ let ira = 0.1;
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+ let gamma = 1.9289379267775165e-06;
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+ let std = 23.0;
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+
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+ println!("{}", calc_dk(deviation_range, gamma, std, ira));
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}
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-}
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+
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+ #[test]
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+ fn test_calc_kappa() {
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+ let deviation_range = 1.9900000000000002;
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+ let ira = 0.1;
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+ let gamma = 1.9289379267775165e-06;
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+ let dk = 0.00000019191948219432835;
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+
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+ println!("{}", calc_kappa(gamma, dk, deviation_range, ira));
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+ }
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+
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+ #[test]
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+ fn test_calc_order_amount() {
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+ let quantity = 400.0;
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+ let quantity_max = 1000.0;
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+ let bid_price = 30000.0;
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+ let amount_decimal_places = 4;
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+
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+ let start = 0.1;
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+ let end = 10.0;
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+ let step = 0.1;
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+ let mut ira = start;
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+
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+ while ira <= end {
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+ println!("ira={}, order_amount={}", ira, calc_order_amount(end, ira, quantity, quantity_max, bid_price, amount_decimal_places));
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+ ira += step;
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+ }
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+ }
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+}
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gepangpang