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@@ -1,5 +1,4 @@
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-use std::cmp::{max, min};
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-use std::collections::{BTreeMap, VecDeque};
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+use std::collections::{BTreeMap, HashMap, VecDeque};
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use std::sync::Arc;
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use chrono::{Utc};
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use futures_channel::mpsc::UnboundedSender;
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@@ -16,10 +15,7 @@ use crate::utils;
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#[derive(Debug, Clone)]
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pub struct Predictor {
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- pub depth_vec: Vec<Depth>, // 深度队列
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- pub record_vec: VecDeque<Record>, // 蜡烛队列
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-
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- // 做市所的计算
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+ // MeanReversion概率相关
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pub close_price_vec: FixedTimeRangeDeque<Record>,
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pub log_return_vec: VecDeque<Decimal>,
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pub r_vec: VecDeque<Decimal>,
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@@ -29,68 +25,67 @@ pub struct Predictor {
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pub phi: Decimal,
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pub weights: VecDeque<Decimal>,
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- pub prices: Vec<Vec<FixedTimeRangeDeque<Decimal>>>, // [[[做市所], [参考所0]], ...]
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- pub ks: Vec<Decimal>,
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- pub bs: Vec<Decimal>,
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-
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+ // 价格相关
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pub mid_price: Decimal, // 中间价
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- pub ask_price: Decimal, // 中间价
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- pub bid_price: Decimal, // 中间价
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- pub fair_price: Decimal,
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+ pub ask_price: Decimal, // a1
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+ pub bid_price: Decimal, // b1
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+ pub fair_price: Decimal, // 公平价
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pub last_price: Decimal, // 最后成交价
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+ pub depth_vec: Vec<Depth>, // 深度队列
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- pub optimal_ask_price: Decimal, // 卖出挂单价
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- pub optimal_bid_price: Decimal, // 买入挂单价
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-
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+ // 库存相关
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pub inventory: Decimal, // 库存，也就是q
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pub pos_amount: Decimal, // 原始持仓量
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pub pos_avg_price: Decimal, // 原始持仓价格
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pub balance: Decimal, // 初始余额
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- pub prev_balance: Decimal,
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+ pub one_grid_order_value: Decimal, // 每一网格下单价值
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pub profit: Decimal,
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- pub profit_high: Decimal,
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+ pub profit_high: Decimal, // 总体持仓利润的最大值
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- pub prev_open_time: Decimal,
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-
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- pub trade_condition: Decimal, // 交易信号
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+ // 交易信号相关
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+ pub trade_condition: Decimal, // 交易信号，用于保存一段时间的交易信号
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pub trade_condition_time: Decimal, // 满足时的瞬时时间，用于控制开仓行为的持续时间
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-
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pub ask_delta: Decimal, // δa
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pub bid_delta: Decimal, // δb
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+ pub optimal_ask_price: Decimal, // 卖出挂单价
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+ pub optimal_bid_price: Decimal, // 买入挂单价
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+ // 公平价生成相关
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+ pub prev_fitting_time_vec: Vec<Decimal>, // 生成公平价的时间
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pub mid_price_vec: Vec<Decimal>, // 每个交易所的中间价
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pub fair_price_std_vec: Vec<Decimal>, // 公平价格列表，标准化之后的
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- pub price_avg_times_vec: Vec<Decimal>, // 公平所与做市所的价格倍率的平均值
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- pub price_avg_times_long_vec: Vec<Decimal>, // 公平所与做市所的价格倍率的平均值
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-
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- pub is_ready: bool, // 是否已准备好
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-
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- pub last_update_time: Decimal, // 最后更新时间（depth）
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- pub last_index: Decimal, // 最后更新的index
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+ pub prices: Vec<Vec<FixedTimeRangeDeque<Decimal>>>, // [[[做市所], [参考所0]], ...]
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+ pub ks: Vec<Decimal>, // 拟合的斜率
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+ pub bs: Vec<Decimal>, // 拟合的截距
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- pub prev_insert_time: Decimal,
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- pub prev_save_time: Decimal,
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- pub init_time: Decimal,
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- pub fitting_delay: Decimal,
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- pub prev_fitting_time_vec: Vec<Decimal>,
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+ // 网格开平仓相关
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+ pub trade_time_vec: VecDeque<Decimal>, // 成交时间队列
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+ pub trade_side_map: HashMap<Decimal, String>, // 成交时间对应的是kk,kd两个方向
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+ pub trade_amount_map: HashMap<Decimal, Decimal>, // 成交对应的交易数量
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+ pub ready_close_amount: Decimal, // 预计平仓数量
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+ // 系统相关变量
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+ pub is_ready: bool, // 是否已准备好
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pub params: Params,
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- pub debug_sender: UnboundedSender<Vec<Decimal>>
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+ // 马尔可夫链相关
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+ // pub prev_update_state_time: Decimal,
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+ // pub state: usize,
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+ // pub state_matrix: Vec<Vec<Decimal>>,
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+
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+ // debug、图表相关
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+ pub debug_sender: UnboundedSender<Vec<Decimal>>,
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+ pub prev_plot_time: Decimal,
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}
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impl Predictor {
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- // 时间窗口大小（微秒）
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- // const MAX_TIME_RANGE_MICROS: i64 = 3 * 60_000_000;
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- // const TIME_DIFF_RANGE_MICROS: i64 = 15 * 60_000_000;
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- // const TRADE_LONG_RANGE_MICROS: i64 = 10 * 60_000_000;
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- // const SPREAD_RANGE_MICROS: i64 = 15 * 60_000_000;
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- // const TRADE_SHORT_RANGE_MICROS: i64 = 10_000_000;
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- // const ONE_MILLION: Decimal = dec!(1_000_000);
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- // const TWENTY_THOUSAND: Decimal = dec!(20_000);
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const DONT_VIEW: Decimal = dec!(14142135623730951);
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pub fn new(_cci_arc: Arc<Mutex<CentralControlInfo>>, params: Params) -> Self {
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+ if params.close.is_zero() {
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+ panic!("做市策略特殊逻辑要求平仓距离不得为0。");
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+ }
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+
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// 创建数据通道
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// 创建一个无界通道
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let (tx, mut rx) = futures_channel::mpsc::unbounded::<Vec<Decimal>>();
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@@ -149,12 +144,9 @@ impl Predictor {
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});
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let predictor = Self {
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- // 接针版本
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depth_vec: vec![Depth::new(); params.ref_exchange.len()],
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fair_price_std_vec: vec![Decimal::ZERO; params.ref_exchange.len()],
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mid_price_vec: vec![Decimal::ZERO; params.ref_exchange.len()],
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- price_avg_times_vec: vec![Decimal::ZERO; params.ref_exchange.len()],
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- price_avg_times_long_vec: vec![Decimal::ZERO; params.ref_exchange.len()],
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prices: vec![vec![FixedTimeRangeDeque::new(600_000_000); 2]; params.ref_exchange.len()],
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ks: vec![Decimal::ZERO; params.ref_exchange.len()],
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@@ -188,37 +180,37 @@ impl Predictor {
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pos_avg_price: Default::default(),
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pos_amount: Default::default(),
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balance: Default::default(),
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- prev_balance: Default::default(),
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+ one_grid_order_value: Default::default(),
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profit: Default::default(),
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profit_high: Default::default(),
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trade_condition: Default::default(),
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trade_condition_time: Default::default(),
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- last_update_time: Default::default(),
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- last_index: Default::default(),
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-
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- prev_insert_time: Default::default(),
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- prev_save_time: Decimal::from(Utc::now().timestamp_millis()),
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- init_time: Decimal::from(Utc::now().timestamp_millis()),
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-
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- fitting_delay: Default::default(),
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+ prev_plot_time: Default::default(),
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params,
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debug_sender: tx,
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- prev_open_time: Default::default(),
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- record_vec: Default::default(),
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+ trade_time_vec: VecDeque::new(),
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+ trade_side_map: HashMap::new(),
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+ trade_amount_map: HashMap::new(),
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+ ready_close_amount: Default::default(),
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+
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+ // prev_update_state_time: Default::default(),
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+ // state: 1,
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+ // state_matrix: vec![
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+ // vec![dec!(0.33), dec!(0.33), dec!(0.33)],
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+ // vec![dec!(0.33), dec!(0.33), dec!(0.33)],
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+ // vec![dec!(0.33), dec!(0.33), dec!(0.33)],
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+ // ],
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};
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predictor
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}
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pub async fn on_depth(&mut self, depth: &Depth, index: usize) {
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- self.last_update_time = depth.time;
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- self.last_index = Decimal::from(index);
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-
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if index == 233 {
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self.ask_price = depth.asks[0].price;
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self.bid_price = depth.bids[0].price;
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@@ -319,7 +311,6 @@ impl Predictor {
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self.ks[mid_index] = k;
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self.bs[mid_index] = b;
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- self.fitting_delay = Decimal::from(Utc::now().timestamp_millis() - before_fitting);
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self.prev_fitting_time_vec[mid_index] = Decimal::from(before_fitting)
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} else {
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return;
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@@ -347,66 +338,64 @@ impl Predictor {
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self.last_price = trade.price;
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}
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- pub async fn on_ticker(&mut self, _ticker: &Ticker) {}
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+ // side, pk,pd从HashMap移除，kd,kk添加到HashMap
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+ pub async fn on_order(&mut self, side: String, amount: Decimal) {
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+ self.inventory = match side.as_str() {
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+ "kk" => {
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+ self.inventory - Decimal::ONE
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+ }
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+ "pd" => {
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+ self.inventory - Decimal::ONE
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+ }
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+ "kd" => {
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+ self.inventory + Decimal::ONE
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+ }
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+ "pk" => {
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+ self.inventory + Decimal::ONE
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+ }
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+ &_ => {
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+ panic!("不认识的order方向：{}", side);
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+ }
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+ };
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- pub async fn on_record(&mut self, record: &Record) {
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- // 添加新蜡烛
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- if self.record_vec.len() == 0 {
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- self.record_vec.push_back(record.clone());
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- } else {
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- let last_record = self.record_vec.back_mut().unwrap();
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+ if side == "kk" || side == "kd" {
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+ let now = Decimal::from(Utc::now().timestamp_millis());
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- if last_record.time == record.time {
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- *last_record = record.clone();
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- } else if last_record.time < record.time {
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- self.record_vec.push_back(record.clone());
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- }
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+ self.trade_time_vec.push_back(now);
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+ self.trade_side_map.insert(now, side);
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+ self.trade_amount_map.insert(now, amount);
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+ } else if side == "pd" || side == "pk" {
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+ let pop_time = self.trade_time_vec.pop_front().unwrap();
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+
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+ self.trade_side_map.remove(&pop_time);
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+ self.trade_amount_map.remove(&pop_time);
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}
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- if self.record_vec.len() > 5 {
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- self.record_vec.pop_front();
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+ info!(?self.trade_time_vec);
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+ info!(?self.trade_side_map);
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+ info!(?self.trade_amount_map);
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+ }
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+
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+ pub async fn on_ticker(&mut self, _ticker: &Ticker) {}
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+
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+ pub async fn on_record(&mut self, _record: &Record) {}
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+
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+ pub async fn on_balance(&mut self, balance: Decimal) {
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+ self.balance = balance;
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+ if self.inventory.is_zero() {
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+ self.one_grid_order_value = (self.params.lever_rate * self.balance) / self.params.grid;
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}
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}
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- pub async fn on_inventory(&mut self, pos_amount: &Decimal, pos_avg_price: &Decimal, min_amount_value: &Decimal, update_time: Decimal) {
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+ pub async fn on_inventory(&mut self, pos_amount: &Decimal, pos_avg_price: &Decimal, _min_amount_value: &Decimal, update_time: Decimal) {
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if self.mid_price.is_zero() {
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return;
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}
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- let prev_pos_amount = self.pos_amount;
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self.pos_amount = pos_amount.clone();
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self.pos_avg_price = pos_avg_price.clone();
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- self.inventory = (pos_amount / (min_amount_value / self.mid_price)).trunc();
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- // 小于1但不为0的情况，需要平完
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- if self.inventory.is_zero() && !pos_amount.is_zero() {
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- self.inventory = if pos_amount > &Decimal::ZERO {
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- Decimal::ONE
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- } else {
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- Decimal::NEGATIVE_ONE
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- };
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- }
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-
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- if prev_pos_amount != self.pos_amount {
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- // 重置连续信号
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- self.trade_condition = Decimal::ZERO;
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- self.trade_condition_time = Decimal::ZERO;
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-
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- // 开仓
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- if prev_pos_amount.is_zero() {
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- self.prev_open_time = Decimal::from(Utc::now().timestamp_millis())
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- }
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- // 平仓
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- if self.pos_amount.is_zero() {
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- self.profit = Decimal::ZERO;
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- self.profit_high = Decimal::ZERO;
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- }
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-
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- self.processor(update_time, true).await;
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- }
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- }
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- pub async fn on_balance(&mut self, balance: Decimal) {
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- self.balance = balance;
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+ self.processor(update_time, true).await;
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}
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pub async fn update_fair_price(&mut self, latest_price: &Decimal, index: usize) {
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@@ -414,11 +403,6 @@ impl Predictor {
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return;
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}
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- // https://quant.stackexchange.com/questions/50651/how-to-understand-micro-price-aka-weighted-mid-price
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- // let total = a1.value + b1.value;
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- // let fair_price = (a1.price + b1.price) / Decimal::TWO;
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-
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- // self.fair_price_vec[index] = a1.price * b1.value / total + b1.price * a1.value / total;
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let mut mp = latest_price.clone();
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mp.rescale(self.mid_price.scale());
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self.mid_price_vec[index] = mp;
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@@ -438,18 +422,6 @@ impl Predictor {
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} else {
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dec!(0.9) * self.fair_price + dec!(0.1) * fair_price_sum / Decimal::from(fair_price_count)
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};
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-
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- // let mut spread_abs = ((self.fair_price - self.mid_price) / self.mid_price).abs();
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- // spread_abs.rescale(5);
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- //
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- // self.spread_vec.push_back(spread_abs);
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- // if self.spread_vec.len() > 3000 {
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- // self.spread_vec.pop_front();
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- // }
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- //
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- // let opt_abs_value = self.spread_vec.iter().max().unwrap().clone();
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- //
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- // self.params.open = max(max(self.params.min_open, dec!(0.0006)), opt_abs_value);
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}
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}
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@@ -458,18 +430,31 @@ impl Predictor {
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return false;
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}
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- let prev_bid_delta = self.bid_delta;
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- let prev_ask_delta = self.ask_delta;
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-
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let now = Decimal::from(Utc::now().timestamp_millis());
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+ // 平仓优先级高一些
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+ if self.trade_time_vec.len() > 0 {
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+ let first = self.trade_time_vec.front().unwrap();
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- let is_close_long = self.inventory > Decimal::ZERO && (
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- // 硬止损，开单不久之后就在亏
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- (self.profit_high < dec!(0.001) && self.profit < dec!(-0.01))
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- // 时间到了，追踪止盈
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- || (now - self.prev_open_time > dec!(100_000) && self.profit < self.profit_high * dec!(0.75))
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- );
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- let is_close_short = self.inventory < Decimal::ZERO;
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+ if now - *first > self.params.holding_time * Decimal::ONE_THOUSAND {
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+ let side = self.trade_side_map.get(first).unwrap();
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+ self.ready_close_amount = self.trade_amount_map.get(first).unwrap().clone();
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+
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+ match side.as_str() {
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+ "kd" => {
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+ self.ask_delta = self.mid_price * self.params.close;
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+ }
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+ "kk" => {
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+ self.bid_delta = self.mid_price * self.params.close;
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+ }
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+ &_ => {
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+ panic!("什么方向放进来了？side={}", side);
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+ }
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+ }
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+ }
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+ }
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+
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+ let prev_bid_delta = self.bid_delta;
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+ let prev_ask_delta = self.ask_delta;
|
|
|
|
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let is_open_long = self.inventory.is_zero()
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&& self.phi > Decimal::ONE
|
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|
@@ -481,12 +466,6 @@ impl Predictor {
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;
|
|
|
|
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// 使信号有一定持续性
|
|
|
- if is_close_long {
|
|
|
- self.trade_condition = dec!(1);
|
|
|
- }
|
|
|
- if is_close_short {
|
|
|
- self.trade_condition = dec!(2);
|
|
|
- }
|
|
|
if is_open_long {
|
|
|
self.trade_condition = dec!(3);
|
|
|
self.trade_condition_time = now;
|
|
|
@@ -496,9 +475,9 @@ impl Predictor {
|
|
|
self.trade_condition_time = now;
|
|
|
}
|
|
|
|
|
|
- // 开仓信号要过期，只保留2秒
|
|
|
+ // 开仓信号要过期，只保留60秒
|
|
|
if (self.trade_condition == dec!(3) || self.trade_condition == dec!(4))
|
|
|
- && now - self.trade_condition_time > dec!(2_000) {
|
|
|
+ && now - self.trade_condition_time > dec!(60_000) {
|
|
|
self.trade_condition = Decimal::ZERO;
|
|
|
}
|
|
|
|
|
|
@@ -508,29 +487,31 @@ impl Predictor {
|
|
|
self.optimal_ask_price = Self::DONT_VIEW;
|
|
|
self.optimal_bid_price = Self::DONT_VIEW;
|
|
|
|
|
|
- if self.trade_condition == dec!(1) && self.inventory > Decimal::ZERO {
|
|
|
- self.ask_delta = dec!(0);
|
|
|
- self.bid_delta = dec!(-2);
|
|
|
-
|
|
|
- self.optimal_ask_price = min(self.fair_price, self.mid_price) * dec!(0.995);
|
|
|
- self.optimal_bid_price = Self::DONT_VIEW;
|
|
|
- } else if self.trade_condition == dec!(2) && self.inventory < Decimal::ZERO {
|
|
|
- self.bid_delta = dec!(0);
|
|
|
- self.ask_delta = dec!(-2);
|
|
|
-
|
|
|
- self.optimal_bid_price = max(self.fair_price, self.mid_price) * dec!(1.005);
|
|
|
- self.optimal_ask_price = Self::DONT_VIEW;
|
|
|
- } else if self.trade_condition == dec!(3) {
|
|
|
+ // if self.trade_condition == dec!(1) && self.inventory > Decimal::ZERO {
|
|
|
+ // self.ask_delta = dec!(0);
|
|
|
+ // self.bid_delta = dec!(-2);
|
|
|
+ //
|
|
|
+ // self.optimal_ask_price = min(self.fair_price, self.mid_price) * dec!(0.995);
|
|
|
+ // self.optimal_bid_price = Self::DONT_VIEW;
|
|
|
+ // } else if self.trade_condition == dec!(2) && self.inventory < Decimal::ZERO {
|
|
|
+ // self.bid_delta = dec!(0);
|
|
|
+ // self.ask_delta = dec!(-2);
|
|
|
+ //
|
|
|
+ // self.optimal_bid_price = max(self.fair_price, self.mid_price) * dec!(1.005);
|
|
|
+ // self.optimal_ask_price = Self::DONT_VIEW;
|
|
|
+ // } else
|
|
|
+
|
|
|
+ if self.trade_condition == dec!(3) {
|
|
|
self.bid_delta = dec!(0);
|
|
|
self.ask_delta = dec!(-2);
|
|
|
|
|
|
- self.optimal_bid_price = max(self.fair_price, self.mid_price) * dec!(1.005);
|
|
|
+ self.optimal_bid_price = self.mid_price;
|
|
|
self.optimal_ask_price = Self::DONT_VIEW;
|
|
|
} else if self.trade_condition == dec!(4) {
|
|
|
self.ask_delta = dec!(0);
|
|
|
self.bid_delta = dec!(-2);
|
|
|
|
|
|
- self.optimal_ask_price = min(self.fair_price, self.mid_price) * dec!(0.995);
|
|
|
+ self.optimal_ask_price = self.mid_price;
|
|
|
self.optimal_bid_price = Self::DONT_VIEW;
|
|
|
}
|
|
|
|
|
|
@@ -774,12 +755,12 @@ impl Predictor {
|
|
|
|
|
|
let flow_ratio = Decimal::ZERO;
|
|
|
|
|
|
- let is_time_over_update = now - self.prev_insert_time > dec!(500);
|
|
|
+ let is_time_over_update = now - self.prev_plot_time > dec!(500);
|
|
|
if !is_time_over_update && !is_hard_update && !is_delta_changed {
|
|
|
return;
|
|
|
}
|
|
|
if is_time_over_update {
|
|
|
- self.prev_insert_time = Decimal::from(Utc::now().timestamp_millis())
|
|
|
+ self.prev_plot_time = Decimal::from(Utc::now().timestamp_millis())
|
|
|
}
|
|
|
let pos_avg_price = self.pos_avg_price;
|
|
|
|
