v1.0.10: 加入第二种干扰条件

strategy/src/predictor.rs

@@ -38,7 +38,7 @@ pub struct Predictor {
 
     pub profit_point: Decimal,                                                  // 利润点数
     pub profit_point_ema: Decimal,                                              // 利润点数的ema
-    pub profit_fixed_vec: Vec<Decimal>,                                         // 利润队列
+    pub profit_point_vec: Vec<Decimal>,                                         // 利润队列
 
     pub inventory: Decimal,                                                     // 库存，也就是q
     pub pos_amount: Decimal,                                                    // 原始持仓量
@@ -147,7 +147,7 @@ impl Predictor {
             trade_long_vec: FixedTimeRangeDeque::new(Self::TRADE_LONG_RANGE_MICROS),
             trade_short_vec: FixedTimeRangeDeque::new(Self::TRADE_SHORT_RANGE_MICROS),
             trade_fixed_vec: vec![],
-            profit_fixed_vec: vec![],
+            profit_point_vec: vec![],
             record_vec: VecDeque::new(),
 
             mid_price: Default::default(),
@@ -215,13 +215,16 @@ impl Predictor {
             self.mid_price_time_vec.push_back(self.mid_price);
 
             if !self.inventory.is_zero() {
-                let profit_now = if self.inventory > Decimal::ZERO {
+                let mut profit_now = if self.inventory > Decimal::ZERO {
                     (self.mid_price - self.pos_avg_price) / self.pos_avg_price
                 } else {
                     (self.pos_avg_price - self.mid_price) / self.pos_avg_price
                 };
 
-                self.profit_fixed_vec.push(profit_now - dec!(0.001));
+                profit_now -= dec!(0.001);
+                profit_now.rescale(4);
+
+                self.profit_point_vec.push(profit_now);
 
                 // let total: Decimal = self.profit_fixed_vec.iter().sum();
                 self.profit_point = profit_now;
@@ -306,7 +309,7 @@ impl Predictor {
         // 重置资金流计算
         if prev_inventory != self.inventory && self.inventory.is_zero() {
             self.trade_fixed_vec.clear();
-            self.profit_fixed_vec.clear();
+            self.profit_point_vec.clear();
             self.profit_point = Decimal::ZERO;
             self.profit_point_ema = Decimal::ZERO;
 
@@ -440,7 +443,7 @@ impl Predictor {
                 self.fair_rate_focus_close = Decimal::ZERO;
             }
             // 重置平仓焦点，条件2
-            if !self.fair_rate_focus_close.is_zero() && self.fair_rate_focus_close != dec!(-0.0314159) {
+            if !self.fair_rate_focus_close.is_zero() && self.fair_rate_focus_close > dec!(-0.1) {
                 let focus_rate = (self.mid_price - self.fair_price_focus_close) / self.fair_price_focus_close;
 
                 if self.fair_rate_focus_close > Decimal::ZERO && focus_rate < Decimal::NEGATIVE_ONE * self.params.close_activate / Decimal::TWO {
@@ -491,9 +494,9 @@ impl Predictor {
                 }
             }
 
-            // ============================ 止损逻辑处理 =======================
+            // ============================ 止损逻辑处理1 =======================
             if self.fair_rate_focus_close.is_zero() && !self.inventory.is_zero() && self.profit_point < self.params.open_activate * dec!(-5) {
-                self.fair_rate_focus_close = dec!(-0.0314159);
+                self.fair_rate_focus_close = dec!(-0.11);
                 self.fair_price_focus_close = self.mid_price;
 
                 // let prev_open_activate = self.params.open_activate;
@@ -501,9 +504,23 @@ impl Predictor {
 
                 info!("----------------------------------------");
                 // info!("止损，参数调整：{} -> {}", prev_open_activate, self.params.open_activate);
-                info!("止损, 在价格{}处，成本价{}({})。", self.fair_price_focus_close, self.pos_avg_price, self.pos_amount);
+                info!("硬止损, 在价格{}处，成本价{}，p={}。", self.fair_price_focus_close, self.pos_avg_price, self.profit_point);
                 info!("----------------------------------------");
             }
+            // ============================ 止损逻辑处理2 =======================
+            if self.fair_rate_focus_close.is_zero() && !self.inventory.is_zero() && self.profit_point_vec.len() > 1 {
+                let prev_profit_point = self.profit_point_vec[self.profit_point_vec.len() - 2];
+                let profit_point = self.profit_point_vec[self.profit_point_vec.len() - 1];
+
+                if prev_profit_point > Decimal::ZERO && profit_point < Decimal::ZERO {
+                    self.fair_rate_focus_close = dec!(-0.12);
+                    self.fair_price_focus_close = self.mid_price;
+
+                    info!("----------------------------------------");
+                    info!("止损逻辑2, 在价格{}处，成本价{}，p={}。", self.fair_price_focus_close, self.pos_avg_price, self.profit_point);
+                    info!("----------------------------------------");
+                }
+            }
         }
 
         // // 判断价格是否回归
@@ -551,8 +568,8 @@ impl Predictor {
         // 可能是接针
         let is_open_long = self.fair_rate_focus_open < Decimal::ZERO && self.fair_price > self.mid_price;
         let is_open_short = self.fair_rate_focus_open > Decimal::ZERO && self.fair_price < self.mid_price;
-        let is_close_long = self.inventory > Decimal::ZERO && (self.fair_rate_focus_close > Decimal::ZERO || self.fair_rate_focus_close == dec!(-0.0314159));
-        let is_close_short = self.inventory < Decimal::ZERO && (self.fair_rate_focus_close < Decimal::ZERO || self.fair_rate_focus_close == dec!(-0.0314159));
+        let is_close_long = self.inventory > Decimal::ZERO && (self.fair_rate_focus_close > Decimal::ZERO || self.fair_rate_focus_close < dec!(-0.1));
+        let is_close_short = self.inventory < Decimal::ZERO && (self.fair_rate_focus_close < Decimal::ZERO || self.fair_rate_focus_close < dec!(-0.1));
 
         self.bid_delta = dec!(-2);
         self.ask_delta = dec!(-2);
@@ -697,8 +714,7 @@ impl Predictor {
         // let sigma_square = self.error_rate;
 
         let gamma = self.fair_rate_focus_open;
-
-        let kappa = self.params.open_activate;
+        let kappa = self.fair_rate_focus_close;
 
         let flow_ratio = Decimal::ZERO;