趋势 3

strategy/src/predictor.rs

@@ -176,10 +176,10 @@ impl Predictor {
             fair_price: Default::default(),
             fair_price_ema_short: Default::default(),
             fair_price_ema_long: Default::default(),
-            mid_rate_signal_open: Default::default(),
-            mid_price_focus_cancel: Default::default(),
-            mid_price_focus_stop_loss: Default::default(),
-            mid_rate_signal_close: Default::default(),
+            mid_rate_signal_open: Self::DONT_VIEW,
+            mid_price_focus_cancel: Self::DONT_VIEW,
+            mid_price_focus_stop_loss: Self::DONT_VIEW,
+            mid_rate_signal_close: Self::DONT_VIEW,
 
             price_times_avg: Default::default(),
 
@@ -402,36 +402,36 @@ impl Predictor {
             mid_trend_rate.rescale(8);
 
             // 重置开仓焦点，条件1
-            if !self.mid_rate_signal_open.is_zero() && !self.inventory.is_zero() {
-                self.mid_rate_signal_open = Decimal::ZERO;
-                self.mid_price_focus_cancel = Decimal::ZERO;
-                self.mid_price_focus_stop_loss = Decimal::ZERO;
+            if self.mid_rate_signal_open != Self::DONT_VIEW && !self.inventory.is_zero() {
+                self.mid_rate_signal_open = Self::DONT_VIEW;
+                self.mid_price_focus_cancel = Self::DONT_VIEW;
             }
             // 重置开仓焦点，条件2
-            if !self.mid_price_focus_cancel.is_zero() {
+            if self.mid_price_focus_cancel != Self::DONT_VIEW {
                 if self.mid_rate_signal_open > Decimal::ZERO && self.mid_price > self.mid_price_focus_cancel {
-                    self.mid_rate_signal_open = Decimal::ZERO;
-                    self.mid_price_focus_cancel = Decimal::ZERO;
-                    self.mid_price_focus_stop_loss = Decimal::ZERO;
+                    self.mid_rate_signal_open = Self::DONT_VIEW;
+                    self.mid_price_focus_cancel = Self::DONT_VIEW;
+                    self.mid_price_focus_stop_loss = Self::DONT_VIEW;
                 }
                 if self.mid_rate_signal_open < Decimal::ZERO && self.mid_price < self.mid_price_focus_cancel {
-                    self.mid_rate_signal_open = Decimal::ZERO;
-                    self.mid_price_focus_cancel = Decimal::ZERO;
-                    self.mid_price_focus_stop_loss = Decimal::ZERO;
+                    self.mid_rate_signal_open = Self::DONT_VIEW;
+                    self.mid_price_focus_cancel = Self::DONT_VIEW;
+                    self.mid_price_focus_stop_loss = Self::DONT_VIEW;
                 }
             }
             // 更新程序关注的开仓焦点
-            if self.mid_rate_signal_open.is_zero() && self.inventory.is_zero() {
+            if self.mid_rate_signal_open == Self::DONT_VIEW && self.inventory.is_zero() {
+                self.mid_price_focus_stop_loss = Self::DONT_VIEW;
                 // 是同起点
                 // let mut is_cross = fair_rate.abs() > self.params.open_activate;
                 // is_cross = is_cross && mid_rate.abs() > self.params.open_activate;
                 // is_cross = is_cross && ((mid_start - fair_start) / mid_start).abs() < dec!(0.0005);
 
                 // 最近80%的波动都发生在最近短周期的时间里
-                let is_high_speed = mid_rate.abs() > mid_long_rate.abs() * dec!(0.8) && mid_rate * mid_long_rate > Decimal::ZERO;
+                // let is_high_speed = mid_rate.abs() > mid_long_rate.abs() * dec!(0.8) && mid_rate * mid_long_rate > Decimal::ZERO;
 
                 // mid_trend_rate防止追高
-                if is_high_speed && mid_rate.abs() > self.params.open_activate {
+                if mid_rate.abs() > self.params.open_activate {
                     // 向上涨，带量的，视为观测阶段开始
                     if mid_rate > Decimal::ZERO && mid_long_rate > Decimal::ZERO && mid_trend_rate < Decimal::ZERO {
                         self.mid_rate_signal_open = dec!(0.01);
@@ -453,8 +453,8 @@ impl Predictor {
             //  大于0：当前价格在均线之上
             //  小于0：当前价格在均线之下
             // 重置平仓焦点，条件1
-            if !self.mid_rate_signal_close.is_zero() && self.inventory.is_zero() {
-                self.mid_rate_signal_close = Decimal::ZERO;
+            if self.mid_rate_signal_close != Self::DONT_VIEW && self.inventory.is_zero() {
+                self.mid_rate_signal_close = Self::DONT_VIEW;
             }
             // // 重置平仓焦点，条件2
             // if !self.fair_rate_focus_close.is_zero() && self.fair_rate_focus_close > dec!(-0.1) {
@@ -470,7 +470,7 @@ impl Predictor {
             // }
             // 更新程序关注的平仓焦点
             let close_activate = self.params.open_activate;
-            if self.mid_rate_signal_close.is_zero() && !self.inventory.is_zero() && mid_rate.abs() > close_activate {
+            if self.mid_rate_signal_close == Self::DONT_VIEW && !self.inventory.is_zero() && mid_rate.abs() > close_activate {
                 // 多单平仓逻辑
                 if self.inventory > Decimal::ZERO && mid_rate > Decimal::ZERO {
                     if self.profit_point > Decimal::ZERO {
@@ -516,7 +516,7 @@ impl Predictor {
             //     info!("----------------------------------------");
             // }
             // ============================ 平仓特殊逻辑处理2 =======================
-            if self.mid_rate_signal_close.is_zero() && !self.inventory.is_zero() && self.profit_point_vec.len() > 1 {
+            if self.mid_rate_signal_close == Self::DONT_VIEW && !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];
 
@@ -529,23 +529,23 @@ impl Predictor {
                 }
             }
             // ============================ 平仓特殊逻辑处理3 =======================
-            // if self.mid_rate_signal_close.is_zero() && !self.inventory.is_zero() {
-            //     if self.inventory > Decimal::ZERO && self.mid_price < self.mid_price_focus_stop_loss {
-            //         self.mid_rate_signal_close = dec!(-0.13);
-            //
-            //         info!("----------------------------------------");
-            //         // info!("止损，参数调整：{} -> {}", prev_open_activate, self.params.open_activate);
-            //         info!("趋势失效止损, 在价格{}处，成本价{}，价值={}, p={}。", self.mid_price, self.pos_avg_price, self.pos_avg_price*self.pos_amount, self.profit_point);
-            //         info!("----------------------------------------");
-            //     } else if self.inventory < Decimal::ZERO && self.mid_price > self.mid_price_focus_stop_loss {
-            //         self.mid_rate_signal_close = dec!(-0.13);
-            //
-            //         info!("----------------------------------------");
-            //         // info!("止损，参数调整：{} -> {}", prev_open_activate, self.params.open_activate);
-            //         info!("趋势失效止损, 在价格{}处，成本价{}，价值={}, p={}。", self.mid_price, self.pos_avg_price, self.pos_avg_price*self.pos_amount, self.profit_point);
-            //         info!("----------------------------------------");
-            //     }
-            // }
+            if self.mid_rate_signal_close == Self::DONT_VIEW && !self.inventory.is_zero() {
+                if self.inventory > Decimal::ZERO && self.mid_price < self.mid_price_focus_stop_loss * dec!(0.9995) {
+                    self.mid_rate_signal_close = dec!(-0.13);
+
+                    info!("----------------------------------------");
+                    // info!("止损，参数调整：{} -> {}", prev_open_activate, self.params.open_activate);
+                    info!("趋势失效止损, 在价格{}处，成本价{}，价值={}, p={}。", self.mid_price, self.pos_avg_price, self.pos_avg_price*self.pos_amount, self.profit_point);
+                    info!("----------------------------------------");
+                } else if self.inventory < Decimal::ZERO && self.mid_price > self.mid_price_focus_stop_loss * dec!(1.0005) {
+                    self.mid_rate_signal_close = dec!(-0.13);
+
+                    info!("----------------------------------------");
+                    // info!("止损，参数调整：{} -> {}", prev_open_activate, self.params.open_activate);
+                    info!("趋势失效止损, 在价格{}处，成本价{}，价值={}, p={}。", self.mid_price, self.pos_avg_price, self.pos_avg_price*self.pos_amount, self.profit_point);
+                    info!("----------------------------------------");
+                }
+            }
         }
 
         // // 判断价格是否回归