优化平仓2

strategy/src/predictor.rs

@@ -51,8 +51,9 @@ pub struct Predictor {
     pub fair_price_vec: Vec<Decimal>,                                           // 公平价格列表，0表示做市所，1表示参考所
     pub fair_price: Decimal,                                                    // 预定价格
     pub fair_rate_focus_open: Decimal,                                          // 变化幅度焦点
-    pub fair_rate_focus_close: Decimal,                                          // 变化幅度焦点
     pub fair_price_focus_open: Decimal,                                         // 观测焦点时的价格
+    pub fair_rate_focus_close: Decimal,                                         // 变化幅度焦点
+    pub fair_price_focus_close: Decimal,                                        // 观测焦点时的价格
     pub fair_price_when_ordering: Decimal,                                      // 下单时的预定价格
     pub price_times_avg: Decimal,                                               // 公平所与做市所的价格倍率的平均值
     pub is_regressed: bool,                                                     // 做市所的价格是否已经回归
@@ -165,8 +166,9 @@ impl Predictor {
             mid_price_time_vec: FixedTimeRangeDeque::new(100_000),
             fair_price: Default::default(),
             fair_rate_focus_open: Default::default(),
-            fair_rate_focus_close: Default::default(),
             fair_price_focus_open: Default::default(),
+            fair_rate_focus_close: Default::default(),
+            fair_price_focus_close: Default::default(),
             fair_price_when_ordering: Default::default(),
 
             price_times_avg: Default::default(),
@@ -375,16 +377,42 @@ impl Predictor {
             if !self.fair_rate_focus_close.is_zero() && self.inventory.is_zero() {
                 self.fair_rate_focus_close = Decimal::ZERO;
             }
+            // 重置平仓焦点，条件2
+            if !self.fair_rate_focus_close.is_zero() {
+                let focus_rate = (self.fair_price - self.fair_price_focus_close) / self.fair_price_focus_close;
+
+                if self.fair_price_focus_close > Decimal::ZERO && focus_rate < Decimal::NEGATIVE_ONE * self.params.close_activate / Decimal::TWO {
+                    self.fair_rate_focus_close = Decimal::ZERO;
+                }
+
+                if self.fair_price_focus_close < Decimal::ZERO && focus_rate > self.params.close_activate / Decimal::TWO {
+                    self.fair_rate_focus_close = Decimal::ZERO;
+                }
+            }
             // 更新程序关注的平仓焦点
             if self.fair_rate_focus_close.is_zero() && !self.inventory.is_zero() {
                 // 只有有强度的rate才有资格被称为针
                 if rate.abs() > self.params.close_activate {
+                    // 多单平仓逻辑
                     if self.inventory > Decimal::ZERO && rate > Decimal::ZERO {
-                        self.fair_rate_focus_close = rate;
+                        if self.mid_price > self.pos_avg_price {
+                            self.fair_rate_focus_close = rate;
+                            self.fair_price_focus_close = self.fair_price;
+                        } else if self.t_diff.is_zero() {
+                            self.fair_rate_focus_close = rate;
+                            self.fair_price_focus_close = self.fair_price;
+                        }
                     }
 
+                    // 空单平仓逻辑
                     if self.inventory < Decimal::ZERO && rate < Decimal::ZERO {
-                        self.fair_rate_focus_close = rate;
+                        if self.mid_price < self.pos_avg_price {
+                            self.fair_rate_focus_close = rate;
+                            self.fair_price_focus_close = self.fair_price;
+                        } else if self.t_diff.is_zero() {
+                            self.fair_rate_focus_close = rate;
+                            self.fair_price_focus_close = self.fair_price;
+                        }
                     }
                 }
             }
@@ -456,31 +484,31 @@ impl Predictor {
         self.ask_delta = dec!(-2);
 
         if is_close_long {
-            if self.mid_price > self.pos_avg_price {
-                // let profit_rate = (self.mid_price - self.pos_avg_price) / self.pos_avg_price;
-                // let fill_rate = profit_rate / (self.params.open * dec!(50));
-                // let close_rate = (Decimal::ONE - fill_rate) * self.params.open + self.params.close;
-                //
-                // self.ask_delta = self.mid_price * close_rate * self.t_diff;
-                self.ask_delta = self.mid_price * self.params.close;
-            } else if self.mid_price > self.fair_price {
-                self.ask_delta = self.mid_price * self.params.close;
-            }
+            // if self.mid_price > self.pos_avg_price {
+            //     // let profit_rate = (self.mid_price - self.pos_avg_price) / self.pos_avg_price;
+            //     // let fill_rate = profit_rate / (self.params.open * dec!(50));
+            //     // let close_rate = (Decimal::ONE - fill_rate) * self.params.open + self.params.close;
+            //     //
+            //     // self.ask_delta = self.mid_price * close_rate * self.t_diff;
+            //     self.ask_delta = self.mid_price * self.params.close;
+            // } else if self.mid_price > self.fair_price {
+            //     self.ask_delta = self.mid_price * self.params.close;
+            // }
 
-            // self.ask_delta = self.mid_price * self.params.close;
+            self.ask_delta = self.mid_price * self.params.close;
         } else if is_close_short {
-            if self.mid_price < self.pos_avg_price {
-                // let profit_rate = (self.pos_avg_price - self.mid_price) / self.pos_avg_price;
-                // let fill_rate = profit_rate / (self.params.open * dec!(50));
-                // let close_rate = (Decimal::ONE - fill_rate) * self.params.open + self.params.close;
-                //
-                // self.bid_delta = self.mid_price * close_rate * self.t_diff;
-                self.bid_delta = self.mid_price * self.params.close;
-            } else if self.mid_price < self.fair_price {
-                self.bid_delta = self.mid_price * self.params.close;
-            }
+            // if self.mid_price < self.pos_avg_price {
+            //     // let profit_rate = (self.pos_avg_price - self.mid_price) / self.pos_avg_price;
+            //     // let fill_rate = profit_rate / (self.params.open * dec!(50));
+            //     // let close_rate = (Decimal::ONE - fill_rate) * self.params.open + self.params.close;
+            //     //
+            //     // self.bid_delta = self.mid_price * close_rate * self.t_diff;
+            //     self.bid_delta = self.mid_price * self.params.close;
+            // } else if self.mid_price < self.fair_price {
+            //     self.bid_delta = self.mid_price * self.params.close;
+            // }
 
-            // self.bid_delta = self.mid_price * self.params.close;
+            self.bid_delta = self.mid_price * self.params.close;
         } else if is_open_long {
             // let is_open_long_market = self.spread_sma_1000 - self.spread_sma > self.params.open_market;
             // self.bid_delta = if is_open_long_market {