试试原本的千千逻辑。

strategy/src/predictor.rs

@@ -379,132 +379,6 @@ impl Predictor {
             } else {
                 self.fair_price_ema_short * dec!(0.999) + self.fair_price * dec!(0.001)
             };
-
-            if self.fair_price_time_vec.len() < 2 {
-                return;
-            }
-
-            let mut rate = Self::get_real_rate(&self.fair_price_time_vec);
-            rate.rescale(8);
-
-            // 重置开仓焦点，条件1
-            if !self.fair_rate_focus_open.is_zero() {
-                if self.fair_rate_focus_open > Decimal::ZERO && self.spread_ema_1000 < Decimal::ZERO {
-                    self.fair_rate_focus_open = Decimal::ZERO;
-                }
-
-                if self.fair_rate_focus_open < Decimal::ZERO && self.spread_ema_1000 > Decimal::ZERO {
-                    self.fair_rate_focus_open = Decimal::ZERO;
-                }
-            }
-            // 重置开仓焦点，条件2
-            if !self.fair_rate_focus_open.is_zero() && !self.inventory.is_zero() {
-                self.fair_rate_focus_open = Decimal::ZERO;
-            }
-            // 重置开仓焦点，条件3
-            if !self.mid_price_focus_open.is_zero() {
-                let focus_rate = (self.mid_price - self.mid_price_focus_open) / self.mid_price_focus_open;
-
-                if self.fair_rate_focus_open > Decimal::ZERO && focus_rate < Decimal::NEGATIVE_ONE * self.params.open_activate / dec!(3) {
-                    self.fair_rate_focus_open = Decimal::ZERO;
-                }
-
-                if self.fair_rate_focus_open < Decimal::ZERO && focus_rate > self.params.open_activate / dec!(3) {
-                    self.fair_rate_focus_open = Decimal::ZERO;
-                }
-            }
-            // 更新程序关注的开仓焦点
-            if self.fair_rate_focus_open.is_zero() && self.inventory.is_zero() {
-                // 只有有强度的rate才有资格被称为针，并且差价够大，
-                if rate.abs() > self.params.open_activate && self.spread.abs() > self.params.min_spread {
-                    // 向上涨，并且fair下穿mid，视为观测阶段开始
-                    if rate > Decimal::ZERO && self.spread < Decimal::ZERO {
-                        self.fair_rate_focus_open = rate;
-                        self.mid_price_focus_open = self.mid_price;
-                    }
-
-                    // 向下跌，并且fair上穿mid，视为观测阶段开始
-                    if rate < Decimal::ZERO && self.spread > Decimal::ZERO {
-                        self.fair_rate_focus_open = rate;
-                        self.mid_price_focus_open = self.mid_price;
-                    }
-                }
-            }
-
-            // ============================ 平仓逻辑处理 =======================
-            // close_rate：
-            //  大于0：当前价格在均线之上
-            //  小于0：当前价格在均线之下
-            let close_rate = rate.clone();
-            // 重置平仓焦点，条件1
-            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() && 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 {
-                    self.fair_rate_focus_close = Decimal::ZERO;
-                }
-
-                if self.fair_rate_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
-            let close_activate = self.params.open_activate;
-            if self.fair_rate_focus_close.is_zero() && !self.inventory.is_zero() && close_rate.abs() > close_activate {
-                // 多单平仓逻辑
-                if self.inventory > Decimal::ZERO && close_rate > Decimal::ZERO {
-                    if self.profit_point > Decimal::ZERO {
-                        self.fair_rate_focus_close = close_rate;
-                        self.fair_price_focus_close = self.mid_price;
-                    } else if self.t_diff.is_zero() {
-                        self.fair_rate_focus_close = close_rate;
-                        self.fair_price_focus_close = self.mid_price;
-                    }
-                }
-
-                // 空单平仓逻辑
-                if self.inventory < Decimal::ZERO && close_rate < Decimal::ZERO {
-                    if self.profit_point > Decimal::ZERO {
-                        self.fair_rate_focus_close = close_rate;
-                        self.fair_price_focus_close = self.fair_price;
-                    } else if self.t_diff.is_zero() {
-                        self.fair_rate_focus_close = close_rate;
-                        self.fair_price_focus_close = self.fair_price;
-                    }
-                }
-            }
-
-            // ============================ 平仓特殊逻辑处理1 =======================
-            // if self.fair_rate_focus_close.is_zero() && !self.inventory.is_zero() && self.profit_point < dec!(-0.01) {
-            //     self.fair_rate_focus_close = dec!(-0.11);
-            //     self.fair_price_focus_close = self.mid_price;
-            //
-            //     // let prev_open_activate = self.params.open_activate;
-            //     // self.params.open_activate = self.params.open_activate * dec!(1.5);
-            //
-            //     info!("----------------------------------------");
-            //     // info!("止损，参数调整：{} -> {}", prev_open_activate, self.params.open_activate);
-            //     info!("硬止损, 在价格{}处，成本价{}，价值={}, p={}。", self.fair_price_focus_close, self.pos_avg_price, self.pos_avg_price*self.pos_amount, self.profit_point);
-            //     info!("----------------------------------------");
-            // }
-            // ============================ 平仓特殊逻辑处理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) || (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{}，价值={}, p={}。", self.fair_price_focus_close, self.pos_avg_price, self.pos_avg_price*self.pos_amount, self.profit_point);
-                    info!("----------------------------------------");
-                }
-            }
         }
 
         // // 判断价格是否回归
@@ -542,69 +416,32 @@ impl Predictor {
         // -1表示市价成交(委托对手盘的价格，但不一定能市价成交)，这里再想想吧，经常委托出去没成交，明显比别人慢了
         // 0是买一/卖一成交
 
-        if self.fair_price.is_zero() {
+        if self.fair_price.is_zero() || self.mid_price.is_zero() {
             return;
         }
 
-        // 可能是趋势
-        // let is_open_long = self.spread_sma_1000 - self.spread_sma > self.params.open && self.fair_price > self.mid_price;
-        // let is_open_short = self.spread_sma_1000 - self.spread_sma < self.params.open * Decimal::NEGATIVE_ONE && self.fair_price < self.mid_price;
         // 可能是接针
-        let is_open_long = self.fair_rate_focus_open < Decimal::ZERO;
-        let is_open_short = self.fair_rate_focus_open > Decimal::ZERO;
-        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));
+        let is_open_long = true;
+        let is_open_short = true;
+        let is_close_long = self.inventory > Decimal::ZERO;
+        let is_close_short = self.inventory < Decimal::ZERO;
 
         self.bid_delta = dec!(-2);
         self.ask_delta = dec!(-2);
 
         if is_close_long {
-            // let close_rate = (self.error_rate / dec!(0.5)) * self.params.close;
-            //
-            // self.ask_delta = self.mid_price * close_rate;
-            self.ask_delta = self.mid_price * self.params.close;
+            self.optimal_ask_price = max(self.mid_price, self.fair_price) + self.mid_price * self.params.close;
         } else if is_close_short {
-            // let close_rate = (self.error_rate / dec!(0.5)) * self.params.close;
-            //
-            // self.bid_delta = self.mid_price * close_rate;
-            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 {
-            //     dec!(-1)
-            // } else {
-            //     dec!(0)
-            // };
-
-            self.bid_delta = self.params.open * self.mid_price;
-        } else if is_open_short {
-            // let is_open_short_market = self.spread_sma_1000 - self.spread_sma < self.params.open_market * Decimal::NEGATIVE_ONE;
-            // self.ask_delta = if is_open_short_market {
-            //     dec!(-1)
-            // } else {
-            //     dec!(0)
-            // }
-
-            self.ask_delta = self.params.open * self.mid_price;
-        }
-    }
-
-    pub fn update_optimal_ask_and_bid(&mut self) {
-        self.optimal_ask_price = if self.ask_delta == dec!(-1) {
-            self.bid_price
-        } else if self.ask_delta == dec!(-2) {
-            Self::DONT_VIEW
+            self.optimal_bid_price = min(self.mid_price, self.fair_price) - self.mid_price * self.params.close;
         } else {
-            max(self.ask_price + self.ask_delta, self.bid_price)
-        };
+            if is_open_long {
+                self.optimal_bid_price = min(self.mid_price, self.fair_price) - self.mid_price * self.params.open;
+            }
 
-        self.optimal_bid_price = if self.bid_delta == dec!(-1) {
-            self.ask_price
-        } else if self.bid_delta == dec!(-2) {
-            Self::DONT_VIEW
-        } else {
-            min(self.bid_price - self.bid_delta, self.ask_price)
-        };
+            if is_open_short {
+                self.optimal_ask_price = max(self.mid_price, self.fair_price) + self.mid_price * self.params.open;
+            }
+        }
 
         self.optimal_ask_price.rescale(self.mid_price.scale());
         self.optimal_bid_price.rescale(self.mid_price.scale());
@@ -664,7 +501,7 @@ impl Predictor {
 
         self.update_t_diff();
         self.update_delta();
-        self.update_optimal_ask_and_bid();
+        // self.update_optimal_ask_and_bid();
 
         // let mut smm = Decimal::ZERO;
         // if !self.depth_vec[1].time.is_zero() {
@@ -682,9 +519,9 @@ impl Predictor {
         let last_price = self.last_price;
         let fair_price = self.fair_price;
 
-        let spread = self.profit_point;
-        let spread_max = self.profit_point_ema;
-        let spread_min = Self::DONT_VIEW;
+        let spread = self.mid_price;
+        let spread_max = self.optimal_ask_price;
+        let spread_min = self.optimal_bid_price;
         // let spread = self.price_times_avg;
         // let spread_max = self.fair_price_vec[1] / self.fair_price_vec[0];
         // let spread_min = self.fair_price / self.mid_price;