反着来

strategy/src/predictor.rs

@@ -19,8 +19,12 @@ pub struct Predictor {
     pub depth_vec: Vec<Depth>,                                                  // 深度队列
     pub record_vec: VecDeque<Record>,                                           // 蜡烛队列
     pub spread_vec: VecDeque<Decimal>,                                          // 价差队列
+    pub mid_price_long_vec: FixedTimeRangeDeque<Decimal>,
     pub mid_price_short_vec: FixedTimeRangeDeque<Decimal>,
-    pub trend_rate: Decimal,
+    pub fair_price_short_vec: FixedTimeRangeDeque<Decimal>,
+    pub trend_long_rate: Decimal,
+    pub trend_short_rate: Decimal,
+    pub fair_rate: Decimal,
 
     pub prices: Vec<Vec<VecDeque<Decimal>>>,                                    // [[[做市所], [参考所0]], ...]
     pub ks: Vec<Decimal>,
@@ -42,8 +46,8 @@ pub struct Predictor {
     pub prev_balance: Decimal,
 
     pub prev_open_time: Decimal,
-    pub trade_condition: Decimal,                                                 // 过去1分钟以内，差价是否满足过扩大行为+行情有针
-    pub trade_condition_time: Decimal,                                            // 满足时的瞬时时间
+    pub trade_condition: Decimal,                                               // 过去1分钟以内，差价是否满足过扩大行为+行情有针
+    pub trade_condition_time: Decimal,                                          // 满足时的瞬时时间
 
     pub ask_delta: Decimal,                                                     // δa
     pub bid_delta: Decimal,                                                     // δb
@@ -75,7 +79,7 @@ impl Predictor {
     // const TIME_DIFF_RANGE_MICROS: i64 = 15 * 60_000_000;
     // const TRADE_LONG_RANGE_MICROS: i64 = 10 * 60_000_000;
     // const SPREAD_RANGE_MICROS: i64 = 15 * 60_000_000;
-    const TRADE_SHORT_RANGE_MICROS: i64 = 10_000_000;
+    // const TRADE_SHORT_RANGE_MICROS: i64 = 10_000_000;
     // const ONE_MILLION: Decimal = dec!(1_000_000);
     // const TWENTY_THOUSAND: Decimal = dec!(20_000);
     const DONT_VIEW: Decimal = dec!(14142135623730951);
@@ -153,7 +157,10 @@ impl Predictor {
 
             record_vec: VecDeque::new(),
 
-            mid_price_short_vec: FixedTimeRangeDeque::new(Self::TRADE_SHORT_RANGE_MICROS),
+            mid_price_long_vec: FixedTimeRangeDeque::new(5_000_000),
+            mid_price_short_vec: FixedTimeRangeDeque::new(1_000_000),
+            fair_price_short_vec: FixedTimeRangeDeque::new(1_000_000),
+
             spread_vec: VecDeque::new(),
             mid_price: Default::default(),
             ask_price: Default::default(),
@@ -188,8 +195,11 @@ impl Predictor {
             params,
 
             debug_sender: tx,
-            trend_rate: Default::default(),
             prev_open_time: Default::default(),
+
+            trend_long_rate: Default::default(),
+            trend_short_rate: Default::default(),
+            fair_rate: Default::default(),
         };
 
         predictor
@@ -204,26 +214,27 @@ impl Predictor {
             self.bid_price = depth.bids[0].price;
             self.mid_price = (self.ask_price + self.bid_price) / Decimal::TWO;
 
+            self.mid_price_long_vec.push_back(self.mid_price);
             self.mid_price_short_vec.push_back(self.mid_price);
 
-            self.trend_rate = if self.mid_price_short_vec.len() > 2 {
-                let max = self.mid_price_short_vec.deque.iter().max().unwrap();
-                let min = self.mid_price_short_vec.deque.iter().min().unwrap();
+            self.trend_long_rate = if self.mid_price_long_vec.len() > 2 {
+                let first = self.mid_price_long_vec.deque.front().unwrap();
+                let last = self.mid_price_long_vec.deque.back().unwrap();
 
+                (last - first) / first
+            } else {
+                Decimal::ZERO
+            };
+            self.trend_long_rate.rescale(6);
+            self.trend_short_rate = if self.mid_price_short_vec.len() > 2 {
+                let first = self.mid_price_short_vec.deque.front().unwrap();
                 let last = self.mid_price_short_vec.deque.back().unwrap();
 
-                // 在下跌
-                if max - last > last - min {
-                    (last - max) / max
-                }
-                // 在上涨
-                else {
-                    (last - min) / min
-                }
+                (last - first) / first
             } else {
                 Decimal::ZERO
             };
-            self.trend_rate.rescale(6);
+            self.trend_short_rate.rescale(6);
 
             // 拟合k与b
             for (mid_index, mp) in self.mid_price_vec.iter().enumerate() {
@@ -312,7 +323,9 @@ impl Predictor {
             }
             // 平仓
             if self.pos_amount.is_zero() {
+                self.mid_price_long_vec.deque.clear();
                 self.mid_price_short_vec.deque.clear();
+                self.fair_price_short_vec.deque.clear();
             }
 
             self.processor(update_time, true).await;
@@ -363,6 +376,18 @@ impl Predictor {
         if fair_price_count != 0 {
             self.fair_price = fair_price_sum / Decimal::from(fair_price_count);
 
+            self.fair_price_short_vec.push_back(self.fair_price);
+
+            self.fair_rate = if self.fair_price_short_vec.len() > 2 {
+                let first = self.fair_price_short_vec.deque.front().unwrap();
+                let last = self.fair_price_short_vec.deque.back().unwrap();
+
+                (last - first) / first
+            } else {
+                Decimal::ZERO
+            };
+            self.fair_rate.rescale(6);
+
             // let mut spread_abs = ((self.fair_price - self.mid_price) / self.mid_price).abs();
             // spread_abs.rescale(5);
             //
@@ -390,18 +415,28 @@ impl Predictor {
 
         let is_close_long = self.inventory > Decimal::ZERO && (
             // 反转平仓1
-            (self.trend_rate > dec!(0.01))
+            (self.trend_long_rate > dec!(0.005))
             // 达到最大持仓时间还未盈利就平仓
             || (now - self.prev_open_time > is_holding_time_over && self.mid_price < self.pos_avg_price)
         );
         let is_close_short = self.inventory < Decimal::ZERO && (
             // 反转平仓1
-            (self.trend_rate < dec!(-0.01))
+            (self.trend_long_rate < dec!(-0.005))
             // 达到最大持仓时间还未盈利就平仓
             || (now - self.prev_open_time > is_holding_time_over && self.mid_price > self.pos_avg_price)
         );
-        let is_open_long = self.inventory.is_zero() && self.fair_price > self.mid_price * (Decimal::ONE + self.params.open) && self.trend_rate < dec!(-0.01);
-        let is_open_short = self.inventory.is_zero() && self.fair_price < self.mid_price * (Decimal::ONE - self.params.open) && self.trend_rate > dec!(0.01);
+        let is_open_long = self.inventory.is_zero()
+            && self.fair_price > self.mid_price * (Decimal::ONE + self.params.open)
+            && self.trend_long_rate < dec!(-0.005)
+            && self.trend_short_rate < dec!(-0.001)
+            && self.fair_rate > dec!(0.001)
+        ;
+        let is_open_short = self.inventory.is_zero()
+            && self.fair_price < self.mid_price * (Decimal::ONE - self.params.open)
+            && self.trend_long_rate > dec!(0.005)
+            && self.trend_short_rate > dec!(0.001)
+            && self.fair_rate < dec!(-0.001)
+        ;
 
         // 使信号有一定持续性
         if is_close_long {
@@ -582,7 +617,7 @@ impl Predictor {
         let sigma_square = Decimal::from(Utc::now().timestamp_millis()) - data_time;
 
         let gamma = self.balance;
-        let kappa = self.trend_rate;
+        let kappa = self.trend_long_rate;
 
         let flow_ratio = Decimal::ZERO;