v4.0.9: 接针+fp预测

strategy/src/predictor.rs

@@ -19,9 +19,8 @@ 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 trade_price_long_vec: FixedTimeRangeDeque<Decimal>,
-    pub trade_233_vec: FixedTimeRangeDeque<Trade>,
-    pub trade_0_vec: FixedTimeRangeDeque<Trade>,
+    pub trade_price_short_vec: FixedTimeRangeDeque<Decimal>,
+    pub trend_rate: Decimal,
 
     pub prices: Vec<Vec<VecDeque<Decimal>>>,                                    // [[[做市所], [参考所0]], ...]
     pub ks: Vec<Decimal>,
@@ -68,9 +67,9 @@ impl Predictor {
     // 时间窗口大小（微秒）
     // const MAX_TIME_RANGE_MICROS: i64 = 3 * 60_000_000;
     // const TIME_DIFF_RANGE_MICROS: i64 = 15 * 60_000_000;
-    const TRADE_LONG_RANGE_MICROS: i64 = 10 * 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 = 2 * 60_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);
@@ -148,9 +147,7 @@ impl Predictor {
 
             record_vec: VecDeque::new(),
 
-            trade_price_long_vec: FixedTimeRangeDeque::new(Self::TRADE_LONG_RANGE_MICROS),
-            trade_233_vec: FixedTimeRangeDeque::new(Self::TRADE_SHORT_RANGE_MICROS),
-            trade_0_vec: FixedTimeRangeDeque::new(Self::TRADE_SHORT_RANGE_MICROS),
+            trade_price_short_vec: FixedTimeRangeDeque::new(Self::TRADE_SHORT_RANGE_MICROS),
             spread_vec: VecDeque::new(),
             mid_price: Default::default(),
             fair_price: Default::default(),
@@ -180,6 +177,7 @@ impl Predictor {
             params,
 
             debug_sender: tx,
+            trend_rate: Default::default(),
         };
 
         predictor
@@ -247,19 +245,18 @@ impl Predictor {
 
         self.last_price = trade.price;
 
-        // self.trade_price_long_vec.push_back(trade.price);
-
         if index == 233 {
-            self.trade_233_vec.push_back(trade.clone());
-        } else {
-            // if trade.value > Decimal::ONE_HUNDRED {
-            //     self.update_fair_price(&trade.price, index).await;
-            //     self.processor(trade.time, false).await;
-            // }
+            self.trade_price_short_vec.push_back(trade.price);
 
-            // if index == 0 {
-            //     self.trade_0_vec.push_back(trade.clone());
-            // }
+            self.trend_rate = if self.trade_price_short_vec.len() > 2 {
+                let last = self.trade_price_short_vec.deque.back().unwrap();
+                let first = self.trade_price_short_vec.deque.front().unwrap();
+
+                (last - first) / first - Decimal::ONE
+            } else {
+                Decimal::ZERO
+            };
+            self.trend_rate.rescale(6);
         }
     }
 
@@ -377,17 +374,17 @@ impl Predictor {
             self.optimal_bid_price = max(self.mid_price, self.fair_price);
             self.optimal_ask_price = Self::DONT_VIEW;
         } else if self.inventory.is_zero() {
-            if self.fair_price > self.mid_price * (Decimal::ONE + self.params.open) {
+            if self.fair_price > self.mid_price * (Decimal::ONE + self.params.open) && self.trend_rate < self.params.open * dec!(-5) {
                 self.bid_delta = dec!(0);
                 self.ask_delta = dec!(-2);
 
-                self.optimal_bid_price = self.mid_price;
+                self.optimal_bid_price = self.mid_price * dec!(1.001);
                 self.optimal_ask_price = Self::DONT_VIEW;
-            } else if self.fair_price < self.mid_price * (Decimal::ONE - self.params.open) {
+            } else if self.fair_price < self.mid_price * (Decimal::ONE - self.params.open) && self.trend_rate > self.params.open * dec!(5) {
                 self.ask_delta = dec!(0);
                 self.bid_delta = dec!(-2);
 
-                self.optimal_ask_price = self.mid_price;
+                self.optimal_ask_price = self.mid_price * dec!(0.999);
                 self.optimal_bid_price = Self::DONT_VIEW;
             }
         }
@@ -513,7 +510,7 @@ impl Predictor {
         let sigma_square = Decimal::from(Utc::now().timestamp_millis()) - data_time;
 
         let gamma = self.balance;
-        let kappa = self.params.open;
+        let kappa = self.trend_rate;
 
         let flow_ratio = Decimal::ZERO;