接针测试

strategy/src/predictor.rs

@@ -36,8 +36,8 @@ pub struct Predictor {
     pub bid_price: Decimal,                                                     // 中间价
     pub fair_price: Decimal,
     pub last_price: Decimal,                                                    // 最后成交价
-    pub ma_30: Decimal,
-    pub ma_500: Decimal,
+    pub ma_short: Decimal,
+    pub ma_long: Decimal,
     pub trend_rate: Decimal,
 
     pub optimal_ask_price: Decimal,                                             // 卖出挂单价
@@ -172,8 +172,8 @@ impl Predictor {
             fair_price: Default::default(),
             last_price: Default::default(),
 
-            ma_30: Default::default(),
-            ma_500: Default::default(),
+            ma_short: Default::default(),
+            ma_long: Default::default(),
             trend_rate: Default::default(),
 
             optimal_ask_price: Self::DONT_VIEW,
@@ -327,12 +327,12 @@ impl Predictor {
             }
         }
 
-        if self.record_vec.len() > 500 {
+        if self.record_vec.len() > 50 {
             self.record_vec.pop_front();
         }
 
-        // 计算ma30与ma500
-        if self.record_vec.len() == 500 && !self.mid_price.is_zero() {
+        // 计算ma
+        if self.record_vec.len() == 50 && !self.mid_price.is_zero() {
             let len = self.record_vec.len();
             // ma200
             let mut i = len - 1;
@@ -346,12 +346,12 @@ impl Predictor {
 
                 i = i - 1;
             }
-            self.ma_500 = sum / Decimal::from(500);
-            // ma30
+            self.ma_long = sum / Decimal::from(self.record_vec.len());
+            // ma20
             let mut i = len - 1;
             let mut sum: Decimal = Decimal::ZERO;
             loop {
-                if i == len - 31 {
+                if i == len - 21 {
                     break
                 }
 
@@ -359,12 +359,12 @@ impl Predictor {
 
                 i = i - 1;
             }
-            self.ma_30 = sum / Decimal::from(30);
+            self.ma_short = sum / Decimal::from(20);
 
-            self.ma_30.rescale(self.mid_price.scale());
-            self.ma_500.rescale(self.mid_price.scale());
+            self.ma_short.rescale(self.mid_price.scale());
+            self.ma_long.rescale(self.mid_price.scale());
 
-            self.trend_rate = self.ma_30 / self.ma_500;
+            self.trend_rate = self.ma_short / self.ma_long;
             self.trend_rate.rescale(8);
         }
     }
@@ -510,10 +510,12 @@ impl Predictor {
             || (self.profit > dec!(0.01) && self.profit < self.profit_high * dec!(0.75))
         );
 
-        let last_record = &self.record_vec[self.record_vec.len() - 2];
         let is_open_long = self.inventory.is_zero()
-            && last_record.close / last_record.open < (Decimal::ONE - dec!(0.005))
-            && self.trend_rate < self.params.open
+            && self.fair_price > self.mid_price * (Decimal::ONE + self.params.open)
+            && self.trend_long_rate < dec!(-0.005)
+            && self.fair_rate > Decimal::ZERO
+            && self.fair_rate > self.trend_short_rate + dec!(0.0001)
+            && self.trend_rate < dec!(0.985)
         ;
         let is_open_short = self.inventory.is_zero()
             && false
@@ -535,9 +537,9 @@ impl Predictor {
             self.trade_condition_time = now;
         }
 
-        // 开仓信号要过期，只保留60秒
+        // 开仓信号要过期，只保留2秒
         if (self.trade_condition == dec!(3) || self.trade_condition == dec!(4))
-            && now - self.trade_condition_time > dec!(60_000) {
+            && now - self.trade_condition_time > dec!(2_000) {
             self.trade_condition = Decimal::ZERO;
         }
 
@@ -604,11 +606,11 @@ impl Predictor {
             return;
         }
 
-        if self.ma_500.is_zero() {
+        if self.ma_long.is_zero() {
             return;
         }
 
-        if self.ma_30.is_zero() {
+        if self.ma_short.is_zero() {
             return;
         }
 
@@ -703,8 +705,8 @@ impl Predictor {
         let fair_price = self.fair_price;
 
         let spread = self.mid_price;
-        let spread_max = self.ma_30;
-        let spread_min = self.ma_500;
+        let spread_max = self.ma_short;
+        let spread_min = self.ma_long;
         // 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;