v1.0.7: 在刚跌完/涨完的地方不开单

strategy/src/predictor.rs

@@ -85,7 +85,7 @@ impl Predictor {
     const TIME_DIFF_RANGE_MICROS: i64 = 15 * 60_000_000;
     const TRADE_LONG_RANGE_MICROS: i64 = 60_000_000;
     // const SPREAD_RANGE_MICROS: i64 = 15 * 60_000_000;
-    const TRADE_SHORT_RANGE_MICROS: i64 = 2_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);
@@ -290,6 +290,20 @@ impl Predictor {
         self.processor().await;
     }
 
+    pub fn get_real_rate(price_vec: &FixedTimeRangeDeque<Decimal>) -> Decimal {
+        let last_fair_price = price_vec.deque.iter().last().unwrap();
+        let min_price = price_vec.deque.iter().min().unwrap();
+        let max_price = price_vec.deque.iter().max().unwrap();
+        let up_rate = (last_fair_price - min_price) / min_price;
+        let down_rate = (max_price - last_fair_price) / max_price;
+
+        if up_rate > down_rate {
+            up_rate
+        } else {
+            -down_rate
+        }
+    }
+
     pub async fn update_fair_price(&mut self, depth: &Depth, index: usize) {
         if self.mid_price.is_zero() {
             return;
@@ -299,14 +313,14 @@ impl Predictor {
         let b1 = &depth.bids[0];
 
         // https://quant.stackexchange.com/questions/50651/how-to-understand-micro-price-aka-weighted-mid-price
-        // let total = a1.value + b1.value;
-        // let fair_price = a1.price * b1.value / total + b1.price * a1.value / total;
-        let fair_price = (a1.price + b1.price) / Decimal::TWO;
+        let total = a1.value + b1.value;
+        let fair_price = a1.price * b1.value / total + b1.price * a1.value / total;
+        // let fair_price = (a1.price + b1.price) / Decimal::TWO;
 
         self.fair_price_vec[index] = if self.fair_price_vec[index].is_zero() {
             fair_price
         } else {
-            self.fair_price_vec[index] * dec!(0.9) + fair_price * dec!(0.1)
+            self.fair_price_vec[index] * dec!(0.5) + fair_price * dec!(0.5)
         };
         self.fair_price_vec[index].rescale(self.mid_price.scale());
         self.volume_vec[index] = a1.size + b1.size;
@@ -316,7 +330,7 @@ impl Predictor {
             self.price_times_avg = if self.price_times_avg.is_zero() {
                 self.fair_price_vec[1] / self.fair_price_vec[0]
             } else {
-                self.price_times_avg * dec!(0.9999) + dec!(0.0001) * self.fair_price_vec[1] / self.fair_price_vec[0]
+                self.price_times_avg * dec!(0.9995) + dec!(0.0005) * self.fair_price_vec[1] / self.fair_price_vec[0]
             };
 
             // 进行价格归一化处理，公平所的价格有可能是带前缀的
@@ -324,10 +338,11 @@ impl Predictor {
             let fair_price_part1 = (self.fair_price_vec[1] / self.price_times_avg) * dec!(0.8);
             self.fair_price = fair_price_part0 + fair_price_part1;
             self.fair_price_time_vec.push_back(self.fair_price);
+            self.fair_price_long_time_vec.push_back(self.fair_price);
             self.fair_price_ema_long = if self.fair_price_ema_long.is_zero() {
                 self.fair_price
             } else {
-                self.fair_price_ema_long * dec!(0.99967) + self.fair_price * dec!(0.00033)
+                self.fair_price_ema_long * dec!(0.67) + self.fair_price * dec!(0.33)
             };
             self.fair_price_ema_short = if self.fair_price_ema_short.is_zero() {
                 self.fair_price
@@ -339,26 +354,18 @@ impl Predictor {
                 return;
             }
 
-            let last_fair_price = self.fair_price_time_vec.deque.iter().last().unwrap();
-            let min_price = self.fair_price_time_vec.deque.iter().min().unwrap();
-            let max_price = self.fair_price_time_vec.deque.iter().max().unwrap();
-            let up_rate = (last_fair_price - min_price) / min_price;
-            let down_rate = (max_price - last_fair_price) / max_price;
-
-            let mut rate = if up_rate > down_rate {
-                up_rate
-            } else {
-                -down_rate
-            };
+            let mut rate = Self::get_real_rate(&self.fair_price_time_vec);
+            let mut long_rate = Self::get_real_rate(&self.fair_price_long_time_vec);
             rate.rescale(8);
+            long_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.error_rate < dec!(0.9) {
+                if self.fair_rate_focus_open > Decimal::ZERO && self.error_rate < dec!(0.7) {
                     self.fair_rate_focus_open = Decimal::ZERO;
                 }
 
-                if self.fair_rate_focus_open < Decimal::ZERO && self.error_rate > dec!(-0.9) {
+                if self.fair_rate_focus_open < Decimal::ZERO && self.error_rate > dec!(-0.7) {
                     self.fair_rate_focus_open = Decimal::ZERO;
                 }
             }
@@ -383,13 +390,13 @@ impl Predictor {
                 // 只有有强度的rate才有资格被称为针
                 if rate.abs() > self.params.open_activate {
                     // 向上涨，并且fair下穿mid，视为观测阶段开始
-                    if rate > Decimal::ZERO && self.error_rate > dec!(0.9) {
+                    if rate > Decimal::ZERO && long_rate > Decimal::ZERO && self.error_rate > dec!(0.7) {
                         self.fair_rate_focus_open = rate;
                         self.fair_price_focus_open = self.fair_price;
                     }
 
                     // 向下跌，并且fair上穿mid，视为观测阶段开始
-                    if rate < Decimal::ZERO && self.error_rate < dec!(-0.9) {
+                    if rate < Decimal::ZERO && long_rate < Decimal::ZERO && self.error_rate < dec!(-0.7) {
                         self.fair_rate_focus_open = rate;
                         self.fair_price_focus_open = self.fair_price;
                     }