趋势 4

strategy/src/predictor.rs

@@ -176,10 +176,10 @@ impl Predictor {
             fair_price: Default::default(),
             fair_price_ema_short: Default::default(),
             fair_price_ema_long: Default::default(),
-            mid_rate_signal_open: Self::DONT_VIEW,
+            mid_rate_signal_open: Decimal::ZERO,
             mid_price_focus_cancel: Self::DONT_VIEW,
             mid_price_focus_stop_loss: Self::DONT_VIEW,
-            mid_rate_signal_close: Self::DONT_VIEW,
+            mid_rate_signal_close: Decimal::ZERO,
 
             price_times_avg: Default::default(),
 
@@ -310,6 +310,9 @@ impl Predictor {
         // 重置fair数据，用于重新计算幅度
         if prev_inventory != self.inventory {
             self.fair_price_time_vec.deque.clear();
+            self.mid_price_time_vec.deque.clear();
+            self.mid_price_long_time_vec.deque.clear();
+            self.mid_price_trend_time_vec.deque.clear();
         }
 
         // 重置资金流计算
@@ -386,7 +389,7 @@ impl Predictor {
                 self.fair_price_ema_short * dec!(0.999) + self.fair_price * dec!(0.001)
             };
 
-            if self.fair_price_time_vec.len() < 2 {
+            if self.mid_price_time_vec.len() < 2 || self.mid_price_long_time_vec.len() < 2 || self.mid_price_trend_time_vec.len() < 2 {
                 return;
             }
 
@@ -402,26 +405,26 @@ impl Predictor {
             mid_trend_rate.rescale(8);
 
             // 重置开仓焦点，条件1
-            if self.mid_rate_signal_open != Self::DONT_VIEW && !self.inventory.is_zero() {
-                self.mid_rate_signal_open = Self::DONT_VIEW;
+            if !self.mid_rate_signal_open.is_zero() && !self.inventory.is_zero() {
+                self.mid_rate_signal_open = Decimal::ZERO;
                 self.mid_price_focus_cancel = Self::DONT_VIEW;
             }
             // 重置开仓焦点，条件2
-            if self.mid_price_focus_cancel != Self::DONT_VIEW {
+            if !self.mid_rate_signal_open.is_zero() {
                 if self.mid_rate_signal_open > Decimal::ZERO && self.mid_price > self.mid_price_focus_cancel {
-                    self.mid_rate_signal_open = Self::DONT_VIEW;
+                    self.mid_rate_signal_open = Decimal::ZERO;
                     self.mid_price_focus_cancel = Self::DONT_VIEW;
                     self.mid_price_focus_stop_loss = Self::DONT_VIEW;
                 }
                 if self.mid_rate_signal_open < Decimal::ZERO && self.mid_price < self.mid_price_focus_cancel {
-                    self.mid_rate_signal_open = Self::DONT_VIEW;
+                    self.mid_rate_signal_open = Decimal::ZERO;
                     self.mid_price_focus_cancel = Self::DONT_VIEW;
                     self.mid_price_focus_stop_loss = Self::DONT_VIEW;
                 }
             }
             // 更新程序关注的开仓焦点
-            if self.mid_rate_signal_open == Self::DONT_VIEW && self.inventory.is_zero() {
-                self.mid_price_focus_stop_loss = Self::DONT_VIEW;
+            if self.mid_rate_signal_open.is_zero() && self.inventory.is_zero() {
+                // self.mid_price_focus_stop_loss = Self::DONT_VIEW;
                 // 是同起点
                 // let mut is_cross = fair_rate.abs() > self.params.open_activate;
                 // is_cross = is_cross && mid_rate.abs() > self.params.open_activate;
@@ -453,8 +456,8 @@ impl Predictor {
             //  大于0：当前价格在均线之上
             //  小于0：当前价格在均线之下
             // 重置平仓焦点，条件1
-            if self.mid_rate_signal_close != Self::DONT_VIEW && self.inventory.is_zero() {
-                self.mid_rate_signal_close = Self::DONT_VIEW;
+            if !self.mid_rate_signal_close.is_zero() && self.inventory.is_zero() {
+                self.mid_rate_signal_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) {
@@ -470,7 +473,7 @@ impl Predictor {
             // }
             // 更新程序关注的平仓焦点
             let close_activate = self.params.open_activate;
-            if self.mid_rate_signal_close == Self::DONT_VIEW && !self.inventory.is_zero() && mid_rate.abs() > close_activate {
+            if self.mid_rate_signal_close.is_zero() && !self.inventory.is_zero() && mid_rate.abs() > close_activate {
                 // 多单平仓逻辑
                 if self.inventory > Decimal::ZERO && mid_rate > Decimal::ZERO {
                     if self.profit_point > Decimal::ZERO {
@@ -516,7 +519,7 @@ impl Predictor {
             //     info!("----------------------------------------");
             // }
             // ============================ 平仓特殊逻辑处理2 =======================
-            if self.mid_rate_signal_close == Self::DONT_VIEW && !self.inventory.is_zero() && self.profit_point_vec.len() > 1 {
+            if self.mid_rate_signal_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];
 
@@ -529,7 +532,7 @@ impl Predictor {
                 }
             }
             // ============================ 平仓特殊逻辑处理3 =======================
-            if self.mid_rate_signal_close == Self::DONT_VIEW && !self.inventory.is_zero() {
+            if self.mid_rate_signal_close.is_zero() && !self.inventory.is_zero() {
                 if self.inventory > Decimal::ZERO && self.mid_price < self.mid_price_focus_stop_loss * dec!(0.9995) {
                     self.mid_rate_signal_close = dec!(-0.13);
 
@@ -593,8 +596,8 @@ impl Predictor {
         // 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.mid_rate_signal_open > Decimal::ZERO;
-        let is_open_short = self.mid_rate_signal_open < Decimal::ZERO;
+        let is_open_long = self.mid_rate_signal_open == dec!(0.01);
+        let is_open_short = self.mid_rate_signal_open == dec!(-0.01);
         let is_close_long = self.inventory > Decimal::ZERO && (self.mid_rate_signal_close > Decimal::ZERO || self.mid_rate_signal_close < dec!(-0.1));
         let is_close_short = self.inventory < Decimal::ZERO && (self.mid_rate_signal_close < Decimal::ZERO || self.mid_rate_signal_close < dec!(-0.1));
 
@@ -628,7 +631,8 @@ impl Predictor {
             //     dec!(0)
             // };
 
-            self.bid_delta = self.params.open * self.mid_price;
+            self.bid_delta = dec!(-1)
+            // 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 {
@@ -637,7 +641,8 @@ impl Predictor {
             //     dec!(0)
             // }
 
-            self.ask_delta = self.params.open * self.mid_price;
+            self.ask_delta = dec!(-1)
+            // self.ask_delta = self.params.open * self.mid_price;
         }
     }