开放交易，用open当爆仓u量阈值

strategy/src/predictor.rs

@@ -57,6 +57,7 @@ pub struct Predictor {
     pub mid_price_time_vec: FixedTimeRangeDeque<Decimal>,                       // 中间价格队列，
     pub mid_price_long_time_vec: FixedTimeRangeDeque<Decimal>,                  // 中间价格队列，
     pub mid_price_trend_time_vec: FixedTimeRangeDeque<Decimal>,                 // 中间价格队列，
+    pub mid_price_trend_rate: Decimal,
     pub fair_price_time_vec: FixedTimeRangeDeque<Decimal>,                      // 公平价格队列，
     pub fair_price_long_time_vec: FixedTimeRangeDeque<Decimal>,                 // 公平价格队列，
     pub fair_price_vec: Vec<Decimal>,                                           // 公平价格列表，0表示做市所，1表示参考所
@@ -180,6 +181,7 @@ impl Predictor {
             mid_price_time_vec: FixedTimeRangeDeque::new((params.second_observation_time.to_f64().unwrap() * 1_000_000f64).to_i64().unwrap()),
             mid_price_long_time_vec: FixedTimeRangeDeque::new((params.second_observation_time.to_f64().unwrap() * 1_000_000f64).to_i64().unwrap() * 2),
             mid_price_trend_time_vec: FixedTimeRangeDeque::new(5 * 60 * 1_000_000),
+            mid_price_trend_rate: Default::default(),
             fair_price: Default::default(),
             fair_price_ema_short: Default::default(),
             fair_price_ema_long: Default::default(),
@@ -227,23 +229,8 @@ impl Predictor {
             self.mid_price_time_vec.push_back(self.mid_price);
             self.mid_price_long_time_vec.push_back(self.mid_price);
             self.mid_price_trend_time_vec.push_back(self.mid_price);
-
-            if !self.inventory.is_zero() {
-                let mut profit_now = if self.inventory > Decimal::ZERO {
-                    (self.mid_price - self.pos_avg_price) / self.pos_avg_price
-                } else {
-                    (self.pos_avg_price - self.mid_price) / self.pos_avg_price
-                };
-
-                profit_now -= dec!(0.0006);
-                profit_now.rescale(8);
-
-                self.profit_point_vec.push(profit_now);
-
-                // let total: Decimal = self.profit_fixed_vec.iter().sum();
-                self.profit_point = profit_now;
-                self.profit_point_ema = self.profit_point_ema * dec!(0.99) + self.profit_point * dec!(0.01);
-            }
+            let (rate, _, _) = Self::get_real_rate(&self.mid_price_trend_time_vec);
+            self.mid_price_trend_rate = rate;
         }
 
         self.update_fair_price(depth, index).await;
@@ -327,6 +314,7 @@ impl Predictor {
 
         if prev_inventory != self.inventory && prev_inventory.is_zero() {
             self.prev_trade_time = Utc::now().timestamp_micros();
+            self.force_order_value = Decimal::ZERO;
         }
 
         // 重置fair数据，用于重新计算幅度
@@ -411,150 +399,6 @@ impl Predictor {
             if self.fair_price_time_vec.len() < 2 {
                 return;
             }
-
-            // let (mut fair_rate, fair_start) = Self::get_real_rate(&self.fair_price_time_vec);
-            // fair_rate.rescale(8);
-            // let (mut fair_long_rate, _) = Self::get_real_rate(&self.fair_price_long_time_vec);
-            // fair_long_rate.rescale(8);
-            let (mut mid_rate, _, _) = Self::get_real_rate(&self.mid_price_time_vec);
-            mid_rate.rescale(8);
-            let (mut mid_long_rate, _, _) = Self::get_real_rate(&self.mid_price_long_time_vec);
-            mid_long_rate.rescale(8);
-            let (_, max_price, min_price) = Self::get_real_rate(&self.mid_price_trend_time_vec);
-
-            // 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.spread_ema < Decimal::ZERO {
-            //         self.fair_rate_focus_open = Decimal::ZERO;
-            //     }
-            //
-            //     if self.fair_rate_focus_open > Decimal::ZERO && self.spread_ema > Decimal::ZERO {
-            //         self.fair_rate_focus_open = Decimal::ZERO;
-            //     }
-            // }
-            // 重置开仓焦点，条件2
-            if !self.mid_rate_focus_open.is_zero() && !self.inventory.is_zero() {
-                self.mid_rate_focus_open = Decimal::ZERO;
-            }
-            // 重置开仓焦点，条件3
-            if !self.mid_price_focus_open.is_zero() {
-                let focus_rate = (self.mid_price - self.mid_price_focus_open) / self.mid_price_focus_open;
-
-                if focus_rate.abs() > self.params.open_activate / dec!(4) {
-                    self.mid_rate_focus_open = Decimal::ZERO;
-                }
-            }
-            // 更新程序关注的开仓焦点
-            if self.mid_rate_focus_open.is_zero() && self.inventory.is_zero() {
-                // 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;
-                // is_cross = is_cross && ((mid_start - fair_start) / mid_start).abs() < dec!(0.0005);
-
-                // 小于40%的波动发生在最后一段时间
-                let is_high_speed = mid_rate.abs() < mid_long_rate.abs() * dec!(0.4) && mid_rate * mid_long_rate > Decimal::ZERO;
-
-                if is_high_speed && mid_rate.abs() > self.params.open_activate {
-                    // 向上涨，并且fair下穿mid，视为观测阶段开始
-                    if mid_rate > Decimal::ZERO && mid_long_rate > Decimal::ZERO && self.mid_price < max_price {
-                        self.mid_rate_focus_open = dec!(-0.01);
-                        self.mid_price_focus_open = self.mid_price;
-                    }
-
-                    // 向下跌，并且fair上穿mid，视为观测阶段开始
-                    if mid_rate < Decimal::ZERO && mid_long_rate < Decimal::ZERO && self.mid_price > min_price {
-                        self.mid_rate_focus_open = dec!(0.01);
-                        self.mid_price_focus_open = self.mid_price;
-                    }
-                }
-            }
-
-            // ============================ 平仓逻辑处理 =======================
-            // close_rate：
-            //  大于0：当前价格在均线之上
-            //  小于0：当前价格在均线之下
-            let close_rate = mid_rate.clone();
-            // 重置平仓焦点，条件1
-            if !self.mid_rate_focus_close.is_zero() && self.inventory.is_zero() {
-                self.mid_rate_focus_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) {
-            //     let focus_rate = (self.mid_price - self.fair_price_focus_close) / self.fair_price_focus_close;
-            //
-            //     if self.fair_rate_focus_close > Decimal::ZERO && focus_rate < Decimal::NEGATIVE_ONE * self.params.close_activate / Decimal::TWO {
-            //         self.fair_rate_focus_close = Decimal::ZERO;
-            //     }
-            //
-            //     if self.fair_rate_focus_close < Decimal::ZERO && focus_rate > self.params.close_activate / Decimal::TWO {
-            //         self.fair_rate_focus_close = Decimal::ZERO;
-            //     }
-            // }
-            // 更新程序关注的平仓焦点
-            let close_activate = self.params.open_activate;
-            if self.mid_rate_focus_close.is_zero() && !self.inventory.is_zero() && close_rate.abs() > close_activate {
-                // 多单平仓逻辑
-                if self.inventory > Decimal::ZERO && close_rate > Decimal::ZERO {
-                    if self.profit_point > Decimal::ZERO {
-                        self.mid_rate_focus_close = close_rate;
-                        self.fair_price_focus_close = self.mid_price;
-                    } else if self.t_diff.is_zero() {
-                        self.mid_rate_focus_close = close_rate;
-                        self.fair_price_focus_close = self.mid_price;
-                    }
-                }
-
-                // 空单平仓逻辑
-                if self.inventory < Decimal::ZERO && close_rate < Decimal::ZERO {
-                    if self.profit_point > Decimal::ZERO {
-                        self.mid_rate_focus_close = close_rate;
-                        self.fair_price_focus_close = self.fair_price;
-                    } else if self.t_diff.is_zero() {
-                        self.mid_rate_focus_close = close_rate;
-                        self.fair_price_focus_close = self.fair_price;
-                    }
-                }
-            }
-            // 15秒以后平仓
-            // let is_time_over = Utc::now().timestamp_micros() - self.prev_trade_time > 20 * 1_000_000;
-            // if self.mid_rate_focus_close.is_zero() && !self.inventory.is_zero() && is_time_over {
-            //     if self.inventory > Decimal::ZERO {
-            //         self.mid_rate_focus_close = dec!(0.01);
-            //         self.fair_price_focus_close = self.mid_price;
-            //     }
-            //     if self.inventory < Decimal::ZERO {
-            //         self.mid_rate_focus_close = dec!(-0.01);
-            //         self.fair_price_focus_close = self.mid_price;
-            //     }
-            // }
-
-            // ============================ 平仓特殊逻辑处理1 =======================
-            // if self.mid_rate_focus_close.is_zero() && !self.inventory.is_zero() && self.profit_point < dec!(-0.002) {
-            //     self.mid_rate_focus_close = dec!(-0.11);
-            //     self.fair_price_focus_close = self.mid_price;
-            //
-            //     // let prev_open_activate = self.params.open_activate;
-            //     // self.params.open_activate = self.params.open_activate * dec!(1.5);
-            //
-            //     info!("----------------------------------------");
-            //     // info!("止损，参数调整：{} -> {}", prev_open_activate, self.params.open_activate);
-            //     info!("硬止损, 在价格{}处，成本价{}，价值={}, p={}。", self.fair_price_focus_close, self.pos_avg_price, self.pos_avg_price*self.pos_amount, self.profit_point);
-            //     info!("----------------------------------------");
-            // }
-            // ============================ 平仓特殊逻辑处理2 =======================
-            if self.mid_rate_focus_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];
-
-                if (prev_profit_point >= Decimal::ZERO && profit_point < Decimal::ZERO) || (prev_profit_point > Decimal::ZERO && profit_point <= Decimal::ZERO) {
-                    self.mid_rate_focus_close = dec!(-0.12);
-                    self.fair_price_focus_close = self.mid_price;
-
-                    info!("----------------------------------------");
-                    info!("止损逻辑2, 在价格{}处，成本价{}，价值={}, p={}。", self.fair_price_focus_close, self.pos_avg_price, self.pos_avg_price*self.pos_amount, self.profit_point);
-                    info!("----------------------------------------");
-                }
-            }
         }
 
         // // 判断价格是否回归
@@ -590,10 +434,6 @@ impl Predictor {
     }
 
     pub fn update_delta(&mut self) {
-        // -2表示不想成交
-        // -1表示市价成交(委托对手盘的价格，但不一定能市价成交)，这里再想想吧，经常委托出去没成交，明显比别人慢了
-        // 0是买一/卖一成交
-
         if self.fair_price.is_zero() {
             return;
         }
@@ -602,51 +442,22 @@ 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_focus_open > Decimal::ZERO;
-        let is_open_short = self.mid_rate_focus_open < Decimal::ZERO;
-        let is_close_long = self.inventory > Decimal::ZERO && (self.mid_rate_focus_close > Decimal::ZERO || self.mid_rate_focus_close < dec!(-0.1));
-        let is_close_short = self.inventory < Decimal::ZERO && (self.mid_rate_focus_close < Decimal::ZERO || self.mid_rate_focus_close < dec!(-0.1));
+        let is_open_long = self.mid_price_trend_rate < Decimal::ZERO && self.force_order_value < -self.params.open;
+        let is_open_short = self.mid_price_trend_rate > Decimal::ZERO && self.force_order_value > self.params.open;
+        let is_close_long = self.inventory > Decimal::ZERO && self.mid_price_trend_rate > Decimal::ZERO;
+        let is_close_short = self.inventory < Decimal::ZERO && self.mid_price_trend_rate < Decimal::ZERO;
 
         self.bid_delta = dec!(-2);
         self.ask_delta = dec!(-2);
 
         if is_close_long {
-            // let close_rate = (self.error_rate / dec!(0.5)) * self.params.close;
-            //
-            // self.ask_delta = self.mid_price * close_rate;
-            if self.mid_rate_focus_close < dec!(-0.1) {
-                self.ask_delta = dec!(-1);
-            } else {
-                self.ask_delta = self.mid_price * self.params.close;
-            }
+            self.ask_delta = self.mid_price * self.params.close;
         } else if is_close_short {
-            // let close_rate = (self.error_rate / dec!(0.5)) * self.params.close;
-            //
-            // self.bid_delta = self.mid_price * close_rate;
-
-            if self.mid_rate_focus_close < dec!(-0.1) {
-                self.bid_delta = dec!(-1);
-            } else {
-                self.bid_delta = self.mid_price * self.params.close;
-            }
+            self.bid_delta = self.mid_price * self.params.close;
         } else if is_open_long {
-            // let is_open_long_market = self.spread_sma_1000 - self.spread_sma > self.params.open_market;
-            // self.bid_delta = if is_open_long_market {
-            //     dec!(-1)
-            // } else {
-            //     dec!(0)
-            // };
-
-            self.bid_delta = self.params.open * self.mid_price;
+            self.bid_delta = Decimal::ZERO;
         } 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 {
-            //     dec!(-1)
-            // } else {
-            //     dec!(0)
-            // }
-
-            self.ask_delta = self.params.open * self.mid_price;
+            self.ask_delta = Decimal::ZERO;
         }
     }
 
@@ -743,16 +554,9 @@ impl Predictor {
         let last_price = self.last_price;
         let fair_price = Self::DONT_VIEW;
 
-        let (spread, spread_max, spread_min) = if self.mid_price_trend_time_vec.len() > 1 {
-            let (rate, _, _) = Self::get_real_rate(&self.mid_price_trend_time_vec);
-
-            (rate, Self::DONT_VIEW, Self::DONT_VIEW)
-        } else {
-            (self.mid_price, Self::DONT_VIEW, Self::DONT_VIEW)
-        };
-        // 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;
+        let spread = self.mid_price_trend_rate;
+        let spread_max = self.fair_price_vec[1] / self.fair_price_vec[0];
+        let spread_min = self.fair_price / self.mid_price;
 
         let optimal_ask_price = self.optimal_ask_price;
         let optimal_bid_price = self.optimal_bid_price;

strategy/src/strategy.rs

@@ -1095,7 +1095,7 @@ impl Strategy {
 
         self._cancel_open(&mut command, local_orders, predictor);   // 撤单命令处理
         self._post_close(&mut command, local_orders, predictor);    // 平仓单命令处理
-        // self._post_open(&mut command, local_orders, predictor);     // 限价单命令处理
+        self._post_open(&mut command, local_orders, predictor);     // 限价单命令处理
         self._check_local_orders(&mut command, local_orders);       // 固定时间检查超时订单
         self._update_in_cancel(&mut command, local_orders);         // 更新撤单队列，是一个filter
         self._check_request_limit(&mut command);                    // 限制频率，移除不合规则之订单，是一个filter