as-rust/strategy/src/predictor.rs

use std::cmp::{max, min};
use std::collections::{BTreeMap, VecDeque};
use std::sync::Arc;
use chrono::{Utc};
use futures_channel::mpsc::UnboundedSender;
use futures_util::StreamExt;
use rust_decimal::prelude::*;
use rust_decimal_macros::dec;
use tokio::sync::{Mutex};
use tracing::{info};
use global::cci::CentralControlInfo;
use global::fixed_time_range_deque::FixedTimeRangeDeque;
use global::params::Params;
use standard::{Depth, Record, Ticker, Trade};
use crate::utils;

#[derive(Debug)]
pub struct Predictor {
    pub depth_vec: Vec<Depth>,                                                  // 深度队列
    pub volume_vec: Vec<Decimal>,                                               // 交易量队列
    pub trade_long_vec: FixedTimeRangeDeque<Trade>,                             // 交易队列
    pub trade_short_vec: FixedTimeRangeDeque<Trade>,                            // 交易队列
    pub spread_vec: Vec<Decimal>,                                               // 价差队列
    pub record_vec: VecDeque<Record>,                                           // 蜡烛队列

    pub mid_price: Decimal,                                                     // 中间价
    pub ask_price: Decimal,                                                     // 卖一价
    pub bid_price: Decimal,                                                     // 买一价
    pub last_price: Decimal,                                                    // 最后成交价
    pub spread: Decimal,                                                        // 当前价差
    pub spread_sma: Decimal,                                                    // 价差的sma，默认是sma5000
    pub spread_sma_2000: Decimal,                                               // 价差的sma，2000级别
    pub spread_sma_1000: Decimal,                                               // 价差的sma，1000级别

    pub optimal_ask_price: Decimal,                                             // 卖出挂单价
    pub optimal_bid_price: Decimal,                                             // 买入挂单价

    pub inventory: Decimal,                                                     // 库存，也就是q
    pub pos_amount: Decimal,                                                    // 原始持仓量
    pub pos_avg_price: Decimal,                                                 // 原始持仓价格
    pub level: Decimal,                                                         // martin

    pub error_rate: Decimal,                                                    // 犯错概率（预估）

    pub ask_delta: Decimal,                                                     // δa
    pub bid_delta: Decimal,                                                     // δb

    pub mid_price_time_vec: FixedTimeRangeDeque<Decimal>,                       // 中间价格队列，100ms以内的所有中间价格
    pub fair_price_time_vec: FixedTimeRangeDeque<Decimal>,                      // 公平价格队列，100ms以内的所有公平价格
    pub fair_price_vec: Vec<Decimal>,                                           // 公平价格列表，0表示做市所，1表示参考所
    pub fair_price: Decimal,                                                    // 预定价格
    pub fair_rate_focus: Decimal,                                               // 变化幅度焦点
    pub fair_price_when_ordering: Decimal,                                      // 下单时的预定价格
    pub price_times_avg: Decimal,                                               // 公平所与做市所的价格倍率的平均值
    pub is_regressed: bool,                                                     // 做市所的价格是否已经回归

    pub is_ready: bool,                                                         // 是否已准备好
    pub close_price: Decimal,                                                   // 计划平仓价格

    pub prev_trade_time: i64,                                                   // 上次交易时间，也就是t
    pub t_diff: Decimal,                                                        // (T-t)

    pub last_update_time: Decimal,                                              // 最后更新时间（depth）
    pub last_index: Decimal,                                                    // 最后更新的index

    pub prev_insert_time: Decimal,
    pub prev_save_time: Decimal,

    pub params: Params,

    pub debug_sender: UnboundedSender<Vec<Decimal>>,

    pub long_trade_len_dec: Decimal,
    pub short_trade_len_dec: Decimal,
}

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 = 10 * 60_000_000;
    const TRADE_LONG_RANGE_MICROS: i64 = 3 * 60_000_000;
    // const SPREAD_RANGE_MICROS: i64 = 15 * 60_000_000;
    const TRADE_SHORT_RANGE_MICROS: i64 = 30_000_000;
    // const ONE_MILLION: Decimal = dec!(1_000_000);
    // const TWENTY_THOUSAND: Decimal = dec!(20_000);
    const UN_VIEW: Decimal = dec!(14142135623730951);

    pub fn new(_cci_arc: Arc<Mutex<CentralControlInfo>>, params: Params) -> Self {
        // 创建数据通道
        // 创建一个无界通道
        let (tx, mut rx) = futures_channel::mpsc::unbounded::<Vec<Decimal>>();

        tokio::spawn(async move {
            let len = 16usize;
            let mut prev_save_time = Decimal::from(Utc::now().timestamp_millis());
            let mut debugs: Vec<VecDeque<Option<Decimal>>> = vec![VecDeque::new(); len];

            while let Some(value) = rx.next().await {
                // 数据填充到对应位置
                for i in 0..len {
                    if value[i] == Self::UN_VIEW {
                        debugs[i].push_back(None);
                    } else {
                        debugs[i].push_back(Some(value[i]));
                    }
                }

                // 长度限制
                if debugs[0].len() > 500_000 {
                    for i in 0..len {
                        debugs[i].pop_front(); // 从前面移除元素
                    }
                }

                let now = Decimal::from(Utc::now().timestamp_millis());
                if now - prev_save_time < dec!(60000) {
                    continue;
                }

                let debugs_clone = debugs.clone();
                let temp_html_str = tokio::task::spawn_blocking(move || {
                    utils::build_html_file(&debugs_clone)
                }).await.unwrap();

                utils::write_to_file(&temp_html_str, "./db/db.html".to_string()).await;
                prev_save_time = Decimal::from(Utc::now().timestamp_millis());
            }
        });

        let predictor = Self {
            // 接针版本
            depth_vec: vec![Depth::new(); 10],
            fair_price_vec: vec![Decimal::ZERO; 10],
            volume_vec: vec![Decimal::ZERO; 10],

            // 老的队列
            spread_vec: vec![],
            trade_long_vec: FixedTimeRangeDeque::new(Self::TRADE_LONG_RANGE_MICROS),
            trade_short_vec: FixedTimeRangeDeque::new(Self::TRADE_SHORT_RANGE_MICROS),
            record_vec: VecDeque::new(),

            mid_price: Default::default(),
            ask_price: Default::default(),
            bid_price: Default::default(),
            last_price: Default::default(),
            spread: Default::default(),
            spread_sma: Default::default(),
            spread_sma_2000: Default::default(),
            spread_sma_1000: Default::default(),
            optimal_ask_price: Default::default(),
            optimal_bid_price: Default::default(),

            inventory: Default::default(),
            ask_delta: Default::default(),
            bid_delta: Default::default(),

            fair_price_time_vec: FixedTimeRangeDeque::new(100_000),
            mid_price_time_vec: FixedTimeRangeDeque::new(100_000),
            fair_price: Default::default(),
            fair_rate_focus: Default::default(),
            fair_price_when_ordering: Default::default(),

            price_times_avg: Default::default(),
            is_regressed: false,

            is_ready: false,
            prev_trade_time: Utc::now().timestamp_micros(),
            close_price: Default::default(),
            t_diff: Default::default(),
            level: Default::default(),
            pos_amount: Default::default(),
            error_rate: Default::default(),
            last_update_time: Default::default(),
            last_index: Default::default(),
            pos_avg_price: Default::default(),

            prev_insert_time: Default::default(),
            prev_save_time: Decimal::from(Utc::now().timestamp_millis()),

            params,

            debug_sender: tx,

            long_trade_len_dec: Default::default(),
            short_trade_len_dec: Default::default(),
        };

        predictor
    }

    pub async fn on_depth(&mut self, depth: &Depth, index: usize) {
        self.last_update_time = depth.time;
        self.last_index = Decimal::from(index);

        if index == 0 {
            self.ask_price = depth.asks[0].price;
            self.bid_price = depth.bids[0].price;
            self.mid_price = (self.ask_price + self.bid_price) / Decimal::TWO;

            self.mid_price_time_vec.push_back(self.mid_price);
        }

        self.update_fair_price(depth, index).await;
        self.update_spread();

        self.depth_vec[index] = depth.clone();

        if self.mid_price.is_zero() {
            return;
        }
        self.processor().await;
    }

    pub async fn on_trade(&mut self, trade: &Trade, _index: usize) {
        // self.last_update_time = trade.time;

        self.trade_long_vec.push_back(trade.clone());
        self.trade_short_vec.push_back(trade.clone());

        self.long_trade_len_dec = Decimal::from_usize(self.trade_long_vec.len()).unwrap();
        self.short_trade_len_dec = Decimal::from_usize(self.trade_short_vec.len()).unwrap();
        self.error_rate = self.short_trade_len_dec / self.long_trade_len_dec;
        self.error_rate.rescale(4);

        self.last_price = trade.price;
        // self.processor().await;
    }

    pub async fn update_level(&mut self) {
        self.level = (Decimal::NEGATIVE_ONE + (Decimal::ONE + dec!(8) * self.inventory.abs()).sqrt().unwrap()) / Decimal::TWO;
        self.level = min(self.level, dec!(6));
    }

    pub async fn on_ticker(&mut self, _ticker: &Ticker) {}

    pub async fn on_record(&mut self, _record: &Record) {}

    pub async fn on_inventory(&mut self, pos_amount: &Decimal, pos_avg_price: &Decimal, min_amount_value: &Decimal) {
        if self.mid_price.is_zero() {
            return;
        }

        let prev_inventory = self.inventory;
        self.pos_amount = pos_amount.clone();
        self.pos_avg_price = pos_avg_price.clone();
        self.inventory = (pos_amount / (min_amount_value / self.mid_price)).trunc();
        // 小于1但不为0的情况，需要平完
        if self.inventory.is_zero() && !pos_amount.is_zero() {
            self.inventory = if pos_amount > &Decimal::ZERO {
                Decimal::ONE
            } else {
                Decimal::NEGATIVE_ONE
            };
        }

        if prev_inventory != self.inventory && prev_inventory.is_zero() {
            self.prev_trade_time = Utc::now().timestamp_micros();
            self.close_price = self.fair_price_when_ordering;
        }

        if prev_inventory != self.inventory && self.inventory.is_zero() {
            self.is_regressed = false;
        }

        self.update_level().await;
        self.processor().await;
    }

    pub async fn update_fair_price(&mut self, depth: &Depth, index: usize) {
        if self.mid_price.is_zero() {
            return;
        }

        let a1 = &depth.asks[0];
        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;

        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].rescale(self.mid_price.scale());
        self.volume_vec[index] = a1.size + b1.size;

        // 合成公平价格
        if !self.fair_price_vec[0].is_zero() && !self.fair_price_vec[1].is_zero() {
            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]
            };

            // 进行价格归一化处理，公平所的价格有可能是带前缀的
            let fair_price_part0 = self.fair_price_vec[0] * dec!(0.2);
            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);

            // 重置焦点，条件1
            if !self.fair_rate_focus.is_zero() && self.mid_price_time_vec.deque.len() >= 2 && self.fair_price_time_vec.deque.len() >= 2 {
                let mid_price_prev = self.mid_price_time_vec.deque.get(self.mid_price_time_vec.deque.len() - 2).unwrap();
                let fair_price_prev = self.fair_price_time_vec.deque.get(self.fair_price_time_vec.deque.len() - 2).unwrap();

                // 向上涨，并且mid下穿fair，视为观测阶段结束
                if self.fair_rate_focus > Decimal::ZERO && mid_price_prev > fair_price_prev && self.mid_price < self.fair_price {
                    self.fair_rate_focus = Decimal::ZERO;
                }

                // 向下跌，并且mid上穿fair，视为观测阶段结束
                if self.fair_rate_focus < Decimal::ZERO && mid_price_prev < fair_price_prev && self.mid_price > self.fair_price {
                    self.fair_rate_focus = Decimal::ZERO;
                }
            }
            // // 重置焦点，条件2
            // if !self.fair_rate_focus.is_zero() && !self.inventory.is_zero() {
            //     self.fair_rate_focus = Decimal::ZERO;
            // }

            // 更新程序关注的变化幅度焦点
            if self.fair_rate_focus.is_zero() {
                let last_fair_price = self.fair_price_time_vec.deque.iter().last().unwrap();
                let first_fair_price = self.fair_price_time_vec.deque[0];
                let mut rate = (last_fair_price - first_fair_price) / first_fair_price;
                rate.rescale(8);

                // 只有有强度的rate才有资格被称为针
                if rate.abs() > self.params.open {
                    // 向上涨，并且fair下穿mid，视为观测阶段开始
                    if rate > Decimal::ZERO && self.mid_price > self.fair_price {
                        self.fair_rate_focus = rate;
                    }

                    // 向下跌，并且fair上穿mid，视为观测阶段开始
                    if rate < Decimal::ZERO && self.mid_price < self.fair_price {
                        self.fair_rate_focus = rate;
                    }
                }
            }
        }

        // 判断价格是否回归
        if !self.is_regressed && self.inventory > Decimal::ZERO && self.spread_sma_1000 < max(self.spread_sma, self.spread_sma_2000) {
            self.is_regressed = true
        } else if !self.is_regressed && self.inventory < Decimal::ZERO && self.spread_sma_1000 > min(self.spread_sma, self.spread_sma_2000) {
            self.is_regressed = true
        }
    }

    pub fn update_spread(&mut self) {
        if self.mid_price.is_zero() || self.fair_price.is_zero() {
            return;
        }

        self.spread = (self.fair_price - self.mid_price) / self.mid_price;
        // self.spread.rescale(8);
        self.spread_vec.push(self.spread);

        self.spread_sma = if self.spread_sma.is_zero() {
            self.spread
        } else {
            self.spread_sma * dec!(0.9998) + self.spread * dec!(0.0002)
        };
        // self.spread_sma.rescale(8);

        self.spread_sma_2000 = if self.spread_sma_2000.is_zero() {
            self.spread
        } else {
            self.spread_sma_2000 * dec!(0.9995) + self.spread * dec!(0.0005)
        };
        // self.spread_sma_2000.rescale(8);

        self.spread_sma_1000 = if self.spread_sma_1000.is_zero() {
            self.spread
        } else {
            self.spread_sma_1000 * dec!(0.999) + self.spread * dec!(0.001)
        };
        // self.spread_sma_1000.rescale(8);

        while self.spread_vec.len() > 1_000 {
            self.spread_vec.remove(0);
        }
    }

    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;
        }

        // 可能是趋势
        // 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.fair_rate_focus < Decimal::ZERO;
        let is_open_short = self.fair_rate_focus > Decimal::ZERO;
        let is_close_long = self.inventory > Decimal::ZERO;
        let is_close_short = self.inventory < Decimal::ZERO;

        self.bid_delta = dec!(-2);
        self.ask_delta = dec!(-2);

        if is_close_long {
            // if self.mid_price > self.pos_avg_price {
            //     // let profit_rate = (self.mid_price - self.pos_avg_price) / self.pos_avg_price;
            //     // let fill_rate = profit_rate / (self.params.open * dec!(50));
            //     // let close_rate = (Decimal::ONE - fill_rate) * self.params.open + self.params.close;
            //     //
            //     // self.ask_delta = self.mid_price * close_rate * self.t_diff;
            //     self.ask_delta = self.mid_price * self.params.close;
            // } else if self.mid_price > self.fair_price {
            //     self.ask_delta = self.mid_price * self.params.close;
            // }

            self.ask_delta = self.mid_price * self.params.close;
        } else if is_close_short {
            // if self.mid_price < self.pos_avg_price {
            //     // let profit_rate = (self.pos_avg_price - self.mid_price) / self.pos_avg_price;
            //     // let fill_rate = profit_rate / (self.params.open * dec!(50));
            //     // let close_rate = (Decimal::ONE - fill_rate) * self.params.open + self.params.close;
            //     //
            //     // self.bid_delta = self.mid_price * close_rate * self.t_diff;
            //     self.bid_delta = self.mid_price * self.params.close;
            // } else if self.mid_price < self.fair_price {
            //     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)
            };
        } 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)
            }
        }
    }

    pub fn update_optimal_ask_and_bid(&mut self) {
        self.optimal_ask_price = if self.ask_delta == dec!(-1) {
            self.bid_price
        } else if self.ask_delta == dec!(-2) {
            Self::UN_VIEW
        } else {
            max(self.ask_price + self.ask_delta, self.bid_price)
        };

        self.optimal_bid_price = if self.bid_delta == dec!(-1) {
            self.ask_price
        } else if self.bid_delta == dec!(-2) {
            Self::UN_VIEW
        } else {
            min(self.bid_price - self.bid_delta, self.ask_price)
        };

        self.optimal_ask_price.rescale(self.mid_price.scale());
        self.optimal_bid_price.rescale(self.mid_price.scale());
    }

    pub fn update_t_diff(&mut self) {
        if self.prev_trade_time > 0 {
            let time_diff_decimal = Decimal::from_i64(Utc::now().timestamp_micros() - self.prev_trade_time).unwrap();
            self.t_diff = max(Decimal::ONE - time_diff_decimal / Decimal::from_i64(Self::TIME_DIFF_RANGE_MICROS).unwrap(), Decimal::ZERO);
        } else {
            self.t_diff = Decimal::ONE;
        }
    }

    pub fn check_ready(&mut self) {
        if self.is_ready {
            return;
        }

        if self.mid_price == Decimal::ZERO {
           return;
        }

        if self.fair_price == Decimal::ZERO {
            return;
        }

        if self.ask_price == Decimal::ZERO {
            return;
        }

        if self.bid_price == Decimal::ZERO {
            return;
        }

        if self.trade_long_vec.len() < 100 {
            return;
        }

        self.is_ready = true;
        info!("========================================行情数据预热完毕==================================")
    }

    // #[instrument(skip(self), level="TRACE")]
    async fn processor(&mut self) {
        self.update_t_diff();
        self.update_delta();
        self.update_optimal_ask_and_bid();

        self.check_ready();
        if !self.is_ready {
            return;
        }

        // let mut smm = Decimal::ZERO;
        // if !self.depth_vec[1].time.is_zero() {
        //     let sma = self.depth_vec[1].asks[0].price;
        //     let smb = self.depth_vec[1].bids[0].price;
        //     smm = (sma + smb) / Decimal::TWO;
        // }


        // let cci_arc = self.cci_arc.clone();
        let now = Decimal::from_i64(Utc::now().timestamp_millis()).unwrap();
        let mid_price = self.mid_price;
        let ask_price = self.ask_price;
        let bid_price = self.bid_price;
        let last_price = self.last_price;

        let spread = self.spread_sma;
        let spread_max = self.spread_sma_2000;
        let spread_min = self.spread_sma_1000;
        // 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 optimal_ask_price = self.optimal_ask_price;
        let optimal_bid_price = self.optimal_bid_price;

        let inventory = self.inventory;
        let sigma_square = if self.is_regressed { Decimal::ONE } else { Decimal::ZERO };
        let gamma = now - self.last_update_time;

        let kappa = self.fair_rate_focus;

        let flow_ratio = Decimal::ZERO;
        let ref_price = self.fair_price;

        let need_append = now - self.prev_insert_time > Decimal::ONE_HUNDRED;
        if !need_append {
            return;
        }

        self.debug_sender.unbounded_send(vec![
            now,
            mid_price,
            ask_price,
            bid_price,
            last_price,
            spread,
            spread_max,
            spread_min,
            optimal_ask_price,
            optimal_bid_price,
            inventory,
            sigma_square,
            gamma,
            kappa,
            flow_ratio,
            ref_price
        ]).unwrap();

        self.prev_insert_time = Decimal::from(Utc::now().timestamp_millis())
    }

    // #[instrument(skip(self, ref_ticker_map), level="TRACE")]
    pub fn get_ref_price(&mut self, _ref_ticker_map: &BTreeMap<String, Ticker>) -> Vec<Vec<Decimal>> {
        vec![]
    }
}