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, Clone)]
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 trade_fixed_vec: Vec<Trade>,                                            // 交易队列（观察持仓后的资金流）
    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 trades_volume_short: Decimal,                                           // 过去10秒的成交量总和
    pub trades_volume_short_ema: Decimal,                                       // 过去10秒的成交量总和的ema
    pub spread: Decimal,                                                        // 当前价差
    pub spread_ema_1000: Decimal,                                               // 价差的ema，1000级别

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

    pub profit_point: Decimal,                                                  // 利润点数
    pub profit_point_ema: Decimal,                                              // 利润点数的ema
    pub profit_point_vec: Vec<Decimal>,                                         // 利润队列

    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 money_flow: Decimal,                                                    // 资金流

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

    pub mid_price_time_vec: FixedTimeRangeDeque<Decimal>,                       // 中间价格队列，
    pub fair_price_time_vec: FixedTimeRangeDeque<Decimal>,                      // 公平价格队列，
    pub fair_price_long_time_vec: FixedTimeRangeDeque<Decimal>,                 //
    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,                                                    // 公平价格
    pub fair_price_ema_short: Decimal,                                          // 公平价格_ema
    pub fair_price_ema_long: Decimal,                                           // 公平价格_ema
    pub fair_rate_focus_open: Decimal,                                          // 变化幅度焦点
    pub mid_price_focus_open: Decimal,                                          // 观测焦点时的价格
    pub fair_rate_focus_close: Decimal,                                         // 变化幅度焦点
    pub fair_price_focus_close: Decimal,                                        // 观测焦点时的价格
    pub fair_price_when_ordering: Decimal,                                      // 下单时的公平价格
    pub price_times_avg: Decimal,                                               // 公平所与做市所的价格倍率的平均值

    pub is_ready: bool,                                                         // 是否已准备好

    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 init_time: Decimal,

    pub params: Params,

    pub debug_sender: UnboundedSender<Vec<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 = 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 * 60_000_000;
    // const ONE_MILLION: Decimal = dec!(1_000_000);
    // const TWENTY_THOUSAND: Decimal = dec!(20_000);
    const DONT_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>>();

        let account_port = params.port.clone();
        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::DONT_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();

                let path = format!("./db/{}.html", account_port);
                utils::write_to_file(&temp_html_str, path).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),
            trade_fixed_vec: vec![],
            profit_point_vec: vec![],
            record_vec: VecDeque::new(),

            mid_price: Default::default(),
            ask_price: Default::default(),
            bid_price: Default::default(),
            last_price: Default::default(),
            trades_volume_short: Default::default(),
            trades_volume_short_ema: Default::default(),
            spread: Default::default(),
            spread_ema_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((params.second_observation_time.to_f64().unwrap() * 1_000_000f64).to_i64().unwrap()),
            fair_price_long_time_vec: FixedTimeRangeDeque::new(5 * 60_000_000),
            mid_price_time_vec: FixedTimeRangeDeque::new(100_000),
            fair_price: Default::default(),
            fair_price_ema_short: Default::default(),
            fair_price_ema_long: Default::default(),
            fair_rate_focus_open: Default::default(),
            mid_price_focus_open: Default::default(),
            fair_rate_focus_close: Default::default(),
            fair_price_focus_close: Default::default(),
            fair_price_when_ordering: Default::default(),

            price_times_avg: Default::default(),

            is_ready: false,
            prev_trade_time: Utc::now().timestamp_micros(),
            t_diff: Default::default(),
            level: Default::default(),
            pos_amount: Default::default(),
            money_flow: Default::default(),
            profit_point: Default::default(),
            profit_point_ema: 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()),
            init_time: Decimal::from(Utc::now().timestamp_millis()),

            params,

            debug_sender: tx,
        };

        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);

            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);
            }
        }

        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.trade_long_vec.push_back(trade.clone());
        self.trade_short_vec.push_back(trade.clone());
        if !self.inventory.is_zero() {
            self.trade_fixed_vec.push(trade.clone());

            if self.trade_fixed_vec.len() > 100 {
                let (bought_sum, sold_sum): (Decimal, Decimal) = self.trade_fixed_vec.iter()
                    .fold((Decimal::ZERO, Decimal::ZERO), |(buy_sum, sell_sum), item| {
                        if item.size > Decimal::ZERO {
                            (buy_sum + item.value.abs(), sell_sum)
                        } else if item.size < Decimal::ZERO {
                            (buy_sum, sell_sum + item.value.abs())
                        } else {
                            (buy_sum, sell_sum)
                        }
                    });
                self.money_flow = (bought_sum - sold_sum) / (bought_sum + sold_sum);
                self.money_flow.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();
        }

        // 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();
        }

        // 重置资金流计算
        if prev_inventory != self.inventory && self.inventory.is_zero() {
            self.trade_fixed_vec.clear();
            self.profit_point_vec.clear();
            self.profit_point = Decimal::ZERO;
            self.profit_point_ema = Decimal::ZERO;

            self.money_flow = Decimal::ZERO;
        }

        self.update_level().await;
        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;
        }

        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!(0.5) + fair_price * dec!(0.5)
        };
        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!(0.9995) + 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
            // 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 = self.fair_price_vec[1] / self.price_times_avg;
            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!(0.67) + self.fair_price * dec!(0.33)
            };
            self.fair_price_ema_short = if self.fair_price_ema_short.is_zero() {
                self.fair_price
            } else {
                self.fair_price_ema_short * dec!(0.999) + self.fair_price * dec!(0.001)
            };
        }

        // // 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_ema_1000 = if self.spread_ema_1000.is_zero() {
            self.spread
        } else {
            self.spread_ema_1000 * dec!(0.999) + self.spread * dec!(0.001)
        };
        // self.spread_sma_1000.rescale(8);
        // self.spread_sma_1000_time_vec.push_back(self.spread_ema_1000);

        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() || self.mid_price.is_zero() {
            return;
        }

        // 可能是接针
        let is_open_long = true;
        let is_open_short = true;
        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 {
            self.optimal_ask_price = max(self.mid_price, self.fair_price) + self.mid_price * self.params.close;
        } else if is_close_short {
            self.optimal_bid_price = min(self.mid_price, self.fair_price) - self.mid_price * self.params.close;
        } else {
            if is_open_long {
                self.optimal_bid_price = min(self.mid_price, self.fair_price) - self.mid_price * self.params.open;
            }

            if is_open_short {
                self.optimal_ask_price = max(self.mid_price, self.fair_price) + self.mid_price * self.params.open;
            }
        }

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

        self.trades_volume_short = self.trade_short_vec.deque.iter().map(|item| item.value).sum();
        self.trades_volume_short_ema = if self.trades_volume_short_ema.is_zero() {
            self.trades_volume_short
        } else {
            self.trades_volume_short_ema * dec!(0.9995) + self.trades_volume_short * dec!(0.0005)
        };

        self.update_t_diff();
        self.update_delta();
        // self.update_optimal_ask_and_bid();

        // 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 fair_price = self.fair_price;

        let spread = self.mid_price;
        let spread_max = self.optimal_ask_price;
        let spread_min = self.optimal_bid_price;
        // 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.fair_price_time_vec.len() > 1 {
            Self::get_real_rate(&self.fair_price_time_vec)
        } else {
            Decimal::ZERO
        };
        // let sigma_square = self.error_rate;

        let gamma = self.fair_rate_focus_open;
        let kappa = self.fair_rate_focus_close;

        let flow_ratio = Decimal::ZERO;

        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,
            fair_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![]
    }
}