as-rust/strategy/src/predictor.rs

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 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 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 balance: Decimal,                                                       // 初始余额

    pub signal: Decimal,                                                        // 大于0代表此时是正向信号，小于0则相反

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

    pub fair_price_vec: Vec<Decimal>,                                           // 公平价格列表
    pub fair_price_std_vec: Vec<Decimal>,                                       // 公平价格列表，标准化之后的
    pub price_avg_times_vec: Vec<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 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 = 17usize;
            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 {
                // 获取插入下标
                // 反向遍历 VecDeque
                let mut insert_index = 0usize;
                if debugs[0].len() > 0 {
                    let mut j = debugs[0].len() - 1;
                    loop {
                        if debugs[0][j].unwrap() <= value[0] {
                            insert_index = j + 1;
                            break;
                        }

                        j = j - 1;
                        if j == 0 {
                            break;
                        }
                    }
                }

                // 数据填充到对应位置
                for i in 0..len {
                    if value[i] == Self::DONT_VIEW {
                        // 可能会遇见按时序插入的
                        if debugs[i].len() > 0 && insert_index < debugs[i].len() {
                            // 在合适的位置插入新元素
                            debugs[i].insert(insert_index, None);
                        } else {
                            debugs[i].push_back(None);
                        }
                    } else {
                        // 可能会遇见按时序插入的
                        if debugs[i].len() > 0 && insert_index < debugs[i].len() {
                            // 在合适的位置插入新元素
                            debugs[i].insert(insert_index, Some(value[i]));
                        } 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!(30000) {
                    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(); params.ref_exchange.len()],
            fair_price_std_vec: vec![Decimal::ZERO; params.ref_exchange.len()],
            fair_price_vec: vec![Decimal::ZERO; params.ref_exchange.len()],
            price_avg_times_vec: vec![Decimal::ZERO; params.ref_exchange.len()],
            spread_vec: vec![Decimal::ZERO; params.ref_exchange.len()],

            record_vec: VecDeque::new(),

            mid_price: Default::default(),
            ask_price: Default::default(),
            bid_price: Default::default(),
            last_price: Default::default(),
            optimal_ask_price: Default::default(),
            optimal_bid_price: Default::default(),

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

            is_ready: false,

            inventory: Default::default(),
            pos_avg_price: Default::default(),
            pos_amount: Default::default(),
            balance: Default::default(),

            signal: Default::default(),

            last_update_time: Default::default(),
            last_index: 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 == 233 {
            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;
        } else {
            self.update_fair_price(depth, index).await;

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

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

        self.processor(depth.time, false).await;
    }

    pub async fn on_trade(&mut self, trade: &Trade, _index: usize) {
        self.last_price = trade.price;

        // self.processor().await;
    }

    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, update_time: Decimal) {
        if self.mid_price.is_zero() {
            return;
        }

        let prev_pos_amount = self.pos_amount;
        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_pos_amount != self.pos_amount {
            self.processor(update_time, true).await;
        }
    }

    pub async fn on_balance(&mut self, balance: Decimal) {
        self.balance = balance;
    }

    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.price) / Decimal::TWO;

        // 生成fp
        self.fair_price_vec[index] = a1.price * b1.value / total + b1.price * a1.value / total;
        self.fair_price_vec[index].rescale(self.mid_price.scale());

        // 求价格倍率
        self.price_avg_times_vec[index] = if self.price_avg_times_vec[index].is_zero() {
            self.fair_price_vec[index] / self.mid_price
        } else {
            self.price_avg_times_vec[index] * dec!(0.9995) + dec!(0.0005) * self.fair_price_vec[index] / self.mid_price
        };

        // 合成公平价格
        self.fair_price_std_vec[index] = self.fair_price_vec[index] / self.price_avg_times_vec[index];

        // 开仓信号处理
        self.signal = Decimal::ZERO;
        for (i, fair_price_std) in self.fair_price_std_vec.iter().enumerate() {
            if fair_price_std.is_zero() {
                return;
            }

            self.spread_vec[i] = fair_price_std - self.mid_price;
            self.signal = self.signal +  self.spread_vec[i];
        }
        self.signal = self.signal / self.params.min_spread;
        self.signal.rescale(0);
    }

    pub fn update_delta(&mut self) {
        if self.mid_price.is_zero() {
            return;
        }

        for fair_price in &self.fair_price_vec {
            if fair_price.is_zero() {
                return;
            }
        }

        let is_close_long = self.inventory > Decimal::ZERO;
        let is_close_short = self.inventory < Decimal::ZERO;

        if is_close_long {
            self.ask_delta = dec!(0);
            self.bid_delta = dec!(-2);

            self.optimal_ask_price = self.mid_price + self.mid_price * self.params.close;
            self.optimal_bid_price = Self::DONT_VIEW;
        } else if is_close_short {
            self.bid_delta = dec!(0);
            self.ask_delta = dec!(-2);

            self.optimal_bid_price = self.mid_price - self.mid_price * self.params.close;
            self.optimal_ask_price = Self::DONT_VIEW;
        } else {
            if self.signal > Decimal::ZERO {
                self.bid_delta = dec!(0);
                self.ask_delta = dec!(-2);

                self.optimal_bid_price = self.mid_price - self.mid_price * self.params.open;
                self.optimal_ask_price = Self::DONT_VIEW;
            } else if self.signal < Decimal::ZERO {
                self.ask_delta = dec!(0);
                self.bid_delta = dec!(-2);

                self.optimal_ask_price = self.mid_price + self.mid_price * self.params.open;
                self.optimal_bid_price = Self::DONT_VIEW;
            } else {
                self.bid_delta = dec!(0);
                self.ask_delta = dec!(0);

                self.optimal_bid_price = self.mid_price - self.mid_price * self.params.open;
                self.optimal_ask_price = self.mid_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 check_ready(&mut self) {
        if self.is_ready {
            return;
        }

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

        for fair_price in &self.fair_price_vec {
            if fair_price.is_zero() {
                return;
            }
        }

        if self.ask_price.is_zero() {
            return;
        }

        if self.bid_price.is_zero() {
            return;
        }

        if self.balance.is_zero() {
            return;
        }

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

    // #[instrument(skip(self), level="TRACE")]
    async fn processor(&mut self, data_time: Decimal, is_hard_update: bool) {
        self.check_ready();
        if !self.is_ready {
            return;
        }

        self.update_delta();

        // let cci_arc = self.cci_arc.clone();
        let now = data_time;
        let mid_price = self.mid_price;
        let ask_price = self.fair_price_std_vec[0];
        let bid_price = self.fair_price_std_vec[1];
        let optimal_ask_price = self.optimal_ask_price;
        let optimal_bid_price = self.optimal_bid_price;
        let last_price = Self::DONT_VIEW;
        let fair_price = Self::DONT_VIEW;

        let spread = Self::DONT_VIEW;
        let spread_min = self.spread_vec[0];
        let spread_max = self.spread_vec[1];
        // 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 inventory = self.inventory;

        let sigma_square = self.signal;

        let gamma = self.balance;
        let kappa = Decimal::ZERO;

        let flow_ratio = Decimal::ZERO;

        let need_append = now - self.prev_insert_time > Decimal::ONE_HUNDRED;
        if !need_append && !is_hard_update {
            return;
        }
        if !is_hard_update {
            self.prev_insert_time = Decimal::from(Utc::now().timestamp_millis())
        }
        let pos_avg_price = self.pos_avg_price;

        if is_hard_update {
            self.debug_sender.unbounded_send(vec![
                now,
                if pos_avg_price.is_zero() { mid_price } else { pos_avg_price },
                Self::DONT_VIEW,
                Self::DONT_VIEW,
                Self::DONT_VIEW,
                Self::DONT_VIEW,
                Self::DONT_VIEW,
                Self::DONT_VIEW,
                Self::DONT_VIEW,
                Self::DONT_VIEW,
                inventory,
                Self::DONT_VIEW,
                Self::DONT_VIEW,
                Self::DONT_VIEW,
                Self::DONT_VIEW,
                Self::DONT_VIEW,
                pos_avg_price
            ]).unwrap();
        } else {
            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,
                pos_avg_price
            ]).unwrap();
        }
    }

    // #[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![]
    }
}