as-rust/strategy/src/strategy.rs

use std::cmp::{max, min};
use std::collections::HashMap;
use std::ops::{Add, Div, Mul};
use chrono::Utc;
use rust_decimal::Decimal;
use rust_decimal::prelude::{FromPrimitive, ToPrimitive};
use rust_decimal_macros::dec;
use crate::model::{OrderCommand, OrderInfo, Position, TraderMsg};
use crate::params::Params;
use crate::utils;
use tracing::{info, instrument, subscriber, error, debug};
use tracing_subscriber;

#[derive(Debug)]
pub struct Strategy {
    // pub interval: Decimal,                                       // 原文没有使用过这个参数

    // 各类时间戳和时延，我们都改成了毫秒级
    pub _print_time: i64,                                           // 上次打印时间
    pub _print_interval: i64,                                       // 打印时延
    pub _start_time: i64,                                           // 开始时间
    pub local_time: i64,                                            // 本地时间
    pub local_start_time: i64,                                      // 本地开始时间
    pub post_open_time: i64,                                        // 上次提交订单的时间戳
    pub post_open_interval: i64,                                    // 提交订单时延
    pub _check_local_orders_time: i64,                              // 上次查单时间
    pub _check_local_orders_interval: i64,                          // 查单间距，原文是秒级，这里改成毫秒级
    pub in_cancel: HashMap<String, i64>,                            //撤单队列
    pub cancel_wait_interval: i64,                                  // 取消等待时延
    pub in_check: HashMap<String, i64>,                             // 查单队列
    pub check_wait_interval: i64,                                   // 检测时延

    pub request_limit_check_time: i64,                              // 上次检查订单的时间
    pub request_limit_check_interval: i64,                          // 原文是秒级，这里改成毫秒级
    pub request_count: i64,                                         // 记录请求次数，原文的request_num
    pub request_order_count: i64,                                   // 记录下单次数，原文的request_order_num

    pub limit_requests_num: i64,                                    // 单位（时延）时间内请求次数上限
    pub limit_order_requests_num: i64,                              // 单位（时延）时间内下单次数上限
    pub _req_num_per_window: i64,                                   // 单位（时延）时间内请求上限窗口

    pub place_order_limit: i64,                                     // 参数层面传进来的下单数量限制
    pub params: Params,                                             //
    pub exchange: String,                                           //
    pub broker_id: String,                                          //
    pub trade_name: String,                                         //
    pub ref_exchange_length: usize,                                 //
    pub ref_name: Vec<String>,                                      //
    pub maker_mode: String,                                         //
    pub local_orders: HashMap<String, OrderInfo>,                   // 本地订单
    pub pos: Position,                                              //
    pub long_hold_value: Decimal,                                   //
    pub short_hold_value: Decimal,                                  //
    pub equity: Decimal,                                            //
    pub coin: Decimal,                                              //
    pub cash: Decimal,                                              //
    pub start_equity: Decimal,                                      //
    pub start_coin: Decimal,                                        //
    pub start_cash: Decimal,                                        //
    pub max_equity: Decimal,                                        //
    pub local_profit: Decimal,                                      //
    pub total_amount: Decimal,                                      //
    pub is_ready: bool,                                             // 程序是否已经准备好，ready
    pub _is_print: bool,                                            //
    pub _min_amount_value: Decimal,                                 //
    pub _max_amount_value: Decimal,                                 //

    pub mp_ema: Decimal,                                            // 原文的mp_ewma
    pub mp: Decimal,                                                //
    pub bp: Decimal,                                                //
    pub ap: Decimal,                                                //
    pub ref_price: Decimal,                                         //
    pub ref_bp: Decimal,                                            //
    pub ref_ap: Decimal,                                            //
    pub step_size: Decimal,                                         // 原文的stepSize
    pub tick_size: Decimal,                                         // 原文的tickSize

    pub max_pos_rate: Decimal,                                      // 原文的maxPos，其实是最大持仓比例
    pub profit: Decimal,                                            //
    pub daily_return: Decimal,                                      //

    pub adjust_lever_rate: Decimal,                                 // 原文的adjust_leverrate
    pub lever_rate: Decimal,                                        // 原文的leverrate

    pub long_pos_bias: Decimal,                                     //
    pub short_pos_bias: Decimal,                                    //
    pub long_hold_rate: Decimal,                                    //
    pub short_hold_rate: Decimal,                                   //
    pub max_long_value: Decimal,                                    // 最大做多持仓
    pub max_short_value: Decimal,                                   // 最大做空持仓

    pub open_dist: Vec<Decimal>,                                    // 开仓相关价格
    pub close_dist: Vec<Decimal>,                                   // 平仓相关价格

    pub trade_close_dist: Decimal,                                  //
    pub trade_open_dist: Decimal,                                   //

    pub ref_index: usize,                                           //
    pub predict: Decimal,                                           //
    pub predict_alpha: Decimal,                                     //
    pub post_side: i64,                                             // 交易方向
    pub trade_vol_24h: Decimal,                                     //
    pub grid: Decimal,                                              // 网格数量
}

impl Strategy {
    pub fn new(params: &Params, is_print: bool) -> Self {
        return Strategy::new_with_log_level(params, is_print, tracing::Level::INFO);
    }

    pub fn new_with_log_level(params: &Params, is_print: bool, log_level: tracing::Level) -> Self {
        if params.ref_exchange.len() != params.ref_pair.len() {
            panic!("参考盘口数不等于参考品种数，退出，请检查配置！")
        }

        // strategy的初始化，里面已经有一些参数初始化了
        let mut strategy = Self {
            _print_time: 0,
            _start_time: 0,
            local_time: 0,
            local_start_time: 0,
            request_count: 0,
            request_order_count: 0,
            _print_interval: 5 * 1000,
            in_cancel: Default::default(),
            cancel_wait_interval: (0.2 * 1000f64).to_i64().unwrap(),
            in_check: Default::default(),
            check_wait_interval: 10 * 1000,
            _check_local_orders_time: 0,
            _check_local_orders_interval: 0,
            place_order_limit: 0,
            request_limit_check_time: 0,
            request_limit_check_interval: 0,
            limit_requests_num: 0,
            limit_order_requests_num: 0,
            _req_num_per_window: 0,
            post_open_time: 0,
            post_open_interval: 0,
            params: params.clone(),
            exchange: params.exchange.clone(),
            broker_id: params.broker_id.clone(),
            trade_name: "".to_string(),
            ref_exchange_length: params.ref_exchange.len(),
            ref_name: vec![],
            maker_mode: "free".to_string(),
            local_orders: Default::default(),
            pos: Position {
                long_pos: Default::default(),
                short_pos: Default::default(),
                long_avg: Default::default(),
                short_avg: Default::default(),
            },
            long_hold_value: Default::default(),
            short_hold_value: Default::default(),
            equity: Default::default(),
            coin: Default::default(),
            cash: Default::default(),
            start_equity: Default::default(),
            start_coin: Default::default(),
            start_cash: Default::default(),
            max_equity: Default::default(),
            local_profit: Default::default(),
            total_amount: Default::default(),
            is_ready: false,
            _is_print: is_print,
            _min_amount_value: dec!(30.0),
            _max_amount_value: dec!(10000.0),
            mp_ema: Default::default(),
            mp: Default::default(),
            bp: Default::default(),
            ap: Default::default(),
            ref_price: Default::default(),
            ref_bp: Default::default(),
            ref_ap: Default::default(),
            step_size: dec!(1e-10),
            tick_size: dec!(1e-10),
            max_pos_rate: Default::default(),
            profit: Default::default(),
            daily_return: Default::default(),
            adjust_lever_rate: Decimal::ONE,
            lever_rate: Default::default(),
            long_pos_bias: Default::default(),
            short_pos_bias: Default::default(),
            long_hold_rate: Default::default(),
            short_hold_rate: Default::default(),
            max_long_value: Default::default(),
            max_short_value: Default::default(),
            open_dist: vec![],
            close_dist: vec![],
            trade_close_dist: dec!(0.00001),
            trade_open_dist: dec!(0.01),
            ref_index: 0,
            predict: Default::default(),
            predict_alpha: Default::default(),
            post_side: 0,
            trade_vol_24h: Default::default(),
            grid: Decimal::from(params.grid),
        };

        // 交易名字
        strategy.trade_name = format!("{}@{}", params.exchange.clone(), params.pair.clone());
        // 参考交易所的trade_name
        for index in 0..strategy.ref_exchange_length {
            strategy.ref_name.push(format!("{}@{}", params.ref_exchange[index], params.ref_pair[index]));
        }
        // 杠杆比例处理
        if strategy.exchange.contains("spot") {
            strategy.lever_rate = min(params.lever_rate, Decimal::ONE);
        }
        // 各类时间戳
        let now = Utc::now();
        strategy.local_time = now.timestamp_millis();
        strategy.local_start_time = now.timestamp_millis();
        strategy._print_time = now.timestamp_millis();
        strategy._start_time = now.timestamp_millis();
        // 检查订单的时间戳
        strategy._check_local_orders_time = now.timestamp_millis();
        strategy._check_local_orders_interval = 10 * 1000;
        // 下单的相关限制处理
        strategy.place_order_limit = params.place_order_limit;
        strategy.request_limit_check_time = now.timestamp_millis();
        strategy.request_limit_check_interval = 10 * 1000;
        // 求得正常请求数量和下单请求数量（interval时间内）
        let request_limit_check_interval_per_second = strategy.request_limit_check_interval / 1000;
        strategy.limit_requests_num = utils::get_limit_requests_num_per_second(params.exchange.clone(), params.place_order_limit) * (request_limit_check_interval_per_second);
        strategy.limit_order_requests_num = utils::get_limit_order_requests_num_per_second(params.exchange.clone(), params.place_order_limit) * (request_limit_check_interval_per_second);
        // 开仓下单间隔 均匀下单机会
        strategy.post_open_time = now.timestamp_millis();
        let post_open_interval_per_second = Decimal::ONE.div(Decimal::from_i64(utils::get_limit_order_requests_num_per_second(params.exchange.clone(), 0)).unwrap());
        strategy.post_open_interval = dec!(1000).mul(post_open_interval_per_second).to_i64().unwrap();
        // 初始化日志订阅者
        let sub = tracing_subscriber::fmt()
            .with_max_level(log_level)
            .with_span_events(tracing_subscriber::fmt::format::FmtSpan::FULL)
            .finish();
        subscriber::set_global_default(sub).expect("策略模块日志初始化错误");
        info!("策略模块日志初始化完毕！");
        info!("策略模块初始化完成！");

        return strategy;
    }

    // 更新当前strategy的各类信息
    #[instrument(skip(self, trader_msg), level="TRACE")]
    pub fn _update_data(&mut self, trader_msg: &TraderMsg) -> bool {
        debug!(?self);
        debug!(?trader_msg);

        self.local_orders.clear();
        self.local_orders = trader_msg.orders.clone();

        // position信息更新
        if self.pos.long_pos != trader_msg.position.long_pos {
            self.pos.long_pos = trader_msg.position.long_pos;
            self.pos.long_avg = trader_msg.position.long_avg;
        }
        if self.pos.short_pos != trader_msg.position.short_pos {
            self.pos.short_pos = trader_msg.position.short_pos;
            self.pos.short_avg = trader_msg.position.short_avg;
        }
        debug!(?self.pos);

        // 价格值处理
        self.bp = trader_msg.market[global::public_params::BID_PRICE_INDEX];
        self.ap = trader_msg.market[global::public_params::ASK_PRICE_INDEX];
        self.mp = (self.bp + self.ap) * dec!(0.5);
        // 中间价的ema值处理
        if self.mp_ema.eq(&Decimal::ZERO) {
            self.mp_ema = self.mp;
        } else {
            self.mp_ema = self.mp_ema * dec!(0.999) + self.mp * dec!(0.001);
        }
        debug!(?self.bp, ?self.ap, ?self.mp, ?self.mp_ema);

        // 动态杠杆调节
        if self.mp > self.mp_ema {
            self.adjust_lever_rate = Decimal::ONE;
        } else {
            self.adjust_lever_rate = dec!(0.8);
        }
        debug!(?self.adjust_lever_rate);

        // 当前持仓价值处理
        self.long_hold_value = self.pos.long_pos * self.mp;
        self.short_hold_value = self.pos.short_pos * self.mp;
        debug!(?self.long_hold_value, ?self.short_hold_value);

        // 分现货或合约计算最大开仓价值
        if self.exchange.contains("spot") {
            self.max_long_value = self.start_cash * self.lever_rate * self.adjust_lever_rate;
            self.max_short_value = self.start_cash * self.lever_rate * self.adjust_lever_rate * self.mp;
        } else {
            self.max_long_value = self.equity * self.lever_rate * self.adjust_lever_rate;
            self.max_short_value = self.max_long_value;
        }
        debug!(?self.max_long_value, ?self.max_short_value, ?self.equity, ?self.lever_rate, ?self.adjust_lever_rate);

        // 做市模式识别
        if self.ref_name[self.ref_index].eq(&self.trade_name) {
            self.maker_mode = "free".to_string();
        } else {
            self.maker_mode = "follow".to_string();
        }
        debug!(?self.maker_mode);

        // 参考价格
        if trader_msg.ref_price.len() == 0 {
            self.ref_bp = self.bp;
            self.ref_ap = self.ap;
            self.ref_price = self.mp;
        } else {
            self.ref_bp = trader_msg.ref_price[self.ref_index][0];
            self.ref_ap = trader_msg.ref_price[self.ref_index][1];
            self.ref_price = (self.ref_bp + self.ref_ap) * dec!(0.5);
        }
        debug!(?self.ref_bp, ?self.ref_ap, %self.ref_price);

        // spread
        let temp_predict = trader_msg.predict * self.predict_alpha;
        self.predict = utils::clip(temp_predict, -self.trade_open_dist, self.trade_open_dist);
        debug!(?self.predict);

        // 计算当前账户cash和coin
        self.coin = trader_msg.coin;
        self.cash = trader_msg.cash;
        self.equity = trader_msg.cash + trader_msg.coin * self.mp;
        if self.equity > self.max_equity {
            self.max_equity = self.equity;
        }
        debug!(?self.coin, ?self.cash, ?self.equity, ?self.max_equity);

        // 总可开数量
        self.total_amount = self.equity * self.lever_rate * self.adjust_lever_rate / self.mp;
        self.total_amount = utils::fix_amount(self.total_amount, self.step_size);
        debug!(?self.total_amount);
        if self.total_amount.eq(&Decimal::ZERO) {
            error!("总可开数量太少！equity={}, lever_rate={}, adjust_lever_rate={}", self.equity, self.lever_rate, self.adjust_lever_rate);
            return false;
        }

        // 求最大pos
        if self.equity > Decimal::ZERO {
            let max_pos_rate = max(self.pos.long_pos, self.pos.short_pos) * self.mp / self.equity;
            if max_pos_rate > self.max_pos_rate {
                self.max_pos_rate = max_pos_rate;
            }
            debug!(?max_pos_rate, ?self.max_pos_rate);
        }

        return true;
    }

    // 打印状态信息
    pub fn _print_summary(&self) {
        info!("_print_summary还没有施工……")
    }

    // 取消目标方向订单，原文是_cancel_targit_side_orders
    #[instrument(skip(self, command), level="TRACE")]
    pub fn _cancel_target_side_orders(&self, command: &mut OrderCommand) {
        // 要取消的目标方向
        let target_side = vec![
            "kd".to_string(),
            "kk".to_string(),
            "pd".to_string(),
            "pk".to_string()
        ];

        debug!(?self.local_orders);
        for client_id in self.local_orders.keys() {
            let order = self.local_orders.get(client_id).unwrap();

            // 如果不属于目标方向，则不需要取消
            if !target_side.contains(&order.side.clone()) {
                continue;
            }

            // 属于目标方向，则取消
            let key = format!("Cancel{}", client_id);
            let value = vec![order.client_id.clone(), order.order_id.clone()];
            command.cancel.insert(key, value);
        }
        debug!(?command);
    }

    // 生成各类挂单价格，原文是gen_dist
    #[instrument(skip(self), level="TRACE")]
    pub fn generate_dist(&mut self) {
        let open = self.trade_open_dist;
        let close = self.trade_close_dist;
        let pos_rate = vec![self.long_hold_rate, self.short_hold_rate];
        let ref_bp = self.ref_bp;
        let ref_ap = self.ref_ap;
        let predict = self.predict;
        let grid = self.grid;
        let mode = self.maker_mode.clone();

        // 平仓相关
        let mut mp = (ref_bp + ref_ap) * dec!(0.5);
        let mut buy_start = mp;
        let mut sell_start = mp;
        let mut avoid = min(dec!(0.0005), close * dec!(0.5));
        let mut close_dist = vec![
            buy_start * (Decimal::ONE + predict - close + avoid),                    // buy upper
            buy_start * (Decimal::ONE + predict - close - avoid),                    // buy lower
            sell_start * (Decimal::ONE + predict + close - avoid),                   // sell lower
            sell_start * (Decimal::ONE + predict + close + avoid),                   // sell upper
        ];
        debug!(?mp, ?buy_start, ?sell_start, ?avoid, ?close_dist);

        // 自由做市模式
        if mode == "free".to_string() {
            buy_start = ref_bp;
            sell_start = ref_ap;
        }
        // 跟随做市模式
        else if mode == "follow".to_string() {
            mp = (ref_bp + ref_ap) * dec!(0.5);
            buy_start = mp;
            sell_start = mp;
        } else {
            panic!("未知做市类型：mode={}", mode)
        }
        debug!(?mode, ?buy_start, ?sell_start, ?mp);

        // 开仓相关
        avoid = min(dec!(0.001), open * dec!(0.05));
        // 持仓偏移
        let buy_shift = Decimal::ONE + pos_rate[0] * grid;
        let sell_shift = Decimal::ONE + pos_rate[1] * grid;
        let mut open_dist = vec![
            buy_start * (Decimal::ONE + predict - open * buy_shift  + avoid),             // buy upper
            buy_start * (Decimal::ONE + predict - open * buy_shift  - avoid),             // buy lower
            sell_start * (Decimal::ONE + predict + open * sell_shift - avoid),            // sell lower
            sell_start * (Decimal::ONE + predict + open * sell_shift + avoid),            // sell upper
        ];
        debug!(?avoid, ?buy_shift, ?sell_shift, ?avoid, ?open_dist);

        // 修复价格
        for open_price in &mut open_dist {
            *open_price = utils::fix_price(*open_price, self.tick_size);
        }
        for close_price in &mut close_dist {
            *close_price = utils::fix_price(*close_price, self.tick_size);
        }
        self.open_dist = open_dist.clone();
        self.close_dist = close_dist.clone();
        debug!(?open_dist);
        debug!(?close_dist);
    }

    // 统计请求次数
    #[instrument(skip(self, command), level="TRACE")]
    pub fn _update_request_num(&mut self, command: &OrderCommand) {
        debug!(?command);
        debug!(?self.request_order_count, ?self.request_count);

        let order_count = (command.limits_open.len() + command.limits_close.len()).to_i64().unwrap();
        let request_count = order_count + (command.cancel.len() + command.check.len()).to_i64().unwrap();

        self.request_order_count += order_count;
        self.request_count += request_count;

        debug!(?self.request_order_count, ?self.request_count);
    }

    // 根据平均请求次数限制开仓下单
    #[instrument(skip(self, command), level="TRACE")]
    pub fn _check_request_limit(&mut self, command: &mut OrderCommand) {
        debug!(?command);
        // 如果当前请求数超过限制
        if self.request_count > self.limit_requests_num {
            command.cancel.clear();
            command.check.clear();
            command.limits.clear();
            command.limits_open.clear();
            command.limits_close.clear();
            error!("请求频率溢出，程序禁止任何操作！");
            debug!(?command);

            return;
        }

        // 普通request超过普通请求频率上限的50%再进行判断
        // 下单request要超过下单请求频率上限的80%再进行判断
        if self.request_count < self.limit_requests_num * 5 / 10
            && self.request_order_count < self.limit_order_requests_num * 8 / 10 {
            return;
        }

        // 超过80%，直接取消limits_open的下单指令
        error!("80%+下单频率，程序禁止开仓！");
        debug!(?self.request_order_count, ?self.limit_order_requests_num);
        command.limits_open.clear();
        // 100%超过下单频率，则不再进行平仓挂单
        if self.request_order_count >= self.limit_order_requests_num {
            command.limits_close.clear();
            error!("100%下单频率！程序禁止平仓！");
            debug!(?self.request_order_count, ?self.limit_order_requests_num)
        }
        debug!(?command);
    }

    // 新增正在撤单、检查撤单队列，释放过时限制
    #[instrument(skip(self), level="TRACE")]
    pub fn _update_in_cancel(&mut self, command: &mut OrderCommand) {
        let mut new_cancel: HashMap<String, Vec<String>> = HashMap::new();

        for cancel_name in command.cancel.keys() {
            let cancel = command.cancel.get(cancel_name).unwrap();
            let client_id = cancel[0].clone();
            let mut need_limit_cancel = true;
            let order_some = self.local_orders.get(&client_id);

            // 判断是否在本地挂单表中
            if let Some(order) = order_some {
                // 如果订单创建时间大于100ms，才能有撤单操作
                if self.local_time - order.create_time < 100 {
                    need_limit_cancel = false;
                }
            }

            if need_limit_cancel {
                // 如果已经不在撤销队列里，增加到撤销队列
                if self.in_cancel.get(&client_id).is_none() {
                    self.in_cancel.insert(client_id.clone(), self.local_time);
                    new_cancel.insert(cancel_name.clone(), cancel.clone());
                }
            }
        }

        debug!(?command);
        command.cancel = new_cancel;
        debug!(?command);

        // 释放撤单限制
        self._release_in_cancel();
    }

    // 维护查单队列，检查是否在撤单
    #[instrument(skip(self), level="TRACE")]
    pub fn _release_in_check(&mut self) {
        debug!(?self.in_check);
        // 为什么要移出来：Rust不允许边循环边修改map
        let mut to_remove = Vec::new();

        for client_id in self.in_check.keys() {
            let time = self.in_check.get(client_id).unwrap();
            // 等待不超时，就不移除
            if self.local_time - time <= self.check_wait_interval {
                continue;
            }

            // 等待超时，就移除正在撤单队列
            info!("移除查单队列：{}", client_id.clone());
            to_remove.push(client_id.clone());
        }

        // 在后面的循环中去单独处理map的更新
        for client_id in to_remove {
            self.in_check.remove(&client_id);
        }
        debug!(?self.in_check);
    }

    // 检查是否正在撤单
    #[instrument(skip(self), level="TRACE")]
    pub fn _release_in_cancel(&mut self) {
        debug!(?self.in_cancel);
        // 为什么要移出来：Rust不允许边循环边修改map
        let mut to_remove = Vec::new();

        for client_id in self.in_cancel.keys() {
            let time = self.in_cancel.get(client_id).unwrap();
            // 等待不超时，就不移除
            if self.local_time - time <= self.cancel_wait_interval {
                continue;
            }

            // 等待超时，就移除正在撤单队列
            info!("移除取消队列：{}", client_id.clone());
            to_remove.push(client_id.clone());
        }

        // 在后面的循环中去单独处理map的更新
        for client_id in to_remove {
            self.in_cancel.remove(&client_id);
        }
        debug!(?self.in_cancel);
    }

    // 刷新请求限制
    pub fn _refresh_request_limit(&mut self) {
        if self.local_time - self.request_limit_check_time < self.request_limit_check_interval {
            return;
        }

        self._req_num_per_window = self.request_count;
        self.request_count = 0;
        self.request_order_count = 0;
        self.request_limit_check_time = self.local_time;
    }

    // 刷新持仓比例
    #[instrument(skip(self), level="TRACE")]
    pub fn _pos_rate(&mut self) {
        debug!(?self);

        if self.max_long_value > Decimal::ZERO {
            self.long_hold_rate = self.long_hold_value / self.max_long_value;
            debug!(?self.long_hold_rate);
        }

        if self.max_short_value > Decimal::ZERO {
            self.short_hold_rate = self.short_hold_value / self.max_short_value;
            debug!(?self.short_hold_rate);
        }
    }

    // 当退出时调用，全撤全平 准备退出
    pub fn on_exit(&mut self, trader_msg: &TraderMsg) -> OrderCommand {
        let mut command = OrderCommand::new();

        if self._update_data(trader_msg) {
            if !self.check_ready() {
                return command;
            }

            // 取消、平掉所有
            self._close_all(&mut command);
            // 更新撤单队列
            self._update_in_cancel(&mut command);
            // 检查限频
            self._check_request_limit(&mut command);
            // 统计请求频率
            self._update_request_num(&mut command);
        }
        debug!(?command);

        return command;
    }

    // 休眠时调用，全撤 不再下新订单了 防止影响check_position执行
    pub fn on_sleep(&mut self, trader_msg: &TraderMsg) -> OrderCommand {
        let mut command = OrderCommand::new();

        if self._update_data(trader_msg) {
            if !self.check_ready() {
                return command;
            }

            // 只是取消掉目标侧订单
            self._cancel_target_side_orders(&mut command);
            // 更新撤单队列
            self._update_in_cancel(&mut command);
            // 检查限频
            self._check_request_limit(&mut command);
            // 统计请求频率
            self._update_request_num(&mut command);
        }
        debug!(?command);

        return command;
    }

    // 清空所有挂单和仓位保持休眠状态
    #[instrument(skip(self, command), level="TRACE")]
    pub fn _close_all(&self, command: &mut OrderCommand) {
        // 撤掉全部挂单
        let mut pd_amount = Decimal::ZERO;
        let mut pk_amount = Decimal::ZERO;
        debug!(?self.local_orders);
        for client_id in self.local_orders.keys() {
            let order = self.local_orders.get(client_id).unwrap();

            // 命令生成
            let key = format!("Cancel{}", client_id);
            let value = vec![order.client_id.clone(), order.order_id.clone()];
            command.cancel.insert(key, value);

            // 统计部分
            if order.side == "pk".to_string() {
                pk_amount += order.amount;
            } else if order.side == "pd".to_string() {
                pd_amount += order.amount;
            }
        }
        debug!(?pd_amount, ?pk_amount);

        // 批量挂单
        let need_close_long = self.pos.long_pos - pd_amount;
        let need_close_short = self.pos.short_pos - pk_amount;
        debug!(?need_close_long, ?need_close_short);

        // 做多仓位平仓
        if need_close_long * self.mp > self._min_amount_value {
            let mut amount = need_close_long;
            // 现货要对数量精度进行限定处理
            if self.exchange.contains("spot") {
                amount = utils::fix_amount(amount, self.step_size);
            }
            let price = utils::fix_price(self.mp, self.tick_size);
            let client_id = utils::generate_client_id(Some(self.broker_id.clone()));

            let value = vec![
                amount.to_string(),
                "pd".to_string(),
                price.to_string(),
                client_id.to_string()
            ];
            command.limits_close.insert(client_id.clone(), value);

            debug!(?self.pos.long_pos, ?self.mp, ?need_close_long, ?command)
        }

        // 做空仓位平仓
        if need_close_short * self.mp > self._min_amount_value {
            let mut amount = need_close_short;
            if self.exchange.contains("spot") {
                amount = utils::fix_amount(amount, self.step_size);
            }
            let price = utils::fix_price(self.mp, self.tick_size);
            let client_id = utils::generate_client_id(Some(self.broker_id.clone()));

            let value = vec![
                amount.to_string(),
                "pk".to_string(),
                price.to_string(),
                client_id.to_string()
            ];
            command.limits_close.insert(client_id.clone(), value);

            debug!(?self.pos.short_pos, ?self.mp, ?need_close_short, ?command)
        }
    }

    // 检查是否完成准备，注意：原文是未准备完成返回true！！！！！！！！！！！！！！！！！！！
    pub fn check_ready(&mut self) -> bool {
        if self.is_ready {
            return true;
        }

        let pre_hot:i64 = 10 * 1000;
        if !self.mp.eq(&Decimal::ZERO) && self.local_time - self.local_start_time > pre_hot {
            self.is_ready = true;
            debug!(?self.mp, ?self.local_time, ?self.local_start_time, ?pre_hot);
            info!("策略预热完毕，可以执行后续逻辑！")
        }

        return false;
    }

    // 接近整点时刻 不允许报单 防止下单bug
    pub fn check_allow_post_open(&self) -> bool {
        let local_time_second = self.local_time / 1000;
        let diff_time = local_time_second % (60 * 60);

        return diff_time > 30 && diff_time < 3570;
    }

    // 平仓订单处理命令
    #[instrument(skip(self, command), level="TRACE")]
    pub fn _post_close(&self, command: &mut OrderCommand) {
        debug!(?command);

        let mut pd_amount = Decimal::ZERO;
        let mut pd_order_num = 0;
        let mut pk_amount = Decimal::ZERO;
        let mut pk_order_num = 0;
        // 各类价格
        let long_upper = self.close_dist[0];
        let long_lower = self.close_dist[1];
        let short_lower = self.close_dist[2];
        let short_upper = self.close_dist[3];

        // 获取当前挂单，如果超过挂单范围则取消当前平仓单
        for order_client_id in self.local_orders.keys() {
            let order = self.local_orders.get(order_client_id).unwrap();
            let key = format!("Cancel{}", (*order_client_id).clone());
            let value = vec![order.client_id.clone(), order.order_id.clone()];

            if order.side == "pk".to_string() {
                if order.price > long_upper || order.price < long_lower {
                    command.cancel.insert(key.clone(), value.clone());
                }

                pk_amount += order.amount;
                pk_order_num += 1;
            }

            if order.side == "pd".to_string() {
                if order.price < short_lower || order.price > short_upper {
                    command.cancel.insert(key.clone(), value.clone());
                }

                pd_amount += order.amount;
                pd_order_num += 1;
            }
        }
        debug!(?command);

        // 判断是否需要全平
        let is_need_cancel_all_close =
            (pd_amount - self.pos.long_pos).abs() * self.mp > self._min_amount_value
            || (pk_amount - self.pos.short_pos).abs() * self.mp > self._min_amount_value;
        if is_need_cancel_all_close {
            for order_client_id in self.local_orders.keys() {
                let order = self.local_orders.get(order_client_id).unwrap();

                if order.side == "pk".to_string() || order.side == "pd".to_string() {
                    let key = format!("Cancel{}", (*order_client_id).clone());
                    let value = vec![order.client_id.clone(), order.order_id.clone()];

                    command.cancel.insert(key.clone(), value.clone());
                }
            }
        }
        debug!(?command);

        // 区分现货和期货
        if self.exchange.contains("spot") {
            // 平多价值大于最小交易价值，执行平多逻辑
            if self.pos.long_pos * self.mp > self._min_amount_value {
                if pd_order_num == 0 {
                    let mut price = (short_lower + short_upper) * dec!(0.5);
                    price = utils::clip(price, self.bp * dec!(0.9995), self.ap * dec!(1.03));
                    price = utils::fix_price(price, self.tick_size);
                    let mut amount = self.pos.long_pos;
                    amount = utils::fix_amount(amount, self.step_size);

                    if amount * price > self._min_amount_value {
                        let order_client_id = utils::generate_client_id(Some(self.broker_id.clone()));
                        let order = vec![
                            amount.to_string(),
                            "pd".to_string(),
                            price.to_string(),
                            order_client_id.clone()
                        ];
                        command.limits_open.insert(order_client_id, order.clone());

                        debug!(?command);
                    }
                }
            }

            // 平空价值大于最小交易价值，执行平空逻辑
            if self.pos.short_pos > self._min_amount_value {
                if pk_order_num == 0 {
                    let mut price = (long_upper + long_lower) * dec!(0.5);
                    price = utils::clip(price, self.bp * dec!(0.97), self.ap * dec!(1.0005));
                    price = utils::fix_price(price, self.tick_size);
                    let mut amount = self.pos.short_pos;
                    amount = utils::fix_amount(amount, self.step_size);

                    if amount * price > self._min_amount_value {
                        let order_client_id = utils::generate_client_id(Some(self.broker_id.clone()));
                        let order = vec![
                            amount.to_string(),
                            "pk".to_string(),
                            price.to_string(),
                            order_client_id.clone()
                        ];
                        command.limits_open.insert(order_client_id, order.clone());

                        debug!(?command);
                    }
                }
            }
        } else {
            if self.pos.long_pos > Decimal::ZERO {
                let mut price = (short_lower + short_upper) * dec!(0.5);
                price = utils::clip(price, self.bp * dec!(0.9995), self.ap * dec!(1.03));
                price = utils::fix_price(price, self.tick_size);

                let order_client_id = utils::generate_client_id(Some(self.broker_id.clone()));
                let order = vec![
                    self.pos.long_pos.to_string(),
                    "pd".to_string(),
                    price.to_string(),
                    order_client_id.clone()
                ];

                command.limits_open.insert(order_client_id, order.clone());

                debug!(?command);
            }

            if self.pos.short_pos > Decimal::ZERO {
                let mut price = (long_upper + long_lower) * dec!(0.5);
                price = utils::clip(price, self.bp * dec!(0.97), self.ap * dec!(1.0005));
                price = utils::fix_price(price, self.tick_size);

                let order_client_id = utils::generate_client_id(Some(self.broker_id.clone()));
                let order = vec![
                    self.pos.short_pos.to_string(),
                    "pk".to_string(),
                    price.to_string(),
                    order_client_id.clone()
                ];

                debug!(?command);
            }
        }
    }

    // 生成取消订单的指令
    #[instrument(skip(self, command), level="TRACE")]
    pub fn _cancel_open(&self, command: &mut OrderCommand) {
        debug!(?command);
        // 挂单范围
        let long_upper = self.open_dist[0];
        let long_lower = self.open_dist[1];
        let short_lower = self.open_dist[2];
        let short_upper = self.open_dist[3];

        for order_client_id in self.local_orders.keys() {
            let order = self.local_orders.get(order_client_id).unwrap();
            let key = format!("Cancel{}", (*order_client_id).clone());
            let value = vec![order.client_id.clone(), order.order_id.clone()];

            // 开多订单处理
            if order.side == "kd".to_string() {
                // 在价格范围内时不处理
                if order.price < long_upper && order.price > long_lower {
                    continue
                }
                debug!(?key, ?order.price, ?long_upper, ?long_lower);
                command.cancel.insert(key.clone(), value.clone());
            }

            // 开空订单处理
            if order.side == "kk".to_string() {
                // 在价格范围内时不处理
                if order.price > short_lower && order.price < short_upper {
                    continue
                }
                debug!(?key, ?order.price, ?short_lower, ?short_upper);
                command.cancel.insert(key.clone(), value.clone());
            }
        }
    }

    // 超时触发查单信号
    #[instrument(skip(self, command), level="TRACE")]
    pub fn _check_local_orders(&mut self, command: &mut OrderCommand) {
        debug!(?command);
        // 超时检测
        if self.local_time - self._check_local_orders_time < self._check_local_orders_interval {
            return;
        }

        // 查单指令生成主逻辑
        for client_id in self.local_orders.keys() {
            let check_some = self.in_check.get(client_id);

            // 如果在查单队列中，不需要再添加
            if let Some(_) = check_some {
                continue;
            }

            let order = self.local_orders.get(client_id).unwrap();
            // 没有超过10s的订单，不需要检查
            if self.local_time - order.local_time < self._check_local_orders_interval {
                continue;
            }

            let key = format!("Check{}", client_id.clone());
            let value = vec![
                client_id.clone(),
                order.order_id.clone(),
            ];
            command.check.insert(key, value);
            self.in_check.insert(client_id.clone(), self.local_time);
            info!("查询订单：{:?}", client_id.clone());

            debug!(?command);
        }

        // 维护查单队列
        self._release_in_check();
        // 更新查单时间
        self._check_local_orders_time = self.local_time;
    }

    // 开单指令生成逻辑
    #[instrument(skip(self, command), level="TRACE")]
    pub fn _post_open(&mut self, command: &mut OrderCommand) {
        debug!(?command);
        // 开仓逻辑检测，主要是检测整点开仓逻辑
        if !self.check_allow_post_open() {
            return;
        }

        // 报单时延检测
        if self.local_time - self.post_open_time < self.post_open_interval {
            return;
        }

        // 挂单范围获取
        let long_upper = self.open_dist[0];
        let long_lower = self.open_dist[1];
        let short_lower = self.open_dist[2];
        let short_upper = self.open_dist[3];

        // 获取当前挂单价值
        let mut buy_price_list: Vec<Decimal> = vec![];
        let mut sell_price_list: Vec<Decimal> = vec![];
        let mut buy_value = Decimal::ZERO;
        let mut sell_value = Decimal::ZERO;
        for client_id in self.local_orders.keys() {
            let order = self.local_orders.get(client_id).unwrap();
            if order.side == "kd".to_string() {
                buy_price_list.push(order.price);
                buy_value += order.amount * order.price;
            }

            if order.side == "kk".to_string() {
                sell_price_list.push(order.price);
                sell_value += order.amount * order.price;
            }
        }

        // 计算可开价值
        let mut long_free_value = self.max_long_value - self.long_hold_value - buy_value;
        let mut short_free_value = self.max_short_value - self.short_hold_value - sell_value;
        debug!(?long_free_value, ?short_free_value);
        // 现货要特殊处理
        if self.exchange.contains("spot") {
            let coin_value = self.coin * self.mp * self.lever_rate * self.adjust_lever_rate;
            let cash_value = self.cash * self.lever_rate * self.adjust_lever_rate;

            long_free_value = min(cash_value, self.max_long_value) - buy_value;
            short_free_value = min(coin_value, self.max_short_value) - sell_value;
        }
        // 一手开单价值计算
        let one_hand_long_value = dec!(0.99) * (self.max_long_value / self.grid);
        let one_hand_short_value = dec!(0.99) * (self.max_short_value / self.grid);

        debug!(?self.post_side);
        // 挂多单
        if self.post_side >= 0 {
            debug!(?buy_price_list);
            if buy_price_list.len() == 0 {
                let mut target_buy_price = (long_upper + long_lower) * dec!(0.5);
                target_buy_price = utils::clip(target_buy_price, self.bp * dec!(0.97), self.ap * dec!(1.0005));
                target_buy_price = utils::fix_price(target_buy_price, self.tick_size);
                let value = min(one_hand_long_value, long_free_value);
                let amount = utils::fix_amount(value / self.mp, self.step_size);
                let amount_value = amount * self.mp;

                // 下单价值不能太大，也不能太小
                if amount_value >= self._min_amount_value && amount_value <= long_free_value {
                    let client_id = utils::generate_client_id(Some(self.broker_id.clone()));
                    let order = vec![
                        amount.to_string(),
                        "kd".to_string(),
                        target_buy_price.to_string(),
                        client_id.clone(),
                    ];

                    debug!(?order);
                    command.limits_open.insert(client_id.clone(), order);

                    // 报单时间更新
                    self.post_open_time = self.local_time;
                }
            }
        }
        // 挂空单
        if self.post_side <= 0 {
            debug!(?sell_price_list);
            if sell_price_list.len() == 0 {
                let mut target_sell_price = (short_lower + short_upper) * dec!(0.5);
                target_sell_price = utils::clip(target_sell_price, self.bp * dec!(0.9995), self.ap * dec!(1.03));
                target_sell_price = utils::fix_price(target_sell_price, self.tick_size);
                let value = min(one_hand_short_value, short_free_value);
                let amount = utils::fix_amount(value / self.mp, self.step_size);
                let amount_value = amount * self.mp;

                // 下单价值不能太大，也不能太小
                if amount_value >= self._min_amount_value && amount_value <= short_free_value {
                    let client_id = utils::generate_client_id(Some(self.broker_id.clone()));
                    let order = vec![
                        amount.to_string(),
                        "kk".to_string(),
                        target_sell_price.to_string(),
                        client_id.clone(),
                    ];

                    debug!(?order);
                    command.limits_open.insert(client_id.clone(), order);

                    // 报单时间更新
                    self.post_open_time = self.local_time;
                }
            }
        }
    }

    // 定时打印
    pub fn on_time_print(&mut self) {
        if self.local_time - self._print_time < self._print_interval {
            return;
        }

        // 记录上次打印时间
        self._print_time = self.local_time;

        if !self._is_print {
            return;
        }

        // 准备好了的话就不打印预热中了
        if self.is_ready {
            return;
        }

        info!("预热中");
    }

    // 在满足条件后，返回非空command，否则返回一个空的command。原文的onTime。
    pub fn on_time(&mut self, trader_msg: &TraderMsg) -> OrderCommand {
        self.on_time_print();

        let mut command = OrderCommand::new();

        // 更新逻辑数据出错时，不进行后面的逻辑处理
        if !self._update_data(trader_msg) {
            return command;
        }

        // 检查是否准备充分
        if !self.check_ready() {
            return command;
        }

        // 刷新多空双方持仓比例
        self._pos_rate();
        // 生成开仓、平仓等相关价格
        self.generate_dist();
        // 下单指令处理逻辑
        self._cancel_open(&mut command);                    // 撤单命令处理
        self._post_open(&mut command);                      // 限价单命令处理
        self._post_close(&mut command);                     // 平仓单命令处理
        self._check_local_orders(&mut command);             // 固定时间检查超时订单
        self._update_in_cancel(&mut command);               // 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
        self._refresh_request_limit();                      // 刷新频率限制
        self._update_request_num(&mut command);             // 统计刷新频率

        return command;
    }
}

#[cfg(test)]
mod tests {
    use rust_decimal::Decimal;
    use rust_decimal_macros::dec;
    use tracing::debug;
    use crate::model::{OrderInfo, TraderMsg};
    use crate::params::Params;
    use crate::strategy::Strategy;

    #[test]
    fn on_time_test() {
        let params = Params::new("config.toml").unwrap();
        let mut strategy = Strategy::new_with_log_level(&params, true, tracing::Level::TRACE);
        let mut trader_msg = TraderMsg::new();
        trader_msg.market.append(&mut vec![dec!(0.92), dec!(1.0), dec!(0.89), dec!(0.79), dec!(0.99), dec!(1.0), dec!(0.89), dec!(0.79), dec!(0.89), dec!(0.79), dec!(0.99), dec!(1.0), dec!(0.89), dec!(0.79)]);
        trader_msg.position.long_pos = dec!(100);
        trader_msg.position.long_avg = dec!(0.9);
        trader_msg.orders.insert("0001".to_string(), OrderInfo{
            symbol: "".to_string(),
            amount: Default::default(),
            side: "pd".to_string(),
            price: dec!(10),
            client_id: "0001".to_string(),
            filled_price: Default::default(),
            filled: Decimal::ZERO,
            order_id: "".to_string(),
            local_time: 0,
            create_time: 0,
            status: "".to_string(),
            fee: Default::default(),
        });
        trader_msg.cash = dec!(1000);
        trader_msg.coin = Decimal::ZERO;

        strategy.is_ready = true;
        strategy.equity = dec!(1000);
        strategy.lever_rate = Decimal::ONE;

        debug!("{:?}", strategy.on_time(&trader_msg));
    }
}