as-rust/strategy/src/strategy.rs

use std::cmp::{max, min};
use std::collections::HashMap;
use std::ops::{Div, Mul};
use chrono::Utc;
use rust_decimal::Decimal;
use rust_decimal::prelude::{FromPrimitive, ToPrimitive};
use rust_decimal_macros::dec;
use crate::model::{LocalPosition, OrderInfo};
use crate::utils;
use tracing::{info, error, warn};
use tokio::time::Instant;
use global::params::Params;
use standard::{OrderCommand};
use crate::avellaneda_stoikov::AvellanedaStoikov;

#[derive(Debug)]
pub struct Strategy {
    // 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 request_over_log_interval: i64,                             // 两次超时打印之间的间隔
    pub request_over_log_time: i64,                                 // 上次打印时间

    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 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: LocalPosition,                                         //
    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 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 min_amount_value: Decimal,                                  // 最小下单价值
    pub max_amount_value: Decimal,                                  // 最大下单价值

    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,                                     // 做多浮盈
    pub short_pos_bias: Decimal,                                    // 做空浮盈
    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 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_w: Decimal,                                   // 24小时成交额（单位：万）
    pub grid: Decimal,                                              // 网格数量

    // pub open_num: i64,
    // pub no_open_num: i64
}

impl Strategy {
    pub fn new(params: &Params, is_print: bool) -> Self {
        if params.ref_exchange.len() != params.ref_pair.len(){
            error!("参考盘口数不等于参考品种数，退出，请检查配置！");
            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,
            request_over_log_interval: 60 * 1000,
            request_over_log_time: 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,
            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: LocalPosition {
                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!(0.01),
            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![],
            trade_close_dist: params.close,
            trade_open_dist: params.open,
            ref_index: 0,
            predict: Default::default(),
            predict_alpha: Default::default(),
            post_side: 0,
            trade_vol_24h_w: Default::default(),
            grid: Decimal::from(params.grid),
            // open_num: 0,
            // no_open_num: 0,
        };

        // 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
        strategy.lever_rate = params.lever_rate;
        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.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()) * (request_limit_check_interval_per_second);
        strategy.limit_order_requests_num = utils::get_limit_order_requests_num_per_second(params.exchange.clone()) * (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())).unwrap());
        strategy.post_open_interval = dec!(1000).mul(post_open_interval_per_second).to_i64().unwrap();
        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,
                        local_position: &LocalPosition,
                        agg_market: &Vec<Decimal>,
                        local_cash: &Decimal,
                        local_coin: &Decimal,
                        ref_price: &Vec<Vec<Decimal>>,
                        predict: &Decimal) -> bool {
        // position信息更新
        if self.pos.long_pos != local_position.long_pos {
            self.pos.long_pos = local_position.long_pos;
            self.pos.long_avg = local_position.long_avg;
        }
        if self.pos.short_pos != local_position.short_pos {
            self.pos.short_pos = local_position.short_pos;
            self.pos.short_avg = local_position.short_avg;
        }
        // debug!(?self.pos);

        // 价格值处理
        self.bp = agg_market[global::public_params::BID_PRICE_INDEX];
        self.ap = agg_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 = *local_cash * self.lever_rate * self.adjust_lever_rate;
            self.max_short_value = *local_coin * 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 ref_price.len() == 0 {
            self.ref_bp = self.bp;
            self.ref_ap = self.ap;
            self.ref_price = self.mp;
        } else {
            self.ref_bp = ref_price[self.ref_index][0];
            self.ref_ap = 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 = 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 = local_coin.clone();
        self.cash = local_cash.clone();
        self.equity = local_cash + local_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!("总可开数量低于一张，请尝试加大杠杆倍数或资金！equity={}, lever_rate={}, adjust_lever_rate={}, mp={}, step_size={}",
                self.equity, self.lever_rate, self.adjust_lever_rate, self.mp, self.step_size);
            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
    // 耗时700微秒
    // #[instrument(skip(self), level="TRACE")]
    pub fn _print_summary(&mut self) {
        self.mp.rescale(10);
        self.ref_price.rescale(10);
        self.equity.rescale(3);
        self.cash.rescale(3);
        let mut value = self.coin * self.mp;
        value.rescale(3);
        let mut price_bias = Decimal::ONE_HUNDRED * (self.ref_price - self.mp) / self.mp;
        price_bias.rescale(2);

        // 盈亏计算
        self.profit = if self.start_equity.gt(&Decimal::ZERO) {
            ((self.equity - self.start_equity) / self.start_equity) * Decimal::ONE_HUNDRED
        } else {
            Decimal::ZERO
        };
        self.profit.rescale(2);

        // 多仓杠杆计算
        let mut long_pos_leverage = if self.equity.gt(&Decimal::ZERO) {
            self.pos.long_pos * self.mp / self.equity
        } else {
            Decimal::ZERO
        };
        long_pos_leverage.rescale(3);
        // 多仓浮盈计算
        self.long_pos_bias = if self.pos.long_pos.gt(&Decimal::ZERO) {
            Decimal::ONE_HUNDRED - Decimal::ONE_HUNDRED * self.pos.long_avg / self.mp
        } else {
            Decimal::ZERO
        };
        self.long_pos_bias.rescale(2);

        // 空仓杠杆计算
        let mut short_pos_leverage = if self.equity.gt(&Decimal::ZERO) {
            self.pos.short_pos * self.mp / self.equity
        } else {
            Decimal::ZERO
        };
        short_pos_leverage.rescale(3);
        // 多仓浮盈计算
        self.short_pos_bias = if self.pos.short_pos.gt(&Decimal::ZERO) {
            Decimal::ONE_HUNDRED - Decimal::ONE_HUNDRED * self.pos.short_avg / self.mp
        } else {
            Decimal::ZERO
        };
        let run_time = Utc::now().timestamp_millis() - self._start_time;
        let run_time_day = Decimal::from(run_time) / (dec!(86400000));
        self.daily_return = self.profit / run_time_day;
        self.daily_return.rescale(2);
        self.short_pos_bias.rescale(2);
        self.trade_open_dist.rescale(6);
        self.trade_close_dist.rescale(6);
        self.predict.rescale(5);
        // 挂单列表长度
        let o_num = self.local_orders.len();

        let mut msg = String::new();
        msg.push_str("当前状态: ");
        msg.push_str(format!("[品种 {}, 现价 {:?}, 定价 {:?}, 偏差 {:?}%, 杠杆 {:?}, 动态{:?}, 最大{:?}, 预测 {:?}, 预估24H成交额 {:?}万], ",
                             self.params.pair, self.mp, self.ref_price, price_bias, self.lever_rate,
                             self.adjust_lever_rate, self.max_pos_rate, self.predict, self.trade_vol_24h_w).as_str());
        msg.push_str(format!("[净值 {:?}, Cash {:?}, Coin(价值) {:?}, 日化 {:?}%], ", self.equity, self.cash, value, self.daily_return).as_str());
        msg.push_str(format!("[推算利润 {:?}, 盈亏 {:?}%, 做多杠杆 {:?}%, 做多浮盈 {:?}%, 做空杠杆 {:?}%, 做空浮盈 {:?}%], ",
                             self.local_profit, self.profit, long_pos_leverage, self.long_pos_bias, short_pos_leverage, self.short_pos_bias).as_str());
        msg.push_str(format!("[请求 {:?}, 上限{:?}次/10秒], ", self._req_num_per_window, self.limit_order_requests_num).as_str());
        msg.push_str(format!("[当前参数, 开仓 {:?}, 平仓 {:?}, 参考 {:?}, 模式 {:?}], ",
                             self.trade_open_dist, self.trade_close_dist, self.ref_name[self.ref_index], self.maker_mode).as_str());
        msg.push_str(format!("[挂单列表，共{:?}单, ", o_num).as_str());
        for (_, order) in &self.local_orders {
            let mut order_value = order.amount * self.mp;
            let mut order_lever_rate = if self.equity.gt(&Decimal::ZERO) {
                order.amount * self.mp / self.equity
            } else {
                Decimal::ZERO
            };
            let mut order_bias = Decimal::ONE_HUNDRED * (order.price - self.mp) / self.mp;

            order_value.rescale(2);
            order_lever_rate.rescale(3);
            order_bias.rescale(3);

            msg.push_str(format!("[{:?} {:?} {:?}, 杠杆{:?}X 价值{:?}U 价格{:?} 偏离{:?}%]",
                                 order.symbol, order.client_id, order.side, order_lever_rate, order_value, order.price, order_bias).as_str());
        }

        msg.push_str("]");
        info!("{}", msg);
    }

    // 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);
    }

    // 修复挂单价格，不然单子打不出去
    // #[instrument(skip(self), level="TRACE")]
    pub fn fix_price(&mut self, predictor: &mut AvellanedaStoikov) {
        predictor.optimal_ask_price = utils::fix_price(predictor.optimal_ask_price, self.tick_size);
        predictor.optimal_bid_price = utils::fix_price(predictor.optimal_bid_price, self.tick_size);

        let delta_ask = predictor.ask_delta.clone();
        let delta_bid = predictor.ask_delta.clone();

        // 开仓相关
        let avoid_ask = min(dec!(0.001), (delta_ask / predictor.mid_price) * dec!(0.1));
        let avoid_bid = min(dec!(0.001), (delta_bid / predictor.mid_price) * dec!(0.1));

        // 用于判断价格是否出界
        self.open_dist = vec![
            predictor.optimal_bid_price * (Decimal::ONE + avoid_bid),                   // buy upper
            predictor.optimal_bid_price * (Decimal::ONE - avoid_bid),                   // buy lower
            predictor.optimal_ask_price * (Decimal::ONE - avoid_ask),                   // sell lower
            predictor.optimal_ask_price * (Decimal::ONE + avoid_ask),                   // sell upper
        ];

        // 修复价格范围
        for open_price in &mut self.open_dist {
            *open_price = utils::fix_price(*open_price, self.tick_size);
        }
    }

    // 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) {
        let mut msg = String::new();
        // 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_open.clear();
            command.limits_close.clear();
            msg = format!("请求频率溢出，程序禁止任何操作！({}/{})", self.request_count, self.limit_requests_num);
        } else if self.request_order_count >= self.limit_order_requests_num { // 100%超过下单频率，则不再进行平仓挂单
            command.limits_close.clear();
            command.limits_open.clear();
            msg = format!("超过100%下单频率！程序禁止开平仓！({}/{})", self.request_order_count, self.limit_order_requests_num);
        } else if self.request_count > self.limit_requests_num * 5 / 10
            && self.request_order_count > self.limit_order_requests_num * 8 / 10 { // 超过80%，直接取消limits_open的下单指令
            command.limits_open.clear();
            msg = format!("超过80%下单频率，程序禁止开仓！({}/{})", self.request_order_count, self.limit_order_requests_num);
        }

        // 检查是否需要打印msg
        if !msg.is_empty() && self.local_time - self.request_over_log_time > self.request_over_log_interval {
            warn!("{}", msg);
            self.request_over_log_time = self.local_time;
        }
    }

    // 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,
                             local_orders: &HashMap<String, OrderInfo>) {
        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 = local_orders.get(&client_id);

            // 判断是否在本地挂单表中
            if let Some(order) = order_some {
                let is_side_error = (order.side == "kk") || (order.side == "kd");

                // 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;
                }

                // 如果方向有误，直接撤单
                if is_side_error {
                    need_limit_cancel = true;
                }
            }

            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, 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
            // debug!("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
            // debug!("等待超过后移除正在撤单队列：{}", 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_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,
                   local_orders: &HashMap<String, OrderInfo>,
                   local_position: &LocalPosition,
                   agg_market: &Vec<Decimal>,
                   local_cash: &Decimal,
                   local_coin: &Decimal,
                   ref_price: &Vec<Vec<Decimal>>,
                   predict: &Decimal) -> OrderCommand {
        let mut command = OrderCommand::new();

        if self._update_data(local_position,
                             agg_market,
                             local_cash,
                             local_coin,
                             ref_price,
                             predict) {
            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, local_orders);
            // 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,
                    local_orders: &HashMap<String, OrderInfo>,
                    local_position: &LocalPosition,
                    agg_market: &Vec<Decimal>,
                    local_cash: &Decimal,
                    local_coin: &Decimal,
                    ref_price: &Vec<Vec<Decimal>>,
                    predict: &Decimal) -> OrderCommand {
        let mut command = OrderCommand::new();

        if self._update_data(local_position,
                             agg_market,
                             local_cash,
                             local_coin,
                             ref_price,
                             predict) {
            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, local_orders);
            // 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;
    }

    // 生成取消订单的指令
    // #[instrument(skip(self, command), level="TRACE")]
    pub fn _cancel_open(&self, command: &mut OrderCommand, local_orders: &HashMap<String, OrderInfo>) {
        // 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 local_orders.keys() {
            let order = local_orders.get(order_client_id).unwrap();
            let key = format!("Cancel{}", *order_client_id);
            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 {
                // if self.local_time - order.local_time <= 200 {
                    continue
                }
                // debug!(?key, ?order.price, ?long_upper, ?long_lower);
                command.cancel.insert(key, value);
            } else if order.side == "kk".to_string() { // 开空订单处理
                // 在价格范围内时不处理
                if order.price >= short_lower && order.price <= short_upper {
                // if self.local_time - order.local_time <= 200 {
                    continue
                }
                // debug!(?key, ?order.price, ?short_lower, ?short_upper);
                command.cancel.insert(key, value);
            }
        }
    }

    // 超时触发查单信号
    // #[instrument(skip(self, command), level="TRACE")]
    pub fn _check_local_orders(&mut self,
                               command: &mut OrderCommand,
                               local_orders: &HashMap<String, OrderInfo>) {
        // 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 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 = 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);
            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);
            // debug!("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, local_orders: &HashMap<String, OrderInfo>, predictor: &mut AvellanedaStoikov) {
        // 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;
        }

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

        // 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 local_orders.keys() {
            let order = 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);
        // 挂多单
        if self.post_side >= 0 && buy_value == Decimal::ZERO && predictor.optimal_bid_price < predictor.mid_price {
            let mut target_buy_price = predictor.optimal_bid_price;
            // 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 amount = if predictor.inventory <= dec!(-3) {
                utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.inventory.abs(), target_buy_price, self.step_size)
            } else {
                utils::get_amount_by_min_amount_value(self.min_amount_value, target_buy_price, self.step_size)
            };
            // let amount = if predictor.inventory < Decimal::ZERO {
            //     // utils::fix_amount(self.step_size * predictor.inventory.abs(), self.step_size)
            //     if predictor.level >= dec!(3) {
            //         utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.inventory.abs(), target_buy_price, self.step_size)
            //     } else {
            //         utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.level, target_buy_price, self.step_size)
            //     }
            // } else {
            //     // utils::fix_amount(self.step_size * (predictor.level + Decimal::ONE), self.step_size)
            //     utils::get_amount_by_min_amount_value(self.min_amount_value * (predictor.level + Decimal::ONE), target_buy_price, self.step_size)
            // };


            // 下单价值判定
            let amount_value = amount * target_buy_price;
            if amount_value >= self.min_amount_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, order);
            } else {
                info!("下单价值太小，要求：{}，但是价格：{}, 数量：{}", self.min_amount_value, target_buy_price, amount);
            }
        }
        // 挂空单
        if self.post_side <= 0 && sell_value == Decimal::ZERO && predictor.optimal_ask_price > predictor.mid_price {
            let mut target_sell_price = predictor.optimal_ask_price;
            // target_sell_price = utils::clip(target_sell_price, self.bp * dec!(0.9995), self.ap * dec!(1.03));
            // 取消大小限制
            target_sell_price = utils::fix_price(target_sell_price, self.tick_size);
            let amount = if predictor.inventory >= dec!(3) {
                utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.inventory.abs(), target_sell_price, self.step_size)
            } else {
                utils::get_amount_by_min_amount_value(self.min_amount_value, target_sell_price, self.step_size)
            };
            // let amount = if predictor.inventory > Decimal::ZERO {
            //     if predictor.level >= dec!(3) {
            //         utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.inventory.abs(), target_sell_price, self.step_size)
            //     } else {
            //         utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.level, target_sell_price, self.step_size)
            //     }
            //     // utils::fix_amount(self.step_size * predictor.inventory.abs(), self.step_size)
            // } else {
            //     utils::get_amount_by_min_amount_value(self.min_amount_value * (predictor.level + Decimal::ONE), target_sell_price, self.step_size)
            //     // utils::fix_amount(self.step_size * (predictor.level + Decimal::ONE), self.step_size)
            // };

            // 下单价值不能太大，也不能太小
            let amount_value = amount * target_sell_price;
            if amount_value >= self.min_amount_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, order);
            } else {
                info!("下单价值太小，要求：{}，但是价格：{}, 数量：{}", self.min_amount_value, target_sell_price, amount);
            }
        }
    }

    // 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。
    pub fn on_tick(&mut self,
                   _local_orders: &HashMap<String, OrderInfo>,
                   local_position: &LocalPosition,
                   agg_market: &Vec<Decimal>,
                   local_cash: &Decimal,
                   local_coin: &Decimal,
                   ref_price: &Vec<Vec<Decimal>>,
                   predict: &Decimal,
                   _ins: &Instant) -> OrderCommand {
        self.on_time_print();

        let 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(local_position,
                              agg_market,
                              local_cash,
                              local_coin,
                              ref_price,
                              predict) {
            return command;
        }

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

        return command;
    }

    pub fn do_strategy(&mut self, predictor: &mut AvellanedaStoikov, local_orders: &HashMap<String, OrderInfo>, local_coin: &Decimal, local_cash: &Decimal) -> OrderCommand {
        // 更新当前账户余额
        self.coin = local_coin.clone();
        self.cash = local_cash.clone();
        self.equity = local_cash + local_coin * self.mp;
        if self.equity > self.max_equity {
            self.max_equity = self.equity;
        }

        self.ref_ap = predictor.optimal_ask_price;
        self.ref_bp = predictor.optimal_bid_price;
        self.ref_price = predictor.ref_price;
        self.mp = predictor.mid_price;

        // 修复相关价格
        self.fix_price(predictor);

        let mut command = OrderCommand::new();

        // 检查是否准备充分
        if !predictor.is_ready {
            return command;
        }

        self._cancel_open(&mut command, local_orders);              // 撤单命令处理
        // if predictor.vwpin_avg!=Decimal::ZERO && predictor.vwpin > predictor.vwpin_avg {
        //    self.no_open_num += 1;
        // } else {
        //    self.open_num += 1;
        //     self._post_open(&mut command, local_orders, predictor);     // 限价单命令处理
        // }
        // info!("允许开仓信号数: {}, 不允许开仓信号数: :{}", self.open_num, self.no_open_num);
        self._post_open(&mut command, local_orders, predictor);     // 限价单命令处理

        self._check_local_orders(&mut command, local_orders);       // 固定时间检查超时订单
        self._update_in_cancel(&mut command, local_orders);         // 更新撤单队列，是一个filter
        self._check_request_limit(&mut command);                    // 限制频率，移除不合规则之订单，是一个filter
        self._refresh_request_limit();                              // 刷新频率限制
        self._update_request_num(&mut command);                     // 统计刷新频率

        return command;
    }
}