as-rust/strategy/src/utils.rs

use std::ops::{Div, Mul};
use std::time::{SystemTime, UNIX_EPOCH};
use rand::Rng;
use rust_decimal::Decimal;

pub const LEVEL: usize = 1;
pub const TRADE_LENGTH: usize = 2;                                          // 推测应该是交易交易所的数据长度
pub const LENGTH: usize = LEVEL * 4 + TRADE_LENGTH;                         // 市场数据汇总的总长度
// pub const BID_PRICE_INDEX: usize = LEVEL * 0;                               // 买入价格下标
// pub const BID_QUANTITY_INDEX: usize = LEVEL * 0 + 1;                        // 买入数量下标
// pub const ASK_PRICE_INDEX: usize = LEVEL * 2;                               // 卖出价格下标
// pub const ASK_QUANTITY_INDEX: usize = LEVEL * 2 + 1;                        // 卖出数量下标
// // 上面是市场数据汇总的下标相关
// pub const MARKET_DELAY_LIMIT: i64 = 30*1000;                                // 市场信息延迟限制（单位：毫秒）
// pub const GRID: i64 = 1;                                                    // 策略资金分成多少份
// pub const STOP_LOSS: Decimal = dec!(0.02);                                  // 风控止损比例，0.02代表2%，是原文的STOPLOSS
// pub const GAMMA: Decimal = dec!(0.999);                                     // gamma默认值
// pub const EFF_RANGE: Decimal = dec!(0.001);                                 // 每1权重需要多少价格距离，0.001代表0.1%，每0.1%代表1权重

// 生成订单的id，可以根据交易所名字来
pub fn generate_client_id(mut exchange_name_some: Option<&str>) -> String {
    // 交易所名字获取
    let exchange_name = exchange_name_some.unwrap_or("");
    // 随机时间戳，作为订单id的前列
    let start = SystemTime::now();
    let since_the_epoch = start
        .duration_since(UNIX_EPOCH)
        .expect("Time went backwards");
    let in_ms = since_the_epoch.as_millis(); // 或者你可以使用 as_secs 获取秒
    let time_str = in_ms.to_string();
    let time_slice = &time_str[4..10];
    // 0-1000的随机数
    let rand_num = rand::thread_rng().gen_range(1..1000);
    let result = format!("{}{}{}", time_slice, rand_num, exchange_name);

    return result;
}

// 大小限定：将num限定在lower_limit和upper_limit范围内
pub fn clip(num: Decimal, lower_limit: Decimal, upper_limit: Decimal) -> Decimal {
    if num.ge(&upper_limit) {
        return upper_limit;
    }
    if num.le(&lower_limit) {
        return lower_limit;
    }
    num
}

// 步长修复数量
pub fn fix_amount(amount: Decimal, step_size: Decimal) -> Decimal {
    // 思路：做除法后取整，然后使用这个值乘以步长
    amount.div(step_size).floor().mul(step_size)
}

// 步长修复价格
pub fn fix_price(amount: Decimal, tick_size: Decimal) -> Decimal {
    // 思路：做除法后四舍五入，然后使用这个值乘以步长
    amount.div(tick_size).round().mul(tick_size)
}

#[cfg(test)]
mod tests {
    use rust_decimal_macros::dec;
    use crate::utils::{clip, fix_amount, fix_price, generate_client_id};

    #[test]
    fn clip_test() {
        let num = dec!(11);
        let num2 = dec!(2);

        let lower_limit = dec!(3);
        let upper_limit = dec!(6);

        println!("mum: {}", clip(num, lower_limit, upper_limit));
        println!("mum2: {}", clip(num, lower_limit, upper_limit));
    }

    #[test]
    fn generate_client_id_test() {
        println!("{}", generate_client_id(None));
        println!("{}", generate_client_id(Some("binance")));
    }

    #[test]
    fn fix_amount_test() {
        println!("{}", fix_amount(dec!(0.9), dec!(0.04)));
        println!("{}", fix_amount(dec!(1.0), dec!(0.1)));
        println!("{}", fix_amount(dec!(0.9), dec!(0.05)));
        println!("{}", fix_amount(dec!(1), dec!(0.1)));
        println!("{}", fix_amount(dec!(0.01), dec!(0.05)));
    }

    #[test]
    fn fix_price_test() {
        println!("{}", fix_price(dec!(1), dec!(0.1)));
        println!("{}", fix_price(dec!(0.9), dec!(2.0)));
        println!("{}", fix_price(dec!(1.1), dec!(0.1)));
        println!("{}", fix_price(dec!(1.2), dec!(0.5)));
        println!("{}", fix_price(dec!(4999.99), dec!(0.5)));
    }
}