使用简单的trades数据来判断方向。

binance_order_flow/data_processing.py

@@ -46,55 +46,17 @@ def on_message_depth(_ws, message):
     predict_market_direction()
 
 
-def extract_features(order_book, trade):
-    # 计算买卖盘差距（spread）
-    best_bid = float(order_book['bids'][0][0])
-    best_ask = float(order_book['asks'][0][0])
-    spread = best_ask - best_bid
-
-    # 计算买卖盘深度
-    bid_depth = sum(float(bid[1]) for bid in order_book['bids'])
-    ask_depth = sum(float(ask[1]) for ask in order_book['asks'])
-
-    # 计算成交量和方向
-    trade_volume = trade['qty']
-    trade_side = 1 if trade['side'] == 'buy' else -1
-
-    # 计算买卖盘数量
-    bid_count = len(order_book['bids'])
-    ask_count = len(order_book['asks'])
-
-    # 计算时间特征
-    timestamp = trade['timestamp'].timestamp()
-
-    features = {
-        'spread': spread,
-        'bid_depth': bid_depth,
-        'ask_depth': ask_depth,
-        'trade_volume': trade_volume,
-        'trade_side': trade_side,
-        'bid_count': bid_count,
-        'ask_count': ask_count,
-        'timestamp': timestamp
-    }
-
-    return features
-
-
-def generate_label(current_price, future_price):
-    return 1 if future_price > current_price else 0
-
-
 def predict_market_direction():
     global prediction_window
-    if len(order_book_snapshots) == 0 or len(trade_data) == 0:
+    if len(trade_data) == 0:
         return
 
-    # 模拟一个简单的预测逻辑：如果卖一价高于买一价，则预测价格下跌，否则预测价格上涨
-    latest_order_book = order_book_snapshots[-1]
-    best_bid = float(latest_order_book['bids'][0][0])
-    best_ask = float(latest_order_book['asks'][0][0])
-    prediction = 1 if best_ask > best_bid else 0
+    # 统计过去100ms内的买卖交易数量
+    buy_count = sum(trade['qty'] for trade in trade_data if trade['side'] == 'buy')
+    sell_count = sum(trade['qty'] for trade in trade_data if trade['side'] == 'sell')
+
+    # 简单的预测逻辑：买单多则预测上涨，卖单多则预测下跌
+    prediction = 1 if buy_count > sell_count else 0
 
     # 将预测结果添加到滑动窗口中
     prediction_window.append(prediction)