indicator_set/src/msv.rs

use std::cmp::{max, min};
use std::str::FromStr;
use actix_web::{HttpResponse};
use chrono::Utc;
use rust_decimal::{Decimal};
use rust_decimal::prelude::{FromPrimitive, ToPrimitive};
use rust_decimal_macros::dec;
use serde_json::{json, Value};
use crate::db_connector::{get_simple_depths_json, get_trades_json};
use crate::params_utils::{get_str, parse_str_to_decimal};
use crate::server::{Response, SimpleDepth, Trade};

pub fn symbol_fix(symbol: &str) -> String {
    let mut fixed = symbol.to_uppercase();

    if !fixed.contains("_USDT") {
        fixed = format!("{}_USDT", fixed);
    }

    fixed
}

// 将trades_json转换为指标
pub async fn generate_msv(query_value: Value) -> HttpResponse {
    // 参数处理
    let exchange = match get_str(query_value.clone(), "exchange") {
        Ok(str) => {
            str
        }
        Err(response) => {
            return response
        }
    };
    let symbol = match get_str(query_value.clone(), "symbol") {
        Ok(symbol) => {
            symbol_fix(symbol.as_str())
        }
        Err(response) => {
            return response
        }
    };
    let mills_back = match parse_str_to_decimal(query_value.clone(), "mills_back") {
        Ok(t) => {
            t
        }
        Err(response) => {
            return response
        }
    };
    let minute_time_range = match parse_str_to_decimal(query_value.clone(), "minute_time_range") {
        Ok(t) => {
            t.to_i64().unwrap()
        }
        Err(response) => {
            return response
        }
    };

    // 链接数据服务器查询数据
    let end_time = Utc::now().timestamp_millis();
    let start_time = end_time - minute_time_range * 60 * 1000;
    let trades_response = get_trades_json(
        exchange.as_str(),
        symbol.as_str(),
        start_time,
        end_time,
    ).await;
    let simple_start_time = if start_time < end_time - 240 * 60 * 1000 {
        end_time - 240 * 60 * 1000
    } else {
        start_time
    };
    let simple_depths_response = get_simple_depths_json(
        exchange.as_str(),
        symbol.as_str(),
        simple_start_time,
        end_time,
    ).await;

    // 对数据库返回的数据进行容错处理
    if trades_response.code == 200 && simple_depths_response.code == 200 {
        // 数据本地化处理
        let trades = parse_json_to_trades(trades_response.data);
        // let simple_depths = parse_json_to_simple_depths(simple_depths_response.data);
        let simple_depths = vec![];
        // 指标生成
        let indicator = generate_msv_by_trades(trades, mills_back, simple_depths, start_time, end_time);

        // 返回数据
        let response = Response {
            query: query_value.clone(),
            msg: Some("指标生成完毕".to_string()),
            code: 200,
            data: indicator,
        };

        let json_string = serde_json::to_string(&response).unwrap();
        HttpResponse::Ok().content_type("application/json").body(json_string)
    } else {
        let json_string = serde_json::to_string(&trades_response).unwrap();
        HttpResponse::Ok().content_type("application/json").body(json_string)
    }
}

// 将trades转换为具体指标
pub fn generate_msv_by_trades(mut trades: Vec<Trade>, mills_back: Decimal, simple_depths: Vec<SimpleDepth>, start_time: i64, end_time: i64) -> Value {
    // 具体波动
    let mut msv_data: Vec<Vec<Decimal>> = vec![];
    // 预期利润幅度(except_profit_rate)
    let mut epr_data: Vec<Vec<Decimal>> = vec![];
    // 公平价格相关
    let mut fair_data: Vec<Vec<Decimal>> = vec![];
    let mut fair_price_simulation_ema = Decimal::ZERO;

    const GAMMA: Decimal = dec!(0.5);
    // 多少分钟
    let a = (end_time - start_time) / 1000;
    // 多少笔
    let b = trades.len().to_i64().unwrap();
    // 一分钟多少笔
    let c = if a == 0 {
        b
    } else {
        b / a
    };
    let gamma_fair: Decimal = Decimal::ONE / Decimal::from_i64(c).unwrap();

    // ================== 计算每个点的具体波动率以及回溯幅度 ===================
    trades.sort_by(|a, b| Decimal::from_str(a.id.as_str()).unwrap().cmp(&Decimal::from_str(b.id.as_str()).unwrap()));
    for (index, trade) in trades.iter().enumerate() {
        if index == 0 {
            continue
        }

        // 该元素向前遍历range毫秒
        let mut range_index = index;
        // 该区间的公平价格
        let mut fair_price = trade.price;
        let mut dissociation = Decimal::ZERO;
        loop {
            // 下标合法性判断
            if range_index == 0 {
                break;
            }

            let flag_trade = trades.get(range_index).unwrap();
            let range_time = trade.time - flag_trade.time;
            // 判断该ticker是否是range ms以外
            if range_time > mills_back {
                break;
            }

            fair_price = fair_price * GAMMA + flag_trade.price * (Decimal::ONE - GAMMA);
            dissociation = dissociation + flag_trade.size.abs();

            range_index -= 1;
        }

        // 获取到range毫秒以后的公平价格，计算回去的幅度
        let mut future_ref_price_sum = Decimal::ZERO;
        let mut future_ref_count = Decimal::ZERO;
        let mut future_range_index = index + 1;
        loop {
            // 下标合法性判断
            if future_range_index >= trades.len() {
                break;
            }

            let flag_trade = trades.get(future_range_index).unwrap();
            let range_time = flag_trade.time - trade.time;

            // 判断该ticker是否是range ms以外
            if range_time > mills_back && future_ref_count > Decimal::ZERO {
                break;
            }

            future_range_index += 1;
            future_ref_price_sum += flag_trade.price;
            future_ref_count += Decimal::ONE;
        }
        let future_ref_price = if future_ref_count < Decimal::ONE {
            trade.price
        } else {
            future_ref_price_sum / future_ref_count
        };

        // 计算过去至多100条数据的sigma值 sigma^2 = (1 / (tn-t0))*sum((S(tk) - S(tk-1)) ^ 2)
        let mut sigma_index = index - 1;
        // let t_last = trade.time;

        let mut _t_first = trade.time;
        // 右值
        let mut total_right = Decimal::ZERO;
        loop {
            let flag_trade = trades.get(sigma_index).unwrap();
            let next_trade = trades.get(sigma_index + 1).unwrap();

            // 下标合法性判断
            if sigma_index == 0 || sigma_index + 100 <= index {
                _t_first = flag_trade.time;
                break;
            }

            // 计算差值
            let diff = Decimal::ONE - flag_trade.price / next_trade.price;
            total_right += diff * diff;

            sigma_index = sigma_index - 1;
        }

        // 计算公平价格仿真值的ema
        fair_price_simulation_ema = if fair_price_simulation_ema.is_zero() {
            fair_price
        } else {
            fair_price_simulation_ema * (Decimal::ONE - gamma_fair) + fair_price * gamma_fair
        };

        // ==================== 波动逻辑计算 ====================
        let last_price = trade.price;
        let mut rate = Decimal::ONE_HUNDRED * (last_price - fair_price) / fair_price;
        rate.rescale(2);
        // 去除小数位之后，可以忽略一些太小的波动，减少图表生成压力
        if rate.eq(&Decimal::ZERO) {
            continue
        }

        // ==================== 预期利润逻辑计算 ====================
        // 首先计算未来一段时间的价格与现在的距离
        let mut future_rate = Decimal::ONE_HUNDRED * (future_ref_price - last_price) / last_price;
        future_rate.rescale(2);
        // 根据具体向上波动还是向下波动来计算预期最大利润
        let mut epr = if rate > Decimal::ZERO {
            -future_rate
        } else {
            future_rate
        };
        epr = min(epr, rate.abs());

        // 去重，以及保留最大的波动率
        if msv_data.len() > 0 {
            let last = msv_data[msv_data.len() - 1].clone();
            let last_time = last[0];
            let last_rate = last[1];

            // 如果时间相同，则可能会进行remove等操作
            if last_time == trade.time {
                // 如果最新的波动率大于最后波动率
                if rate.abs() > last_rate.abs() {
                    msv_data.remove(msv_data.len() - 1);
                    msv_data.push(vec![trade.time, rate, dissociation]);

                    epr_data.remove(epr_data.len() - 1);
                    epr_data.push(vec![trade.time, epr]);

                    fair_data.remove(fair_data.len() - 1);
                    fair_data.push(vec![trade.time, fair_price, fair_price_simulation_ema]);
                }
            } else {
                msv_data.push(vec![trade.time, rate, dissociation]);
                epr_data.push(vec![trade.time, epr]);
                fair_data.push(vec![trade.time, fair_price, fair_price_simulation_ema]);
            }
        } else {
            msv_data.push(vec![trade.time, rate, dissociation]);
            epr_data.push(vec![trade.time, epr]);
            fair_data.push(vec![trade.time, fair_price, fair_price_simulation_ema]);
        }
    }

    // 按时间序列填充数据
    let mut msv_index = 0;
    let mut final_msv_data: Vec<Vec<Decimal>> = vec![];
    let mut final_epr_data: Vec<Vec<Decimal>> = vec![];
    let mut final_sigma_data: Vec<Vec<Decimal>> = vec![];
    let mut final_sigma_ma_data: Vec<Vec<Decimal>> = vec![];

    let mut depth_index = 0;
    let mut final_volume_data: Vec<Vec<Decimal>> = vec![];

    let mut index_timestamp = Decimal::from_i64(start_time).unwrap();
    let last_timestamp = Decimal::from_i64(end_time).unwrap();
    let step_timestamp = dec!(1000);
    loop {
        let mut max_msv_data = Decimal::ZERO;
        let mut max_msv_qty_data = Decimal::ZERO;
        let mut max_epr_data = Decimal::ZERO;
        let mut max_fair_d = Decimal::ZERO;
        let mut max_fair_ema_d = Decimal::ZERO;

        // ====================================== 数据生产 ===============================================
        // 获取时间范围内的波动率数据
        loop {
            // 下标合法性判断
            if msv_index >= msv_data.len() {
                break;
            }

            // msv_data的指定下标数据不在时间范围内(时间范围：指的是[index_timestamp-mills_back, index_timestamp]这个范围)
            if index_timestamp < msv_data[msv_index][0] {
                break;
            }

            // -------------- 大小判断，取值
            let msv_d = msv_data[msv_index][1];
            let msv_qty_data = msv_data[msv_index][2];
            let epr_d = epr_data[msv_index][1];
            let fair_d = fair_data[msv_index][1];
            let fair_ema_d = fair_data[msv_index][2];
            // msv波动数据
            if max_msv_data.abs() < msv_d.abs() {
                max_msv_data = msv_d;
                max_msv_qty_data = msv_qty_data;
                max_epr_data = epr_d;
                max_fair_d = fair_d;
                max_fair_ema_d = fair_ema_d;
            }
            // fair_price

            // 下标步近
            msv_index = msv_index + 1;
        }
        if max_fair_d.is_zero() || max_fair_ema_d.is_zero() {
            max_fair_d = fair_data[msv_index - 1][1];
            max_fair_ema_d = fair_data[msv_index - 1][2];
        }

        // 获取时间范围内的深度数据、买一及卖一价数据
        let mut max_size = Decimal::ZERO;
        let mut min_size = Decimal::ONE_THOUSAND * Decimal::ONE_THOUSAND;
        loop {
            // 下标合法性判断
            if depth_index >= simple_depths.len() {
                break;
            }
            let depth = &simple_depths[depth_index];
            // 时间范围合法性判断，只统计那一秒以内的深度总交易量
            if index_timestamp < depth.time {
                break;
            }
            // 这一秒的深度最大值、最小值
            max_size = max(max_size, depth.size);
            min_size = min(min_size, depth.size);
            // 下标步近
            depth_index += 1;
        }

        // ====================================== 智能填充数据 ===============================================
        // 流动性数据叠加
        // let rst_size = if (max_size == Decimal::ZERO || min_size == Decimal::ONE_THOUSAND * Decimal::ONE_THOUSAND) && final_depth_data.len() > 0 {
        //     final_depth_data.last().unwrap()[1]
        // } else {
        //     if (max_size == Decimal::ZERO || min_size == Decimal::ONE_THOUSAND * Decimal::ONE_THOUSAND) && simple_depths.len() > 0 {
        //         simple_depths[0].size
        //     } else {
        //         if simple_depths.len() > 0 {
        //             (max_size + min_size) / Decimal::TWO
        //         } else {
        //             Decimal::ZERO
        //         }
        //     }
        // };
        // final_depth_data.push(vec![index_timestamp, rst_size]);
        //
        // // 建议开仓距离
        // let mut rst_spread = if rst_size == Decimal::ZERO {
        //     Decimal::ZERO
        // } else {
        //     dec!(10000) / rst_size
        // };
        // rst_spread.rescale(6);
        // final_spread_data.push(vec![index_timestamp, rst_spread]);

        // 波动率数据处理
        // 如果这两个值为0，则代表这mills_back毫秒以内是没有数据的，填充0数据，使得x轴是完整的
        if max_msv_data == Decimal::ZERO {
            final_msv_data.push(vec![index_timestamp, Decimal::ZERO, Decimal::ZERO]);
            final_epr_data.push(vec![index_timestamp, Decimal::ZERO]);
            final_volume_data.push(vec![index_timestamp, Decimal::ZERO]);

        // 说明在这个时间范围内是有数据存在的，将各类副图放置完全
        } else {
            final_msv_data.push(vec![index_timestamp, max_msv_data, max_msv_qty_data]);
            final_epr_data.push(vec![index_timestamp, max_epr_data]);

            let mut final_qty = max_msv_qty_data / Decimal::ONE_THOUSAND;
            final_qty.rescale(2);
            final_volume_data.push(vec![index_timestamp, final_qty]);
        }

        final_sigma_data.push(vec![index_timestamp, max_fair_d]);
        final_sigma_ma_data.push(vec![index_timestamp, max_fair_ema_d]);

        // ====================================== 时间步进处理 ======================================
        // 对时间进行步近
        index_timestamp = index_timestamp + step_timestamp;
        // 时间越界
        if index_timestamp > last_timestamp {
            break
        }
    }

    // 结果统计
    let total_size = trades.len();
    let result_size = final_msv_data.len();
    json!({
        "msv": final_msv_data,
        "liqs": final_volume_data,
        "eprs": final_epr_data,
        "sigmas": final_sigma_data,
        "sigma_mas": final_sigma_ma_data,
        "total_size": total_size,
        "result_size": result_size,
    })
}

// 将json转换为trades
pub fn parse_json_to_trades(trades_json: Value) -> Vec<Trade> {
    let mut rst = vec![];

    for trade_json in trades_json.as_array().unwrap() {
        let arr = trade_json.as_array().unwrap();
        rst.push(Trade {
            id: arr[0].as_str().unwrap().to_string(),
            time: Decimal::from_str(arr[1].as_str().unwrap()).unwrap(),
            size: Decimal::from_str(arr[2].as_str().unwrap()).unwrap(),
            price: Decimal::from_str(arr[3].as_str().unwrap()).unwrap(),
        });
    }

    rst
}

// // 将json转换为简易深度数据
// pub fn parse_json_to_simple_depths(depths_json: Value) -> Vec<SimpleDepth> {
//     let mut rst = vec![];
//
//     for depth_json in depths_json.as_array().unwrap() {
//         let depth: SimpleDepth = SimpleDepth {
//             time: Decimal::from_str(depth_json["time"].as_str().unwrap()).unwrap(),
//             size: Decimal::from_str(depth_json["size"].as_str().unwrap()).unwrap(),
//             a1: Decimal::from_str(depth_json["a1"].as_str().unwrap()).unwrap(),
//             b1: Decimal::from_str(depth_json["b1"].as_str().unwrap()).unwrap(),
//         };
//
//         rst.insert(0, depth)
//     }
//
//     rst
// }