indicator_set/src/msv.rs

use std::collections::BTreeMap;
use std::str::FromStr;
use actix_web::{HttpResponse};
use chrono::Utc;
use rust_decimal::Decimal;
use rust_decimal::prelude::ToPrimitive;
use rust_decimal_macros::dec;
use serde_json::{json, Value};
use crate::db_connector::get_trades_json;
use crate::params_utils::{get_str, parse_str_to_decimal};
use crate::server::{Response, 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 db_response = get_trades_json(
        exchange.as_str(),
        symbol.as_str(),
        start_time,
        end_time,
    ).await;

    // 对数据库返回的数据进行容错处理
    if db_response.code == 200 {
        // 数据本地化处理
        let trades = parse_json_to_trades(db_response.data);
        // 指标生成
        let indicator = generate_msv_by_trades(trades, mills_back);

        // 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(&db_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) -> Value {
    let mut amplitude_map: BTreeMap<Decimal, Decimal> = BTreeMap::new();

    const GAMMA: Decimal = dec!(0.5);

    // 每一个元素都遍历一遍
    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() {
        // 该元素向前遍历range毫秒
        let mut range_index = if index == 0 {
            0
        } else {
            index
        };

        // 计算区间的预定价格
        let mut ref_price = trade.price;

        loop {
            // 第0个就不搞
            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;
            }

            ref_price = ref_price * GAMMA + flag_trade.price * (Decimal::ONE - GAMMA);

            range_index -= 1;
        }

        // 逻辑计算层
        // 取离当前点最远的点进行测量
        let last_price = trade.price;

        // 不是初始值，以及不是0波动
        if index != 0 {
            let mut rate = Decimal::ONE_HUNDRED * (last_price - ref_price) / ref_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
            }

            amplitude_map.insert(trade.time, rate);
        }
    }

    let x: Vec<Decimal> = amplitude_map.keys().cloned().collect();
    let y: Vec<Decimal> = amplitude_map.values().cloned().collect();
    let total_size = trades.len();
    let result_size = x.len();
    json!({
        "x": x,
        "y": y,
        "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
}