py-as-zhong/strategy.py

import time
import traceback, utils
import model
import logging, logging.handlers
from decimal import Decimal
from decimal import ROUND_HALF_UP, ROUND_FLOOR

class Strategy:
    '''
        策略逻辑
    '''
    def __init__(self, params: model.Config, is_print=0):
        self.params = params
        self.exchange = self.params.exchange
        self.broker_id = params.broker_id
        self.logger = self.get_logger()
        #### 实盘
        ex = self.params.exchange
        pair = self.params.pair
        self.trade_name = ex + '@' + pair
        #### 参考
        refex = self.params.refexchange
        refpair = self.params.refpair
        if len(refex) != len(refpair):
            print("参考盘口数不等于参考品种数 退出")
            return
        self.ref_num = len(refex)
        self.ref_name = []
        for i in range(self.ref_num):
            name = refex[i] + '@' + refpair[i]
            self.ref_name.append(name)
        #### maker mode
        self.maker_mode = 'free'
        ####
        self._print_time = 0
        self.local_orders = dict()
        self.pos = model.Position()
        self.long_hold_value = 0.0
        self.short_hold_value = 0.0
        self.equity = 0.0
        self.coin = 0.0
        self.cash = 0.0
        self.start_equity = 0.0
        self.start_coin = 0.0
        self.start_cash = 0.0
        self.max_equity = 0.0
        self.local_profit = 0.0
        self.total_amount = 0.0
        self.ready = 0
        self._is_print = is_print
        self._min_amount_value = 30.0  # 最小下单额 防止下单失败
        self._max_amount_value = 10000.0  # 最大下单额 防止下单过重 平不掉就很悲剧
        self.local_time = time.time()
        self.local_start_time = time.time()
        self.interval = float(self.params.interval)
        self.mp = None
        self.bp = None
        self.ap = None
        self.ref_price = 0.0
        self.ref_bp = 0.0
        self.ref_ap = 0.0
        self.stepSize = 1e-10
        self.tickSize = 1e-10
        self.maxPos = 0.0
        self.profit = 0.0
        self.daily_return = 0.0
        #### 
        self.mp_ewma = None
        self.adjust_leverrate = 1.0
        #### 持仓偏差
        self.long_pos_bias = None
        self.short_pos_bias = None
        self.long_hold_rate = 0.0
        self.short_hold_rate = 0.0
        #### 时间相关参数
        self.leverrate = float(self.params.leverrate)  # 最大仓位
        if "spot" in self.exchange:self.leverrate = min(self.leverrate, 1.0)
        self._print_time = time.time()
        self._start_time = time.time()
        self.request_num = 0  # 记录请求次数
        self.request_order_num = 0  # 记录下单次数
        self._print_interval = 5  # 打印信息时间间隔
        #### 距离范围
        self.open_dist = None
        self.close_dist = None
        #### 查单频率    
        self._check_local_orders_time = time.time()
        self._check_local_orders_interval = 10.0
        #### 内部限頻
        try:
            self.place_order_limit = float(self.params.place_order_limit)
        except:
            self.place_order_limit = 0
        self.request_limit_check_time = time.time()
        self.request_limit_check_interval = 10.0
        self.limit_requests_num = utils.get_limit_requests_num_per_second(
            self.params.exchange, self.place_order_limit) * self.request_limit_check_interval
        self.limit_order_requests_num = utils.get_limit_order_requests_num_per_second(
            self.params.exchange, self.place_order_limit) * self.request_limit_check_interval
        #### 网络请求频率
        self._req_num_per_window = 0  
        # 开仓下单间隔 均匀下单机会
        self.post_open_time = time.time()
        self.post_open_interval = 1/utils.get_limit_order_requests_num_per_second(self.params.exchange)
        #### 策略参数
        # 距离类参数
        self.trade_close_dist = 0.00001  # 基础挂单距离  
        self.trade_open_dist = 0.01  # 基础挂单距离  
        #### 时间类参数
        # 撤单限頻队列 强制等待 防止频繁发起撤单
        self.in_cancel = dict()
        self.cancel_wait_interval = 0.2
        # 查单限頻队列 强制等待
        self.in_check = dict()
        self.check_wait_interval = 10.0
        # ref index
        self.ref_index = 0
        # predict
        self.predict = 0.0
        self.predict_alpha = 0.0
        # post side 
        self.post_side = 0
        # trade vol
        self.trade_vol_24h = 0.0
        # grid num
        self.grid = float(self.params.grid)
    
    def get_logger(self):
        logger = logging.getLogger(__name__)
        logger.setLevel(logging.DEBUG)
        # log to txt
        formatter = logging.Formatter('[%(asctime)s] - %(levelname)s - %(message)s')
        handler = logging.handlers.RotatingFileHandler(f"log.log",maxBytes=1024*1024)
        handler.setLevel(logging.DEBUG)
        handler.setFormatter(formatter)
        logger.addHandler(handler)
        return logger

    # TODO 目前看来是开仓前的一些准备，对本地数据状态进行更新
    # @utils.timeit
    def _update_data(self, data:model.TraderMsg):
        '''更新本地数据'''
        try:
            # 更新信息
            # orders
            self.local_orders.clear()
            self.local_orders.update(data.orders)
            # position
            if self.pos.longPos != data.position.longPos:
                self.pos.longPos = data.position.longPos
                self.pos.longAvg = data.position.longAvg
            if self.pos.shortPos != data.position.shortPos:
                self.pos.shortPos = data.position.shortPos
                self.pos.shortAvg = data.position.shortAvg
            # TODO data.market里面是组合盘口信息，所以此处的bp和ap都是从组合盘口里拿出来的
            # bp ap
            self.bp = data.market[utils.BP_INDEX]
            self.ap = data.market[utils.AP_INDEX]
            # trade mp
            self.mp = (self.bp+self.ap)*0.5
            ########### 动态杠杆调节 ###########
            if self.mp_ewma == None:
                self.mp_ewma = self.mp
            else:
                self.mp_ewma = self.mp_ewma*0.999 + self.mp*0.001
            if self.mp > self.mp_ewma:
                # 增加杠杆
                self.adjust_leverrate = 1.0
            else:
                # 降低杠杆
                self.adjust_leverrate = 0.8
            ########### 当前持仓价值 ###########
            self.long_hold_value = self.pos.longPos * self.mp
            self.short_hold_value = self.pos.shortPos * self.mp

            # TODO 177-186计算单边最大持仓数量
            ########### 现货 ###########
            if 'spot' in self.exchange:
                ### 计算总保证金情况
                self.max_long_value = self.start_cash * self.leverrate * self.adjust_leverrate
                self.max_short_value = self.start_coin * self.leverrate * self.adjust_leverrate * self.mp
            ########### 合约 ###########
            else:
                ### 计算总保证金情况
                self.max_long_value = self.equity * self.leverrate * self.adjust_leverrate
                self.max_short_value = self.max_long_value

            # TODO 做市模式识别
            ###### maker mode ######
            if self.ref_name[self.ref_index] == self.trade_name:
                self.maker_mode = 'free'
            else:
                self.maker_mode = 'follow'

            ###### ref price ######
            if data.ref_price == None:
                self.ref_bp = self.bp
                self.ref_ap = self.ap
                self.ref_price = self.mp
            else:
                self.ref_bp = data.ref_price[self.ref_index][0]
                self.ref_ap = data.ref_price[self.ref_index][1]
                self.ref_price = (self.ref_bp+self.ref_ap)*0.5

            # spread
            self.predict = utils.clip(data.predict*self.predict_alpha, -self.trade_open_dist, self.trade_open_dist)
            # is base spread normal ? can take but can't move too far
            # if abs(self.ref_price - self.mp)/self.mp > self.trade_open_dist*3:
                # back to pure market making strategy
                # self.ref_price = self.mp

            # equity 当前账户可用cash和coin
            self.coin = data.coin
            self.cash = data.cash
            if self.mp:
                self.equity = data.cash + data.coin * self.mp
            # max equity
            if self.equity > self.max_equity:
                self.max_equity = self.equity
            self.total_amount = float(utils.fix_amount(self.equity * self.leverrate * self.adjust_leverrate / self.mp, self.stepSize))
            if self.total_amount == 0.0:
                if self._is_print:
                    self.logger.error("总可开数量太少")
            # max pos
            maxPos = max([
                    self.pos.longPos, self.pos.shortPos
                ]) * self.mp // (self.equity if self.equity > 0 else 99999999)
            if maxPos > self.maxPos:
                self.maxPos = maxPos
            return 1
        except:
            if self._is_print:
                self.logger.error(traceback.format_exc())
            return 0

    # @utils.timeit
    def _print_summary(self):
        '''
            打印状态信息
            耗时700us
        '''
        msg = '>>> '
        msg += '盘口 ' + self.exchange + ' '
        msg += '品种 ' + self.params.pair + ' '
        msg += '现价 ' + str(round(self.mp, 6)) + ' '
        msg += '定价 ' + str(round(self.ref_price, 6)) + ' '
        msg += '偏差 ' + str(round((self.ref_price-self.mp)/self.mp*100, 2)) + '% '
        msg += '净值 ' + str(round(self.equity, 3)) + ' '
        msg += 'Cash ' + str(round(self.cash, 3)) + ' '
        msg += 'Coin ' + str(round(self.coin*self.mp, 3)) + ' '
        msg += '推算利润 ' + str(self.local_profit) + ' '
        self.profit = round(
            (self.equity - self.start_equity) /
            self.start_equity * 100, 3) if self.start_equity > 0 else 0
        msg += '盈亏 ' + str(self.profit) + '% '
        msg += '多杠杆' + str(
            round(
                self.pos.longPos * self.mp /
                (self.equity if self.equity > 0 else 99999999), 3)) + ' '
        self.long_pos_bias = None
        if self.pos.longPos > 0.0:
            self.long_pos_bias = round(100 - 100 * self.pos.longAvg / self.mp, 2)
            msg += '浮盈' + str(self.long_pos_bias) + '% '
        else:
            msg += '浮盈 None '
        msg += '空杠杆' + str(
            round(
                self.pos.shortPos * self.mp /
                (self.equity if self.equity > 0 else 99999999), 3)) + ' '
        self.short_pos_bias = None
        if self.pos.shortPos > 0.0:
            self.short_pos_bias = round(100 * self.pos.shortAvg / self.mp - 100, 2)
            msg += '浮盈' + str(self.short_pos_bias) + '% '
        else:
            msg += '浮盈 None '
        msg += '杠杆' + str(self.leverrate) + ' 动态 ' + str(self.adjust_leverrate) + ' '
        msg += '最大' + str(self.maxPos) + ' '
        msg += '请求' + str(self._req_num_per_window) + ' 上限 ' + str(self.limit_order_requests_num) + '次/10s '
        run_time = time.time() - self._start_time
        self.daily_return = round(self.profit / 100 / run_time * 86400, 5)
        msg += '日化' + str(self.daily_return) + ' '
        msg += '当前参数 ' + \
            ' 开仓 ' + str(round(self.trade_open_dist,6)) + \
            ' 平仓 ' + str(round(self.trade_close_dist,6)) + \
            ' 方向 ' + str(self.post_side) + \
            ' 参考 ' + self.ref_name[self.ref_index]  + \
            ' 模式 ' + self.maker_mode + \
            ' 预测 ' + str(round(self.predict,5)) + \
            ' 预估24H成交额 ' + str(self.trade_vol_24h) + 'W' + \
            ' 实时优化 ' + str(self.params.backtest)
        # 写入日志
        if self._is_print:
            self.logger.info(msg)
        #### 本地订单状态列表 ####
        o_num = len(self.local_orders)
        self.logger.info(f"挂单列表 共{o_num}单")
        for cid in self.local_orders:
            i = self.local_orders[cid]
            msg = i['symbol'] + ' ' + str(i['client_id']) + ' ' + i['side'] + ' 杠杆: ' + \
                str(round(i['amount'] * self.mp / (self.equity if self.equity > 0 else 99999999), 3)) + 'x 价值:' + \
                str(round(i['amount'] * self.mp,2)) + 'u'    + ' 价格: ' + \
                str(i['price']) + ' 偏离:' + \
                str(round((i['price'] - self.mp) / self.mp * 100, 3)) + '%'
            if self._is_print:
                self.logger.info(msg)
        self.logger.info("撤单列表")
        if len(self.in_cancel) > 0:
            if self._is_print:
                self.logger.info(self.in_cancel)
        self.logger.info("查单列表")
        if len(self.in_check) > 0:
            if self._is_print:
                self.logger.info(self.in_check)

    # def fix_amount(self, amount):
    #     '''修补数量向下取整'''
    #     return float(Decimal(str(amount)).quantize(Decimal(str(self.stepSize)), ROUND_FLOOR))

    # def fix_price(self, price):
    #     '''修补价格四舍五入'''
    #     return float(Decimal(str(price)).quantize(Decimal(str(self.tickSize)), ROUND_HALF_UP))

    def _cancel_targit_side_orders(self, order_side=["kd","kk","pd","pk"]):
        '''清理指定类型挂单'''
        signals = dict()
        # 撤销指定类型挂单
        for cid in self.local_orders:
            i = self.local_orders[cid]
            if i["side"] in order_side:
                cid = i['client_id']
                oid = i['order_id']
                signals[f'Cancel{cid}'] = [cid, oid]
        return signals

    def _close_all(self):
        '''
            清空所有挂单和仓位保持休眠状态
        '''
        signals = dict()
        # 撤销全部挂单
        pd_amount = 0.0
        pk_amount = 0.0
        for cid in self.local_orders:
            i = self.local_orders[cid]
            cid = i['client_id']
            oid = i['order_id']
            if i['side'] == 'pk':
                pk_amount += i['amount']
            elif i['side'] == 'pd':
                pd_amount += i['amount']
            signals[f'Cancel{cid}'] = [cid, oid]
        # 批量挂单
        signals['Limits_close'] = []
        need_close_long = self.pos.longPos - pd_amount
        need_close_short = self.pos.shortPos - pk_amount
        if "spot" in self.exchange:
            if need_close_long * self.mp > self._min_amount_value:
                amount = need_close_long
                price = utils.fix_price(self.mp, self.tickSize)
                amount = utils.fix_amount(amount, self.stepSize)
                signals['Limits_close'].append([amount, 'pd', price, utils.get_cid(self.broker_id)])
            if need_close_short * self.mp > self._min_amount_value:
                amount = need_close_short
                price = utils.fix_price(self.mp, self.tickSize)
                amount = utils.fix_amount(amount, self.stepSize)
                signals['Limits_close'].append([amount, 'pk', price, utils.get_cid(self.broker_id)])
        else:
            if need_close_long > 0:
                # sell
                price = utils.fix_price(self.mp, self.tickSize)
                amount = need_close_long
                if amount * self.mp > self._min_amount_value:
                    signals['Limits_close'].append([amount, 'pd', price,utils.get_cid(self.broker_id)])
            if need_close_short > 0:
                # buy
                price = utils.fix_price(self.mp, self.tickSize)
                amount = need_close_short
                if amount * self.mp > self._min_amount_value:
                    signals['Limits_close'].append([amount, 'pk', price,utils.get_cid(self.broker_id)])
        return signals

    def _post_close(self):
        '''
            处理平仓
        '''
        # 准备命令
        signals = dict()
        signals['Limits_close'] = []
        # 撤掉危险挂单
        pdAmount = 0.0
        pdOrderNum = 0
        pkAmount = 0.0
        pkOrderNum = 0
        # 计算
        long_upper = self.close_dist[0]
        long_lower = self.close_dist[1]
        short_lower = self.close_dist[2]
        short_upper = self.close_dist[3]
        # # 获取当前挂单
        for cid in self.local_orders:
            i = self.local_orders[cid]
            if i['side'] == 'pk':
                c1 = i['price'] > long_upper
                c2 = i['price'] < long_lower
                if c1 or c2:
                    signals[f'Cancel{cid}'] = [i['client_id'], i['order_id']]
                # else:
                pkAmount += i['amount']
                pkOrderNum += 1
            elif i['side'] == 'pd':
                c1 = i['price'] < short_lower
                c2 = i['price'] > short_upper
                if c1 or c2:
                    signals[f'Cancel{cid}'] = [i['client_id'], i['order_id']]
                # else:
                pdAmount += i['amount']
                pdOrderNum += 1
        need_cancel_all_close = 0
        if abs(pdAmount - self.pos.longPos) * self.mp > self._min_amount_value or \
            abs(pkAmount - self.pos.shortPos) * self.mp > self._min_amount_value:
            need_cancel_all_close = 1
        if need_cancel_all_close:
            for cid in self.local_orders:
                i = self.local_orders[cid]
                if i['side'] in ['pk','pd']:
                    signals[f'Cancel{cid}'] = [i['client_id'], i['order_id']]
        ####################### 检查是否需要挂平仓单
        if 'spot' in self.exchange:
            ### 需要平多的价值大于最小交易价值 执行平多逻辑 
            if self.pos.longPos * self.mp > self._min_amount_value:  
                if pdOrderNum == 0:  # 需要更新平仓挂单
                    price = (short_lower + short_upper)*0.5
                    price = utils.clip(price, self.bp*0.9995, self.ap*1.03)
                    price = utils.fix_price(price, self.tickSize)
                    amount = self.pos.longPos
                    amount = utils.fix_amount(amount, self.stepSize)
                    if float(amount) * float(price) > self._min_amount_value:
                        signals['Limits_close'].append([
                            amount,
                            'pd',
                            price,
                            utils.get_cid(self.broker_id)
                        ])
            if self.pos.shortPos > self._min_amount_value:  
                if pkOrderNum == 0:  # 需要更新平仓挂单
                    price = (long_upper + long_lower)*0.5
                    price = utils.clip(price, self.bp*0.97, self.ap*1.0005)
                    price = utils.fix_price(price, self.tickSize)
                    amount = self.pos.shortPos
                    amount = utils.fix_amount(amount, self.stepSize)
                    if float(amount) * float(price) > self._min_amount_value:
                        signals['Limits_close'].append([
                            amount,
                            'pk',
                            price,
                            utils.get_cid(self.broker_id)
                        ])
        else:
            if self.pos.longPos > 0.0:  # 正常平多
                if pdOrderNum == 0:  # 需要更新平仓挂单
                    price = short_lower*0.5 + short_upper*0.5
                    price = utils.clip(price, self.bp*0.9995, self.ap*1.03)
                    price = utils.fix_price(price, self.tickSize)
                    signals['Limits_close'].append([
                        self.pos.longPos,
                        'pd',
                        price,
                        utils.get_cid(self.broker_id)
                    ])
            if self.pos.shortPos > 0.0:  # 正常平空
                if pkOrderNum == 0:  # 需要更新平仓挂单
                    price = long_upper*0.5 + long_lower*0.5
                    price = utils.clip(price, self.bp*0.97, self.ap*1.0005)
                    price = utils.fix_price(price, self.tickSize)
                    signals['Limits_close'].append([
                        self.pos.shortPos,
                        'pk',
                        price,
                        utils.get_cid(self.broker_id)
                    ])
        return signals

    def _cancel_open(self):
        '''
            撤销开仓
        '''
        # 准备命令
        signals = dict()
        # 计算挂单范围
        long_upper = self.open_dist[0]  # long upper--------高风险
        long_lower = self.open_dist[1]  # long lower--------低风险
        short_lower = self.open_dist[2]  # short lower------高风险
        short_upper = self.open_dist[3]  # short upper------低风险
        # # 获取当前挂单
        for cid in self.local_orders:
            i = self.local_orders[cid]
            if i['side'] == 'kd':
                # TODO 在挂单范围之外时
                # 撤开多单
                c1 = i['price'] > long_upper
                c2 = i['price'] < long_lower
                # c3 = i['price'] > long_upper*(1-self.long_hold_rate) + long_lower*self.long_hold_rate
                # if c1 or c2 or c3:
                if c1 or c2:
                    signals[f'Cancel{cid}'] = [i['client_id'], i['order_id']]
            elif i['side'] == 'kk':
                # TODO 在挂单范围之外时
                # 撤开空单
                c1 = i['price'] < short_lower
                c2 = i['price'] > short_upper
                # c3 = i['price'] < short_lower*(1-self.short_hold_rate) + short_upper*self.short_hold_rate
                # if c1 or c2 or c3:
                if c1 or c2:
                    signals[f'Cancel{cid}'] = [i['client_id'], i['order_id']]
        return signals

    # @utils.timeit
    def _post_open(self):
        '''
            处理开仓 开仓要一直挂
        '''
        # 准备命令
        signals = dict()
        signals['Limits_open'] = []
        # 计算挂单范围
        long_upper = self.open_dist[0]
        long_lower = self.open_dist[1]
        short_lower = self.open_dist[2]
        short_upper = self.open_dist[3]
        # # 获取当前挂单
        buyP = []
        sellP = []
        buy_value = 0
        sell_value = 0
        for cid in self.local_orders:
            i = self.local_orders[cid]
            if i['side'] in ['kd']:
                buyP.append(i['price'])
                buy_value += i['amount'] * i['price']
            if i['side'] in ['kk']:
                sellP.append(i['price'])
                sell_value += i['amount'] * i['price']
        # TODO 计算可开价值
        ########### 现货 ###########
        if 'spot' in self.exchange:
            ### 计算当前持币和持u ###
            coin_value = self.coin * self.mp * self.leverrate * self.adjust_leverrate # 可卖价值
            cash_value = self.cash * self.leverrate * self.adjust_leverrate # 可买价值
            long_free_value = min(cash_value, self.max_long_value) - buy_value
            short_free_value = min(coin_value, self.max_short_value) - sell_value
        ########### 合约 ###########
        else:
            ### 合约只有已有仓位和开仓订单会占用保证金
            long_free_value = self.max_long_value - self.long_hold_value - buy_value
            short_free_value = self.max_short_value - self.short_hold_value - sell_value
        #######################################
        one_hand_long_value = self.max_long_value / self.grid * 0.99
        one_hand_short_value = self.max_short_value / self.grid * 0.99
        ############## 单层挂单 #################
        ########### 挂多单 ###########
        if self.post_side >= 0:
            if len(buyP) == 0:
                # TODO 计算开单价格，并限定范围，要求价格有效，截取小数位数。
                # 1
                targit_buy_price = long_upper * 0.5 + long_lower * 0.5
                targit_buy_price = utils.clip(targit_buy_price, self.bp*0.97, self.ap*1.0005)
                targit_buy_price = utils.fix_price(targit_buy_price, self.tickSize)
                value = min(one_hand_long_value, long_free_value)
                amount = utils.fix_amount(value/self.mp, self.stepSize)
                amount_value = float(amount) * self.mp
                # TODO 下单前最后检测
                if amount_value >= self._min_amount_value and amount_value <= long_free_value:
                    signals['Limits_open'].append([amount, 'kd', targit_buy_price, utils.get_cid(self.broker_id)])
        ########### 挂空单 ###########
        if self.post_side <= 0:
            if len(sellP) == 0:
                # TODO 计算开单价格，并限定范围，要求价格有效，截取小数位数。
                # 1
                targit_sell_price = short_lower * 0.5 + short_upper * 0.5
                targit_sell_price = utils.clip(targit_sell_price, self.bp*0.9995, self.ap*1.03)
                targit_sell_price = utils.fix_price(targit_sell_price, self.tickSize)
                value = min(one_hand_short_value, short_free_value)
                amount = utils.fix_amount(value/self.mp, self.stepSize)
                amount_value = float(amount) * self.mp
                # TODO 下单前最后检测
                if amount_value >= self._min_amount_value and amount_value <= short_free_value:
                    signals['Limits_open'].append([amount, 'kk', targit_sell_price, utils.get_cid(self.broker_id)])
        return signals

    # @utils.timeit
    def gen_dist(self, open, close, pos_rate, ref_bp, ref_ap, predict, grid=1, mode='free'):
        '''
            Input: 
                开仓距离
                平仓距离
                参考价格
            产生挂单位置
            4
            3
            1
            2
            用预测调近挂单距离很危险
        '''
        ###########################
        mp = (ref_bp+ref_ap)*0.5
        buy_start = mp
        sell_start = mp
        ###########################
        # 持有多仓时 平仓sell更近  持有空仓时 平仓buy 更近
        avoid = min(0.0005, close * 0.5) # 平仓位置偏移可以适当大一点
        # 平仓位置
        close_dist = [
            buy_start * ( 1 + predict - close + avoid), # buy upper
            buy_start * ( 1 + predict - close - avoid), # buy lower
            sell_start * ( 1 + predict + close - avoid), # sell lower
            sell_start * ( 1 + predict + close + avoid), # sell upper
        ]
        ######################################################
        if mode == 'free':
            # 自由做市
            buy_start = ref_bp
            sell_start = ref_ap
        elif mode == 'follow':
            # 跟随做市
            mp = (ref_bp+ref_ap)*0.5
            buy_start = mp
            sell_start = mp
        else:
            # 跟随做市
            mp = (ref_bp+ref_ap)*0.5
            buy_start = mp
            sell_start = mp
        ###########################
        ###########################
        # 持有多仓时 开仓buy更远  持有空仓时 开仓sell 更远
        avoid = min(0.001, open * 0.05) # 开仓位置偏移可以适当小一点
        # 持仓偏移
        buy_shift = 1 + pos_rate[0] * grid
        sell_shift = 1 + pos_rate[1] * grid
        # 保护窗口
        open_dist = [
            buy_start * ( 1 + predict - open * buy_shift  + avoid), # buy upper
            buy_start * ( 1 + predict - open * buy_shift  - avoid), # buy lower
            sell_start * ( 1 + predict + open * sell_shift - avoid), # sell lower
            sell_start * ( 1 + predict + open * sell_shift + avoid), # sell upper
        ]
        ###########################
        return open_dist, close_dist

    def _update_request_num(self, signals):
        '''统计请求次数'''
        if 'Limits_open' in signals:
            self.request_num += len(signals['Limits_open'])
            self.request_order_num += len(signals['Limits_open'])
        if 'Limits_close' in signals:
            self.request_num += len(signals['Limits_close'])
            self.request_order_num += len(signals['Limits_close'])
        for i in signals:
            if 'Cancel' in i:
                self.request_num += 1
            elif 'Check' in i:
                self.request_num += 1

    def _check_request_limit(self, signals):
        '''根据平均请求次数限制开仓下单'''
        if self.request_num > self.limit_requests_num:
            return dict()
        elif self.request_num >= self.limit_requests_num * 0.5 or self.request_order_num >= self.limit_order_requests_num*0.8:
            new_signals = dict()
            for order_name in signals:
                if 'Limits_open' in order_name:
                    pass
                elif 'Limits_close' in order_name and self.request_order_num >= self.limit_order_requests_num:
                    pass
                else:
                    new_signals[order_name] = signals[order_name]
            return new_signals
        else:
            return signals

    def _check_local_orders(self):
        '''超过时间限制触发查单信号'''
        signals = dict()
        if self.local_time - self._check_local_orders_time >= self._check_local_orders_interval:
            for cid in self.local_orders:
                # 如果没在查单队列中
                if cid not in self.in_check:
                    # 超过10s没动的订单 进行检查
                    if self.local_time - self.local_orders[cid]["localtime"] > self._check_local_orders_interval:
                        signals[f"Check{cid}"] = [cid, self.local_orders[cid]['order_id']]
                        self.in_check[cid] = self.local_time
                        if self._is_print:
                            self.logger.debug(f"查询订单 {cid}")
            # 维护查单队列
            self._release_in_check()
            # 更新查单时间
            self._check_local_orders_time = self.local_time
        return signals

    def _release_in_check(self):
        '''检查是否正在撤单'''
        new_dict = dict()
        for cid in self.in_check:
            # 等待超过后移除正在撤单队列
            if self.local_time - self.in_check[cid] <= self.check_wait_interval:
                new_dict[cid] = self.in_check[cid]
        self.in_check = new_dict

    def _release_in_cancel(self):
        '''检查是否正在撤单'''
        new_dict = dict()
        for cid in self.in_cancel:
            # 等待超过后移除正在撤单队列
            if self.local_time - self.in_cancel[cid] <= self.cancel_wait_interval:
                new_dict[cid] = self.in_cancel[cid]
        self.in_cancel = new_dict

    def _update_in_cancel(self, signals):
        '''
            新增正在撤单
            检查撤单队列
            释放过时限制
        '''
        new_signals = dict()
        for i in signals:
            if 'Cancel' in i:
                cid = signals[i][0]
                need_limit_cancel = 1
                # 判断是否在挂单表中
                if cid in self.local_orders:
                    # 判断是否在订单创建100ms内
                    if self.local_time - self.local_orders[cid]['createtime'] < 0.1:
                        # 解除撤单限制
                        need_limit_cancel = 0
                if need_limit_cancel:
                    # 增加撤单限制
                    if cid not in self.in_cancel:
                        self.in_cancel[cid] = self.local_time
                        new_signals[i] = signals[i]
            else:
                new_signals[i] = signals[i]
        ### 释放撤单限制
        self._release_in_cancel()
        return new_signals

    def _refresh_request_limit(self):
        if self.local_time - self.request_limit_check_time >= self.request_limit_check_interval:
            self._req_num_per_window = self.request_num
            self.request_num = 0
            self.request_order_num = 0
            self.request_limit_check_time = self.local_time

    def _pos_rate(self):
        '''获取持仓比例 0~1'''
        long_hold_rate = 0.0
        short_hold_rate = 0.0
        if self.max_long_value > 0.0:
            long_hold_rate = self.long_hold_value/self.max_long_value
        if self.max_short_value > 0.0:
            short_hold_rate = self.short_hold_value/self.max_short_value
        # print(long_hold_rate, short_hold_rate)
        self.long_hold_rate = long_hold_rate
        self.short_hold_rate = short_hold_rate

    def check_ready(self):
        '''检查准备'''
        pre_hot = 10
        if int(self.params.backtest):
            pre_hot = utils.BACKTEST_PREHOT_SECOND
        if self.ready != 1:
            if isinstance(self.mp, float) and self.local_time - self.local_start_time > pre_hot:
                self.ready = 1
                if self._is_print: print('预热完毕')
            return 1
        else:
            return 0

    def check_allow_post_open(self):
        '''
            检查是否允许报单
        '''
        ### 接近整点时刻 不允许报单 防止下单bug ###
        diff_time = self.local_time % 3600
        if diff_time < 30 or diff_time > 3570:
            return 0
        ########################################
        return 1

    def onExit(self, data):
        '''
            全撤全平 准备退出
        '''
        try:
            # 更新状态
            if self._update_data(data):
                # 检查是否准备充分
                if self.check_ready():
                    return dict()
                # 交易模式
                signals = self._close_all()
                # 更新撤单队列
                signals = self._update_in_cancel(signals)
                # 交易模式
                signals = self._check_request_limit(signals)
                # 统计请求频率
                self._update_request_num(signals)
                return signals
        except:
            traceback.print_exc()

    def onSleep(self, data):
        '''
            全撤 不再下新订单了 防止影响check_position执行
        '''
        try:
            # 更新状态
            if self._update_data(data):
                # 检查是否准备充分
                if self.check_ready():
                    return dict()
                # 交易模式
                signals = self._cancel_targit_side_orders()
                # 更新撤单队列
                signals = self._update_in_cancel(signals)
                # 交易模式
                signals = self._check_request_limit(signals)
                # 统计请求频率
                self._update_request_num(signals)
                return signals
        except:
            traceback.print_exc()

    # @utils.timeit
    def onTime(self, data):
        '''
            call on time 
        '''
        try:
            # 定时打印
            if self.local_time - self._print_time > self._print_interval:
                self._print_time = self.local_time
                if self._is_print: 
                    if self.ready:
                        pass
                    else:
                        self.logger.info("预热中")
            # 更新状态
            if self._update_data(data):
                # TODO 我吐了啊，准备不充分才执行下面的，准备充分是直接return
                # 检查是否准备充分
                if self.check_ready():
                    return dict()
                ###### 关键操作 ######
                # 更新挂单距离
                self._pos_rate()
                open_dist, close_dist = self.gen_dist(
                    open=self.trade_open_dist,
                    close=self.trade_close_dist, 
                    pos_rate=[self.long_hold_rate, self.short_hold_rate],
                    ref_bp=self.ref_bp,
                    ref_ap=self.ref_ap,
                    predict=self.predict,
                    grid=self.grid,
                    mode=self.maker_mode,
                )
                self.open_dist = \
                    [
                        utils.fix_price(open_dist[0], self.tickSize),
                        utils.fix_price(open_dist[1], self.tickSize),
                        utils.fix_price(open_dist[2], self.tickSize),
                        utils.fix_price(open_dist[3], self.tickSize),
                    ]
                self.close_dist = \
                    [
                        utils.fix_price(close_dist[0], self.tickSize),
                        utils.fix_price(close_dist[1], self.tickSize),
                        utils.fix_price(close_dist[2], self.tickSize),
                        utils.fix_price(close_dist[3], self.tickSize),
                    ]
                # 获取开平仓指令
                signals = dict()
                # 获取撤单信号
                signals.update(self._cancel_open())
                # 获取开仓信号 整点时刻前后不报单
                if self.check_allow_post_open():
                    # TODO 报单延迟检测
                    if self.local_time - self.post_open_time > self.post_open_interval:
                        self.post_open_time = self.local_time
                        # TODO 开仓指令获取
                        signals.update(self._post_open())
                # 获取平仓信号
                signals.update(self._post_close())
                # 每隔固定时间检查超时订单
                signals.update(self._check_local_orders())
                # 更新撤单队列
                signals = self._update_in_cancel(signals)
                # 限制频率
                signals = self._check_request_limit(signals)
                # 刷新频率限制
                self._refresh_request_limit()
                # 统计请求频率
                self._update_request_num(signals)
                ##########################
                return signals
        except:
            traceback.print_exc()
            if self._is_print:self.logger.error(traceback.format_exc())