init

arb/stat_group.go

@@ -0,0 +1,52 @@
+package arb
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/exg"
+	"github.com/banbox/banbot/orm"
+	"github.com/banbox/banexg"
+	"github.com/banbox/banexg/errs"
+	"github.com/banbox/banexg/log"
+	"go.uber.org/zap"
+	"sort"
+)
+
+func StatGroupPairs() *errs.Error {
+	exgId := "binance"
+	endMS := config.TimeRange.EndMS
+	// 生成待订阅标的列表
+	exsMap := orm.GetExSymbols(exgId, banexg.MarketLinear)
+	limit := 720
+	exsList, barList, _, err := getExsBars(exg.Default, exsMap, "1h", 0, endMS, limit)
+	if err != nil {
+		return err
+	}
+	arr := make([]*core.StrFloat, 0, len(exsList))
+	for i, exs := range exsList {
+		var sumVal float64
+		bars := barList[i]
+		if float64(len(bars)) < float64(limit)*0.9 {
+			continue
+		}
+		for _, b := range bars {
+			sumVal += b.Volume * b.Close
+		}
+		arr = append(arr, &core.StrFloat{
+			Str: exs.Symbol,
+			Val: sumVal,
+		})
+	}
+	// 按成交量降序，取前30%
+	sort.Slice(arr, func(i, j int) bool {
+		return arr[i].Val > arr[j].Val
+	})
+	cutNum := int(float64(len(arr)) * 0.2)
+	cutPairs := make([]string, 0, cutNum)
+	for i := 0; i < cutNum; i++ {
+		base, _, _, _ := core.SplitSymbol(arr[i].Str)
+		cutPairs = append(cutPairs, base)
+	}
+	log.Info("cut 20% of pairs", zap.Int("num", cutNum), zap.Int("total", len(arr)), zap.Strings("items", cutPairs))
+	return nil
+}