init
This commit is contained in:
203
arb/stat_showTwo.go
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203
arb/stat_showTwo.go
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@@ -0,0 +1,203 @@
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package arb
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import (
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_ "embed"
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"github.com/banbox/banbot/btime"
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/core"
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"github.com/banbox/banbot/exg"
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"github.com/banbox/banbot/opt"
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"github.com/banbox/banbot/orm"
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"github.com/banbox/banexg"
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"github.com/banbox/banexg/errs"
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"github.com/banbox/banexg/utils"
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"github.com/banbox/banta"
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"math"
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"strings"
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)
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func GenTwoPairRatio() *errs.Error {
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//LineExamples()
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//return nil
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//groups := []string{"1000PEPE/USDT:USDT", "1000BONK/USDT:USDT"}
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groups := []string{
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"LPT,ATH,MOODENG,RNDR,APT,TRUMP,DOT,HYPE,BAKE,SPX,BOME,TUT,PUMP,BERA,OG,EOS,MERL,TAO,NMR,FET,TIA,FHE,ZORA,LINK,POL,TRX,1000PEPE,ETHFI,PROVE,TREE",
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"RED,SUI,VIRTUAL,NEIRO,GALA,TON,PAXG,XNY,CRV,NAORIS,XRP,NEAR,AVAX,ETC,XLM,MATIC,AAVE,SEI,1000SHIB,DAM,SPK,MEME,OP,FIL,KAITO,FARTCOIN,EIGEN,BCH,IP,XPL",
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}
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//startMS := config.TimeRange.StartMS
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endMS, _ := btime.ParseTimeMS("20250921")
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tf := "15m"
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core.Market = "linear"
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tfMSecs := int64(utils.TFToSecs(tf) * 1000)
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barLimit := 30000
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startMS := endMS - tfMSecs*int64(barLimit)
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barsArr := make([][]*TimeFlt, 0, len(groups))
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allPairs := strings.Split(strings.Join(groups, ","), ",")
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allPairs, err := config.ParsePairs(allPairs...)
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if err != nil {
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return err
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}
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exsMap := make(map[int32]*orm.ExSymbol)
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for _, pair := range allPairs {
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exs, err := orm.GetExSymbolCur(pair)
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if err != nil {
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return err
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}
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exsMap[exs.ID] = exs
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}
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err = orm.BulkDownOHLCV(exg.Default, exsMap, tf, startMS, endMS, 0, nil)
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if err != nil {
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return err
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}
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for _, group := range groups {
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pairs := strings.Split(group, ",")
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prices, err := GetGroupPrices(pairs, tf, startMS, endMS)
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if err != nil {
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return err
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}
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barsArr = append(barsArr, prices)
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}
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rateArr := make([]*TimeFlt, len(barsArr[0]))
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for i, va := range barsArr[0] {
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rateArr[i] = &TimeFlt{
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Stamp: va.Stamp,
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Val: va.Val / barsArr[1][i].Val,
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}
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}
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path := "D:/ratios.html"
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title := "price ratio"
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return dumpRateChart(rateArr, tf, path, title)
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}
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// GetGroupPrices 计算分组内多个品种的平均价格
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func GetGroupPrices(pairs []string, tf string, startMS, endMS int64) ([]*TimeFlt, *errs.Error) {
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var groupBar [][]*banexg.Kline
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pairs, err := config.ParsePairs(pairs...)
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if err != nil {
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return nil, err
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}
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tfMSecs := int64(utils.TFToSecs(tf) * 1000)
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barLimit := (endMS - startMS) / tfMSecs
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for _, pair := range pairs {
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exs, err := orm.GetExSymbolCur(pair)
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if err != nil {
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return nil, err
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}
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_, bars, err := orm.GetOHLCV(exs, tf, startMS, endMS, 0, false)
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if err != nil {
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return nil, err
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}
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if float64(len(bars)) > float64(barLimit)*0.8 {
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groupBar = append(groupBar, bars)
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}
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}
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// 对分组内品种计算价格归一化均值
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groupBar = getAlignBars(groupBar...)
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if len(groupBar) == 0 {
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return nil, errs.NewMsg(errs.CodeParamInvalid, "align bars fail for %v", pairs)
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}
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for _, gp := range groupBar {
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base := gp[0].Close
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gp[0].Close = 1
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for i := 1; i < len(gp); i++ {
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gp[i].Close /= base
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}
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}
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barNum := len(groupBar[0])
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bars := make([]*TimeFlt, 0, barNum)
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for j := 0; j < barNum; j++ {
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var sumVal float64
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for _, gp := range groupBar {
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sumVal += gp[j].Close
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}
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bars = append(bars, &TimeFlt{
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Stamp: groupBar[0][j].Time,
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Val: sumVal / float64(len(groupBar)),
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})
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}
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return bars, nil
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}
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type TimeFlt struct {
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Stamp int64
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Val float64
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}
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func dumpRateChart(rates []*TimeFlt, tf string, path, title string) *errs.Error {
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if len(rates) == 0 {
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return nil
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}
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var labels []string
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var arrRaw []float64
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var arrFast []float64
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var arrSlow []float64
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var arrMdMa []float64
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var arrBigMa []float64
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var arrBigUp []float64
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var arrBigDn []float64
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var arrHH, arrLL []float64
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bollWid := 0.0043
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showNum := 1440
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stepFlt := float64(len(rates)) / float64(showNum)
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stepSize := int(math.Round(stepFlt))
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tfMSecs := int64(utils.TFToSecs(tf) * 1000)
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lenFast := int(stepFlt * 5.77)
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lenSlow := int(stepFlt * 31.25)
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lenMid := int(stepFlt * 96.5)
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lenBig := int(stepFlt * 320.2)
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lenStd := int(stepFlt * 96.3)
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lenHL := int(stepFlt * 14.42)
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var idx = 0
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env, _ := banta.NewBarEnv(core.ExgName, core.Market, "", tf)
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env.TimeStart = rates[idx].Stamp
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env.TimeStop = rates[idx].Stamp + tfMSecs
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rate := env.NewSeries(nil)
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rowId := 0
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dateFmt := "01-02 15:04"
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for idx < len(rates) {
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item := rates[idx]
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env.TimeStart += tfMSecs
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env.TimeStop += tfMSecs
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env.BarNum += 1
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rowId += 1
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ratio := item.Val
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rate.Append(ratio)
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maFast := banta.EMA(rate, lenFast)
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maSlow := banta.EMA(rate, lenSlow) //66
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maMid := banta.EMA(rate, lenMid).Get(0)
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maBig := banta.EMA(rate, lenBig)
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dev := banta.StdDev(rate, lenStd)
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stdDev := banta.SMA(dev, lenStd).Get(0) * 1.7
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bollWidAvg := bollWid*maMid*0.5 + stdDev*0.5
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hh := banta.Highest(rate, lenHL).Get(0)
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ll := banta.Lowest(rate, lenHL).Get(0)
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bigVal := maBig.Get(0)
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if rowId%stepSize == 0 && !math.IsNaN(maMid) {
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labels = append(labels, btime.ToDateStr(item.Stamp, dateFmt))
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arrRaw = append(arrRaw, ratio)
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arrFast = append(arrFast, maFast.Get(0))
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arrSlow = append(arrSlow, maSlow.Get(0))
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arrMdMa = append(arrMdMa, maMid)
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arrBigMa = append(arrBigMa, bigVal)
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arrBigUp = append(arrBigUp, maMid+bollWidAvg)
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arrBigDn = append(arrBigDn, maMid-bollWidAvg)
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arrHH = append(arrHH, hh)
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arrLL = append(arrLL, ll)
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}
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idx += 1
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}
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return opt.DumpChart(path, title, labels, 5, nil, []*opt.ChartDs{
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{Label: "raw", Data: arrRaw},
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{Label: "ma5", Data: arrFast, Hidden: true},
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{Label: "ma10", Data: arrSlow, Hidden: true},
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{Label: "mid", Data: arrMdMa},
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{Label: "big", Data: arrBigMa, Hidden: true},
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{Label: "upp", Data: arrBigUp, Hidden: false},
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{Label: "dnn", Data: arrBigDn, Hidden: false},
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//{Label: "hh", Data: arrHH, Hidden: true},
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//{Label: "ll", Data: arrLL, Hidden: true},
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})
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}
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