init

ent/fund_rate.go

@@ -0,0 +1,124 @@
+package ent
+
+import (
+	"fmt"
+	"github.com/banbox/banbot/btime"
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/exg"
+	"github.com/banbox/banbot/orm"
+	utils2 "github.com/banbox/banbot/utils"
+	"github.com/banbox/banexg"
+	"github.com/banbox/banexg/errs"
+	"github.com/banbox/banexg/utils"
+	"github.com/banbox/banstagy/com"
+	"math"
+	"path/filepath"
+	"sort"
+	"strconv"
+)
+
+/*
+永续合约资金费率结算后一段时间，如果资金费率<-0.0035，未来5分钟有较大概率下降
+*/
+
+type FRate struct {
+	Time int64
+	Data []*com.CodeVal
+}
+
+func runFundEnter() *errs.Error {
+	exgId := "binance"
+	exchange, err := exg.GetWith(exgId, banexg.MarketLinear, banexg.MarketSwap)
+	if err != nil {
+		return err
+	}
+	_, err = orm.LoadMarkets(exchange, false)
+	if err != nil {
+		return err
+	}
+	dumpDir := filepath.Join(config.GetDataDir(), "dump")
+	err_ := utils2.EnsureDir(dumpDir, 0755)
+	if err_ != nil {
+		return errs.New(errs.CodeIOWriteFail, err_)
+	}
+	dumpPath := filepath.Join(dumpDir, exgId+"_fundingRate.json")
+	his := make(map[string]map[int64]float64)
+	err_ = utils.ReadJsonFile(dumpPath, &his, utils.JsonNumDefault)
+	if err_ != nil {
+		return errs.New(errs.CodeIOReadFail, err_)
+	}
+	dates := make(map[int64]*FRate)
+	for code, timeMap := range his {
+		for dateMS, val := range timeMap {
+			sta, ok := dates[dateMS]
+			if !ok {
+				sta = &FRate{Time: dateMS}
+				dates[dateMS] = sta
+			}
+			sta.Data = append(sta.Data, &com.CodeVal{
+				Code: code,
+				Val:  val,
+			})
+		}
+	}
+	arr := make([]*FRate, 0, len(dates))
+	for _, it := range dates {
+		arr = append(arr, it)
+	}
+	sort.Slice(arr, func(i, j int) bool {
+		return arr[i].Time < arr[j].Time
+	})
+	// 按时间戳，对资金费率绝对值较大的，筛选K线并记录价格
+	rows := make([][]string, 0)
+	barNum := 20
+	backOff := 5
+	head := []string{"time", "code", "rate", "price"}
+	for i := 0; i < barNum; i++ {
+		sid := i - backOff
+		if sid >= 0 {
+			sid += 1
+		}
+		head = append(head, "p"+strconv.Itoa(sid))
+	}
+	rows = append(rows, head)
+	for _, dt := range arr {
+		sort.Slice(dt.Data, func(i, j int) bool {
+			return math.Abs(dt.Data[i].Val) > math.Abs(dt.Data[j].Val)
+		})
+		startMS := dt.Time - int64(backOff)*60000
+		for _, it := range dt.Data {
+			if math.Abs(it.Val) < 0.0005 {
+				break
+			}
+			exs, err := orm.GetExSymbol(exchange, it.Code)
+			if err != nil {
+				return err
+			}
+			_, bars, err := orm.GetOHLCV(exs, "1m", startMS, 0, barNum, false)
+			if err != nil {
+				return err
+			}
+			if len(bars) < barNum {
+				continue
+			}
+			row := make([]string, 0, 4+barNum)
+			initPrice := bars[backOff].Open
+			row = append(row, btime.ToDateStr(dt.Time, core.DefaultDateFmt), it.Code,
+				strconv.FormatFloat(it.Val, 'f', 6, 64),
+				fmt.Sprintf("%.4e", initPrice))
+			var pct float64
+			for i, b := range bars {
+				if i < backOff {
+					pct = (1 - b.Open/initPrice) * 100
+				} else {
+					pct = (b.Close/initPrice - 1) * 100
+				}
+				row = append(row, strconv.FormatFloat(pct, 'f', 4, 64))
+			}
+			rows = append(rows, row)
+		}
+	}
+	outPath := filepath.Join(dumpDir, exgId+"_fr.csv")
+	return utils2.WriteCsvFile(outPath, rows, false)
+}