init

2026-08-24 20:53:21 +08:00
commit 6e78bba16a
287 changed files with 32443 additions and 0 deletions
--- a/rpc_fea/aifea.go
+++ b/rpc_fea/aifea.go
@@ -0,0 +1,121 @@
+package rpc_fea
+
+import (
+	"github.com/banbox/banbot/biz"
+	"github.com/banbox/banbot/btime"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/orm"
+	"github.com/banbox/banexg"
+	"github.com/banbox/banexg/errs"
+	"github.com/banbox/banexg/log"
+	utils2 "github.com/banbox/banexg/utils"
+	"github.com/banbox/banta"
+	"go.uber.org/zap"
+	"gonum.org/v1/gonum/mat"
+	"math"
+)
+
+type AIFeaState struct {
+	cg          *banta.CGraph
+	cgBig       *banta.CGraph
+	matBig      [3]*mat.Dense
+	feasBig     *mat.Dense
+	rateBig     float64
+	avgCostBigs []float64 //大周期的成本价
+}
+
+func pubAiFea(exsList []*orm.ExSymbol, req *biz.SubReq, rsp biz.FeaFeeder_SubFeaturesServer) error {
+	var sample = int(req.Sample)
+	if sample <= 0 {
+		sample = 10
+	}
+	startDt := btime.ToDateStr(req.Start, core.DefaultDateFmt)
+	log.Info("start ai fea2", zap.Int("pair", len(exsList)), zap.String("start", startDt),
+		zap.Int("sample", sample))
+	var seqNum = 150 // 特征序列长度
+	var penNum = 120 // 笔矩阵长度
+	var depth = 100  // 笔矩阵深度：100个深度
+	tfSml, tfBig := "5m", "1h"
+	tfMSecs := int64(utils2.TFToSecs(tfSml) * 1000)
+	tfMSecsBig := int64(utils2.TFToSecs(tfBig) * 1000)
+
+	states := make(map[string]*AIFeaState)
+	for _, exs := range exsList {
+		states[exs.Symbol] = &AIFeaState{
+			cg:    &banta.CGraph{ParseLevel: banta.ParseLevelPen, MaxPen: penNum * 3 / 2},
+			cgBig: &banta.CGraph{ParseLevel: banta.ParseLevelPen, MaxPen: penNum * 3 / 2},
+		}
+	}
+
+	task := &GenFeaTask{
+		TfSml:      tfSml,
+		TfBig:      tfBig,
+		WarmSml:    3000,
+		WarmBig:    3000,
+		TfMSecs:    tfMSecs,
+		TfMSecsBig: tfMSecsBig,
+		NextObsNum: 30,
+	}
+
+	batch := NewBatchMap(len(exsList))
+
+	task.OnBar = func(e *banta.BarEnv, b *banexg.Kline, futs []*banexg.Kline) *errs.Error {
+		//if !core.IsWarmUp {
+		//	log.Info("OnBar", zap.Int64("time", e.TimeStop))
+		//}
+		state := states[e.Symbol]
+		state.cg.AddBar(e)
+		state.cg.Parse()
+		feas := onAiFeatures(e, seqNum)
+		if e.BarNum%sample > 0 || len(state.cg.Pens) < penNum || state.rateBig == 0 || len(futs) == 0 {
+			// 预热时futs为nil
+			return nil
+		}
+		// 收集特征，发送到监听端
+		minChgVal := banta.ATR(e.High, e.Low, e.Close, 30).Get(0) * 5
+		futProbs := genFutProbsV1(futs, minChgVal, 0.4)
+		mats, rate := GenFeaMats(state.cg, penNum, depth, false)
+		avgCosts := avgCostN(e, 10, 20, 40, 80, 160, 320)
+		info := make([]float64, 0, 25)
+		info = append(info, float64(b.Time/1000), b.Open, b.High, b.Low, b.Close, b.Volume,
+			math.Log1p(rate), math.Log1p(state.rateBig))
+		info = append(info, avgCosts...)
+		info = append(info, state.avgCostBigs...)
+		info = append(info, futProbs[0], futProbs[1], futProbs[2])
+		return batch.Add(rsp, e, b.Time, map[string]*biz.NumArr{
+			"time":  matToNumArr(mats[0]),
+			"buy":   matToNumArr(mats[1]),
+			"sell":  matToNumArr(mats[2]),
+			"feas":  matToNumArr(feas),
+			"time2": matToNumArr(state.matBig[0]),
+			"buy2":  matToNumArr(state.matBig[1]),
+			"sell2": matToNumArr(state.matBig[2]),
+			"feas2": matToNumArr(state.feasBig),
+			"info":  {Data: info, Shape: []int32{int32(len(info))}},
+		})
+	}
+	task.OnInfoBar = func(e *banta.BarEnv, b *banexg.Kline) *errs.Error {
+		//if !core.IsWarmUp {
+		//	log.Info("OnInfoBar", zap.Int64("time", e.TimeStop))
+		//}
+		state := states[e.Symbol]
+		state.cgBig.AddBar(e)
+		state.cgBig.Parse()
+		state.feasBig = onAiFeatures(e, seqNum)
+		state.avgCostBigs = avgCostN(e, 10, 20, 40, 80, 160, 320)
+		if len(state.cgBig.Pens) >= penNum {
+			state.matBig, state.rateBig = GenFeaMats(state.cgBig, penNum, depth, false)
+		}
+		return nil
+	}
+	task.OnEnvEnd = func(bar *banexg.PairTFKline, adj *orm.AdjInfo) {
+		if bar == nil {
+			return
+		}
+		state := states[bar.Symbol]
+		state.cg = &banta.CGraph{ParseLevel: banta.ParseLevelPen, MaxPen: penNum * 3 / 2}
+		state.cgBig = &banta.CGraph{ParseLevel: banta.ParseLevelPen, MaxPen: penNum * 3 / 2}
+		state.rateBig = 0
+	}
+	return pubFeaBase(exsList, req, task)
+}