banstagy/arb/stat_showTwo.go

package arb

import (
	_ "embed"
	"github.com/banbox/banbot/btime"
	"github.com/banbox/banbot/config"
	"github.com/banbox/banbot/core"
	"github.com/banbox/banbot/exg"
	"github.com/banbox/banbot/opt"
	"github.com/banbox/banbot/orm"
	"github.com/banbox/banexg"
	"github.com/banbox/banexg/errs"
	"github.com/banbox/banexg/utils"
	"github.com/banbox/banta"
	"math"
	"strings"
)

func GenTwoPairRatio() *errs.Error {
	//LineExamples()
	//return nil
	//groups := []string{"1000PEPE/USDT:USDT", "1000BONK/USDT:USDT"}
	groups := []string{
		"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",
		"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",
	}
	//startMS := config.TimeRange.StartMS
	endMS, _ := btime.ParseTimeMS("20250921")
	tf := "15m"
	core.Market = "linear"
	tfMSecs := int64(utils.TFToSecs(tf) * 1000)
	barLimit := 30000
	startMS := endMS - tfMSecs*int64(barLimit)
	barsArr := make([][]*TimeFlt, 0, len(groups))
	allPairs := strings.Split(strings.Join(groups, ","), ",")
	allPairs, err := config.ParsePairs(allPairs...)
	if err != nil {
		return err
	}
	exsMap := make(map[int32]*orm.ExSymbol)
	for _, pair := range allPairs {
		exs, err := orm.GetExSymbolCur(pair)
		if err != nil {
			return err
		}
		exsMap[exs.ID] = exs
	}
	err = orm.BulkDownOHLCV(exg.Default, exsMap, tf, startMS, endMS, 0, nil)
	if err != nil {
		return err
	}
	for _, group := range groups {
		pairs := strings.Split(group, ",")
		prices, err := GetGroupPrices(pairs, tf, startMS, endMS)
		if err != nil {
			return err
		}
		barsArr = append(barsArr, prices)
	}
	rateArr := make([]*TimeFlt, len(barsArr[0]))
	for i, va := range barsArr[0] {
		rateArr[i] = &TimeFlt{
			Stamp: va.Stamp,
			Val:   va.Val / barsArr[1][i].Val,
		}
	}
	path := "D:/ratios.html"
	title := "price ratio"
	return dumpRateChart(rateArr, tf, path, title)
}

// GetGroupPrices 计算分组内多个品种的平均价格
func GetGroupPrices(pairs []string, tf string, startMS, endMS int64) ([]*TimeFlt, *errs.Error) {
	var groupBar [][]*banexg.Kline
	pairs, err := config.ParsePairs(pairs...)
	if err != nil {
		return nil, err
	}
	tfMSecs := int64(utils.TFToSecs(tf) * 1000)
	barLimit := (endMS - startMS) / tfMSecs
	for _, pair := range pairs {
		exs, err := orm.GetExSymbolCur(pair)
		if err != nil {
			return nil, err
		}
		_, bars, err := orm.GetOHLCV(exs, tf, startMS, endMS, 0, false)
		if err != nil {
			return nil, err
		}
		if float64(len(bars)) > float64(barLimit)*0.8 {
			groupBar = append(groupBar, bars)
		}
	}
	// 对分组内品种计算价格归一化均值
	groupBar = getAlignBars(groupBar...)
	if len(groupBar) == 0 {
		return nil, errs.NewMsg(errs.CodeParamInvalid, "align bars fail for %v", pairs)
	}
	for _, gp := range groupBar {
		base := gp[0].Close
		gp[0].Close = 1
		for i := 1; i < len(gp); i++ {
			gp[i].Close /= base
		}
	}
	barNum := len(groupBar[0])
	bars := make([]*TimeFlt, 0, barNum)
	for j := 0; j < barNum; j++ {
		var sumVal float64
		for _, gp := range groupBar {
			sumVal += gp[j].Close
		}
		bars = append(bars, &TimeFlt{
			Stamp: groupBar[0][j].Time,
			Val:   sumVal / float64(len(groupBar)),
		})
	}
	return bars, nil
}

type TimeFlt struct {
	Stamp int64
	Val   float64
}

func dumpRateChart(rates []*TimeFlt, tf string, path, title string) *errs.Error {
	if len(rates) == 0 {
		return nil
	}
	var labels []string
	var arrRaw []float64
	var arrFast []float64
	var arrSlow []float64
	var arrMdMa []float64
	var arrBigMa []float64
	var arrBigUp []float64
	var arrBigDn []float64
	var arrHH, arrLL []float64

	bollWid := 0.0043
	showNum := 1440
	stepFlt := float64(len(rates)) / float64(showNum)
	stepSize := int(math.Round(stepFlt))
	tfMSecs := int64(utils.TFToSecs(tf) * 1000)

	lenFast := int(stepFlt * 5.77)
	lenSlow := int(stepFlt * 31.25)
	lenMid := int(stepFlt * 96.5)
	lenBig := int(stepFlt * 320.2)
	lenStd := int(stepFlt * 96.3)
	lenHL := int(stepFlt * 14.42)

	var idx = 0
	env, _ := banta.NewBarEnv(core.ExgName, core.Market, "", tf)
	env.TimeStart = rates[idx].Stamp
	env.TimeStop = rates[idx].Stamp + tfMSecs
	rate := env.NewSeries(nil)
	rowId := 0
	dateFmt := "01-02 15:04"
	for idx < len(rates) {
		item := rates[idx]
		env.TimeStart += tfMSecs
		env.TimeStop += tfMSecs
		env.BarNum += 1
		rowId += 1
		ratio := item.Val
		rate.Append(ratio)
		maFast := banta.EMA(rate, lenFast)
		maSlow := banta.EMA(rate, lenSlow) //66
		maMid := banta.EMA(rate, lenMid).Get(0)
		maBig := banta.EMA(rate, lenBig)
		dev := banta.StdDev(rate, lenStd)
		stdDev := banta.SMA(dev, lenStd).Get(0) * 1.7
		bollWidAvg := bollWid*maMid*0.5 + stdDev*0.5
		hh := banta.Highest(rate, lenHL).Get(0)
		ll := banta.Lowest(rate, lenHL).Get(0)
		bigVal := maBig.Get(0)
		if rowId%stepSize == 0 && !math.IsNaN(maMid) {
			labels = append(labels, btime.ToDateStr(item.Stamp, dateFmt))
			arrRaw = append(arrRaw, ratio)
			arrFast = append(arrFast, maFast.Get(0))
			arrSlow = append(arrSlow, maSlow.Get(0))
			arrMdMa = append(arrMdMa, maMid)
			arrBigMa = append(arrBigMa, bigVal)
			arrBigUp = append(arrBigUp, maMid+bollWidAvg)
			arrBigDn = append(arrBigDn, maMid-bollWidAvg)
			arrHH = append(arrHH, hh)
			arrLL = append(arrLL, ll)
		}
		idx += 1
	}
	return opt.DumpChart(path, title, labels, 5, nil, []*opt.ChartDs{
		{Label: "raw", Data: arrRaw},
		{Label: "ma5", Data: arrFast, Hidden: true},
		{Label: "ma10", Data: arrSlow, Hidden: true},
		{Label: "mid", Data: arrMdMa},
		{Label: "big", Data: arrBigMa, Hidden: true},
		{Label: "upp", Data: arrBigUp, Hidden: false},
		{Label: "dnn", Data: arrBigDn, Hidden: false},
		//{Label: "hh", Data: arrHH, Hidden: true},
		//{Label: "ll", Data: arrLL, Hidden: true},
	})
}