banstagy/ent/max_vol.go

package ent

import (
	"github.com/banbox/banbot/biz"
	"github.com/banbox/banbot/btime"
	"github.com/banbox/banbot/config"
	"github.com/banbox/banbot/core"
	"github.com/banbox/banbot/orm"
	"github.com/banbox/banbot/utils"
	"github.com/banbox/banexg"
	"github.com/banbox/banexg/errs"
	"github.com/banbox/banstagy/com"
	"math"
	"path/filepath"
	"sort"
	"strconv"
)

type volSta struct {
	code      string
	longVol   *com.Ema
	shortVol  *com.Ema
	longRate  float64
	shortRate float64
	weight    float64
	price     float64
	nexts     []*orm.InfoKline
	num       int
}

func maxVolTest() *errs.Error {
	exgId := "binance"
	tf := "1h"
	maAlpha := 0.03
	viewNextNum := 3
	exsMap := orm.GetExSymbols(exgId, banexg.MarketLinear)
	exsList := make([]*orm.ExSymbol, 0, len(exsMap))
	envs := make(map[string]*volSta)
	envList := make([]*volSta, 0, len(exsMap))
	for _, exs := range exsMap {
		_, quote, _, _ := core.SplitSymbol(exs.Symbol)
		if quote != "USDT" {
			continue
		}
		exsList = append(exsList, exs)
		env := &volSta{
			code:     exs.Symbol,
			longVol:  com.NewEMA(maAlpha),
			shortVol: com.NewEMA(maAlpha),
		}
		envs[exs.Symbol] = env
		envList = append(envList, env)
	}
	barNum := 0
	barTimeMS := int64(0)
	updateWeights := func() {
		total := float64(0)
		for _, e := range envs {
			total += e.longVol.Val + e.shortVol.Val
		}
		if math.IsNaN(total) {
			return
		}
		for _, e := range envs {
			wei := (e.longVol.Val + e.shortVol.Val) / total
			e.weight = math.Pow(wei, 0.5)
		}
	}
	var rows [][]string
	var head = []string{"time", "code", "longRt", "shortRt"}
	for i := 0; i < viewNextNum; i++ {
		head = append(head, "p"+strconv.Itoa(i+1))
	}
	rows = append(rows, head)
	checkBatch := func() {
		sort.Slice(envList, func(i, j int) bool {
			return envList[i].longRate > envList[j].shortRate
		})
		for i := 0; i < 3; i++ {
			e := envList[i]
			row := []string{
				btime.ToDateStr(barTimeMS, core.DefaultDateFmt),
				e.code,
				strconv.FormatFloat(e.longRate, 'f', 3, 64),
				strconv.FormatFloat(e.shortRate, 'f', 3, 64),
			}
			for j := 0; j < viewNextNum; j++ {
				rate := (e.nexts[j].Close/e.price - 1) * 100
				row = append(row, strconv.FormatFloat(rate, 'f', 2, 64))
			}
			rows = append(rows, row)
		}
	}
	totalSecs := (config.TimeRange.EndMS - config.TimeRange.StartMS) / 1000
	pbar := utils.NewPrgBar(int(totalSecs), "Run")
	defer pbar.Close()
	onBar := func(b *orm.InfoKline, nexts []*orm.InfoKline) {
		if b.Time > barTimeMS {
			if !b.IsWarmUp && barTimeMS > 0 {
				pbar.Add(int((b.Time - barTimeMS) / 1000))
			}
			barNum += 1
			barTimeMS = b.Time
			if barNum%20 == 1 {
				// 每隔20个bar，更新全局权重
				updateWeights()
			}
			if !b.IsWarmUp && barNum%5 == 0 {
				// 每隔5个bar，计算一次变化
				checkBatch()
			}
		}
		sta := envs[b.Symbol]
		sta.num += 1
		lineTot := (b.High - b.Low) - math.Abs(b.Open-b.Close)
		total := (b.High - b.Low) + lineTot + core.AmtDust
		longTot := lineTot
		if b.Open < b.Close {
			longTot += math.Abs(b.Open - b.Close)
		}
		avgPrice := (b.High + b.Low + b.Close) / 3
		quoteVol := avgPrice * b.Volume
		longRt := longTot / total
		longVol := quoteVol * longRt
		shortVol := quoteVol - longVol
		sta.longVol.Update(longVol)
		sta.shortVol.Update(shortVol)
		if b.IsWarmUp {
			return
		}
		// 暂时不考虑多空直接比例
		sta.longRate = longVol / sta.longVol.Val * sta.weight * math.Pow(longRt, 2)
		sta.shortRate = shortVol / sta.shortVol.Val * sta.weight * math.Pow(1-longRt, 2)
		sta.nexts = nexts
		sta.price = b.Close
	}
	var replayErr *errs.Error
	verCh := make(chan int, 1)
	onData := func(evt *orm.DataSeries, nexts []*orm.DataSeries) {
		bar, err_ := orm.AsKline(evt)
		if err_ != nil {
			replayErr = errs.New(errs.CodeRunTime, err_)
			select {
			case verCh <- -1:
			default:
			}
			return
		}
		futureBars := make([]*orm.InfoKline, 0, len(nexts))
		for _, next := range nexts {
			futureBar, convErr := orm.AsKline(next)
			if convErr != nil {
				replayErr = errs.New(errs.CodeRunTime, convErr)
				select {
				case verCh <- -1:
				default:
				}
				return
			}
			futureBars = append(futureBars, futureBar)
		}
		onBar(bar, futureBars)
	}
	err := biz.RunHistSeries(&biz.RunHistSeriesArgs{
		ExsList:     exsList,
		Start:       config.TimeRange.StartMS,
		End:         config.TimeRange.EndMS,
		ViewNextNum: viewNextNum,
		TfWarms:     map[string]int{tf: 100},
		VerCh:       verCh,
		OnData:      onData,
	})
	if err == nil && replayErr != nil {
		err = replayErr
	}
	outPath := filepath.Join(config.GetDataDir(), "dump", "moneyFlow.csv")
	err2 := utils.WriteCsvFile(outPath, rows, false)
	if err == nil {
		err = err2
	}
	return err
}