272 lines
7.6 KiB
Go
272 lines
7.6 KiB
Go
package arb
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import (
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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/strat"
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"github.com/banbox/banexg/log"
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"github.com/banbox/banexg/utils"
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ta "github.com/banbox/banta"
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"go.uber.org/zap"
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"maps"
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"math"
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"math/rand"
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"path/filepath"
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)
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func init() {
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strat.AddStratGroup("arb", map[string]strat.FuncMakeStrat{
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"gp": ArbGroupJob,
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})
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}
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/*
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strengths widRatios
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rate: 0 -0.002491 0.859934
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rate: 14234 -0.000915 0.946673
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rate: 28468 -0.000089 0.997275
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rate: 42702 0.000818 1.048731
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rate: 56936 0.002571 1.166192
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rate: 71170 0.007989 1.619902
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*/
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func ArbGroupJob(pol *config.RunPolicyConfig) *strat.TradeStrat {
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lenFast := 6
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lenSlow := 20
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lenMid := 96
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lenStd := 96
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bollWid := 0.0043
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lastSplitMS := int64(0)
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tfMSecs := int64(60000)
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dayMS := int64(utils.TFToSecs("1d") * 1000)
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env, _ := ta.NewBarEnv(core.ExgName, core.Market, "", "1m")
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var rate *ta.Series
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groups := make(map[*strat.StratJob]float64)
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hits := make(map[string]float64)
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warmNum := 120
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var widths []float64
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var maxRate float64
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var position float64
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var posTag string
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var rates []*TimeFlt
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dumpDir := filepath.Join(config.GetDataDir(), "dump")
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return &strat.TradeStrat{
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WarmupNum: warmNum,
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RunTimeFrames: []string{"1m"},
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BatchInOut: true,
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OnBar: func(s *strat.StratJob) {
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},
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OnBatchJobs: func(jobs []*strat.StratJob) {
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var curMS int64
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newNum := 0
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hitDup := maps.Clone(hits)
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for _, j := range jobs {
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curMS = max(curMS, j.Env.TimeStop)
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if _, ok := hitDup[j.Symbol.Symbol]; ok {
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delete(hitDup, j.Symbol.Symbol)
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} else {
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newNum += 1
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}
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}
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alignDayMS := utils.AlignTfMSecs(curMS, dayMS)
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if alignDayMS > lastSplitMS || newNum > 0 || len(hitDup) > 0 {
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// 每天刷新品种分组
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for j := range groups {
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j.CloseOrders(&strat.ExitReq{Tag: "switch", Log: true})
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}
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offsetMS := alignDayMS - dayMS
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dateStr := btime.ToDateStr(offsetMS, "20060102")
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dumpPath := filepath.Join(dumpDir, dateStr+".html")
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if len(rates) > 1000 {
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log.Info("try dump rates", zap.String("date", dateStr), zap.Int("num", len(rates)))
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err := dumpRateChart(rates, "1m", dumpPath, dateStr)
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if err != nil {
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log.Error("dumpRateChart fail", zap.Error(err))
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}
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}
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rates = nil
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rand.Shuffle(len(jobs), func(i, j int) {
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jobs[i], jobs[j] = jobs[j], jobs[i]
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})
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env.Reset()
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rate = env.NewSeries(nil)
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groups = make(map[*strat.StratJob]float64)
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hits = make(map[string]float64)
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for i, j := range jobs {
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if i%2 == 0 {
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groups[j] = -1
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} else {
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groups[j] = 1
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}
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hits[j.Symbol.Symbol] = j.Env.Close.Get(lenMid)
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}
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env.TimeStop = curMS - int64(lenMid)*tfMSecs
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env.TimeStart = env.TimeStop - tfMSecs
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for i := warmNum; i >= 0; i-- {
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var price1, price2 float64
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var num1, num2 float64
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for j, tag := range groups {
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base := hits[j.Symbol.Symbol]
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ratec := j.Env.Close.Get(i) / base
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if tag < 0 {
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price1 += ratec
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num1 += 1
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} else {
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price2 += ratec
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num2 += 1
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}
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}
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price1 /= num1
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price2 /= num2
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env.TimeStart += tfMSecs
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env.TimeStop += tfMSecs
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rate.Append(price1 / price2)
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_ = ta.EMA(rate, lenFast)
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_ = ta.EMA(rate, lenSlow)
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maMid := ta.EMA(rate, lenMid).Get(0)
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dev := ta.StdDev(rate, lenStd)
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stdDev := ta.SMA(dev, lenStd).Get(0) * 1.7
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bollWidAvg := bollWid*maMid*0.5 + stdDev*0.5
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widths = append(widths, bollWidAvg)
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}
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lastSplitMS = alignDayMS
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}
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var price1, price2 float64
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var num1, num2 float64
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for j, tag := range groups {
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base := hits[j.Symbol.Symbol]
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ratec := j.Env.Close.Get(0) / base
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if tag < 0 {
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price1 += ratec
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num1 += 1
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} else {
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price2 += ratec
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num2 += 1
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}
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}
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price1 /= num1
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price2 /= num2
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curRate := price1 / price2
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env.TimeStart += tfMSecs
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env.TimeStop += tfMSecs
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rate.Append(curRate)
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rates = append(rates, &TimeFlt{
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Stamp: curMS,
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Val: curRate,
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})
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maFast := ta.EMA(rate, lenFast)
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maSlow := ta.EMA(rate, lenSlow) //66
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maMidS := ta.EMA(rate, lenMid)
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maMid := maMidS.Get(0)
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dev := ta.StdDev(rate, lenStd)
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stdDev := ta.SMA(dev, lenStd).Get(0) * 1.7
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bollWidAvg := bollWid*maMid*0.5 + stdDev*0.5
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widths = append(widths, bollWidAvg)
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zScore := (curRate - maMid) / bollWidAvg
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strength := maMid/maMidS.Get(warmNum) - 1
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widDelta := bollWidAvg - widths[len(widths)-60]
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widRatio := bollWidAvg / widths[len(widths)-warmNum]
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fastXSlow := maFast.Cross(maSlow)
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fastXMid := maFast.Cross(maMidS)
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absStrength := math.Abs(strength)
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mkt := ""
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if absStrength > 0.01 || math.Abs(zScore) > 4 {
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// D: 结构性跳变，暂停交易
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mkt = "D"
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} else if widRatio > 1.5 && widDelta > 0 || bollWidAvg >= 0.008 {
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// C: 高波动突破
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mkt = "C"
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} else if absStrength >= 0.003 || widRatio > 1.3 && widDelta > 0 {
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// B: 趋势市场
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mkt = "B"
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} else if absStrength < 0.002 && widRatio < 1.2 && widDelta <= 0 {
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// A: 低波动区间
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mkt = "A"
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} else {
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//if absStrength >= 0.001 && absStrength < 0.002 && widRatio < 1.3
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// E: 低频弱趋势，中性，混合策略
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mkt = "E"
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}
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dirt := -1.0
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if strength > 0 {
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dirt = 1
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}
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if math.Abs(zScore) > maxRate*dirt {
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maxRate = zScore
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}
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allow1, allow2 := false, false
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if mkt == "A" {
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allow1 = true
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} else if mkt == "B" || mkt == "C" {
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// B明显趋势 或 C波动扩大方向明确
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allow2 = true
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} else if mkt == "E" {
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allow1, allow2 = true, true
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}
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openDirt := 0.0
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openTag := ""
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dateStr := btime.ToDateStr(curMS, core.DefaultDateFmt)
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if allow1 {
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expPft := math.Abs(curRate - maMid)
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if math.Abs(maxRate) >= 1.5 && expPft > 0.002 && float64(fastXSlow)*dirt == -1 {
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openDirt = -dirt
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openTag = "rev"
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log.Info("open rev", zap.String("date", dateStr), zap.Float64("z", zScore),
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zap.Float64("width", bollWidAvg), zap.Float64("widDelta", widDelta))
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}
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}
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if allow2 && float64(fastXMid)*dirt == 1 {
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if absStrength >= 0.003 || widRatio > 1.3 && widDelta > 0 {
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openDirt = dirt
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openTag = "follow"
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log.Info("open trend", zap.String("date", dateStr), zap.Float64("z", zScore),
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zap.Float64("width", bollWidAvg), zap.Float64("widDelta", widDelta),
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zap.Float64("strength", strength), zap.Float64("widRatio", widRatio))
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}
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}
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if position != openDirt && openDirt != 0 {
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if position != 0 {
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log.Info("close pos", zap.String("date", dateStr), zap.String("tag", "reverse"), zap.Float64("dirt", position))
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for j := range groups {
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j.CloseOrders(&strat.ExitReq{Tag: "reverse"})
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}
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}
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for j, tag := range groups {
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j.OpenOrder(&strat.EnterReq{
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Tag: openTag,
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Short: tag != openDirt,
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})
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}
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log.Info("open pos", zap.String("date", dateStr), zap.String("tag", openTag), zap.Float64("dirt", openDirt))
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position = openDirt
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posTag = openTag
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} else if position != 0 {
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exitTag := ""
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if posTag == "rev" {
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if position*dirt > 0 {
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exitTag = "tpRev"
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} else if math.Abs(zScore) >= 3 {
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exitTag = "slRev"
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}
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} else if posTag == "follow" {
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if position*dirt < 0 && (math.Abs(zScore) > 0.5 || widDelta < 0) {
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exitTag = "slFol"
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} else if position*dirt > 0 && math.Abs(zScore) >= 1 {
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exitTag = "tpFol"
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}
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}
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if exitTag != "" {
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log.Info("close pos", zap.String("date", dateStr), zap.String("tag", exitTag), zap.Float64("dirt", position))
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position = 0
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posTag = ""
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for j := range groups {
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j.CloseOrders(&strat.ExitReq{Tag: exitTag})
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}
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}
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}
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},
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}
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}
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