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