112 lines
2.4 KiB
Go
112 lines
2.4 KiB
Go
package xmaker
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import (
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"context"
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"sync"
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"time"
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"github.com/prometheus/client_golang/prometheus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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var tradeVolumeWindowSignalMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_trade_volume_window_signal",
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Help: "",
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}, []string{"symbol"})
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func init() {
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prometheus.MustRegister(tradeVolumeWindowSignalMetrics)
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}
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type TradeVolumeWindowSignal struct {
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Threshold fixedpoint.Value `json:"threshold"`
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Window types.Duration `json:"window"`
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trades []types.Trade
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symbol string
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mu sync.Mutex
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}
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func (s *TradeVolumeWindowSignal) handleTrade(trade types.Trade) {
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s.mu.Lock()
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s.trades = append(s.trades, trade)
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s.mu.Unlock()
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}
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func (s *TradeVolumeWindowSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
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s.symbol = symbol
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if s.Window == 0 {
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s.Window = types.Duration(time.Minute)
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}
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if s.Threshold.IsZero() {
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s.Threshold = fixedpoint.NewFromFloat(0.7)
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}
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session.MarketDataStream.OnMarketTrade(s.handleTrade)
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return nil
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}
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func (s *TradeVolumeWindowSignal) filterTrades(now time.Time) []types.Trade {
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startTime := now.Add(-time.Duration(s.Window))
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startIdx := 0
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s.mu.Lock()
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defer s.mu.Unlock()
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for idx, td := range s.trades {
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// skip trades before the start time
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if td.Time.Before(startTime) {
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continue
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}
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startIdx = idx
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break
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}
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trades := s.trades[startIdx:]
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s.trades = trades
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return trades
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}
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func (s *TradeVolumeWindowSignal) aggTradeVolume(trades []types.Trade) (buyVolume, sellVolume float64) {
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for _, td := range trades {
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if td.IsBuyer {
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buyVolume += td.Quantity.Float64()
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} else {
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sellVolume += td.Quantity.Float64()
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}
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}
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return buyVolume, sellVolume
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}
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func (s *TradeVolumeWindowSignal) CalculateSignal(_ context.Context) (float64, error) {
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now := time.Now()
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trades := s.filterTrades(now)
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buyVolume, sellVolume := s.aggTradeVolume(trades)
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totalVolume := buyVolume + sellVolume
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threshold := s.Threshold.Float64()
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buyRatio := buyVolume / totalVolume
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sellRatio := sellVolume / totalVolume
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sig := 0.0
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if buyRatio > threshold {
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sig = (buyRatio - threshold) / 2.0
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} else if sellRatio > threshold {
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sig = -(sellRatio - threshold) / 2.0
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}
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log.Infof("[TradeVolumeWindowSignal] %f buy/sell = %f/%f", sig, buyVolume, sellVolume)
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tradeVolumeWindowSignalMetrics.WithLabelValues(s.symbol).Set(sig)
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return sig, nil
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}
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