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xmaker: update signal conditions to metrics

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c9s 2024-08-30 17:18:29 +08:00
parent b8abc065de
commit 371db8e7d1
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2 changed files with 10 additions and 11 deletions
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13
pkg/strategy/xmaker/signal_boll.go
View File

@ -63,15 +63,14 @@ func (s *BollingerBandTrendSignal) CalculateSignal(ctx context.Context) (float64
lastDownBand := fixedpoint.NewFromFloat(s.indicator.DownBand.Last(0)) lastDownBand := fixedpoint.NewFromFloat(s.indicator.DownBand.Last(0))
lastUpBand := fixedpoint.NewFromFloat(s.indicator.UpBand.Last(0)) lastUpBand := fixedpoint.NewFromFloat(s.indicator.UpBand.Last(0))
// if the price is inside the band, do not vote
if closePrice.Compare(lastDownBand) > 0 && closePrice.Compare(lastUpBand) < 0 {
return 0.0, nil
}
maxBandWidth := s.indicator.StdDev.Last(0) * s.MaxBandWidth maxBandWidth := s.indicator.StdDev.Last(0) * s.MaxBandWidth
signal := 0.0 signal := 0.0
if closePrice.Compare(lastDownBand) < 0 {
// if the price is inside the band, do not vote
if closePrice.Compare(lastDownBand) > 0 && closePrice.Compare(lastUpBand) < 0 {
signal = 0.0
} else if closePrice.Compare(lastDownBand) < 0 {
signal = lastDownBand.Sub(closePrice).Float64() / maxBandWidth * -2.0 signal = lastDownBand.Sub(closePrice).Float64() / maxBandWidth * -2.0
} else if closePrice.Compare(lastUpBand) > 0 { } else if closePrice.Compare(lastUpBand) > 0 {
signal = closePrice.Sub(lastUpBand).Float64() / maxBandWidth * 2.0 signal = closePrice.Sub(lastUpBand).Float64() / maxBandWidth * 2.0
@ -82,5 +81,7 @@ func (s *BollingerBandTrendSignal) CalculateSignal(ctx context.Context) (float64
lastUpBand.Float64(), lastUpBand.Float64(),
lastDownBand.Float64(), lastDownBand.Float64(),
closePrice.Float64()) closePrice.Float64())
bollingerBandSignalMetrics.WithLabelValues(s.symbol).Set(signal)
return signal, nil return signal, nil
} }

8
pkg/strategy/xmaker/signal_book.go
View File

@ -45,17 +45,15 @@ func (s *OrderBookBestPriceVolumeSignal) CalculateSignal(ctx context.Context) (f
return 0.0, nil return 0.0, nil
} }
if bid.Volume.Compare(s.MinVolume) < 0 && ask.Volume.Compare(s.MinVolume) < 0 {
return 0.0, nil
}
// TODO: may use scale to define this // TODO: may use scale to define this
sumVol := bid.Volume.Add(ask.Volume) sumVol := bid.Volume.Add(ask.Volume)
bidRatio := bid.Volume.Div(sumVol) bidRatio := bid.Volume.Div(sumVol)
askRatio := ask.Volume.Div(sumVol) askRatio := ask.Volume.Div(sumVol)
denominator := fixedpoint.One.Sub(s.RatioThreshold) denominator := fixedpoint.One.Sub(s.RatioThreshold)
signal := 0.0 signal := 0.0
if bidRatio.Compare(s.RatioThreshold) >= 0 { if bid.Volume.Compare(s.MinVolume) < 0 && ask.Volume.Compare(s.MinVolume) < 0 {
signal = 0.0
} else if bidRatio.Compare(s.RatioThreshold) >= 0 {
numerator := bidRatio.Sub(s.RatioThreshold) numerator := bidRatio.Sub(s.RatioThreshold)
signal = numerator.Div(denominator).Float64() signal = numerator.Div(denominator).Float64()
} else if askRatio.Compare(s.RatioThreshold) >= 0 { } else if askRatio.Compare(s.RatioThreshold) >= 0 {