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xmaker: update signal conditions to metrics
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b8abc065de
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371db8e7d1
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@ -63,15 +63,14 @@ func (s *BollingerBandTrendSignal) CalculateSignal(ctx context.Context) (float64
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lastDownBand := fixedpoint.NewFromFloat(s.indicator.DownBand.Last(0))
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lastUpBand := fixedpoint.NewFromFloat(s.indicator.UpBand.Last(0))
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// if the price is inside the band, do not vote
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if closePrice.Compare(lastDownBand) > 0 && closePrice.Compare(lastUpBand) < 0 {
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return 0.0, nil
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}
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maxBandWidth := s.indicator.StdDev.Last(0) * s.MaxBandWidth
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signal := 0.0
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if closePrice.Compare(lastDownBand) < 0 {
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// if the price is inside the band, do not vote
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if closePrice.Compare(lastDownBand) > 0 && closePrice.Compare(lastUpBand) < 0 {
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signal = 0.0
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} else if closePrice.Compare(lastDownBand) < 0 {
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signal = lastDownBand.Sub(closePrice).Float64() / maxBandWidth * -2.0
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} else if closePrice.Compare(lastUpBand) > 0 {
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signal = closePrice.Sub(lastUpBand).Float64() / maxBandWidth * 2.0
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@ -82,5 +81,7 @@ func (s *BollingerBandTrendSignal) CalculateSignal(ctx context.Context) (float64
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lastUpBand.Float64(),
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lastDownBand.Float64(),
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closePrice.Float64())
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bollingerBandSignalMetrics.WithLabelValues(s.symbol).Set(signal)
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return signal, nil
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}
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@ -45,17 +45,15 @@ func (s *OrderBookBestPriceVolumeSignal) CalculateSignal(ctx context.Context) (f
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return 0.0, nil
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}
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if bid.Volume.Compare(s.MinVolume) < 0 && ask.Volume.Compare(s.MinVolume) < 0 {
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return 0.0, nil
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}
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// TODO: may use scale to define this
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sumVol := bid.Volume.Add(ask.Volume)
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bidRatio := bid.Volume.Div(sumVol)
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askRatio := ask.Volume.Div(sumVol)
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denominator := fixedpoint.One.Sub(s.RatioThreshold)
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signal := 0.0
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if bidRatio.Compare(s.RatioThreshold) >= 0 {
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if bid.Volume.Compare(s.MinVolume) < 0 && ask.Volume.Compare(s.MinVolume) < 0 {
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signal = 0.0
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} else if bidRatio.Compare(s.RatioThreshold) >= 0 {
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numerator := bidRatio.Sub(s.RatioThreshold)
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signal = numerator.Div(denominator).Float64()
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} else if askRatio.Compare(s.RatioThreshold) >= 0 {
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