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audacity: stddev outlier func & all order change to maker

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This commit is contained in:
austin362667 2022-09-06 17:03:36 +08:00 committed by Austin Liu
parent 43a3e21a7b
commit 713ead669e
1 changed files with 15 additions and 10 deletions
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25
pkg/strategy/audacitymaker/pertrade.go
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@ -2,11 +2,14 @@ package audacitymaker
import (
"context"
"math"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"math"
"gonum.org/v1/gonum/stat"
)
type PerTrade struct {
@ -105,13 +108,14 @@ func (s *PerTrade) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
}
if orderFlowSizeMinMaxArcCos.Length() > 100 && orderFlowNumberMinMaxArcCos.Length() > 100 {
if outlier(orderFlowSizeMinMaxArcCos.Tail(100), 0.2) > 0 && outlier(orderFlowNumberMinMaxArcCos.Tail(100), 0.2) > 0 {
bid, ask, _ := s.StreamBook.BestBidAndAsk()
if outlier(orderFlowSizeMinMaxArcCos.Tail(100), 2) > 0 && outlier(orderFlowNumberMinMaxArcCos.Tail(100), 2) > 0 {
log.Infof("long!!")
_ = s.placeTrade(ctx, types.SideTypeBuy, s.Quantity, symbol)
_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, bid.Price, symbol)
_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, trade.Price.Mul(fixedpoint.NewFromFloat(1.0005)), symbol)
} else if outlier(orderFlowSizeMinMaxArcCos.Tail(100), 0.2) < 0 && outlier(orderFlowNumberMinMaxArcCos.Tail(100), 0.2) < 0 {
} else if outlier(orderFlowSizeMinMaxArcCos.Tail(100), 2) < 0 && outlier(orderFlowNumberMinMaxArcCos.Tail(100), 2) < 0 {
log.Infof("short!!")
_ = s.placeTrade(ctx, types.SideTypeSell, s.Quantity, symbol)
_ = s.placeOrder(ctx, types.SideTypeSell, s.Quantity, ask.Price, symbol)
_ = s.placeOrder(ctx, types.SideTypeBuy, s.Quantity, trade.Price.Mul(fixedpoint.NewFromFloat(0.9995)), symbol)
}
}
@ -139,7 +143,7 @@ func (s *PerTrade) placeOrder(ctx context.Context, side types.SideType, quantity
Type: types.OrderTypeLimitMaker,
Quantity: quantity,
Price: price,
Tag: "ktrade-limit",
Tag: "audacity-limit",
})
return err
}
@ -152,15 +156,16 @@ func (s *PerTrade) placeTrade(ctx context.Context, side types.SideType, quantity
Side: side,
Type: types.OrderTypeMarket,
Quantity: quantity,
Tag: "ktrade-market",
Tag: "audacity-market",
})
return err
}
func outlier(fs floats.Slice, threshold float64) int {
if fs.Last() > fs.Mean()*(1+threshold) {
func outlier(fs floats.Slice, multiplier float64) int {
stddev := stat.StdDev(fs, nil)
if fs.Last() > fs.Mean()+multiplier*stddev {
return 1
} else if fs.Last() < fs.Mean()*(1-threshold) {
} else if fs.Last() < fs.Mean()-multiplier*stddev {
return -1
}
return 0