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audacity: stddev outlier func & all order change to maker

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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 ( import (
"context" "context"
"math"
"github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
"math"
"gonum.org/v1/gonum/stat"
) )
type PerTrade struct { 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 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!!") 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) _ = 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!!") 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) _ = 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, Type: types.OrderTypeLimitMaker,
Quantity: quantity, Quantity: quantity,
Price: price, Price: price,
Tag: "ktrade-limit", Tag: "audacity-limit",
}) })
return err return err
} }
@ -152,15 +156,16 @@ func (s *PerTrade) placeTrade(ctx context.Context, side types.SideType, quantity
Side: side, Side: side,
Type: types.OrderTypeMarket, Type: types.OrderTypeMarket,
Quantity: quantity, Quantity: quantity,
Tag: "ktrade-market", Tag: "audacity-market",
}) })
return err return err
} }
func outlier(fs floats.Slice, threshold float64) int { func outlier(fs floats.Slice, multiplier float64) int {
if fs.Last() > fs.Mean()*(1+threshold) { stddev := stat.StdDev(fs, nil)
if fs.Last() > fs.Mean()+multiplier*stddev {
return 1 return 1
} else if fs.Last() < fs.Mean()*(1-threshold) { } else if fs.Last() < fs.Mean()-multiplier*stddev {
return -1 return -1
} }
return 0 return 0