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xmaker: fix TradeVolumeWindowSignal algo

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c9s 2024-10-16 15:45:11 +08:00
parent e55676abab
commit c066a187d9
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 4 additions and 5 deletions
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9
pkg/strategy/xmaker/signal_trade.go
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@ -53,8 +53,7 @@ func (s *TradeVolumeWindowSignal) Bind(ctx context.Context, session *bbgo.Exchan
return nil
}
func (s *TradeVolumeWindowSignal) filterTrades(now time.Time) []types.Trade {
startTime := now.Add(-time.Duration(s.Window))
func (s *TradeVolumeWindowSignal) filterTrades(startTime time.Time) []types.Trade {
startIdx := 0
s.mu.Lock()
@ -89,7 +88,7 @@ func (s *TradeVolumeWindowSignal) aggTradeVolume(trades []types.Trade) (buyVolum
func (s *TradeVolumeWindowSignal) CalculateSignal(_ context.Context) (float64, error) {
now := time.Now()
trades := s.filterTrades(now)
trades := s.filterTrades(now.Add(-time.Duration(s.Window)))
buyVolume, sellVolume := s.aggTradeVolume(trades)
totalVolume := buyVolume + sellVolume
@ -99,9 +98,9 @@ func (s *TradeVolumeWindowSignal) CalculateSignal(_ context.Context) (float64, e
sig := 0.0
if buyRatio > threshold {
sig = (buyRatio - threshold) / 2.0
sig = buyRatio * 2.0
} else if sellRatio > threshold {
sig = -(sellRatio - threshold) / 2.0
sig = -sellRatio * 2.0
}
log.Infof("[TradeVolumeWindowSignal] %f buy/sell = %f/%f", sig, buyVolume, sellVolume)