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83 lines
2.1 KiB
Go
83 lines
2.1 KiB
Go
package xmaker
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import (
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"context"
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"github.com/pkg/errors"
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"github.com/prometheus/client_golang/prometheus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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var orderBookSignalMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_order_book_signal",
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Help: "",
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}, []string{"symbol"})
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func init() {
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prometheus.MustRegister(orderBookSignalMetrics)
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}
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type StreamBookSetter interface {
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SetStreamBook(book *types.StreamOrderBook)
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}
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type OrderBookBestPriceVolumeSignal struct {
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RatioThreshold fixedpoint.Value `json:"ratioThreshold"`
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MinVolume fixedpoint.Value `json:"minVolume"`
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symbol string
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book *types.StreamOrderBook
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}
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func (s *OrderBookBestPriceVolumeSignal) SetStreamBook(book *types.StreamOrderBook) {
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s.book = book
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}
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func (s *OrderBookBestPriceVolumeSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
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if s.book == nil {
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return errors.New("s.book can not be nil")
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}
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s.symbol = symbol
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orderBookSignalMetrics.WithLabelValues(s.symbol).Set(0.0)
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return nil
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}
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func (s *OrderBookBestPriceVolumeSignal) CalculateSignal(ctx context.Context) (float64, error) {
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bid, ask, ok := s.book.BestBidAndAsk()
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if !ok {
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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 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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numerator := askRatio.Sub(s.RatioThreshold)
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signal = -numerator.Div(denominator).Float64()
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}
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log.Infof("[OrderBookBestPriceVolumeSignal] %f bid/ask = %f/%f, bid ratio = %f, ratio threshold = %f",
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signal,
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bid.Volume.Float64(),
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ask.Volume.Float64(),
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bidRatio.Float64(),
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s.RatioThreshold.Float64(),
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)
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orderBookSignalMetrics.WithLabelValues(s.symbol).Set(signal)
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return signal, nil
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}
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