mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-15 11:33:50 +00:00
81 lines
2.0 KiB
Go
81 lines
2.0 KiB
Go
package xmaker
|
|
|
|
import (
|
|
"context"
|
|
"math"
|
|
|
|
"github.com/pkg/errors"
|
|
"github.com/prometheus/client_golang/prometheus"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
var depthRatioSignalMetrics = prometheus.NewGaugeVec(
|
|
prometheus.GaugeOpts{
|
|
Name: "xmaker_depth_ratio_signal",
|
|
Help: "",
|
|
}, []string{"symbol"})
|
|
|
|
func init() {
|
|
prometheus.MustRegister(depthRatioSignalMetrics)
|
|
}
|
|
|
|
type DepthRatioSignal struct {
|
|
// PriceRange, 2% depth ratio means 2% price range from the mid price
|
|
PriceRange fixedpoint.Value `json:"priceRange"`
|
|
MinRatio float64 `json:"minRatio"`
|
|
|
|
symbol string
|
|
book *types.StreamOrderBook
|
|
}
|
|
|
|
func (s *DepthRatioSignal) BindStreamBook(book *types.StreamOrderBook) {
|
|
s.book = book
|
|
}
|
|
|
|
func (s *DepthRatioSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
|
|
if s.book == nil {
|
|
return errors.New("s.book can not be nil")
|
|
}
|
|
|
|
s.symbol = symbol
|
|
depthRatioSignalMetrics.WithLabelValues(s.symbol).Set(0.0)
|
|
return nil
|
|
}
|
|
|
|
func (s *DepthRatioSignal) CalculateSignal(ctx context.Context) (float64, error) {
|
|
bid, ask, ok := s.book.BestBidAndAsk()
|
|
if !ok {
|
|
return 0.0, nil
|
|
}
|
|
|
|
midPrice := bid.Price.Add(ask.Price).Div(fixedpoint.Two)
|
|
|
|
asks := s.book.SideBook(types.SideTypeSell)
|
|
bids := s.book.SideBook(types.SideTypeBuy)
|
|
|
|
asksInRange := asks.InPriceRange(midPrice, types.SideTypeSell, s.PriceRange)
|
|
bidsInRange := bids.InPriceRange(midPrice, types.SideTypeBuy, s.PriceRange)
|
|
|
|
askDepthQuote := asksInRange.SumDepthInQuote()
|
|
bidDepthQuote := bidsInRange.SumDepthInQuote()
|
|
|
|
var signal = 0.0
|
|
|
|
depthRatio := bidDepthQuote.Div(askDepthQuote.Add(bidDepthQuote))
|
|
|
|
// convert ratio into -2.0 and 2.0
|
|
signal = depthRatio.Sub(fixedpoint.NewFromFloat(0.5)).Float64() * 4.0
|
|
|
|
// ignore noise
|
|
if math.Abs(signal) < s.MinRatio {
|
|
signal = 0.0
|
|
}
|
|
|
|
log.Infof("[DepthRatioSignal] %f bid/ask = %f/%f", signal, bidDepthQuote.Float64(), askDepthQuote.Float64())
|
|
depthRatioSignalMetrics.WithLabelValues(s.symbol).Set(signal)
|
|
return signal, nil
|
|
}
|