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81 lines
2.0 KiB
Go
81 lines
2.0 KiB
Go
package xmaker
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import (
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"context"
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"math"
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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 depthRatioSignalMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_depth_ratio_signal",
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Help: "",
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}, []string{"symbol"})
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func init() {
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prometheus.MustRegister(depthRatioSignalMetrics)
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}
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type DepthRatioSignal struct {
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// PriceRange, 2% depth ratio means 2% price range from the mid price
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PriceRange fixedpoint.Value `json:"priceRange"`
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MinRatio float64 `json:"minRatio"`
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symbol string
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book *types.StreamOrderBook
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}
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func (s *DepthRatioSignal) SetStreamBook(book *types.StreamOrderBook) {
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s.book = book
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}
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func (s *DepthRatioSignal) 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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depthRatioSignalMetrics.WithLabelValues(s.symbol).Set(0.0)
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return nil
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}
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func (s *DepthRatioSignal) 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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midPrice := bid.Price.Add(ask.Price).Div(fixedpoint.Two)
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asks := s.book.SideBook(types.SideTypeSell)
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bids := s.book.SideBook(types.SideTypeBuy)
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asksInRange := asks.InPriceRange(midPrice, types.SideTypeSell, s.PriceRange)
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bidsInRange := bids.InPriceRange(midPrice, types.SideTypeBuy, s.PriceRange)
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askDepthQuote := asksInRange.SumDepthInQuote()
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bidDepthQuote := bidsInRange.SumDepthInQuote()
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var signal = 0.0
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depthRatio := bidDepthQuote.Div(askDepthQuote.Add(bidDepthQuote))
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// convert ratio into -2.0 and 2.0
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signal = depthRatio.Sub(fixedpoint.NewFromFloat(0.5)).Float64() * 4.0
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// ignore noise
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if math.Abs(signal) < s.MinRatio {
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signal = 0.0
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}
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log.Infof("[DepthRatioSignal] %f bid/ask = %f/%f", signal, bidDepthQuote.Float64(), askDepthQuote.Float64())
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depthRatioSignalMetrics.WithLabelValues(s.symbol).Set(signal)
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return signal, nil
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}
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