feat: refactor notifier callbacks and improve strategy configuration

123-hub-afk · 123-hub-afk · commit 8b81776f6fb2 · 2025-06-15T18:01:10.000+03:00
Removed unnecessary use of std::move for callback assignment in notifier classes to avoid potential performance issues with std::function copies.

    Introduced deviation_ratio_threshold and mi_threshold in strategy Config for more flexible buy/sell conditions.

    Updated strategy logic to use these configurable thresholds instead of hardcoded values.

    Added missing Init method in strategy and invoked it in examples.

    Refactored StrategyWrapper to support multiple infrastructures (Binance Futures, Bybit Linear).

    Updated example files to reflect new config and initialization flow.
diff --git a/aoe/binance/infrastructure/infrastructure.h b/aoe/binance/infrastructure/infrastructure.h
@@ -139,7 +139,7 @@ class Infrastructure
             !it->second->best_bid_notifier) {
             return false;
         }
-        it->second->best_bid_notifier->SetCallback(std::move(cb));
+        it->second->best_bid_notifier->SetCallback(cb);
         return true;
     }
 
@@ -151,7 +151,7 @@ class Infrastructure
             !it->second->best_ask_notifier) {
             return false;
         }
-        it->second->best_ask_notifier->SetCallback(std::move(cb));
+        it->second->best_ask_notifier->SetCallback(cb);
         return true;
     }
 
@@ -300,7 +300,7 @@ class Infrastructure
             !it->second->best_bid_notifier) {
             return false;
         }
-        it->second->best_bid_notifier->SetCallback(std::move(cb));
+        it->second->best_bid_notifier->SetCallback(cb);
         return true;
     }
 
@@ -312,7 +312,7 @@ class Infrastructure
             !it->second->best_ask_notifier) {
             return false;
         }
-        it->second->best_ask_notifier->SetCallback(std::move(cb));
+        it->second->best_ask_notifier->SetCallback(cb);
         return true;
     }
 
diff --git a/aoe/bybit/infrastructure/infrastructure.h b/aoe/bybit/infrastructure/infrastructure.h
@@ -138,7 +138,7 @@ class Infrastructure
             !it->second->best_bid_notifier) {
             return false;
         }
-        it->second->best_bid_notifier->SetCallback(std::move(cb));
+        it->second->best_bid_notifier->SetCallback(cb);
         return true;
     }
 
@@ -150,7 +150,7 @@ class Infrastructure
             !it->second->best_ask_notifier) {
             return false;
         }
-        it->second->best_ask_notifier->SetCallback(std::move(cb));
+        it->second->best_ask_notifier->SetCallback(cb);
         return true;
     }
 
@@ -298,7 +298,7 @@ class Infrastructure
             !it->second->best_bid_notifier) {
             return false;
         }
-        it->second->best_bid_notifier->SetCallback(std::move(cb));
+        it->second->best_bid_notifier->SetCallback(cb);
         return true;
     }
 
@@ -310,7 +310,7 @@ class Infrastructure
             !it->second->best_ask_notifier) {
             return false;
         }
-        it->second->best_ask_notifier->SetCallback(std::move(cb));
+        it->second->best_ask_notifier->SetCallback(cb);
         return true;
     }
 
diff --git a/aos/order_book_subscriber/order_book_subscribers.h b/aos/order_book_subscriber/order_book_subscribers.h
@@ -76,7 +76,7 @@ class BestBidNotifier : public BestBidNotifierInterface<Price, Qty> {
     }
     void SetCallback(
         std::function<void(BestBid<Price, Qty>& new_bid)> cb) override {
-        on_best_bid_update_callback_ = std::move(cb);
+        on_best_bid_update_callback_ = cb;
     }
     ~BestBidNotifier() override = default;
 
@@ -119,7 +119,7 @@ class BestAskNotifier : public BestAskNotifierInterface<Price, Qty> {
     }
     void SetCallback(
         std::function<void(BestAsk<Price, Qty>& new_ask)> cb) override {
-        on_best_ask_update_callback_ = std::move(cb);
+        on_best_ask_update_callback_ = cb;
     };
     ~BestAskNotifier() override = default;
 
diff --git a/aos/strategies/deviation_and_mutual_info/c_strategy.h b/aos/strategies/deviation_and_mutual_info/c_strategy.h
@@ -6,6 +6,7 @@
 
 #include "aos/market_triplet_manager/i_market_triplet_manager.h"
 #include "aos/sliding_window_storage/c_sliding_window_storage.h"
+#include "aos/mutual_information/c_mutual_information_calculator.h"
 #include "aos/strategy/i_strategy.h"
 #include "aos/strategy/strategy.h"
 #include "aos/strategies/deviation_and_mutual_info/config.h"
@@ -37,7 +38,7 @@ class Strategy : public StrategyInterface<HashT, T>{
             auto [_, ratio] = sliding_window_.GetDeviationRatio(hash, value);
             auto [status_deviation, dev]        = sliding_window_.GetDeviation(hash, value);
             logi("Buy: hash:{} value:{} dev:{} ratio:{}", hash, value, dev, ratio);
-            if (ratio > 0.001) {
+            if (ratio > config_.deviation_ratio_threshold) {
                 queue.push(hash);
             }
         });
@@ -48,7 +49,8 @@ class Strategy : public StrategyInterface<HashT, T>{
             for (const auto& pair : market_triplet_manager_.GetPairs(hash)) {
                 auto [status, mi] = mi_calculator_.ComputeMutualInformation(
                     sliding_window_, hash, pair, config_.number_bins);
-                if (status && mi > 2) {
+                logi("Buy status:{} mi:{}", status, mi);
+                if (status && mi > config_.mi_threshold) {
                     logi("Buy MI ({} <-> {}): {}", hash, pair, mi);
                     queue.push(pair);
                 }
@@ -83,7 +85,7 @@ class Strategy : public StrategyInterface<HashT, T>{
             auto [status_deviation, dev]        = sliding_window_.GetDeviation(hash, value);
             logi("Sell: hash:{} value:{} dev:{} ratio:{}", hash, value, dev,
                  ratio);
-            if (ratio < 0.001) {
+            if (ratio > config_.deviation_ratio_threshold) {
                 queue.push(hash);
             }
         });
@@ -94,7 +96,8 @@ class Strategy : public StrategyInterface<HashT, T>{
             for (const auto& pair : market_triplet_manager_.GetPairs(hash)) {
                 auto [status, mi] = mi_calculator_.ComputeMutualInformation(
                     sliding_window_, hash, pair, config_.number_bins);
-                if (status && mi > 2) {
+                logi("Sell status:{} mi:{}", status, mi);
+                if (status && mi > config_.mi_threshold) {
                     logi("Sell MI ({} <-> {}): {}", hash, pair, mi);
                     queue.push(pair);
                 }
@@ -120,9 +123,13 @@ class Strategy : public StrategyInterface<HashT, T>{
      sliding_window_(config.window_size),
      market_triplet_manager_(market_triplet_manager),
      config_(config) {
+
+    }
+    void Init(){
         InitBuyActions();
         InitSellActions();
-    }
+    } 
+
     void AnalyzeToBuy(const HashT asset, const T& value) override {
         core_strategy_.AnalyzeToBuy(asset, value);
     }
diff --git a/aos/strategies/deviation_and_mutual_info/config.h b/aos/strategies/deviation_and_mutual_info/config.h
@@ -1,20 +1,26 @@
 #pragma once
 #include <cstdint>
 
-
 namespace aos {
 namespace strategies {
 namespace deviation_and_mutual_information {
 template <typename HashT>
-struct Config{
+struct Config {
     const uint32_t window_size;
     const uint32_t number_bins;
     const HashT allowed_asset_hash;
+    const double deviation_ratio_threshold;
+    const double mi_threshold;
     // constexpr-конструктор
-    constexpr Config(uint32_t new_window_size, uint32_t new_number_bins, HashT new_allowed_asset_hash)
-        : window_size(new_window_size), number_bins(new_number_bins), allowed_asset_hash(new_allowed_asset_hash) {}
- 
-};
-};
-};
+    constexpr Config(uint32_t new_window_size, uint32_t new_number_bins,
+                     HashT new_allowed_asset_hash, double new_deviation_ratio_threshold,
+                    double new_mi_threshold)
+        : window_size(new_window_size),
+          number_bins(new_number_bins),
+          allowed_asset_hash(new_allowed_asset_hash),
+          deviation_ratio_threshold(new_deviation_ratio_threshold),
+          mi_threshold(new_mi_threshold) {}
 };
+};  // namespace deviation_and_mutual_information
+};  // namespace strategies
+};  // namespace aos
diff --git a/examples/example38/main.cpp b/examples/example38/main.cpp
@@ -24,7 +24,7 @@ int main() {
             aos::TradingPair::kBTCUSDT);
         constexpr aos::strategies::deviation_and_mutual_information::Config<
             HashT>
-            config_strategy{5, 10, binance_btc_usdt};
+            config_strategy{5, 10, binance_btc_usdt, 0.001, 2};
 
 
         aos::strategies::deviation_and_mutual_information::Strategy<HashT, Price> strategy(market_triplet_manager, config_strategy);
diff --git a/examples/example40/main.cpp b/examples/example40/main.cpp
@@ -24,9 +24,12 @@ int main() {
         constexpr aos::strategies::deviation_and_mutual_information::Config<HashT> config{
             5,
             10,
-            binance_btc_usdt 
+            binance_btc_usdt,
+            0.001,
+            1 
         };
         aos::strategies::deviation_and_mutual_information::Strategy<HashT, Price> strategy(market_triplet_manager, config);
+        strategy.Init();
         
         StrategyEngineDefault<HashT, Price> strategy_engine(
             thread_pool, strategy);
diff --git a/examples/example41/main.cpp b/examples/example41/main.cpp

Original file line number	Diff line number	Diff line change
`@@ -139,7 +139,7 @@ class Infrastructure`
`139`	`139`	`!it->second->best_bid_notifier) {`
`140`	`140`	`return false;`
`141`	`141`	`}`
`142`		`- it->second->best_bid_notifier->SetCallback(std::move(cb));`
	`142`	`+ it->second->best_bid_notifier->SetCallback(cb);`
`143`	`143`	`return true;`
`144`	`144`	`}`
`145`	`145`
`@@ -151,7 +151,7 @@ class Infrastructure`
`151`	`151`	`!it->second->best_ask_notifier) {`
`152`	`152`	`return false;`
`153`	`153`	`}`
`154`		`- it->second->best_ask_notifier->SetCallback(std::move(cb));`
	`154`	`+ it->second->best_ask_notifier->SetCallback(cb);`
`155`	`155`	`return true;`
`156`	`156`	`}`
`157`	`157`
`@@ -300,7 +300,7 @@ class Infrastructure`
`300`	`300`	`!it->second->best_bid_notifier) {`
`301`	`301`	`return false;`
`302`	`302`	`}`
`303`		`- it->second->best_bid_notifier->SetCallback(std::move(cb));`
	`303`	`+ it->second->best_bid_notifier->SetCallback(cb);`
`304`	`304`	`return true;`
`305`	`305`	`}`
`306`	`306`
`@@ -312,7 +312,7 @@ class Infrastructure`
`312`	`312`	`!it->second->best_ask_notifier) {`
`313`	`313`	`return false;`
`314`	`314`	`}`
`315`		`- it->second->best_ask_notifier->SetCallback(std::move(cb));`
	`315`	`+ it->second->best_ask_notifier->SetCallback(cb);`
`316`	`316`	`return true;`
`317`	`317`	`}`
`318`	`318`
Original file line number	Diff line number	Diff line change
`@@ -138,7 +138,7 @@ class Infrastructure`
`138`	`138`	`!it->second->best_bid_notifier) {`
`139`	`139`	`return false;`
`140`	`140`	`}`
`141`		`- it->second->best_bid_notifier->SetCallback(std::move(cb));`
	`141`	`+ it->second->best_bid_notifier->SetCallback(cb);`
`142`	`142`	`return true;`
`143`	`143`	`}`
`144`	`144`
`@@ -150,7 +150,7 @@ class Infrastructure`
`150`	`150`	`!it->second->best_ask_notifier) {`
`151`	`151`	`return false;`
`152`	`152`	`}`
`153`		`- it->second->best_ask_notifier->SetCallback(std::move(cb));`
	`153`	`+ it->second->best_ask_notifier->SetCallback(cb);`
`154`	`154`	`return true;`
`155`	`155`	`}`
`156`	`156`
`@@ -298,7 +298,7 @@ class Infrastructure`
`298`	`298`	`!it->second->best_bid_notifier) {`
`299`	`299`	`return false;`
`300`	`300`	`}`
`301`		`- it->second->best_bid_notifier->SetCallback(std::move(cb));`
	`301`	`+ it->second->best_bid_notifier->SetCallback(cb);`
`302`	`302`	`return true;`
`303`	`303`	`}`
`304`	`304`
`@@ -310,7 +310,7 @@ class Infrastructure`
`310`	`310`	`!it->second->best_ask_notifier) {`
`311`	`311`	`return false;`
`312`	`312`	`}`
`313`		`- it->second->best_ask_notifier->SetCallback(std::move(cb));`
	`313`	`+ it->second->best_ask_notifier->SetCallback(cb);`
`314`	`314`	`return true;`
`315`	`315`	`}`
`316`	`316`
Original file line number	Diff line number	Diff line change
`@@ -76,7 +76,7 @@ class BestBidNotifier : public BestBidNotifierInterface<Price, Qty> {`
`76`	`76`	`}`
`77`	`77`	`void SetCallback(`
`78`	`78`	`std::function<void(BestBid<Price, Qty>& new_bid)> cb) override {`
`79`		`- on_best_bid_update_callback_ = std::move(cb);`
	`79`	`+ on_best_bid_update_callback_ = cb;`
`80`	`80`	`}`
`81`	`81`	`~BestBidNotifier() override = default;`
`82`	`82`
`@@ -119,7 +119,7 @@ class BestAskNotifier : public BestAskNotifierInterface<Price, Qty> {`
`119`	`119`	`}`
`120`	`120`	`void SetCallback(`
`121`	`121`	`std::function<void(BestAsk<Price, Qty>& new_ask)> cb) override {`
`122`		`- on_best_ask_update_callback_ = std::move(cb);`
	`122`	`+ on_best_ask_update_callback_ = cb;`
`123`	`123`	`};`
`124`	`124`	`~BestAskNotifier() override = default;`
`125`	`125`