exchange-monitor-go/momentum.go

package main

import (
	"math"
	"sort"
	"sync"
)

// momentumWindow defines a time window for momentum calculation.
// At ~50ms per tick, N ticks ≈ N * 50ms.
type momentumWindow struct {
	Name  string // JSON key: "t1s", "t5s", "t15s"
	Ticks int    // how many ticks to look back
	Label string // human-readable: "1s", "5s", "15s"
}

var momentumWindows = []momentumWindow{
	{"t1s", 20, "1s"},
	{"t5s", 100, "5s"},
	{"t15s", 300, "15s"},
	{"t60s", 1200, "60s"},
}

const maxMomentumRecords = 600

// momentumBuffer is a fixed-size ring buffer of prices for one coin+exchange.
type momentumBuffer struct {
	prices [maxMomentumRecords]float64
	head   int // next write index
	count  int // total records written (capped at maxMomentumRecords)
}

// MomentumEntry is one coin's momentum data sent via SSE.
type MomentumEntry struct {
	Coin      string  `json:"coin"`
	BG1s      float64 `json:"bg_1s"`
	BG5s      float64 `json:"bg_5s"`
	BG15s     float64 `json:"bg_15s"`
	BG60s     float64 `json:"bg_60s"`
	BN1s      float64 `json:"bn_1s"`
	BN5s      float64 `json:"bn_5s"`
	BN15s     float64 `json:"bn_15s"`
	BN60s     float64 `json:"bn_60s"`
	OKX1s     float64 `json:"okx_1s"`
	OKX5s     float64 `json:"okx_5s"`
	OKX15s    float64 `json:"okx_15s"`
	OKX60s    float64 `json:"okx_60s"`
	Score     float64 `json:"score"`     // max abs change across all windows
	Direction string  `json:"direction"` // "up", "down", "flat", "mixed"
}

// MomentumTracker tracks price momentum across all coins and exchanges.
type MomentumTracker struct {
	mu      sync.RWMutex
	buffers map[string]map[string]*momentumBuffer // coin -> exchange -> buffer
}

func NewMomentumTracker() *MomentumTracker {
	return &MomentumTracker{
		buffers: make(map[string]map[string]*momentumBuffer),
	}
}

// Record adds a price point for a coin+exchange.
func (mt *MomentumTracker) Record(coin, exchange string, price float64) {
	mt.mu.Lock()
	defer mt.mu.Unlock()

	if mt.buffers[coin] == nil {
		mt.buffers[coin] = make(map[string]*momentumBuffer)
	}
	buf, ok := mt.buffers[coin][exchange]
	if !ok {
		buf = &momentumBuffer{}
		mt.buffers[coin][exchange] = buf
	}
	buf.prices[buf.head] = price
	buf.head = (buf.head + 1) % maxMomentumRecords
	if buf.count < maxMomentumRecords {
		buf.count++
	}
}

// Snapshot returns all coins with momentum data, sorted by score descending.
// Only includes coins where at least one window has non-zero change.
// Limited to maxResults entries.
func (mt *MomentumTracker) Snapshot(thresholdPct float64) []MomentumEntry {
	mt.mu.RLock()
	defer mt.mu.RUnlock()

	var result []MomentumEntry
	for coin, exMap := range mt.buffers {
		bgBuf, hasBG := exMap[ExBitget]
		bnBuf, hasBN := exMap[ExBinance]
		okBuf, hasOK := exMap[ExOKX]
		if !hasBG && !hasBN && !hasOK {
			continue
		}

		entry := MomentumEntry{Coin: coin}
		var allChanges []float64

		if hasBG {
			changes := calcWindows(bgBuf)
			entry.BG1s = changes[0]
			entry.BG5s = changes[1]
			entry.BG15s = changes[2]
			entry.BG60s = changes[3]
			allChanges = append(allChanges, changes[:]...)
		}
		if hasBN {
			changes := calcWindows(bnBuf)
			entry.BN1s = changes[0]
			entry.BN5s = changes[1]
			entry.BN15s = changes[2]
			entry.BN60s = changes[3]
			allChanges = append(allChanges, changes[:]...)
		}
		if hasOK {
			changes := calcWindows(okBuf)
			entry.OKX1s = changes[0]
			entry.OKX5s = changes[1]
			entry.OKX15s = changes[2]
			entry.OKX60s = changes[3]
			allChanges = append(allChanges, changes[:]...)
		}

		// Score: max absolute change across all windows
		var maxAbs float64
		for _, c := range allChanges {
			abs := math.Abs(c)
			if abs > maxAbs {
				maxAbs = abs
			}
		}
		entry.Score = math.Round(maxAbs*10000) / 10000

		// Direction: majority vote across all windows
		if maxAbs > 0.001 {
			posCount := 0
			negCount := 0
			for _, c := range allChanges {
				if c > 0.001 {
					posCount++
				} else if c < -0.001 {
					negCount++
				}
			}
			total := posCount + negCount
			if total == 0 {
				entry.Direction = "flat"
			} else if float64(posCount)/float64(total) >= 0.66 {
				entry.Direction = "up"
			} else if float64(negCount)/float64(total) >= 0.66 {
				entry.Direction = "down"
			} else {
				entry.Direction = "mixed"
			}
		} else {
			entry.Direction = "flat"
		}

		result = append(result, entry)
	}

	// Sort by score descending
	sort.Slice(result, func(i, j int) bool {
		return result[i].Score > result[j].Score
	})

	if len(result) > 200 {
		result = result[:200]
	}
	return result
}

// calcWindows computes change% for all windows: (current - old) / old * 100.
// Returns 0 for windows that don't have enough data yet.
func calcWindows(buf *momentumBuffer) [4]float64 {
	var result [4]float64
	for i, w := range momentumWindows {
		if buf.count < w.Ticks+1 {
			continue
		}
		currentIdx := (buf.head - 1 + maxMomentumRecords) % maxMomentumRecords
		oldIdx := (currentIdx - w.Ticks + maxMomentumRecords) % maxMomentumRecords

		current := buf.prices[currentIdx]
		old := buf.prices[oldIdx]
		if old > 0 {
			result[i] = math.Round((current-old)/old*10000) / 10000
		}
	}
	return result
}