ASQ模型

strategy/src/avellaneda_stoikov.rs

@@ -220,7 +220,11 @@ impl AvellanedaStoikov {
 
     pub fn update_delta(&mut self) {
         if self.gamma != Decimal::ZERO {
-            let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff;
+            let pos_edge = if self.inventory.abs() <= dec!(3) {
+                self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff
+            } else {
+                Decimal::PI * self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff
+            };
 
             self.base_delta = self.gamma * self.sigma_square * self.t_diff / Decimal::TWO + (Decimal::ONE / self.gamma) * (Decimal::ONE + self.gamma / self.kappa).ln();
             self.ratio_edge = self.flow_ratio_long * self.sigma_square;