未来方向。

strategy/src/avellaneda_stoikov.rs

@@ -40,6 +40,7 @@ pub struct AvellanedaStoikov {
     pub last_volume: Decimal,                                                   // 最后统计的交易量（过去1秒）
     pub flow_ratio_long: Decimal,                                               // 资金流比例
     pub flow_ratio_short: Decimal,                                              // 资金流比例
+    pub dir: Decimal,                                                           // 方向，-2要跌，-1缓跌，0中立，1缓涨，2急涨
 
     pub ask_delta: Decimal,                                                     // δa
     pub bid_delta: Decimal,                                                     // δb
@@ -107,6 +108,7 @@ impl AvellanedaStoikov {
             prev_trade_time: Utc::now().timestamp_micros(),
             t_diff: Default::default(),
             level: Default::default(),
+            dir: Default::default(),
         };
 
         avellaneda_stoikov
@@ -168,9 +170,19 @@ impl AvellanedaStoikov {
 
     pub fn update_volume(&mut self) {
         self.last_volume = Decimal::ZERO;
+        let limit = dec!(60) * Decimal::ONE_THOUSAND;
 
-        for trade in self.trade_long_vec.deque.iter().rev() {
-            self.last_volume += trade.value;
+        if self.trade_long_vec.len() > 0 {
+            let last_trade = self.trade_long_vec.get(self.trade_long_vec.len() - 1).unwrap();
+            let last_trade_time = last_trade.time;
+
+            for trade in self.trade_long_vec.deque.iter().rev() {
+                if last_trade_time - trade.time > limit {
+                    break;
+                }
+
+                self.last_volume += trade.value;
+            }
         }
     }
 
@@ -423,6 +435,50 @@ impl AvellanedaStoikov {
         self.flow_ratio_short = Self::calc_flow_ratio(&self.flow_ratio_short, &dec!(0), &mut self.trade_long_vec);
     }
 
+    pub fn update_dir(&mut self) {
+        let volume_diff = self.volume_vec.deque.iter().last().unwrap() - self.volume_vec.get(0).unwrap();
+        let open_interest_diff = self.open_interest_vec.deque.iter().last().unwrap() - self.open_interest_vec.get(0).unwrap();
+        let price_diff = self.trade_long_vec.deque.iter().last().unwrap().price - self.trade_long_vec.get(0).unwrap().price;
+
+        let zero = Decimal::ZERO;
+
+        self.dir =
+        // + + + ++
+        if volume_diff > zero && open_interest_diff > zero && price_diff > zero {
+            dec!(2)
+        }
+        // + + - --
+        else if volume_diff > zero && open_interest_diff > zero && price_diff < zero {
+            dec!(-2)
+        }
+        // - - - -
+        else if volume_diff < zero && open_interest_diff < zero && price_diff < zero {
+            dec!(-1)
+        }
+        // - - + +
+        else if volume_diff < zero && open_interest_diff < zero && price_diff > zero {
+            dec!(1)
+        }
+        // - + + x
+        else if volume_diff < zero && open_interest_diff > zero && price_diff > zero {
+            dec!(0)
+        }
+        // + - + --
+        else if volume_diff > zero && open_interest_diff < zero && price_diff > zero {
+            dec!(-2)
+        }
+        // - + - x
+        else if volume_diff > zero && open_interest_diff < zero && price_diff > zero {
+            dec!(0)
+        }
+        // + - - ++
+        else if volume_diff > zero && open_interest_diff < zero && price_diff > zero {
+            dec!(2)
+        } else {
+            dec!(0)
+        };
+    }
+
     pub fn check_ready(&mut self) {
         if self.is_ready {
             return;
@@ -484,6 +540,8 @@ impl AvellanedaStoikov {
             return;
         }
 
+        self.update_dir();
+
         let mut cci = self.cci_arc.lock().await;
         cci.predictor_state_vec.push_back(PredictorState {
             update_time: Decimal::from_i64(Utc::now().timestamp_millis()).unwrap(),
@@ -500,7 +558,7 @@ impl AvellanedaStoikov {
 
             inventory: self.last_volume,
             sigma_square: self.last_open_interest,
-            gamma: self.flow_ratio_long,
+            gamma: self.dir,
             kappa: self.t_diff,
 
             flow_ratio: self.flow_ratio_long,