思路ok，接下來要解決資金流指標不準確的問題。

strategy/src/avellaneda_stoikov.rs

@@ -56,8 +56,8 @@ pub struct AvellanedaStoikov {
 impl AvellanedaStoikov {
     // 时间窗口大小（微秒）
     const MAX_TIME_RANGE_MICROS: i64 = 5 * 60_000_000;
-    const TRADE_LONG_RANGE_MICROS: i64 = 30_000_000;
-    const TRADE_SHORT_RANGE_MICROS: i64 = 6_000_000;
+    const TRADE_LONG_RANGE_MICROS: i64 = 3 * 60_000_000;
+    const TRADE_SHORT_RANGE_MICROS: i64 = 30_000_000;
     // const ONE_MILLION: Decimal = dec!(1_000_000);
     // const TWENTY_THOUSAND: Decimal = dec!(20_000);
     const IRA: Decimal = dec!(1);
@@ -227,18 +227,18 @@ impl AvellanedaStoikov {
     }
 
     pub fn update_delta(&mut self) {
-        // let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff;
+        let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff;
 
         self.base_delta = self.sigma_square;
 
         self.bid_delta = self.base_delta;
         self.ask_delta = self.base_delta;
 
-        // if self.inventory > Decimal::ZERO {
-        //     self.bid_delta += pos_edge;
-        // } else if self.inventory < Decimal::ZERO {
-        //     self.ask_delta += pos_edge;
-        // }
+        if self.inventory > Decimal::ZERO {
+            self.bid_delta += pos_edge;
+        } else if self.inventory < Decimal::ZERO {
+            self.ask_delta += pos_edge;
+        }
 
         if !self.flow_ratio_long.is_zero() {
             if self.flow_ratio_long < Decimal::ZERO {
@@ -307,9 +307,9 @@ impl AvellanedaStoikov {
                 flow_out_value += trade.value;
             } else {
                 // if trade.size > Decimal::ZERO {
-                //     self.flow_in_value += trade.value;
+                //     flow_in_value += trade.value;
                 // } else {
-                //     self.flow_out_value += trade.value;
+                //     flow_out_value += trade.value;
                 // }
             }
 
@@ -373,7 +373,7 @@ impl AvellanedaStoikov {
 
     pub fn update_flow_ratio(&mut self) {
         self.flow_ratio_long = Self::calc_flow_ratio(&self.flow_ratio_long, &dec!(30_000), &mut self.trade_long_vec);
-        self.flow_ratio_short = Self::calc_flow_ratio(&self.flow_ratio_short, &dec!(10_000), &mut self.trade_short_vec);
+        self.flow_ratio_short = Self::calc_flow_ratio(&self.flow_ratio_short, &dec!(0), &mut self.trade_short_vec);
     }
 
     pub fn check_ready(&mut self) {

strategy/src/strategy.rs

@@ -1095,7 +1095,7 @@ impl Strategy {
         }
 
         self._cancel_open(&mut command, local_orders);              // 撤单命令处理
-        // self._post_open(&mut command, local_orders, predictor);     // 限价单命令处理
+        self._post_open(&mut command, local_orders, predictor);     // 限价单命令处理
         self._check_local_orders(&mut command, local_orders);       // 固定时间检查超时订单
         self._update_in_cancel(&mut command, local_orders);         // 更新撤单队列，是一个filter
         self._check_request_limit(&mut command);                    // 限制频率，移除不合规则之订单，是一个filter