波动率调整为百分比形式。

strategy/src/avellaneda_stoikov.rs

@@ -136,7 +136,7 @@ impl AvellanedaStoikov {
             let first_trade = self.trade_vec.get(0).unwrap();
             let last_trade = self.trade_vec.get(self.trade_vec.len() - 1).unwrap();
 
-            let time_diff = (last_trade.time - first_trade.time) / Decimal::ONE_THOUSAND;
+            let time_diff = (last_trade.time - first_trade.time) / (dec!(60) * Decimal::ONE_THOUSAND);
             let mut vol_square_total = Decimal::ZERO;
             for (index, trade) in self.trade_vec.deque.iter().enumerate() {
                 if index == 0 {
@@ -144,7 +144,7 @@ impl AvellanedaStoikov {
                 }
 
                 let prev_trade = self.trade_vec.get(index - 1).unwrap();
-                let vol_square = (trade.price - prev_trade.price).powd(Decimal::TWO);
+                let vol_square = (Decimal::ONE_HUNDRED * ((trade.price - prev_trade.price) / trade.price)).powd(Decimal::TWO);
                 vol_square_total += vol_square;
             }