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@@ -347,9 +347,94 @@ impl AvellanedaStoikov {
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}
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}
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}
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}
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+ fn calc_flow_ratio_2(_prev_flow_ratio: &Decimal, min_volume: &Decimal, trades: &mut FixedTimeRangeDeque<Trade>) -> Decimal {
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+ let mut flow_in_value = Decimal::ZERO;
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+ let mut flow_out_value = Decimal::ZERO;
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+ for (index, trade_iter) in trades.deque.iter().enumerate() {
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+ if index == 0 {
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+ continue
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+ }
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+
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+ let prev_trade_iter = trades.deque.get(index - 1).unwrap();
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+ let trade = trade_iter;
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+ if trade.price > prev_trade_iter.price {
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+ flow_in_value += trade.value * (prev_trade_iter.price - trade.price).abs();
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+ // flow_in_value += Decimal::ONE;
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+ } else if trade.price < prev_trade_iter.price {
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+ flow_out_value += trade.value * (prev_trade_iter.price - trade.price).abs();
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+ // flow_out_value += Decimal::ONE;
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+ } else {
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+ // if trade.size > Decimal::ZERO {
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+ // flow_in_value += trade.value;
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+ // } else {
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+ // flow_out_value += trade.value;
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+ // }
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+ }
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+
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+ // if trade_iter.size > Decimal::ZERO {
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+ // flow_in_value += trade_iter.value;
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+ // } else {
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+ // flow_out_value += trade_iter.value;
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+ // }
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+ }
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+
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+ // if self.trade_vec.deque.len() > 1 {
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+ // let prev_trade_iter = self.trade_vec.deque.get(self.trade_vec.deque.len() - 2).unwrap();
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+ // if trade.price > prev_trade_iter.price {
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+ // self.flow_in_value += trade.value;
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+ // } else if trade.price < prev_trade_iter.price {
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+ // self.flow_out_value += trade.value;
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+ // } else {
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+ // // if trade.size > Decimal::ZERO {
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+ // // self.flow_in_value += trade.value;
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+ // // } else {
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+ // // self.flow_out_value += trade.value;
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+ // // }
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+ // }
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+ //
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+ // // if trade.size > Decimal::ZERO {
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+ // // self.flow_in_value += trade.value;
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+ // // } else {
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+ // // self.flow_out_value += trade.value;
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+ // // }
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+ //
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+ // if self.flow_out_value + self.flow_in_value > dec!(2_000_000) {
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+ // self.flow_out_value = self.flow_out_value * dec!(0.618);
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+ // self.flow_in_value = self.flow_in_value * dec!(0.618);
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+ // }
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+ // }
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+ // else {
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+ // if trade.size > Decimal::ZERO {
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+ // self.flow_in_value += trade.value;
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+ // } else {
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+ // self.flow_out_value += trade.value;
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+ // }
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+ // }
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+
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+ // let mut flow_in_value = Decimal::ZERO;
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+ // let mut flow_out_value = Decimal::ZERO;
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+ // for trade_iter in trades.deque.iter() {
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+ // if trade_iter.size > Decimal::ZERO {
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+ // flow_in_value += trade_iter.value;
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+ // } else {
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+ // flow_out_value += trade_iter.value;
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+ // }
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+ // }
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+
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+ // 使用EMA來更新資金流，確保平滑性
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+ // let a = Decimal::TWO / dec!(50);
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+ if flow_out_value + flow_in_value > *min_volume {
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+ // let now = (flow_in_value - flow_out_value) / (flow_out_value + flow_in_value);
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+ // a * now + (Decimal::ONE - a) * prev_flow_ratio
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+ (flow_in_value - flow_out_value) / (flow_out_value + flow_in_value)
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+ } else {
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+ Decimal::ZERO
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+ }
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+ }
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+
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pub fn update_flow_ratio(&mut self) {
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pub fn update_flow_ratio(&mut self) {
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self.flow_ratio_long = Self::calc_flow_ratio(&self.flow_ratio_long, &dec!(0), &mut self.trade_long_vec);
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self.flow_ratio_long = Self::calc_flow_ratio(&self.flow_ratio_long, &dec!(0), &mut self.trade_long_vec);
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- self.flow_ratio_short = Self::calc_flow_ratio(&self.flow_ratio_short, &dec!(0), &mut self.trade_short_vec);
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+ self.flow_ratio_short = Self::calc_flow_ratio_2(&self.flow_ratio_short, &dec!(0), &mut self.trade_long_vec);
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}
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}
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pub fn check_ready(&mut self) {
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pub fn check_ready(&mut self) {
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