资金流研究。

strategy/src/avellaneda_stoikov.rs

@@ -30,6 +30,9 @@ pub struct AvellanedaStoikov {
     pub sigma_square: Decimal,                                                  // σ^2，波动性的平方
     pub gamma: Decimal,                                                         // γ，库存风险厌恶参数
     pub kappa: Decimal,                                                         // κ 订单簿 流动性 参数
+    pub flow_ratio: Decimal,                                                    // 资金流比例
+    pub flow_ratio_diff: Decimal,                                               // 一阶导数
+    pub flow_ratio_diff_diff: Decimal,                                          // 二阶导数
 
     pub delta_plus: Decimal,                                                    // δa+δb，买卖挂单间距
     pub ref_price: Decimal,                                                     // 预定价格
@@ -74,6 +77,9 @@ impl AvellanedaStoikov {
             is_ready: false,
             prev_trade_time: 0,
             t_diff: Default::default(),
+            flow_ratio: Decimal::ONE,
+            flow_ratio_diff: Default::default(),
+            flow_ratio_diff_diff: Default::default(),
         };
 
         avellaneda_stoikov
@@ -243,6 +249,49 @@ impl AvellanedaStoikov {
         self.t_diff = Decimal::ONE;
     }
 
+    pub fn update_flow_ratio(&mut self) {
+        let prev_flow_ratio = self.flow_ratio;
+        let prev_flow_ratio_diff = self.flow_ratio_diff;
+
+        self.flow_ratio = if self.trade_vec.len() < 2 {
+            Decimal::ZERO
+        } else {
+            let mut flow_in_value = Decimal::ZERO;
+            let mut flow_out_value = Decimal::ZERO;
+            for trade in self.trade_vec.deque.iter() {
+                if trade.size > Decimal::ZERO {
+                    flow_in_value += trade.value;
+                } else {
+                    flow_out_value += trade.value;
+                }
+            }
+            info!(?flow_in_value, ?flow_out_value);
+
+            if flow_out_value == Decimal::ZERO {
+                Decimal::ZERO
+            } else {
+                flow_in_value / flow_out_value
+            }
+        };
+
+        self.flow_ratio.rescale(2);
+        self.flow_ratio = if self.flow_ratio > Decimal::TEN {
+            Decimal::ZERO
+        } else if self.flow_ratio < dec!(-10) {
+            Decimal::ZERO
+        } else {
+            self.flow_ratio
+        };
+
+        if prev_flow_ratio != Decimal::ZERO && self.flow_ratio != prev_flow_ratio {
+            self.flow_ratio_diff = self.flow_ratio_diff * dec!(0.98) + (self.flow_ratio - prev_flow_ratio) * dec!(0.02)
+        }
+
+        if prev_flow_ratio_diff != Decimal::ZERO && self.flow_ratio_diff != prev_flow_ratio_diff {
+            self.flow_ratio_diff_diff = self.flow_ratio_diff_diff * dec!(0.5) + (self.flow_ratio_diff - prev_flow_ratio_diff) * dec!(0.5)
+        }
+    }
+
     pub fn check_ready(&mut self) {
         if self.is_ready {
             return;
@@ -283,6 +332,7 @@ impl AvellanedaStoikov {
     // #[instrument(skip(self), level="TRACE")]
     async fn processor(&mut self) {
         self.update_t_diff();
+        self.update_flow_ratio();
         self.update_sigma_square();
         // info!(?self.sigma_square);
         self.update_gamma();
@@ -315,8 +365,8 @@ impl AvellanedaStoikov {
             optimal_bid_price: self.optimal_bid_price,
 
             inventory: self.inventory,
-            sigma_square: self.sigma_square,
-            gamma: self.gamma,
+            sigma_square: self.flow_ratio_diff,
+            gamma: self.flow_ratio_diff_diff,
             kappa: self.kappa,
 
             delta_plus: self.delta_plus,

strategy/src/strategy.rs

@@ -1063,7 +1063,7 @@ 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