把pos的delta还是加入了。

strategy/src/avellaneda_stoikov.rs

@@ -275,7 +275,7 @@ impl AvellanedaStoikov {
 
     pub fn update_delta(&mut self) {
         if self.gamma != Decimal::ZERO {
-            // let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(dec!(2)) * self.t_diff;
+            let pos_edge = self.gamma * self.sigma_square * self.inventory * self.t_diff;
 
             self.base_delta = self.sigma_square;
             self.ratio_edge = self.flow_ratio_mfi * self.sigma_square;
@@ -283,38 +283,38 @@ impl AvellanedaStoikov {
             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.ratio_edge > Decimal::ZERO) || (self.money_flow_index > dec!(60) && self.inventory > Decimal::ZERO) {
                 if self.inventory > Decimal::ZERO {
                     self.ask_delta = Decimal::ZERO;
-                    self.bid_delta += self.sigma_square.abs() * dec!(10);
+                    self.bid_delta += self.sigma_square.abs() * dec!(5);
                 } else {
                     self.ask_delta = self.base_delta;
-                    self.bid_delta += self.sigma_square.abs() * dec!(10);
+                    self.bid_delta += self.sigma_square.abs() * dec!(5);
                 }
             } else if (self.ratio_edge < Decimal::ZERO) || (self.money_flow_index < dec!(40) && self.inventory < Decimal::ZERO) {
                 if self.inventory < Decimal::ZERO {
-                    self.ask_delta += self.sigma_square.abs() * dec!(10);
+                    self.ask_delta += self.sigma_square.abs() * dec!(5);
                     self.bid_delta = Decimal::ZERO;
                 } else {
-                    self.ask_delta += self.sigma_square.abs() * dec!(10);
+                    self.ask_delta += self.sigma_square.abs() * dec!(5);
                     self.bid_delta = self.base_delta;
                 }
             } else if self.ratio_edge == Decimal::ZERO {
-                self.ask_delta += self.base_delta.abs() * dec!(10);
-                self.bid_delta += self.base_delta.abs() * dec!(10);
+                self.ask_delta += self.base_delta.abs() * dec!(5);
+                self.bid_delta += self.base_delta.abs() * dec!(5);
             }
         }
     }
 
     pub fn update_optimal_ask_and_bid(&mut self) {
-        self.optimal_ask_price = max(self.ref_price + self.ask_delta / Decimal::TWO, self.ask_price);
-        self.optimal_bid_price = min(self.ref_price - self.bid_delta / Decimal::TWO, self.bid_price);
+        self.optimal_ask_price = max(self.ref_price + self.ask_delta, self.ask_price);
+        self.optimal_bid_price = min(self.ref_price - self.bid_delta, self.bid_price);
     }
 
     pub fn update_t_diff(&mut self) {
@@ -529,8 +529,8 @@ impl AvellanedaStoikov {
             bid_price: self.bid_price,
             last_price: self.last_price,
             spread: self.spread,
-            spread_max: self.ask_delta,
-            spread_min: self.bid_delta,
+            spread_max: self.spread_max,
+            spread_min: Decimal::ZERO,
             optimal_ask_price: self.optimal_ask_price,
             optimal_bid_price: self.optimal_bid_price,