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係數調整,較爲ok。

skyfffire 1 year ago
parent
commit
2693969b3c
1 changed files with 8 additions and 8 deletions
  1. 8 8
      strategy/src/avellaneda_stoikov.rs

+ 8 - 8
strategy/src/avellaneda_stoikov.rs

@@ -248,24 +248,24 @@ impl AvellanedaStoikov {
             if self.flow_ratio_long < Decimal::ZERO {
                 if self.flow_ratio_short > Decimal::ZERO {
                     self.ask_delta -= self.base_delta * (self.flow_ratio_short.abs());
-                    self.bid_delta += self.base_delta * (self.flow_ratio_short.abs());
+                    self.bid_delta += self.base_delta;
                 } else if self.flow_ratio_short < Decimal::ZERO && self.inventory < Decimal::ZERO {
-                    self.ask_delta += self.base_delta * (self.flow_ratio_short.abs());
+                    self.ask_delta += self.base_delta;
                     self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs());
                 } else {
-                    self.ask_delta += self.base_delta * dec!(2);
-                    self.bid_delta += self.base_delta * dec!(2);
+                    self.ask_delta += self.base_delta;
+                    self.bid_delta += self.base_delta;
                 }
             } else if self.flow_ratio_long > Decimal::ZERO {
                 if self.flow_ratio_short > Decimal::ZERO && self.inventory > Decimal::ZERO {
                     self.ask_delta -= self.base_delta * (self.flow_ratio_short.abs());
-                    self.bid_delta += self.base_delta * (self.flow_ratio_short.abs());
+                    self.bid_delta += self.base_delta;
                 } else if self.flow_ratio_short < Decimal::ZERO {
-                    self.ask_delta += self.base_delta * (self.flow_ratio_short.abs());
+                    self.ask_delta += self.base_delta;
                     self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs());
                 } else {
-                    self.ask_delta += self.base_delta * dec!(2);
-                    self.bid_delta += self.base_delta * dec!(2);
+                    self.ask_delta += self.base_delta;
+                    self.bid_delta += self.base_delta;
                 }
             }
         } else {