开仓距离随仓位平方进行修正。

strategy/src/avellaneda_stoikov.rs

@@ -192,7 +192,7 @@ impl AvellanedaStoikov {
     }
 
     pub fn update_sigma_square(&mut self) {
-        self.sigma_square = self.spread_max;
+        self.sigma_square = self.spread_max * dec!(0.618);
         self.sigma_square.rescale(10);
     }
 
@@ -239,15 +239,15 @@ impl AvellanedaStoikov {
             self.ask_delta = self.base_delta;
 
             if self.inventory > Decimal::ZERO {
-                let pos_edge = self.gamma * self.sigma_square * self.inventory * self.t_diff / Decimal::TWO;
+                let pos_edge = self.gamma * self.sigma_square * self.inventory.powd(Decimal::TWO) * self.t_diff / Decimal::TWO;
 
                 self.bid_delta += pos_edge;
-                self.ask_delta += pos_edge * dec!(0.25);
+                self.ask_delta += pos_edge * dec!(0.1);
             } else if self.inventory < Decimal::ZERO {
-                let pos_edge = self.gamma * self.sigma_square * self.inventory.abs() * self.t_diff / Decimal::TWO;
+                let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff / Decimal::TWO;
 
                 self.ask_delta += pos_edge;
-                self.bid_delta += pos_edge * dec!(0.25);
+                self.bid_delta += pos_edge * dec!(0.1);
             }
             if self.ratio_edge < Decimal::ZERO {
                 self.bid_delta += self.ratio_edge.abs()