MFI第二版，距离计算完毕

strategy/src/avellaneda_stoikov.rs

@@ -35,7 +35,7 @@ pub struct AvellanedaStoikov {
     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_long: Decimal,                                               // 资金流比例
+    pub flow_ratio: Decimal,                                                    // 资金流比例
     pub flow_ratio_short: Decimal,                                              // 资金流比例
     pub money_flow_index: Decimal,                                              // MFI
 
@@ -98,7 +98,7 @@ impl AvellanedaStoikov {
             prev_trade_time: Utc::now().timestamp_micros(),
             t_diff: Default::default(),
             level: Default::default(),
-            flow_ratio_long: Default::default(),
+            flow_ratio: Default::default(),
             flow_ratio_short: Default::default(),
             money_flow_index: Default::default(),
         };
@@ -275,7 +275,7 @@ impl AvellanedaStoikov {
             let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(dec!(2)) * self.t_diff;
 
             self.base_delta = self.gamma * self.sigma_square * self.t_diff / Decimal::TWO + (Decimal::ONE / self.gamma) * (Decimal::ONE + self.gamma / self.kappa).ln();
-            self.ratio_edge = self.flow_ratio_long * self.sigma_square;
+            self.ratio_edge = self.flow_ratio * self.sigma_square;
 
             self.bid_delta = self.base_delta;
             self.ask_delta = self.base_delta;
@@ -287,11 +287,14 @@ impl AvellanedaStoikov {
             }
 
             if self.ratio_edge > Decimal::ZERO {
-                self.ask_delta = self.ask_delta - self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
-                self.bid_delta = self.bid_delta + self.ratio_edge.abs() * dec!(16);
+                self.ask_delta -= self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
+                self.bid_delta += self.ratio_edge.abs() * dec!(16);
             } else if self.ratio_edge < Decimal::ZERO {
-                self.ask_delta = self.ask_delta + self.ratio_edge.abs() * dec!(16);
-                self.bid_delta = self.bid_delta - self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
+                self.ask_delta += self.ratio_edge.abs() * dec!(16);
+                self.bid_delta -= self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
+            } else if self.ratio_edge == Decimal::ZERO {
+                self.ask_delta += self.sigma_square.abs() * dec!(5);
+                self.bid_delta += self.sigma_square.abs() * dec!(5);
             }
         }
     }
@@ -395,44 +398,50 @@ impl AvellanedaStoikov {
         }
     }
 
-    fn calc_flow_ratio_2(_prev_flow_ratio: &Decimal, min_volume: &Decimal, trades: &mut FixedTimeRangeDeque<Trade>) -> Decimal {
-        let mut flow_in_value = Decimal::ZERO;
-        let mut flow_out_value = Decimal::ZERO;
-        for (index, trade_iter) in trades.deque.iter().enumerate() {
-            if index == 0 {
-                continue
-            }
-
-            let prev_trade_iter = trades.deque.get(index - 1).unwrap();
-            let trade = trade_iter;
-            if trade.price > prev_trade_iter.price {
-                flow_in_value += trade.value;
-                // flow_in_value += Decimal::ONE;
-            } else if trade.price < prev_trade_iter.price {
-                flow_out_value += trade.value;
-                // flow_out_value += Decimal::ONE;
-            } else {
-                if trade.size > Decimal::ZERO {
-                    flow_in_value += trade.value;
-                } else {
-                    flow_out_value += trade.value;
-                }
-            }
-        }
+    // fn calc_flow_ratio_2(_prev_flow_ratio: &Decimal, min_volume: &Decimal, trades: &mut FixedTimeRangeDeque<Trade>) -> Decimal {
+    //     let mut flow_in_value = Decimal::ZERO;
+    //     let mut flow_out_value = Decimal::ZERO;
+    //     for (index, trade_iter) in trades.deque.iter().enumerate() {
+    //         if index == 0 {
+    //             continue
+    //         }
+    //
+    //         let prev_trade_iter = trades.deque.get(index - 1).unwrap();
+    //         let trade = trade_iter;
+    //         if trade.price > prev_trade_iter.price {
+    //             flow_in_value += trade.value;
+    //             // flow_in_value += Decimal::ONE;
+    //         } else if trade.price < prev_trade_iter.price {
+    //             flow_out_value += trade.value;
+    //             // flow_out_value += Decimal::ONE;
+    //         } else {
+    //             if trade.size > Decimal::ZERO {
+    //                 flow_in_value += trade.value;
+    //             } else {
+    //                 flow_out_value += trade.value;
+    //             }
+    //         }
+    //     }
+    //
+    //     // 使用EMA來更新資金流，確保平滑性
+    //     // let a = Decimal::TWO / dec!(50);
+    //     if flow_out_value + flow_in_value > *min_volume {
+    //         // let now = (flow_in_value - flow_out_value) / (flow_out_value + flow_in_value);
+    //         // a * now + (Decimal::ONE - a) * prev_flow_ratio
+    //         (flow_in_value - flow_out_value) / (flow_out_value + flow_in_value)
+    //     } else {
+    //         Decimal::ZERO
+    //     }
+    // }
 
-        // 使用EMA來更新資金流，確保平滑性
-        // let a = Decimal::TWO / dec!(50);
-        if flow_out_value + flow_in_value > *min_volume {
-            // let now = (flow_in_value - flow_out_value) / (flow_out_value + flow_in_value);
-            // a * now + (Decimal::ONE - a) * prev_flow_ratio
-            (flow_in_value - flow_out_value) / (flow_out_value + flow_in_value)
+    pub fn update_flow_ratio(&mut self) {
+        self.flow_ratio = if self.money_flow_index > dec!(80) {
+            (self.money_flow_index - dec!(80)) / dec!(20)
+        } else if self.money_flow_index < dec!(20) {
+            Decimal::NEGATIVE_ONE * self.money_flow_index / dec!(20)
         } else {
             Decimal::ZERO
-        }
-    }
-
-    pub fn update_flow_ratio(&mut self) {
-        self.flow_ratio_long = Self::calc_flow_ratio_2(&self.flow_ratio_long, &dec!(0), &mut self.trade_long_vec);
+        };
         self.flow_ratio_short = Self::calc_flow_ratio(&self.flow_ratio_short, &dec!(0), &mut self.trade_long_vec);
     }
 
@@ -513,10 +522,10 @@ impl AvellanedaStoikov {
 
             inventory: self.inventory,
             sigma_square: self.money_flow_index,
-            gamma: self.flow_ratio_long,
+            gamma: self.flow_ratio,
             kappa: self.t_diff,
 
-            flow_ratio: self.flow_ratio_long,
+            flow_ratio: self.flow_ratio,
             ref_price: self.ref_price,
         });
     }