用自適應的距離。

strategy/src/avellaneda_stoikov.rs

@@ -173,8 +173,7 @@ impl AvellanedaStoikov {
         self.trade_vec.push_back(trade.clone());
 
         if self.trade_vec.deque.len() > 0 {
-            let prev_trade_iter = self.trade_vec.deque.iter().last().unwrap();
-
+            // let prev_trade_iter = self.trade_vec.deque.iter().last().unwrap();
             // if trade.price > prev_trade_iter.price {
             //     self.flow_in_value += trade.value;
             // } else if trade.price < prev_trade_iter.price {
@@ -277,38 +276,38 @@ impl AvellanedaStoikov {
     }
 
     pub fn update_delta(&mut self) {
-        let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff;
+        // let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff;
 
         self.base_delta = self.sigma_square;
 
         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.flow_ratio.is_zero() {
             if self.flow_ratio_change_long < Decimal::ZERO {
-                if self.flow_ratio_change_short > dec!(0.03) {
-                    self.ask_delta -= self.base_delta;
-                    self.bid_delta += self.base_delta * dec!(3);
-                } else if self.flow_ratio_change_short < dec!(-0.1) && self.inventory < Decimal::ZERO {
-                    self.ask_delta += self.base_delta * dec!(3);
-                    self.bid_delta -= self.base_delta;
+                if self.flow_ratio_change_short > Decimal::ZERO {
+                    self.ask_delta -= self.base_delta * self.flow_ratio_change_short.abs() / dec!(0.03);
+                    self.bid_delta += self.base_delta * self.flow_ratio_change_short.abs() / dec!(0.03);
+                } else if self.flow_ratio_change_short < Decimal::ZERO && self.inventory < Decimal::ZERO {
+                    self.ask_delta += self.base_delta * self.flow_ratio_change_short.abs() / dec!(0.03);
+                    self.bid_delta -= self.base_delta * self.flow_ratio_change_short.abs() / dec!(0.03);
                 } else {
                     self.ask_delta += self.base_delta * dec!(3);
                     self.bid_delta += self.base_delta * dec!(3);
                 }
             } else if self.flow_ratio_change_long > Decimal::ZERO {
-                if self.flow_ratio_change_short > dec!(0.1) && self.inventory > Decimal::ZERO {
-                    self.ask_delta -= self.base_delta;
-                    self.bid_delta += self.base_delta * dec!(3);
-                } else if self.flow_ratio_change_short < dec!(-0.03) {
-                    self.ask_delta += self.base_delta * dec!(3);
-                    self.bid_delta -= self.base_delta;
+                if self.flow_ratio_change_short > Decimal::ZERO && self.inventory > Decimal::ZERO {
+                    self.ask_delta -= self.base_delta * self.flow_ratio_change_short.abs() / dec!(0.03);
+                    self.bid_delta += self.base_delta * self.flow_ratio_change_short.abs() / dec!(0.03);
+                } else if self.flow_ratio_change_short < Decimal::ZERO {
+                    self.ask_delta += self.base_delta * self.flow_ratio_change_short.abs() / dec!(0.03);
+                    self.bid_delta -= self.base_delta * self.flow_ratio_change_short.abs() / dec!(0.03);
                 } else {
                     self.ask_delta += self.base_delta * dec!(3);
                     self.bid_delta += self.base_delta * dec!(3);