慢平仓测试。

strategy/src/avellaneda_stoikov.rs

@@ -120,6 +120,8 @@ impl AvellanedaStoikov {
         let mut max_count = 0usize;
 
         for (spread, count) in self.spread_count_map.iter() {
+            // info!(?spread, ?count);
+
             if *count < max_count {
                 continue
             }
@@ -127,6 +129,7 @@ impl AvellanedaStoikov {
             self.spread_best = *spread;
             max_count = *count;
         }
+        // info!("======================")
     }
 
     pub fn update_spread(&mut self) {
@@ -142,7 +145,7 @@ impl AvellanedaStoikov {
             self.spread_vec.push(self.spread);
             self.spread_count_map.insert(self.spread, self.spread_count_map.get(&self.spread).unwrap_or(&0) + 1);
 
-            if self.spread_vec.len() > 100_000 {
+            if self.spread_vec.len() > 1_000 {
                 let pop_value = self.spread_vec.remove(0);
                 self.spread_count_map.insert(pop_value, self.spread_count_map.get(&pop_value).unwrap() - 1);
             }
@@ -233,7 +236,7 @@ impl AvellanedaStoikov {
     }
 
     pub fn update_sigma_square(&mut self) {
-        self.sigma_square = self.spread_best;
+        self.sigma_square = self.spread_max * dec!(0.7);
         self.sigma_square.rescale(10);
     }