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pos_edge 回到 pow2,如果测试稳定了,再开

skyffire 1 year ago
parent
commit
3787c5fbf7
1 changed files with 1 additions and 1 deletions
  1. 1 1
      strategy/src/avellaneda_stoikov.rs

+ 1 - 1
strategy/src/avellaneda_stoikov.rs

@@ -225,7 +225,7 @@ impl AvellanedaStoikov {
             // } else {
             //     Decimal::PI * 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(dec!(3)) * self.t_diff;
+            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;