高延遲撤單測試。

strategy/src/strategy.rs

@@ -836,20 +836,17 @@ impl Strategy {
             let key = format!("Cancel{}", *order_client_id);
             let value = vec![order.client_id.clone(), order.order_id.clone()];
 
-            // if self.local_time - order.local_time > 100 {
-            //     command.cancel.insert(key, value);
-            // }
             // 开多订单处理
             if order.side == "kd".to_string() {
                 // 在价格范围内时不处理
-                if order.price <= long_upper && order.price >= long_lower {
+                if (order.price <= long_upper && order.price >= long_lower) || self.local_time - order.local_time <= 100 {
                     continue
                 }
                 // debug!(?key, ?order.price, ?long_upper, ?long_lower);
                 command.cancel.insert(key, value);
             } else if order.side == "kk".to_string() { // 开空订单处理
                 // 在价格范围内时不处理
-                if order.price >= short_lower && order.price <= short_upper {
+                if (order.price >= short_lower && order.price <= short_upper) || self.local_time - order.local_time <= 100 {
                     continue
                 }
                 // debug!(?key, ?order.price, ?short_lower, ?short_upper);
@@ -956,22 +953,22 @@ impl Strategy {
             let mut target_buy_price = predictor.optimal_bid_price;
             // target_buy_price = utils::clip(target_buy_price, self.bp * dec!(0.97), self.ap * dec!(1.0005));
             target_buy_price = utils::fix_price(target_buy_price, self.tick_size);
-            let amount = if predictor.inventory <= dec!(-3) {
-                utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.inventory.abs(), target_buy_price, self.step_size)
-            } else {
-                utils::get_amount_by_min_amount_value(self.min_amount_value, target_buy_price, self.step_size)
-            };
-            // let amount = if predictor.inventory < Decimal::ZERO {
-            //     // utils::fix_amount(self.step_size * predictor.inventory.abs(), self.step_size)
-            //     if predictor.level >= dec!(3) {
-            //         utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.inventory.abs(), target_buy_price, self.step_size)
-            //     } else {
-            //         utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.level, target_buy_price, self.step_size)
-            //     }
+            // let amount = if predictor.inventory <= dec!(-3) {
+            //     utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.inventory.abs(), target_buy_price, self.step_size)
             // } else {
-            //     // utils::fix_amount(self.step_size * (predictor.level + Decimal::ONE), self.step_size)
-            //     utils::get_amount_by_min_amount_value(self.min_amount_value * (predictor.level + Decimal::ONE), target_buy_price, self.step_size)
+            //     utils::get_amount_by_min_amount_value(self.min_amount_value, target_buy_price, self.step_size)
             // };
+            let amount = if predictor.inventory < Decimal::ZERO {
+                // utils::fix_amount(self.step_size * predictor.inventory.abs(), self.step_size)
+                if predictor.level >= dec!(3) {
+                    utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.inventory.abs(), target_buy_price, self.step_size)
+                } else {
+                    utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.level, target_buy_price, self.step_size)
+                }
+            } else {
+                // utils::fix_amount(self.step_size * (predictor.level + Decimal::ONE), self.step_size)
+                utils::get_amount_by_min_amount_value(self.min_amount_value * (predictor.level + Decimal::ONE), target_buy_price, self.step_size)
+            };
 
 
             // 下单价值判定
@@ -997,22 +994,22 @@ impl Strategy {
             // target_sell_price = utils::clip(target_sell_price, self.bp * dec!(0.9995), self.ap * dec!(1.03));
             // 取消大小限制
             target_sell_price = utils::fix_price(target_sell_price, self.tick_size);
-            let amount = if predictor.inventory >= dec!(3) {
-                utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.inventory.abs(), target_sell_price, self.step_size)
-            } else {
-                utils::get_amount_by_min_amount_value(self.min_amount_value, target_sell_price, self.step_size)
-            };
-            // let amount = if predictor.inventory > Decimal::ZERO {
-            //     if predictor.level >= dec!(3) {
-            //         utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.inventory.abs(), target_sell_price, self.step_size)
-            //     } else {
-            //         utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.level, target_sell_price, self.step_size)
-            //     }
-            //     // utils::fix_amount(self.step_size * predictor.inventory.abs(), self.step_size)
+            // let amount = if predictor.inventory >= dec!(3) {
+            //     utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.inventory.abs(), target_sell_price, self.step_size)
             // } else {
-            //     utils::get_amount_by_min_amount_value(self.min_amount_value * (predictor.level + Decimal::ONE), target_sell_price, self.step_size)
-            //     // utils::fix_amount(self.step_size * (predictor.level + Decimal::ONE), self.step_size)
+            //     utils::get_amount_by_min_amount_value(self.min_amount_value, target_sell_price, self.step_size)
             // };
+            let amount = if predictor.inventory > Decimal::ZERO {
+                if predictor.level >= dec!(3) {
+                    utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.inventory.abs(), target_sell_price, self.step_size)
+                } else {
+                    utils::get_amount_by_min_amount_value(self.min_amount_value * predictor.level, target_sell_price, self.step_size)
+                }
+                // utils::fix_amount(self.step_size * predictor.inventory.abs(), self.step_size)
+            } else {
+                utils::get_amount_by_min_amount_value(self.min_amount_value * (predictor.level + Decimal::ONE), target_sell_price, self.step_size)
+                // utils::fix_amount(self.step_size * (predictor.level + Decimal::ONE), self.step_size)
+            };
 
             // 下单价值不能太大，也不能太小
             let amount_value = amount * target_sell_price;