突然性增加

strategy/src/predictor.rs

@@ -155,7 +155,7 @@ impl Predictor {
             ask_delta: Default::default(),
             bid_delta: Default::default(),
 
-            fair_price_time_vec: FixedTimeRangeDeque::new(50_000),
+            fair_price_time_vec: FixedTimeRangeDeque::new(10_000),
             mid_price_time_vec: FixedTimeRangeDeque::new(100_000),
             spread_sma_1000_time_vec: FixedTimeRangeDeque::new(500_000),
             fair_price: Default::default(),
@@ -260,9 +260,9 @@ impl Predictor {
             self.close_price = self.fair_price_when_ordering;
         }
 
-        if prev_inventory != self.inventory && self.inventory.is_zero() {
-            self.is_regressed = false;
-        }
+        // if prev_inventory != self.inventory && self.inventory.is_zero() {
+        //     self.is_regressed = false;
+        // }
 
         self.update_level().await;
         self.processor().await;
@@ -304,17 +304,14 @@ impl Predictor {
             self.fair_price_time_vec.push_back(self.fair_price);
 
             // 重置焦点，条件1
-            if !self.fair_rate_focus.is_zero() && self.mid_price_time_vec.deque.len() >= 2 && self.fair_price_time_vec.deque.len() >= 2 {
-                let mid_price_prev = self.mid_price_time_vec.deque.get(self.mid_price_time_vec.deque.len() - 2).unwrap();
-                let fair_price_prev = self.fair_price_time_vec.deque.get(self.fair_price_time_vec.deque.len() - 2).unwrap();
-
+            if !self.fair_rate_focus.is_zero() {
                 // 向上涨，并且mid下穿fair，视为观测阶段结束
-                if self.fair_rate_focus > Decimal::ZERO && mid_price_prev > fair_price_prev && self.mid_price < self.fair_price {
+                if self.fair_rate_focus > Decimal::ZERO && self.spread_sma_1000 < Decimal::ZERO {
                     self.fair_rate_focus = Decimal::ZERO;
                 }
 
                 // 向下跌，并且mid上穿fair，视为观测阶段结束
-                if self.fair_rate_focus < Decimal::ZERO && mid_price_prev < fair_price_prev && self.mid_price > self.fair_price {
+                if self.fair_rate_focus < Decimal::ZERO && self.spread_sma_1000 > Decimal::ZERO {
                     self.fair_rate_focus = Decimal::ZERO;
                 }
             }
@@ -333,24 +330,24 @@ impl Predictor {
                 // 只有有强度的rate才有资格被称为针
                 if rate.abs() > self.params.open {
                     // 向上涨，并且fair下穿mid，视为观测阶段开始
-                    if rate > Decimal::ZERO && self.mid_price > self.fair_price {
+                    if rate > Decimal::ZERO && self.spread_sma_1000 > Decimal::ZERO {
                         self.fair_rate_focus = rate;
                     }
 
                     // 向下跌，并且fair上穿mid，视为观测阶段开始
-                    if rate < Decimal::ZERO && self.mid_price < self.fair_price {
+                    if rate < Decimal::ZERO && self.spread_sma_1000 < Decimal::ZERO {
                         self.fair_rate_focus = rate;
                     }
                 }
             }
         }
 
-        // 判断价格是否回归
-        if !self.is_regressed && self.inventory > Decimal::ZERO && self.spread_sma_1000 < max(self.spread_sma, self.spread_sma_2000) {
-            self.is_regressed = true
-        } else if !self.is_regressed && self.inventory < Decimal::ZERO && self.spread_sma_1000 > min(self.spread_sma, self.spread_sma_2000) {
-            self.is_regressed = true
-        }
+        // // 判断价格是否回归
+        // if !self.is_regressed && self.inventory > Decimal::ZERO && self.spread_sma_1000 < max(self.spread_sma, self.spread_sma_2000) {
+        //     self.is_regressed = true
+        // } else if !self.is_regressed && self.inventory < Decimal::ZERO && self.spread_sma_1000 > min(self.spread_sma, self.spread_sma_2000) {
+        //     self.is_regressed = true
+        // }
     }
 
     pub fn update_spread(&mut self) {
@@ -553,7 +550,13 @@ impl Predictor {
         let optimal_bid_price = self.optimal_bid_price;
 
         let inventory = self.inventory;
-        let sigma_square = if self.is_regressed { Decimal::ONE } else { Decimal::ZERO };
+
+        let last_fair_price = self.fair_price_time_vec.deque.iter().last().unwrap();
+        let first_fair_price = self.fair_price_time_vec.deque[0];
+        let mut rate = (last_fair_price - first_fair_price) / first_fair_price;
+        rate.rescale(8);
+
+        let sigma_square = rate;
         let gamma = now - self.last_update_time;
 
         let kappa = self.fair_rate_focus;