再次移除部分不必要变量

strategy/src/predictor.rs

@@ -1,4 +1,3 @@
-use std::cmp::{max};
 use std::collections::{BTreeMap, VecDeque};
 use std::sync::Arc;
 use chrono::{Utc};
@@ -43,9 +42,6 @@ pub struct Predictor {
 
     pub is_ready: bool,                                                         // 是否已准备好
 
-    pub prev_trade_time: i64,                                                   // 上次交易时间，也就是t
-    pub t_diff: Decimal,                                                        // (T-t)
-
     pub last_update_time: Decimal,                                              // 最后更新时间（depth）
     pub last_index: Decimal,                                                    // 最后更新的index
 
@@ -130,20 +126,19 @@ impl Predictor {
             optimal_ask_price: Default::default(),
             optimal_bid_price: Default::default(),
 
-            inventory: Default::default(),
             ask_delta: Default::default(),
             bid_delta: Default::default(),
 
             is_ready: false,
-            prev_trade_time: Utc::now().timestamp_micros(),
-            t_diff: Default::default(),
+
+            inventory: Default::default(),
+            pos_avg_price: Default::default(),
             pos_amount: Default::default(),
 
             signal: Default::default(),
 
             last_update_time: Default::default(),
             last_index: Default::default(),
-            pos_avg_price: Default::default(),
 
             prev_insert_time: Default::default(),
             prev_save_time: Decimal::from(Utc::now().timestamp_millis()),
@@ -192,7 +187,6 @@ impl Predictor {
             return;
         }
 
-        let prev_inventory = self.inventory;
         self.pos_amount = pos_amount.clone();
         self.pos_avg_price = pos_avg_price.clone();
         self.inventory = (pos_amount / (min_amount_value / self.mid_price)).trunc();
@@ -205,10 +199,6 @@ impl Predictor {
             };
         }
 
-        if prev_inventory != self.inventory && prev_inventory.is_zero() {
-            self.prev_trade_time = Utc::now().timestamp_micros();
-        }
-
         self.processor().await;
     }
 
@@ -236,15 +226,10 @@ impl Predictor {
 
         // https://quant.stackexchange.com/questions/50651/how-to-understand-micro-price-aka-weighted-mid-price
         let total = a1.value + b1.value;
-        let fp = a1.price * b1.value / total + b1.price * a1.value / total;
         // let fair_price = (a1.price + b1.price) / Decimal::TWO;
 
-        // 生成mid price
-        self.fair_price_vec[index] = if self.fair_price_vec[index].is_zero() {
-            fp
-        } else {
-            self.fair_price_vec[index] * dec!(0.5) + fp * dec!(0.5)
-        };
+        // 生成fp
+        self.fair_price_vec[index] = a1.price * b1.value / total + b1.price * a1.value / total;
         self.fair_price_vec[index].rescale(self.mid_price.scale());
 
         // 求价格倍率
@@ -323,15 +308,6 @@ impl Predictor {
         self.optimal_bid_price.rescale(self.mid_price.scale());
     }
 
-    pub fn update_t_diff(&mut self) {
-        if self.prev_trade_time > 0 {
-            let time_diff_decimal = Decimal::from_i64(Utc::now().timestamp_micros() - self.prev_trade_time).unwrap();
-            self.t_diff = max(Decimal::ONE - time_diff_decimal / Decimal::from_i64(Self::TIME_DIFF_RANGE_MICROS).unwrap(), Decimal::ZERO);
-        } else {
-            self.t_diff = Decimal::ONE;
-        }
-    }
-
     pub fn check_ready(&mut self) {
         if self.is_ready {
             return;
@@ -366,7 +342,6 @@ impl Predictor {
             return;
         }
 
-        self.update_t_diff();
         self.update_delta();
 
         // let mut smm = Decimal::ZERO;