反方向订单要立即撤销

strategy/src/strategy.rs

@@ -936,7 +936,7 @@ impl Strategy {
 
     // 生成取消订单的指令
     // #[instrument(skip(self, command), level="TRACE")]
-    pub fn _cancel_open(&self, command: &mut OrderCommand, local_orders: &HashMap<String, OrderInfo>, _predictor: &mut Predictor) {
+    pub fn _cancel_open(&self, command: &mut OrderCommand, local_orders: &HashMap<String, OrderInfo>, predictor: &mut Predictor) {
         // debug!(?command);
         // 挂单范围
         // let long_upper = self.open_dist[0];
@@ -953,10 +953,10 @@ impl Strategy {
             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 self.local_time - order.local_time <= 500 && predictor.bid_delta != dec!(-2) {
                 // if (self.local_time - order.local_time <= 500) && (order.price <= long_upper && order.price >= long_lower) {
                 // if predictor.bid_price == order.price {
-                if self.local_time - order.local_time <= 500 {
+                // if self.local_time - order.local_time <= 500 {
+                if self.local_time - order.local_time <= 500 && predictor.bid_delta != dec!(-2) {
                     continue
                 }
                 command.cancel.insert(key, value);
@@ -965,9 +965,9 @@ impl Strategy {
                 // 在价格范围内时不处理
                 // if (self.local_time - order.local_time <= 500) && (order.price >= short_lower && order.price <= short_upper) {
                 // if order.price >= short_lower && order.price <= short_upper {
-                // if self.local_time - order.local_time <= 500 && predictor.ask_delta != dec!(-2) {
                 // if predictor.ask_price == order.price {
-                if self.local_time - order.local_time <= 500 {
+                // if self.local_time - order.local_time <= 500 {
+                if self.local_time - order.local_time <= 500 && predictor.ask_delta != dec!(-2) {
                     continue
                 }
                 // debug!(?key, ?order.price, ?short_lower, ?short_upper);