不考虑差价测试。

strategy/src/avellaneda_stoikov.rs

@@ -332,15 +332,16 @@ impl AvellanedaStoikov {
             // let v0_rate = self.volume_vec[0] / (self.volume_vec[0] + self.volume_vec[1]);
             // let v1_rate = self.volume_vec[1] / (self.volume_vec[0] + self.volume_vec[1]);
 
-            let sma = self.depth_vec[1].asks[0].price;
-            let smb = self.depth_vec[1].bids[0].price;
+            // let sma = self.depth_vec[1].asks[0].price;
+            // let smb = self.depth_vec[1].bids[0].price;
 
-            let mp0 = self.mid_price;
-            let mp1 = (sma + smb) / Decimal::TWO;
+            // let mp0 = self.mid_price;
+            // let mp1 = (sma + smb) / Decimal::TWO;
 
-            let price_diff = mp0 - mp1;
+            // let price_diff = mp0 - mp1;
 
-            self.ref_price = (self.fair_price_vec[0] + self.fair_price_vec[1] + price_diff) / Decimal::TWO;
+            // self.ref_price = (self.fair_price_vec[0] + self.fair_price_vec[1] + price_diff) / Decimal::TWO;
+            self.ref_price = (self.fair_price_vec[0] + self.fair_price_vec[1]) / Decimal::TWO;
         }
     }
 
@@ -350,14 +351,14 @@ impl AvellanedaStoikov {
 
             self.base_delta = self.sigma_square;
 
-            self.bid_delta = self.base_delta;
+            self.bid_delta = self.base_delta * Decimal::TWO;
             self.ask_delta = self.base_delta;
 
-            // if self.inventory > Decimal::ZERO && self.flow_ratio > Decimal::ZERO {
-            //     self.ask_delta = self.base_delta * dec!(0.8);
-            //     // self.ask_delta = Decimal::NEGATIVE_ONE;
-            // }
-            // else if self.money_flow_index == Decimal::ZERO {
+            if self.money_flow_index < dec!(50) {
+                self.bid_delta = self.base_delta;
+            }
+
+            // else if self.flow_ratio.is_zero() {
             //     self.bid_delta = self.base_delta * dec!(0.8);
             //     // self.bid_delta = Decimal::NEGATIVE_ONE;
             // }
@@ -499,7 +500,7 @@ impl AvellanedaStoikov {
             kappa: self.flow_ratio,
 
             flow_ratio: Decimal::ZERO,
-            ref_price: self.fair_price_vec[0],
+            ref_price: self.ref_price,
         });
     }