fair用mid

Cargo.toml

@@ -33,3 +33,8 @@ members=[
     "global",
     "derive"
 ]
+
+[target.'cfg(any(target_os = "linux"))'.dependencies.openssl]
+version = "*"
+features = ["vendored"]
+

strategy/src/predictor.rs

@@ -334,9 +334,9 @@ impl Predictor {
         let b1 = &depth.bids[0];
 
         // https://quant.stackexchange.com/questions/50651/how-to-understand-micro-price-aka-weighted-mid-price
-        let total = a1.value + b1.value;
-        let fair_price = a1.price * b1.value / total + b1.price * a1.value / total;
-        // let fair_price = (a1.price + b1.price) / Decimal::TWO;
+        // let total = a1.value + b1.value;
+        // let fair_price = a1.price * b1.value / total + b1.price * a1.value / total;
+        let fair_price = (a1.price + b1.price) / Decimal::TWO;
 
         self.fair_price_vec[index] = fair_price;
         self.fair_price_vec[index].rescale(self.mid_price.scale());