這個版本還行。

strategy/src/avellaneda_stoikov.rs

@@ -54,7 +54,7 @@ pub struct AvellanedaStoikov {
 impl AvellanedaStoikov {
     // 时间窗口大小（微秒）
     const MAX_TIME_RANGE_MICROS: i64 = 5 * 60_000_000;
-    const TRADE_RANGE_MICROS: i64 = 2 * 60_000_000;
+    const TRADE_RANGE_MICROS: i64 = 3 * 60_000_000;
     // const ONE_MILLION: Decimal = dec!(1_000_000);
     // const TWENTY_THOUSAND: Decimal = dec!(20_000);
     const IRA: Decimal = dec!(1);
@@ -203,7 +203,7 @@ impl AvellanedaStoikov {
         // };
         // self.gamma.rescale(8);
 
-        self.gamma = dec!(0.25) * Self::IRA;
+        self.gamma = dec!(0.236) * Self::IRA;
     }
 
     pub fn update_kappa(&mut self) {
@@ -231,10 +231,10 @@ impl AvellanedaStoikov {
 
     pub fn update_delta(&mut self) {
         if self.gamma != Decimal::ZERO {
-            let pos_edge = self.gamma * self.sigma_square * self.inventory.abs() * self.t_diff;
+            let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff / Decimal::TWO;
 
-            self.base_delta = self.sigma_square * self.t_diff;
-            self.ratio_edge = dec!(3.14) * self.flow_ratio * self.sigma_square;
+            self.base_delta = self.gamma * self.sigma_square * self.t_diff / Decimal::TWO + (Decimal::ONE / self.gamma) * (Decimal::ONE + self.gamma / self.kappa).ln();
+            self.ratio_edge = self.flow_ratio * self.sigma_square;
 
             self.bid_delta = self.base_delta;
             self.ask_delta = self.base_delta;
@@ -247,9 +247,9 @@ impl AvellanedaStoikov {
 
             if self.ratio_edge > Decimal::ZERO {
                 self.ask_delta = self.ask_delta - self.ratio_edge.abs() * (dec!(1.618) - self.t_diff);
-                self.bid_delta = self.bid_delta + self.ratio_edge.abs() * (dec!(0.5) + dec!(0.5) * self.t_diff);
+                self.bid_delta = self.bid_delta + self.ratio_edge.abs() * dec!(25);
             } else if self.ratio_edge < Decimal::ZERO {
-                self.ask_delta = self.ask_delta + self.ratio_edge.abs() * (dec!(0.5) + dec!(0.5) * self.t_diff);
+                self.ask_delta = self.ask_delta + self.ratio_edge.abs() * dec!(25);
                 self.bid_delta = self.bid_delta - self.ratio_edge.abs() * (dec!(1.618) - self.t_diff);
             }
 
@@ -260,8 +260,8 @@ impl AvellanedaStoikov {
     }
 
     pub fn update_optimal_ask_and_bid(&mut self) {
-        self.optimal_ask_price = max(self.ref_price + self.ask_delta / dec!(1.618), self.ask_price);
-        self.optimal_bid_price = min(self.ref_price - self.bid_delta / dec!(1.618), self.bid_price);
+        self.optimal_ask_price = max(self.ref_price + self.ask_delta / dec!(3.72), self.ask_price);
+        self.optimal_bid_price = min(self.ref_price - self.bid_delta / dec!(3.72), self.bid_price);
     }
 
     pub fn update_t_diff(&mut self) {
@@ -346,7 +346,7 @@ impl AvellanedaStoikov {
         cci.predictor_state_vec.push_back(PredictorState {
             update_time: Decimal::from_i64(Utc::now().timestamp_millis()).unwrap(),
 
-            mid_price: self.mid_price,
+            mid_price: self.last_price,
             ask_price: self.ask_price,
             bid_price: self.bid_price,
             last_price: self.last_price,