ttl 800

strategy/src/predictor.rs

@@ -169,7 +169,7 @@ impl Predictor {
 
             spread_sma_1000_time_vec: FixedTimeRangeDeque::new(10_000),
             fair_price_time_vec: FixedTimeRangeDeque::new((params.second_observation_time.to_f64().unwrap() * 1_000_000f64).to_i64().unwrap()),
-            fair_price_long_time_vec: FixedTimeRangeDeque::new(2 * 60_000_000),
+            fair_price_long_time_vec: FixedTimeRangeDeque::new(5 * 60_000_000),
             mid_price_time_vec: FixedTimeRangeDeque::new(100_000),
             fair_price: Default::default(),
             fair_price_ema_short: Default::default(),
@@ -498,7 +498,6 @@ impl Predictor {
                 }
             }
 
-            // TODO 动量动量，动了多少，量又有多少？？
             // ============================ 止损逻辑处理 =======================
             if self.fair_rate_focus_close.is_zero() && !self.inventory.is_zero() && self.profit_point < dec!(-0.0314159) {
                 self.fair_rate_focus_close = dec!(-0.0314159);
@@ -701,7 +700,7 @@ impl Predictor {
 
         let inventory = self.inventory;
 
-        let sigma_square = self.spread;
+        let sigma_square = Self::get_real_rate(&self.fair_price_long_time_vec);
         // let sigma_square = self.error_rate;
 
         let gamma = self.fair_rate_focus_open;

strategy/src/strategy.rs

@@ -871,7 +871,7 @@ impl Strategy {
                 // 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 && predictor.bid_delta != dec!(-2) {
+                if self.local_time - order.local_time <= 800 && predictor.bid_delta != dec!(-2) {
                     continue
                 }
                 command.cancel.insert(key, value);
@@ -882,7 +882,7 @@ impl Strategy {
                 // if order.price >= short_lower && order.price <= short_upper {
                 // if predictor.ask_price == order.price {
                 // if self.local_time - order.local_time <= 500 {
-                if self.local_time - order.local_time <= 500 && predictor.ask_delta != dec!(-2) {
+                if self.local_time - order.local_time <= 800 && predictor.ask_delta != dec!(-2) {
                     continue
                 }
                 // debug!(?key, ?order.price, ?short_lower, ?short_upper);