数据插入排序

strategy/src/predictor.rs

@@ -88,12 +88,26 @@ impl Predictor {
 
             while let Some(value) = rx.next().await {
                 // 数据填充到对应位置
-                for i in 0..len {
-                    if value[i] == Self::DONT_VIEW {
-                        debugs[i].push_back(None);
+                // 第一步：获取插入位置
+                let target_ts = value[0]; // 时间戳在values[0]
+                let insert_pos = debugs[0]
+                    .binary_search_by(|ts| {
+                        ts.as_ref() // 解包Option
+                            .expect("Timestamp cannot be None")
+                            .cmp(&target_ts)
+                    })
+                    .unwrap_or_else(|e| e);
+
+                // 第二步：执行插入操作
+                for i in 0..debugs.len() {
+                    let value = value.get(i).cloned().unwrap_or(Self::DONT_VIEW);
+                    // 其他队列按规则插入
+                    let elem = if value == Self::DONT_VIEW {
+                        None
                     } else {
-                        debugs[i].push_back(Some(value[i]));
-                    }
+                        Some(value)
+                    };
+                    debugs[i].insert(insert_pos, elem);
                 }
 
                 // 长度限制
@@ -190,7 +204,7 @@ impl Predictor {
                 self.prices[mid_index][1].push_back(mp.clone());
 
                 // 长度限制
-                if self.prices[mid_index][0].len() > 2000 {
+                if self.prices[mid_index][0].len() > 10000 {
                     self.prices[mid_index][0].pop_front();
                     self.prices[mid_index][1].pop_front();
                 }
@@ -325,7 +339,7 @@ impl Predictor {
             spread_abs.rescale(5);
 
             self.spread_vec.push_back(spread_abs);
-            if self.spread_vec.len() > 1000 {
+            if self.spread_vec.len() > 3000 {
                 self.spread_vec.pop_front();
             }
 
@@ -398,6 +412,14 @@ impl Predictor {
             }
         }
 
+        if self.optimal_ask_price.is_zero() {
+            return;
+        }
+
+        if self.optimal_bid_price.is_zero() {
+            return;
+        }
+
         if self.balance.is_zero() {
             return;
         }
@@ -461,7 +483,7 @@ impl Predictor {
         let is_delta_changed = self.update_delta().await;
 
         // let cci_arc = self.cci_arc.clone();
-        let now = Decimal::from(Utc::now().timestamp_millis());
+        let now = data_time;
         let mid_price = self.mid_price;
         let ask_price = if self.params.ref_exchange.len() > 0 {
             self.fair_price_std_vec[0]
@@ -487,7 +509,7 @@ impl Predictor {
 
         let inventory = self.inventory;
 
-        let sigma_square = now - data_time;
+        let sigma_square = Decimal::from(Utc::now().timestamp_millis()) - data_time;
 
         let gamma = self.balance;
         let kappa = self.params.open;