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v1.1.2: 修改价差判断方向的逻辑,避免某个所变成呆呆导致信号还是正的情况

skyffire 9 mesi fa
parent
commit
7c981d20f7
2 ha cambiato i file con 7 aggiunte e 15 eliminazioni
  1. 3 7
      strategy/src/predictor.rs
  2. 4 8
      strategy/src/utils.rs

+ 3 - 7
strategy/src/predictor.rs

@@ -337,14 +337,10 @@ impl Predictor {
             }
 
             self.spread_vec[i] = fair_price_std - self.mid_price;
-
-            if self.spread_vec[i] > self.params.min_spread {
-                self.signal = self.signal + Decimal::ONE;
-            }
-            if self.spread_vec[i] < -self.params.min_spread {
-                self.signal = self.signal - Decimal::ONE;
-            }
+            self.signal = self.signal +  self.spread_vec[i];
         }
+        self.signal = self.signal / self.params.min_spread;
+        self.signal.rescale(0);
 
         // 更新程序关注的开仓焦点
         if self.fair_rate_focus_open.is_zero() && self.inventory.is_zero() {

+ 4 - 8
strategy/src/utils.rs

@@ -495,14 +495,10 @@ pub fn build_html_file(data_c: &Vec<VecDeque<Option<Decimal>>>) -> String {
               data: inventoryList,
             },
           },
-          // { data: data[2] },
-          // { data: data[3] },
-          // { data: data[8] },
-          // { data: data[9] },
-          { data: [] },
-          { data: [] },
-          { data: [] },
-          { data: [] },
+          { data: data[2] },
+          { data: data[3] },
+          { data: data[8] },
+          { data: data[9] },
           { data: data[15] },
           { data: data[5] },
           { data: data[6] },