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