v4.0.8: 使用价差收敛平仓

strategy/src/predictor.rs

@@ -176,27 +176,9 @@ impl Predictor {
         self.last_index = Decimal::from(index);
 
         if index == 233  {
-        } else {
-            self.depth_vec[index] = depth.clone();
-        }
-
-        if self.mid_price.is_zero() {
-            return;
-        }
-
-        self.processor(depth.time, false).await;
-    }
-
-    pub async fn on_trade(&mut self, trade: &Trade, index: usize) {
-        // index == 233代表做市所
-        // index == 0,1,2,3...代表参考所
-
-        self.last_price = trade.price;
-
-        self.trade_price_long_vec.push_back(trade.price);
-
-        if index == 233 {
-            self.mid_price = trade.price;
+            let ask_price = depth.asks[0].price;
+            let bid_price = depth.bids[0].price;
+            self.mid_price = (ask_price + bid_price) / Decimal::TWO;
 
             // 拟合k与b
             for (mid_index, mp) in self.mid_price_vec.iter().enumerate() {
@@ -231,7 +213,26 @@ impl Predictor {
                     }
                 }
             }
+        } else {
+            self.depth_vec[index] = depth.clone();
+        }
+
+        if self.mid_price.is_zero() {
+            return;
+        }
+
+        self.processor(depth.time, false).await;
+    }
 
+    pub async fn on_trade(&mut self, trade: &Trade, index: usize) {
+        // index == 233代表做市所
+        // index == 0,1,2,3...代表参考所
+
+        self.last_price = trade.price;
+
+        self.trade_price_long_vec.push_back(trade.price);
+
+        if index == 233 {
             self.trade_233_vec.push_back(trade.clone());
         } else {
             self.update_fair_price(trade, index).await;
@@ -335,20 +336,20 @@ impl Predictor {
             return;
         }
 
-        let is_close_long = self.inventory > Decimal::ZERO;
-        let is_close_short = self.inventory < Decimal::ZERO;
+        let is_close_long = self.inventory > Decimal::ZERO && (self.fair_price < self.mid_price * (Decimal::ONE + self.params.close));
+        let is_close_short = self.inventory < Decimal::ZERO && (self.fair_price > self.mid_price * (Decimal::ONE - self.params.close));
 
         if is_close_long {
             self.ask_delta = dec!(0);
             self.bid_delta = dec!(-2);
 
-            self.optimal_ask_price = self.fair_price + self.fair_price * self.params.close;
+            self.optimal_ask_price = self.mid_price;
             self.optimal_bid_price = Self::DONT_VIEW;
         } else if is_close_short {
             self.bid_delta = dec!(0);
             self.ask_delta = dec!(-2);
 
-            self.optimal_bid_price = self.fair_price - self.fair_price * self.params.close;
+            self.optimal_bid_price = self.mid_price;
             self.optimal_ask_price = Self::DONT_VIEW;
         } else {
             if self.fair_price > self.mid_price {