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修复价差识别bug。

skyffire 9 months ago
parent
commit
8258d21dbe
1 changed files with 5 additions and 1 deletions
  1. 5 1
      strategy/src/predictor.rs

+ 5 - 1
strategy/src/predictor.rs

@@ -303,7 +303,11 @@ impl Predictor {
             .count();
         if fair_price_count != 0 {
             self.fair_price = fair_price_sum / Decimal::from(fair_price_count);
-            self.spread_vec.push_back(((self.fair_price - self.mid_price) / self.mid_price).abs());
+
+            let mut spread_abs = ((self.fair_price - self.mid_price) / self.mid_price).abs();
+            spread_abs.rescale(5);
+
+            self.spread_vec.push_back(spread_abs);
             let max_abs_value = self.spread_vec.deque.iter().max().unwrap().clone();
 
             let prev_open = self.params.open.clone();