flow_ratio_short代表了trades的MFI

strategy/src/avellaneda_stoikov.rs

@@ -395,7 +395,7 @@ impl AvellanedaStoikov {
         if flow_out_value + flow_in_value > *min_volume {
             // let now = (flow_in_value - flow_out_value) / (flow_out_value + flow_in_value);
             // a * now + (Decimal::ONE - a) * prev_flow_ratio
-            (flow_in_value - flow_out_value) / (flow_out_value + flow_in_value)
+            Decimal::ONE_HUNDRED * flow_in_value / (flow_out_value + flow_in_value)
         } else {
             Decimal::ZERO
         }
@@ -526,7 +526,7 @@ impl AvellanedaStoikov {
             inventory: self.inventory,
             sigma_square: self.money_flow_index,
             gamma: self.flow_ratio,
-            kappa: self.t_diff,
+            kappa: self.flow_ratio_short,
 
             flow_ratio: self.flow_ratio,
             ref_price: self.ref_price,