图像优化

strategy/src/avellaneda_stoikov.rs

@@ -256,12 +256,12 @@ impl AvellanedaStoikov {
 
     pub fn update_optimal_ask_and_bid(&mut self) {
         self.optimal_ask_price = if self.ask_delta == Decimal::NEGATIVE_ONE {
-            self.fair_price_vec[0]
+            self.ref_price
         } else {
             max(self.ref_price + self.ask_delta, self.ask_price)
         };
         self.optimal_bid_price = if self.bid_delta == Decimal::NEGATIVE_ONE {
-            self.fair_price_vec[0]
+            self.ref_price
         } else {
             min(self.ref_price - self.bid_delta, self.bid_price)
         };
@@ -349,12 +349,10 @@ impl AvellanedaStoikov {
         }
 
         let mut cci = self.cci_arc.lock().await;
-        let mut sma = Decimal::ZERO;
-        let mut smb = Decimal::ZERO;
         let mut smm = Decimal::ZERO;
         if !self.depth_vec[1].time.is_zero() {
-            sma = self.depth_vec[1].asks[0].price;
-            smb = self.depth_vec[1].bids[0].price;
+            let sma = self.depth_vec[1].asks[0].price;
+            let smb = self.depth_vec[1].bids[0].price;
             smm = (sma + smb) / Decimal::TWO;
         }
         cci.predictor_state_vec.push_back(PredictorState {
@@ -365,8 +363,8 @@ impl AvellanedaStoikov {
             bid_price: self.bid_price,
             last_price: self.last_price,
             spread: smm,
-            spread_max: sma,
-            spread_min: smb,
+            spread_max: self.mid_price,
+            spread_min: self.ref_price,
             optimal_ask_price: self.optimal_ask_price,
             optimal_bid_price: self.optimal_bid_price,