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显示升级,可以显示两个交易所的买一卖一

skyffire 1 år sedan
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1 ändrade filer med 13 tillägg och 6 borttagningar
  1. 13 6
      strategy/src/avellaneda_stoikov.rs

+ 13 - 6
strategy/src/avellaneda_stoikov.rs

@@ -363,7 +363,14 @@ 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;
+            smm = (sma + smb) / Decimal::TWO;
+        }
         cci.predictor_state_vec.push_back(PredictorState {
             update_time: Decimal::from_i64(Utc::now().timestamp_millis()).unwrap(),
 
@@ -371,15 +378,15 @@ impl AvellanedaStoikov {
             ask_price: self.ask_price,
             bid_price: self.bid_price,
             last_price: self.last_price,
-            spread: self.spread,
-            spread_max: self.spread_max,
-            spread_min: Decimal::ZERO,
+            spread: smm,
+            spread_max: sma,
+            spread_min: smb,
             optimal_ask_price: self.optimal_ask_price,
             optimal_bid_price: self.optimal_bid_price,
 
             inventory: self.inventory,
-            sigma_square: self.sigma_square,
-            gamma: self.gamma,
+            sigma_square: self.spread_max,
+            gamma: self.spread,
             kappa: self.kappa,
 
             flow_ratio: Decimal::ZERO,