新版資金流邏輯測試。

strategy/src/avellaneda_stoikov.rs

@@ -281,7 +281,6 @@ impl AvellanedaStoikov {
             let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff / Decimal::TWO;
 
             self.base_delta = self.sigma_square;
-            self.ratio_edge = self.flow_ratio * self.sigma_square;
 
             self.bid_delta = self.base_delta;
             self.ask_delta = self.base_delta;
@@ -292,10 +291,18 @@ impl AvellanedaStoikov {
                 self.ask_delta += pos_edge;
             }
 
-            if self.ratio_edge > Decimal::ZERO {
-                self.bid_delta = self.bid_delta + self.ratio_edge.abs() * dec!(25) * self.t_diff;
-            } else if self.ratio_edge < Decimal::ZERO {
-                self.ask_delta = self.ask_delta + self.ratio_edge.abs() * dec!(25) * self.t_diff;
+            if self.flow_ratio_change > Decimal::ZERO {
+                self.bid_delta -= self.base_delta;
+
+                if self.inventory <= Decimal::ZERO {
+                    self.ask_delta += self.base_delta;
+                }
+            } else if self.flow_ratio_change < Decimal::ZERO {
+                self.ask_delta -= self.base_delta;
+
+                if self.inventory >= Decimal::ZERO {
+                    self.bid_delta += self.base_delta;
+                }
             }
 
             if self.init_delta_plus.is_zero() {

strategy/src/strategy.rs

@@ -1095,7 +1095,7 @@ impl Strategy {
         }
 
         self._cancel_open(&mut command, local_orders);              // 撤单命令处理
-        // self._post_open(&mut command, local_orders, predictor);     // 限价单命令处理
+        self._post_open(&mut command, local_orders, predictor);     // 限价单命令处理
         self._check_local_orders(&mut command, local_orders);       // 固定时间检查超时订单
         self._update_in_cancel(&mut command, local_orders);         // 更新撤单队列，是一个filter
         self._check_request_limit(&mut command);                    // 限制频率，移除不合规则之订单，是一个filter