资金流显示加入

strategy/src/avellaneda_stoikov.rs

@@ -249,11 +249,11 @@ impl AvellanedaStoikov {
                 self.ask_delta += pos_edge;
                 self.bid_delta += pos_edge * dec!(0.1);
             }
-            if self.ratio_edge < Decimal::ZERO {
-                self.bid_delta += self.ratio_edge.abs()
-            } else if self.ratio_edge > Decimal::ZERO {
-                self.ask_delta += self.ratio_edge.abs()
-            }
+            // if self.ratio_edge < Decimal::ZERO {
+            //     self.bid_delta += self.ratio_edge.abs()
+            // } else if self.ratio_edge > Decimal::ZERO {
+            //     self.ask_delta += self.ratio_edge.abs()
+            // }
 
             if self.init_delta_plus.is_zero() {
                 self.init_delta_plus = (self.bid_delta + self.ask_delta) / Decimal::TWO
@@ -274,17 +274,10 @@ impl AvellanedaStoikov {
     }
 
     pub fn update_flow_ratio(&mut self) {
-        // self.flow_ratio = if self.trade_vec.len() < 100 {
-        //     Decimal::ZERO
-        // } else {
-        //     let now = (self.flow_in_value - self.flow_out_value) / (self.flow_out_value + self.flow_in_value);
-        //
-        //     self.flow_ratio * dec!(0.8) + now * dec!(0.2)
-        // };
-        //
-        // self.flow_ratio.rescale(6);
+        let now = (self.flow_in_value - self.flow_out_value) / (self.flow_out_value + self.flow_in_value);
 
-        self.flow_ratio = Decimal::ZERO;
+        self.flow_ratio = self.flow_ratio * dec!(0.5) + now * dec!(0.5);
+        self.flow_ratio.rescale(6);
     }
 
     pub fn check_ready(&mut self) {
@@ -363,7 +356,7 @@ impl AvellanedaStoikov {
             optimal_bid_price: self.optimal_bid_price,
 
             inventory: self.inventory,
-            sigma_square: self.sigma_square,
+            sigma_square: self.flow_ratio,
             gamma: self.gamma,
             kappa: self.kappa,