限定資金比例範圍。

strategy/src/avellaneda_stoikov.rs

@@ -255,7 +255,7 @@ impl AvellanedaStoikov {
             let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(dec!(2.5)) * self.t_diff / Decimal::TWO;
 
             self.base_delta = self.gamma * self.sigma_square * self.t_diff / Decimal::TWO + (Decimal::ONE / self.gamma) * (Decimal::ONE + self.gamma / self.kappa).ln();
-            self.ratio_edge = (self.flow_ratio / max_flow_ratio_abs.abs()) * self.sigma_square;
+            self.ratio_edge = dec!(5) * (self.flow_ratio / max_flow_ratio_abs.abs()) * self.sigma_square;
 
             self.bid_delta = self.base_delta;
             self.ask_delta = self.base_delta;
@@ -272,9 +272,9 @@ impl AvellanedaStoikov {
                 } else {
                     self.ask_delta - self.ratio_edge.abs() * (dec!(1.618) - self.t_diff)
                 };
-                self.bid_delta = self.bid_delta + self.ratio_edge.abs() * dec!(25);
+                self.bid_delta = self.bid_delta + self.ratio_edge.abs() * Decimal::TEN;
             } else if self.ratio_edge < Decimal::ZERO {
-                self.ask_delta = self.ask_delta + self.ratio_edge.abs() * dec!(25);
+                self.ask_delta = self.ask_delta + self.ratio_edge.abs() * Decimal::TEN;
                 self.bid_delta = if !self.inventory.is_sign_negative() {
                     self.bid_delta - self.ratio_edge.abs() * (dec!(1.618) - dec!(6.18) * self.t_diff)
                 } else {
@@ -306,6 +306,13 @@ impl AvellanedaStoikov {
         if self.flow_out_value + self.flow_in_value > Decimal::ZERO && self.trade_vec.len() > 100 {
             // let prev_flow_ratio = self.flow_ratio;
             self.flow_ratio = (self.flow_in_value - self.flow_out_value) / (self.flow_out_value + self.flow_in_value);
+            if self.flow_ratio.abs() < dec!(0.1) {
+                self.flow_ratio = if self.flow_ratio.is_sign_negative() {
+                    dec!(-0.1)
+                } else {
+                    dec!(0.1)
+                }
+            }
             self.flow_ratio_vec.push_back(self.flow_ratio);
 
             // self.flow_ratio_diff = if !prev_flow_ratio.is_zero() {