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高倍率的delta,防止行情未到时成交。

skyffire 1 年之前
父节点
当前提交
acdf6143c4
共有 1 个文件被更改,包括 6 次插入6 次删除
  1. 6 6
      strategy/src/avellaneda_stoikov.rs

+ 6 - 6
strategy/src/avellaneda_stoikov.rs

@@ -290,14 +290,14 @@ impl AvellanedaStoikov {
             }
 
             if self.ratio_edge > Decimal::ZERO {
-                self.ask_delta -= self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
-                self.bid_delta += self.sigma_square.abs() * dec!(5);
+                self.ask_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
+                self.bid_delta += self.sigma_square.abs() * dec!(10);
             } else if self.ratio_edge < Decimal::ZERO {
-                self.ask_delta += self.sigma_square.abs() * dec!(5);
-                self.bid_delta -= self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
+                self.ask_delta += self.sigma_square.abs() * dec!(10);
+                self.bid_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
             } else if self.ratio_edge == Decimal::ZERO {
-                self.ask_delta += self.sigma_square.abs() * dec!(5);
-                self.bid_delta += self.sigma_square.abs() * dec!(5);
+                self.ask_delta += self.sigma_square.abs() * dec!(10);
+                self.bid_delta += self.sigma_square.abs() * dec!(10);
             }
         }
     }