skyffire 1 год назад
Родитель
Сommit
b8301f46c5
1 измененных файлов с 7 добавлено и 4 удалено
  1. 7 4
      strategy/src/avellaneda_stoikov.rs

+ 7 - 4
strategy/src/avellaneda_stoikov.rs

@@ -291,22 +291,25 @@ impl AvellanedaStoikov {
 
             if self.flow_ratio_trades.abs() > dec!(0.273) {
                 if self.inventory > Decimal::ZERO && self.ratio_edge > Decimal::ZERO {
-                    self.ask_delta -= self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
+                    self.ask_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
                     self.bid_delta += self.sigma_square.abs() * dec!(10);
                 } else if self.inventory < Decimal::ZERO && self.ratio_edge < Decimal::ZERO {
                     self.ask_delta += self.sigma_square.abs() * dec!(10);
-                    self.bid_delta -= self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
+                    self.bid_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
                 } else {
                     self.ask_delta += self.sigma_square.abs() * dec!(10);
                     self.bid_delta += self.sigma_square.abs() * dec!(10);
                 }
             } else {
                 if self.ratio_edge > Decimal::ZERO {
-                    self.ask_delta -= self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
+                    self.ask_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
                     self.bid_delta += self.sigma_square.abs() * dec!(5);
                 } 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.bid_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
+                } else {
+                    self.ask_delta += self.sigma_square.abs() * dec!(5);
+                    self.bid_delta += self.sigma_square.abs() * dec!(5);
                 }
             }
         }