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距离逻辑修好了。

skyffire 1 年之前
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b8301f46c5
共有 1 個文件被更改,包括 7 次插入4 次删除
  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);
                 }
             }
         }