版本三：处理了前缀以及长期价差问题。

strategy/src/predictor.rs

@@ -582,12 +582,12 @@ impl Predictor {
         let bid_price = self.bid_price;
         let last_price = self.last_price;
 
-        // let spread = self.spread;
-        // let spread_max = self.spread_max;
-        // let spread_min = self.spread_max * Decimal::NEGATIVE_ONE;
-        let spread = self.price_times_avg;
-        let spread_max = self.fair_price_vec[1] / self.fair_price_vec[0];
-        let spread_min = self.fair_price / self.mid_price;
+        let spread = self.spread;
+        let spread_max = self.spread_max;
+        let spread_min = self.spread_max * Decimal::NEGATIVE_ONE;
+        // let spread = self.price_times_avg;
+        // let spread_max = self.fair_price_vec[1] / self.fair_price_vec[0];
+        // let spread_min = self.fair_price / self.mid_price;
 
         let optimal_ask_price = self.optimal_ask_price;
         let optimal_bid_price = self.optimal_bid_price;
@@ -595,7 +595,7 @@ impl Predictor {
         let inventory = self.inventory;
         let sigma_square = self.error_rate;
         let gamma = now - self.last_update_time;
-        let kappa = self.pos_amount;
+        let kappa = self.fair_price / self.mid_price;
 
         let flow_ratio = Decimal::ZERO;
         let ref_price = self.fair_price;

strategy/src/strategy.rs

@@ -1230,7 +1230,7 @@ impl Strategy {
 
         self._cancel_open(&mut command, local_orders);              // 撤单命令处理
         self._post_close(&mut command, local_orders, predictor);    // 平仓单命令处理
-        // self._post_open(&mut command, local_orders, predictor);     // 限价单命令处理
+        self._post_open(&mut command, local_orders, predictor);     // 限价单命令处理
         self._check_local_orders(&mut command, local_orders);       // 固定时间检查超时订单
         self._update_in_cancel(&mut command, local_orders);         // 更新撤单队列，是一个filter
         self._check_request_limit(&mut command);                    // 限制频率，移除不合规则之订单，是一个filter