做市所与参考所的交易量比值

strategy/src/predictor.rs

@@ -21,7 +21,9 @@ pub struct Predictor {
     pub depth_vec: Vec<Depth>,                                                  // 深度队列
     pub spread_vec: Vec<Decimal>,                                               // 价差队列
     pub record_vec: VecDeque<Record>,                                           // 蜡烛队列
-    pub trade_price_long_vec: FixedTimeRangeDeque<Decimal>,                     // 交易队列
+    pub trade_price_long_vec: FixedTimeRangeDeque<Decimal>,
+    pub trade_0_vec: FixedTimeRangeDeque<Trade>,
+    pub trade_1_vec: FixedTimeRangeDeque<Trade>,
 
     pub mid_price: Decimal,                                                     // 中间价
     pub fair_price: Decimal,
@@ -69,7 +71,7 @@ impl Predictor {
     // const TIME_DIFF_RANGE_MICROS: i64 = 15 * 60_000_000;
     const TRADE_LONG_RANGE_MICROS: i64 = 10 * 60_000_000;
     // const SPREAD_RANGE_MICROS: i64 = 15 * 60_000_000;
-    // const TRADE_SHORT_RANGE_MICROS: i64 = 2 * 60_000_000;
+    const TRADE_SHORT_RANGE_MICROS: i64 = 2 * 60_000_000;
     // const ONE_MILLION: Decimal = dec!(1_000_000);
     // const TWENTY_THOUSAND: Decimal = dec!(20_000);
     const DONT_VIEW: Decimal = dec!(14142135623730951);
@@ -130,6 +132,8 @@ impl Predictor {
             record_vec: VecDeque::new(),
 
             trade_price_long_vec: FixedTimeRangeDeque::new(Self::TRADE_LONG_RANGE_MICROS),
+            trade_0_vec: FixedTimeRangeDeque::new(Self::TRADE_SHORT_RANGE_MICROS),
+            trade_1_vec: FixedTimeRangeDeque::new(Self::TRADE_SHORT_RANGE_MICROS),
             mid_price: Default::default(),
             fair_price: Default::default(),
             ask_price: Default::default(),
@@ -188,11 +192,17 @@ impl Predictor {
         self.processor(depth.time, false).await;
     }
 
-    pub async fn on_trade(&mut self, trade: &Trade, _index: usize) {
+    pub async fn on_trade(&mut self, trade: &Trade, index: usize) {
         self.last_price = trade.price;
 
         self.trade_price_long_vec.push_back(trade.price);
 
+        if index == 0 {
+            self.trade_0_vec.push_back(trade.clone());
+        } else if index == 1 {
+            self.trade_1_vec.push_back(trade.clone());
+        }
+
         // self.processor().await;
     }
 
@@ -408,13 +418,13 @@ impl Predictor {
         let last_price = Self::DONT_VIEW;
         let fair_price = self.fair_price;
 
-        let spread = if self.trade_price_long_vec.len() > 1 {
-            let front = self.trade_price_long_vec.deque.front().unwrap();
-            let back = self.trade_price_long_vec.deque.back().unwrap();
+        let total_amount_0: Decimal = self.trade_0_vec.deque.iter().map(|trade| trade.value).sum();
+        let total_amount_1: Decimal = self.trade_1_vec.deque.iter().map(|trade| trade.value).sum();
 
-            (back / front) - Decimal::ONE
-        } else {
+        let spread = if total_amount_0 + total_amount_1 == Decimal::ZERO {
             Decimal::ZERO
+        } else {
+            total_amount_0 / (total_amount_0 + total_amount_1)
         };
         let spread_min = Self::DONT_VIEW;
         let spread_max = Self::DONT_VIEW;
@@ -427,7 +437,14 @@ impl Predictor {
         let sigma_square = self.params.open;
 
         let gamma = self.balance;
-        let kappa = Decimal::ZERO;
+        let kappa = if self.trade_price_long_vec.len() > 1 {
+            let front = self.trade_price_long_vec.deque.front().unwrap();
+            let back = self.trade_price_long_vec.deque.back().unwrap();
+
+            (back / front) - Decimal::ONE
+        } else {
+            Decimal::ZERO
+        };
 
         let flow_ratio = Decimal::ZERO;