再次調整開倉係數。

strategy/src/avellaneda_stoikov.rs

@@ -245,11 +245,17 @@ impl AvellanedaStoikov {
     }
 
     pub fn update_delta(&mut self) {
-        if self.gamma != Decimal::ZERO {
+        if self.flow_ratio_vec.len() == 0 {
+            return;
+        }
+
+        let max_flow_ratio_abs = self.flow_ratio_vec.deque.iter().map(|&x| x.abs()).max().unwrap();
+        self.flow_ratio_diff = max_flow_ratio_abs;
+        if !self.gamma.is_zero() && !max_flow_ratio_abs.is_zero() {
             let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(dec!(2.5)) * self.t_diff / Decimal::TWO;
 
             self.base_delta = self.gamma * self.sigma_square * self.t_diff / Decimal::TWO + (Decimal::ONE / self.gamma) * (Decimal::ONE + self.gamma / self.kappa).ln();
-            self.ratio_edge = self.flow_ratio * self.sigma_square;
+            self.ratio_edge = (self.flow_ratio / max_flow_ratio_abs.abs()) * self.sigma_square;
 
             self.bid_delta = self.base_delta;
             self.ask_delta = self.base_delta;
@@ -262,15 +268,15 @@ impl AvellanedaStoikov {
 
             if self.ratio_edge > Decimal::ZERO {
                 self.ask_delta = if self.inventory.is_sign_negative() {
-                    self.ask_delta - self.ratio_edge.abs() * (dec!(1.618) - dec!(3.72) * self.t_diff)
+                    self.ask_delta - self.ratio_edge.abs() * (dec!(1.618) - dec!(6.18) * self.t_diff)
                 } else {
                     self.ask_delta - self.ratio_edge.abs() * (dec!(1.618) - self.t_diff)
                 };
                 self.bid_delta = self.bid_delta + self.ratio_edge.abs() * dec!(25);
             } else if self.ratio_edge < Decimal::ZERO {
                 self.ask_delta = self.ask_delta + self.ratio_edge.abs() * dec!(25);
-                self.ask_delta = if !self.inventory.is_sign_negative() {
-                    self.bid_delta - self.ratio_edge.abs() * (dec!(1.618) - dec!(3.72) * self.t_diff)
+                self.bid_delta = if !self.inventory.is_sign_negative() {
+                    self.bid_delta - self.ratio_edge.abs() * (dec!(1.618) - dec!(6.18) * self.t_diff)
                 } else {
                     self.bid_delta - self.ratio_edge.abs() * (dec!(1.618) - self.t_diff)
                 };
@@ -297,7 +303,7 @@ impl AvellanedaStoikov {
     }
 
     pub fn update_flow_ratio(&mut self) {
-        if self.flow_out_value + self.flow_in_value > Decimal::ZERO {
+        if self.flow_out_value + self.flow_in_value > Decimal::ZERO && self.trade_vec.len() > 100 {
             // let prev_flow_ratio = self.flow_ratio;
             self.flow_ratio = (self.flow_in_value - self.flow_out_value) / (self.flow_out_value + self.flow_in_value);
             self.flow_ratio_vec.push_back(self.flow_ratio);
@@ -394,7 +400,7 @@ impl AvellanedaStoikov {
             inventory: self.inventory,
             sigma_square: self.flow_ratio,
             gamma: self.ratio_edge,
-            kappa: self.t_diff,
+            kappa: self.flow_ratio_diff,
 
             flow_ratio: self.flow_ratio,
             ref_price: self.ref_price,