wvpin值计算加入

global/src/predictor_state.rs

@@ -22,4 +22,6 @@ pub struct PredictorState {
     pub sigma_square: Decimal,                                                  // σ^2，波动性的平方
     pub gamma: Decimal,                                                         // γ，库存风险厌恶参数
     pub kappa: Decimal,                                                         // κ 订单簿 流动性 参数
+
+    pub vwpin: Decimal,                                                         // vwpin值 知情交易概率
 }

strategy/src/avellaneda_stoikov.rs

@@ -26,7 +26,10 @@ pub struct AvellanedaStoikov {
     pub trade_long_vec: FixedTimeRangeDeque<Trade>,                             // 交易队列
     pub trade_short_vec: FixedTimeRangeDeque<Trade>,                            // 交易队列
     pub spread_vec: FixedTimeRangeDeque<Decimal>,
+    pub ticker_vec: FixedTimeRangeDeque<Ticker>,
+    pub vwpin_source_vec: FixedTimeRangeDeque<Decimal>,                          // vpin计算源数据
 
+    pub volume24h: Decimal,                                                     // 最新的24小时成交数量
     pub mid_price: Decimal,                                                     // 中间价
     pub ask_price: Decimal,                                                     // 卖一价
     pub bid_price: Decimal,                                                     // 买一价
@@ -43,6 +46,8 @@ pub struct AvellanedaStoikov {
     pub gamma: Decimal,                                                         // γ，库存风险厌恶参数
     pub kappa: Decimal,                                                         // κ 订单簿 流动性 参数
 
+    pub vwpin: Decimal,                                                         // vwpin值
+
     pub flow_ratio_long: Decimal,                                               // 资金流比例
     pub flow_ratio_short: Decimal,                                              // 资金流比例
 
@@ -75,7 +80,10 @@ impl AvellanedaStoikov {
             depth_vec: FixedTimeRangeDeque::new(Self::MAX_TIME_RANGE_MICROS),
             spread_vec: FixedTimeRangeDeque::new(Self::MAX_TIME_RANGE_MICROS),
             trade_long_vec: FixedTimeRangeDeque::new(Self::TRADE_LONG_RANGE_MICROS),
+            ticker_vec: FixedTimeRangeDeque::new(Self::TRADE_LONG_RANGE_MICROS),
             trade_short_vec: FixedTimeRangeDeque::new(Self::TRADE_SHORT_RANGE_MICROS),
+            vwpin_source_vec: FixedTimeRangeDeque::new(Self::MAX_TIME_RANGE_MICROS),
+            volume24h: Default::default(),
 
             mid_price: Default::default(),
             ask_price: Default::default(),
@@ -107,6 +115,7 @@ impl AvellanedaStoikov {
             flow_ratio_long: Decimal::ONE,
             level: Default::default(),
             flow_ratio_short: Default::default(),
+            vwpin: Default::default(),
         };
 
         avellaneda_stoikov
@@ -165,9 +174,17 @@ impl AvellanedaStoikov {
         let bid_size = depth.bids[0].size;
         self.mid_price = (self.ask_price * bid_size + self.bid_price * ask_size) / (ask_size + bid_size);
 
+        let total_size = ask_size + bid_size;
+
+        let vwpin_item = total_size/self.volume24h * (ask_size - bid_size) / total_size;
+
+        self.vwpin_source_vec.push_back(vwpin_item);
+
         self.processor().await;
     }
 
+
+
     pub async fn on_trade(&mut self, trade: &Trade) {
         self.trade_long_vec.push_back(trade.clone());
         self.trade_short_vec.push_back(trade.clone());
@@ -177,6 +194,13 @@ impl AvellanedaStoikov {
         self.processor().await;
     }
 
+    pub async fn on_ticker(&mut self, ticker: &Ticker) {
+        self.ticker_vec.push_back(ticker.clone());
+        self.volume24h = ticker.volume;
+
+        self.processor().await;
+    }
+
     pub async fn update_level(&mut self) {
         self.level = (Decimal::NEGATIVE_ONE + (Decimal::ONE + dec!(8) * self.inventory.abs()).sqrt().unwrap()) / Decimal::TWO;
         self.level = min(self.level, dec!(6));
@@ -404,6 +428,10 @@ impl AvellanedaStoikov {
         self.flow_ratio_short = Self::calc_flow_ratio(&self.flow_ratio_short, &dec!(0), &mut self.trade_long_vec);
     }
 
+    pub fn update_vwpin(&mut self) {
+        self.vwpin = self.vwpin_source_vec.deque.iter().copied().sum();
+    }
+
     pub fn check_ready(&mut self) {
         if self.is_ready {
             return;
@@ -483,6 +511,7 @@ impl AvellanedaStoikov {
             sigma_square: self.flow_ratio_long,
             gamma: self.flow_ratio_short,
             kappa: self.t_diff,
+            vwpin: self.vwpin,
 
             flow_ratio: self.flow_ratio_long,
             ref_price: self.ref_price,