11111

strategy/src/avellaneda_stoikov.rs

@@ -200,7 +200,7 @@ impl AvellanedaStoikov {
         // };
         // self.gamma.rescale(8);
 
-        self.gamma = dec!(0.3) * Self::IRA;
+        self.gamma = dec!(1) * Self::IRA;
     }
 
     pub fn update_kappa(&mut self) {
@@ -242,23 +242,23 @@ impl AvellanedaStoikov {
 
         if !self.flow_ratio_long.is_zero() {
             if self.flow_ratio_long < Decimal::ZERO {
-                if self.flow_ratio_short > Decimal::ZERO || self.inventory > Decimal::ZERO {
-                    self.ask_delta -= self.base_delta * (self.flow_ratio_short.abs() * Decimal::PI);
-                    self.bid_delta += self.base_delta * (self.flow_ratio_short.abs() * Decimal::PI);
+                if self.flow_ratio_short > Decimal::ZERO {
+                    self.ask_delta -= self.base_delta * (self.flow_ratio_short.abs());
+                    self.bid_delta += self.base_delta * (self.flow_ratio_short.abs());
                 } else if self.flow_ratio_short < Decimal::ZERO && self.inventory < Decimal::ZERO {
-                    self.ask_delta += self.base_delta * (self.flow_ratio_short.abs() * Decimal::PI);
-                    self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs() * Decimal::PI);
+                    self.ask_delta += self.base_delta * (self.flow_ratio_short.abs());
+                    self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs());
                 } else {
                     self.ask_delta += self.base_delta * dec!(2);
                     self.bid_delta += self.base_delta * dec!(2);
                 }
             } else if self.flow_ratio_long > Decimal::ZERO {
                 if self.flow_ratio_short > Decimal::ZERO && self.inventory > Decimal::ZERO {
-                    self.ask_delta -= self.base_delta * (self.flow_ratio_short.abs() * Decimal::PI);
-                    self.bid_delta += self.base_delta * (self.flow_ratio_short.abs() * Decimal::PI);
-                } else if self.flow_ratio_short < Decimal::ZERO || self.inventory < Decimal::ZERO {
-                    self.ask_delta += self.base_delta * (self.flow_ratio_short.abs() * Decimal::PI);
-                    self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs() * Decimal::PI);
+                    self.ask_delta -= self.base_delta * (self.flow_ratio_short.abs());
+                    self.bid_delta += self.base_delta * (self.flow_ratio_short.abs());
+                } else if self.flow_ratio_short < Decimal::ZERO {
+                    self.ask_delta += self.base_delta * (self.flow_ratio_short.abs());
+                    self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs());
                 } else {
                     self.ask_delta += self.base_delta * dec!(2);
                     self.bid_delta += self.base_delta * dec!(2);
@@ -275,8 +275,8 @@ impl AvellanedaStoikov {
     }
 
     pub fn update_optimal_ask_and_bid(&mut self) {
-        self.optimal_ask_price = max(self.ref_price + self.ask_delta / dec!(3.72), self.ask_price);
-        self.optimal_bid_price = min(self.ref_price - self.bid_delta / dec!(3.72), self.bid_price);
+        self.optimal_ask_price = max(self.ref_price + self.ask_delta / dec!(2), self.ask_price);
+        self.optimal_bid_price = min(self.ref_price - self.bid_delta / dec!(2), self.bid_price);
     }
 
     pub fn update_t_diff(&mut self) {