做市方案調整。優化釋放風險過程。

strategy/src/avellaneda_stoikov.rs

@@ -53,7 +53,7 @@ pub struct AvellanedaStoikov {
 
 impl AvellanedaStoikov {
     // 时间窗口大小（微秒）
-    const MAX_TIME_RANGE_MICROS: i64 = 3 * 60_000_000;
+    const MAX_TIME_RANGE_MICROS: i64 = 5 * 60_000_000;
     // const ONE_MILLION: Decimal = dec!(1_000_000);
     // const TWENTY_THOUSAND: Decimal = dec!(20_000);
     const IRA: Decimal = dec!(1);
@@ -190,7 +190,7 @@ impl AvellanedaStoikov {
     }
 
     pub fn update_sigma_square(&mut self) {
-        self.sigma_square = self.spread_max * dec!(0.5);
+        self.sigma_square = self.spread_max;
         self.sigma_square.rescale(10);
     }
 
@@ -202,7 +202,7 @@ impl AvellanedaStoikov {
         // };
         // self.gamma.rescale(8);
 
-        self.gamma = dec!(0.236) * Self::IRA;
+        self.gamma = dec!(0.25) * Self::IRA;
     }
 
     pub fn update_kappa(&mut self) {
@@ -230,10 +230,10 @@ impl AvellanedaStoikov {
 
     pub fn update_delta(&mut self) {
         if self.gamma != Decimal::ZERO {
-            let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff / Decimal::TWO;
+            let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(dec!(3.14)) * 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 = dec!(3.14) * self.flow_ratio * self.sigma_square;
 
             self.bid_delta = self.base_delta;
             self.ask_delta = self.base_delta;
@@ -245,11 +245,11 @@ impl AvellanedaStoikov {
             }
 
             if self.ratio_edge > Decimal::ZERO {
-                self.ask_delta = 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);
+                self.ask_delta = self.ask_delta - self.ratio_edge.abs() * (Decimal::ONE - self.t_diff);
+                self.bid_delta = self.bid_delta + self.ratio_edge.abs() * (dec!(0.5) + dec!(0.5) * self.t_diff);
             } else if self.ratio_edge < Decimal::ZERO {
-                self.ask_delta = self.ask_delta + self.ratio_edge.abs() * dec!(25);
-                self.bid_delta = self.bid_delta - self.ratio_edge.abs() * (dec!(1.618) - self.t_diff);
+                self.ask_delta = self.ask_delta + self.ratio_edge.abs() * (dec!(0.5) + dec!(0.5) * self.t_diff);
+                self.bid_delta = self.bid_delta - self.ratio_edge.abs() * (Decimal::ONE - self.t_diff);
             }
 
             if self.init_delta_plus.is_zero() {
@@ -259,8 +259,8 @@ 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!(1.618), self.ask_price);
+        self.optimal_bid_price = min(self.ref_price - self.bid_delta / dec!(1.618), self.bid_price);
     }
 
     pub fn update_t_diff(&mut self) {
@@ -273,7 +273,7 @@ impl AvellanedaStoikov {
     }
 
     pub fn update_flow_ratio(&mut self) {
-        if self.trade_vec.len() > 200 {
+        if self.trade_vec.len() > 100 {
             self.flow_ratio = (self.flow_in_value - self.flow_out_value) / (self.flow_out_value + self.flow_in_value);
         } else {
             self.flow_ratio = Decimal::ZERO;