係數

strategy/src/avellaneda_stoikov.rs

@@ -200,7 +200,7 @@ impl AvellanedaStoikov {
         // };
         // self.gamma.rescale(8);
 
-        self.gamma = dec!(1) * Self::IRA;
+        self.gamma = dec!(0.732) * Self::IRA;
     }
 
     pub fn update_kappa(&mut self) {
@@ -240,28 +240,30 @@ impl AvellanedaStoikov {
             self.ask_delta += pos_edge;
         }
 
+        let risk_factor = dec!(1.372);
+
         if !self.flow_ratio_long.is_zero() {
             if self.flow_ratio_long < Decimal::ZERO {
                 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());
+                    self.ask_delta -= self.base_delta * (self.flow_ratio_short.abs() * risk_factor);
+                    self.bid_delta += self.base_delta * (self.flow_ratio_short.abs() * risk_factor);
                 } else if self.flow_ratio_short < Decimal::ZERO && self.inventory < Decimal::ZERO {
-                    self.ask_delta += self.base_delta * (self.flow_ratio_short.abs());
-                    self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs());
+                    self.ask_delta += self.base_delta * (self.flow_ratio_short.abs() * risk_factor);
+                    self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs() * risk_factor);
                 } else {
-                    self.ask_delta += self.base_delta * dec!(2);
-                    self.bid_delta += self.base_delta * dec!(2);
+                    self.ask_delta += self.base_delta * risk_factor;
+                    self.bid_delta += self.base_delta * risk_factor * Decimal::TWO;
                 }
             } 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());
-                    self.bid_delta += self.base_delta * (self.flow_ratio_short.abs());
+                    self.ask_delta -= self.base_delta * (self.flow_ratio_short.abs() * risk_factor);
+                    self.bid_delta += self.base_delta * (self.flow_ratio_short.abs() * risk_factor);
                 } 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());
+                    self.ask_delta += self.base_delta * (self.flow_ratio_short.abs() * risk_factor);
+                    self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs() * risk_factor);
                 } else {
-                    self.ask_delta += self.base_delta * dec!(2);
-                    self.bid_delta += self.base_delta * dec!(2);
+                    self.ask_delta += self.base_delta * risk_factor * Decimal::TWO;
+                    self.bid_delta += self.base_delta * risk_factor;
                 }
             }
         } else {