係數調整。

strategy/src/avellaneda_stoikov.rs

@@ -244,33 +244,31 @@ impl AvellanedaStoikov {
             self.ask_delta += pos_edge;
         }
 
-        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;
-                } else if self.flow_ratio_short < Decimal::ZERO && self.inventory < Decimal::ZERO {
-                    self.ask_delta += self.base_delta;
-                    self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs());
-                } else {
-                    self.ask_delta += self.base_delta;
-                    self.bid_delta += self.base_delta;
-                }
-            } 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;
-                } else if self.flow_ratio_short < Decimal::ZERO {
-                    self.ask_delta += self.base_delta;
-                    self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs());
-                } else {
-                    self.ask_delta += self.base_delta;
-                    self.bid_delta += self.base_delta;
-                }
+        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() * Decimal::PI);
+                self.bid_delta += self.base_delta;
+            } else if self.flow_ratio_short < Decimal::ZERO && self.inventory < Decimal::ZERO {
+                self.ask_delta += self.base_delta;
+                self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs() * dec!(1.5));
+            } else {
+                self.ask_delta += self.base_delta;
+                self.bid_delta += self.base_delta;
+            }
+        } 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() * dec!(1.5));
+                self.bid_delta += self.base_delta;
+            } else if self.flow_ratio_short < Decimal::ZERO {
+                self.ask_delta += self.base_delta;
+                self.bid_delta -= self.base_delta * (self.flow_ratio_short.abs() * Decimal::PI);
+            } else {
+                self.ask_delta += self.base_delta;
+                self.bid_delta += self.base_delta;
             }
         } else {
-            self.ask_delta += self.base_delta * dec!(10);
-            self.bid_delta += self.base_delta * dec!(10);
+            self.ask_delta += self.base_delta;
+            self.bid_delta += self.base_delta;
         }
 
         if self.init_delta_plus.is_zero() {
@@ -306,10 +304,10 @@ impl AvellanedaStoikov {
             let prev_trade_iter = trades.deque.get(index - 1).unwrap();
             let trade = trade_iter;
             if trade.price > prev_trade_iter.price {
-                flow_in_value += Decimal::ONE * (prev_trade_iter.price - trade.price).abs();
+                flow_in_value += trade.value * (prev_trade_iter.price - trade.price).abs();
                 // flow_in_value += Decimal::ONE;
             } else if trade.price < prev_trade_iter.price {
-                flow_out_value += Decimal::ONE * (prev_trade_iter.price - trade.price).abs();
+                flow_out_value += trade.value * (prev_trade_iter.price - trade.price).abs();
                 // flow_out_value += Decimal::ONE;
             } else {
                 // if trade.size > Decimal::ZERO {