新的预定价格算法

strategy/src/avellaneda_stoikov.rs

@@ -203,16 +203,16 @@ impl AvellanedaStoikov {
         let mid = (a1.price + b1.price) / Decimal::TWO;
 
         let i_upper = (a1.value - b1.value) / (a1.value + b1.value);
-        // let s_upper = (a1.price - b1.price) / mid;
-        // let f_t = Decimal::ZERO;
-        // let s = (s_upper + f_t) / Decimal::TWO;
-        //
-        // let a_upper_t = dec!(0.6);
-        // let c_t = dec!(0);
-        // let theta = a_upper_t * s + c_t;
-        // let fair_price = mid + theta * (i_upper * (i_upper.powd(Decimal::TWO) + Decimal::ONE)) / Decimal::TWO;
+        let s_upper = (a1.price - b1.price) / mid;
+        let f_t = Decimal::ZERO;
+        let s = (s_upper + f_t) / Decimal::TWO;
 
-        let fair_price = mid + (a1.price - b1.price) * i_upper / Decimal::TWO;
+        let a_upper_t = dec!(0.6);
+        let c_t = self.spread_max;
+        let theta = a_upper_t * s + c_t;
+        let fair_price = mid + theta * (i_upper * (i_upper.powd(Decimal::TWO) + Decimal::ONE)) / Decimal::TWO;
+
+        // let fair_price = mid + (a1.price - b1.price) * i_upper / Decimal::TWO;
 
         self.fair_price_vec[index] = fair_price;
         self.volume_vec[index] = a1.size + b1.size;
@@ -330,13 +330,19 @@ impl AvellanedaStoikov {
             self.bid_delta = self.base_delta;
             self.ask_delta = self.base_delta;
 
-            if self.inventory > Decimal::ZERO && self.flow_ratio > Decimal::ZERO {
-                self.ask_delta = self.base_delta * dec!(0.8);
-                // self.ask_delta = Decimal::NEGATIVE_ONE;
-            } else if self.inventory < Decimal::ZERO && self.flow_ratio < Decimal::ZERO {
-                self.bid_delta = self.base_delta * dec!(0.8);
-                // self.bid_delta = Decimal::NEGATIVE_ONE;
-            }
+            // if self.inventory > Decimal::ZERO && self.flow_ratio > Decimal::ZERO {
+            //     self.ask_delta = self.base_delta * dec!(0.8);
+            //     // self.ask_delta = Decimal::NEGATIVE_ONE;
+            // }
+            // else if self.money_flow_index == Decimal::ZERO {
+            //     self.bid_delta = self.base_delta * dec!(0.8);
+            //     // self.bid_delta = Decimal::NEGATIVE_ONE;
+            // }
+
+            // else if self.inventory < Decimal::ZERO && self.flow_ratio < Decimal::ZERO {
+            //     self.bid_delta = self.base_delta * dec!(0.8);
+            //     // self.bid_delta = Decimal::NEGATIVE_ONE;
+            // }
         }
     }
 

strategy/src/strategy.rs

@@ -992,9 +992,10 @@ impl Strategy {
             // target_sell_price = utils::clip(target_sell_price, self.bp * dec!(0.9995), self.ap * dec!(1.03));
             // 取消大小限制
             target_sell_price = utils::fix_price(target_sell_price, self.tick_size);
-            let amount = if predictor.inventory.abs() > dec!(10) && predictor.flow_ratio > Decimal::ZERO {
-                utils::get_amount_by_min_amount_value(self.min_amount_value * Decimal::TWO, target_sell_price, self.step_size)
-            } else if predictor.inventory.abs() == Decimal::ONE {
+            // let amount = if predictor.inventory.abs() > dec!(10) && predictor.flow_ratio > Decimal::ZERO {
+            //     utils::get_amount_by_min_amount_value(self.min_amount_value * Decimal::TWO, target_sell_price, self.step_size)
+            // } else
+            let amount = if predictor.inventory.abs() == Decimal::ONE {
                 predictor.pos_amount
             } else {
                 utils::get_amount_by_min_amount_value(self.min_amount_value, target_sell_price, self.step_size)