95和5

strategy/src/avellaneda_stoikov.rs

@@ -309,7 +309,7 @@ impl AvellanedaStoikov {
                         self.bid_delta += self.sigma_square.abs() * dec!(5);
                     }
                     // 谨慎卖空，必须要100时才能卖出
-                    else if self.money_flow_index == Decimal::ONE_HUNDRED {
+                    else if self.money_flow_index > dec!(95) {
                         self.ask_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
                         self.bid_delta += self.sigma_square.abs() * dec!(5);
                     }
@@ -327,7 +327,7 @@ impl AvellanedaStoikov {
                         self.bid_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
                     }
                     // 谨慎买多，必须要0时才能买入
-                    else if self.money_flow_index == Decimal::ZERO {
+                    else if self.money_flow_index < dec!(5) {
                         self.ask_delta += self.sigma_square.abs() * dec!(5);
                         self.bid_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
                     }