v1.11.0: 融合千千的逻辑与接针逻辑，优化平仓

strategy/src/predictor.rs

@@ -221,7 +221,7 @@ impl Predictor {
                     (self.pos_avg_price - self.mid_price) / self.pos_avg_price
                 };
 
-                profit_now -= dec!(0.001);
+                profit_now -= dec!(0.0006);
                 profit_now.rescale(8);
 
                 self.profit_point_vec.push(profit_now);
@@ -385,9 +385,7 @@ impl Predictor {
             }
 
             let mut rate = Self::get_real_rate(&self.fair_price_time_vec);
-            let mut long_rate = Self::get_real_rate(&self.fair_price_long_time_vec);
             rate.rescale(8);
-            long_rate.rescale(8);
 
             // 重置开仓焦点，条件1
             if !self.fair_rate_focus_open.is_zero() {
@@ -407,11 +405,11 @@ impl Predictor {
             if !self.mid_price_focus_open.is_zero() {
                 let focus_rate = (self.mid_price - self.mid_price_focus_open) / self.mid_price_focus_open;
 
-                if self.fair_rate_focus_open > Decimal::ZERO && focus_rate < Decimal::NEGATIVE_ONE * self.params.open_activate / Decimal::TWO {
+                if self.fair_rate_focus_open > Decimal::ZERO && focus_rate < Decimal::NEGATIVE_ONE * self.params.open_activate / dec!(3) {
                     self.fair_rate_focus_open = Decimal::ZERO;
                 }
 
-                if self.fair_rate_focus_open < Decimal::ZERO && focus_rate > self.params.open_activate / Decimal::TWO {
+                if self.fair_rate_focus_open < Decimal::ZERO && focus_rate > self.params.open_activate / dec!(3) {
                     self.fair_rate_focus_open = Decimal::ZERO;
                 }
             }
@@ -426,7 +424,7 @@ impl Predictor {
                     }
 
                     // 向下跌，并且fair上穿mid，视为观测阶段开始
-                    if rate < Decimal::ZERO && self.spread < Decimal::ZERO {
+                    if rate < Decimal::ZERO && self.spread > Decimal::ZERO {
                         self.fair_rate_focus_open = rate;
                         self.mid_price_focus_open = self.mid_price;
                     }
@@ -696,7 +694,11 @@ impl Predictor {
 
         let inventory = self.inventory;
 
-        let sigma_square = Self::get_real_rate(&self.fair_price_long_time_vec);
+        let sigma_square = if self.fair_price_time_vec.len() > 1 {
+            Self::get_real_rate(&self.fair_price_time_vec)
+        } else {
+            Decimal::ZERO
+        };
         // let sigma_square = self.error_rate;
 
         let gamma = self.fair_rate_focus_open;