Update avellaneda_stoikov.rs

strategy/src/avellaneda_stoikov.rs

@@ -11,6 +11,15 @@ use global::fixed_time_range_deque::FixedTimeRangeDeque;
 use global::predictor_state::PredictorState;
 use standard::{Depth, Ticker, Trade};
 
+/**
+1. 微价格（加权中间价）作为基价
+    S = (ap*bv+bp*av)/(av+bv)
+2. ROC 值 下单风控
+3. VWPIN 值 下单风控
+  
+**/
+
+
 #[derive(Debug)]
 pub struct AvellanedaStoikov {
     pub depth_vec: FixedTimeRangeDeque<Depth>,                                  // 深度队列
@@ -151,8 +160,10 @@ impl AvellanedaStoikov {
         self.depth_vec.push_back(depth.clone());
 
         self.ask_price = depth.asks[0].price;
+        let ask_size = depth.asks[0].size;
         self.bid_price = depth.bids[0].price;
-        self.mid_price = (self.ask_price + self.bid_price) / Decimal::TWO;
+        let bid_size = depth.bids[0].size;
+        self.mid_price = (self.ask_price * bid_size + self.bid_price * ask_size) / (ask_size + bid_size);
 
         self.processor().await;
     }