原始的fair price计算方法

strategy/src/avellaneda_stoikov.rs

@@ -19,6 +19,8 @@ pub struct AvellanedaStoikov {
     pub trade_long_vec: FixedTimeRangeDeque<Trade>,                             // 交易队列
     pub trade_short_vec: FixedTimeRangeDeque<Trade>,                            // 交易队列
     pub spread_vec: Vec<Decimal>,                                               // 市场冲击队列
+    pub spread_long_vec: Vec<Decimal>,
+    pub spread_short_vec: Vec<Decimal>,
     pub spread_count_map: HashMap<Decimal, usize>,                              // 市场次数的字典
     pub record_vec: VecDeque<Record>,                                           // 蜡烛队列
 
@@ -28,6 +30,8 @@ pub struct AvellanedaStoikov {
     pub last_price: Decimal,                                                    // 最后成交价
     pub spread: Decimal,                                                        // 市场冲击
     pub spread_max: Decimal,                                                    // 最大市场冲击
+    pub spread_long_max: Decimal,
+    pub spread_short_max: Decimal,
     pub spread_best: Decimal,                                                   // 最佳市场冲击
     pub optimal_ask_price: Decimal,                                             // 卖出挂单价
     pub optimal_bid_price: Decimal,                                             // 买入挂单价
@@ -74,6 +78,8 @@ impl AvellanedaStoikov {
 
             // 老的队列
             spread_vec: vec![],
+            spread_long_vec: vec![],
+            spread_short_vec: vec![],
             spread_count_map: Default::default(),
             trade_long_vec: FixedTimeRangeDeque::new(Self::TRADE_LONG_RANGE_MICROS),
             trade_short_vec: FixedTimeRangeDeque::new(Self::TRADE_SHORT_RANGE_MICROS),
@@ -85,6 +91,8 @@ impl AvellanedaStoikov {
             last_price: Default::default(),
             spread: Default::default(),
             spread_max: Default::default(),
+            spread_long_max: Default::default(),
+            spread_short_max: Default::default(),
             spread_best: Default::default(),
             optimal_ask_price: Default::default(),
             optimal_bid_price: Default::default(),
@@ -121,6 +129,16 @@ impl AvellanedaStoikov {
         } else {
             Decimal::NEGATIVE_ONE
         };
+        self.spread_long_max = if let Some(&max_value) = self.spread_long_vec.iter().max() {
+            max_value
+        } else {
+            Decimal::NEGATIVE_ONE
+        };
+        self.spread_short_max = if let Some(&max_value) = self.spread_short_vec.iter().max() {
+            max_value
+        } else {
+            Decimal::NEGATIVE_ONE
+        };
     }
 
     // 更新最佳市场冲击
@@ -161,6 +179,11 @@ impl AvellanedaStoikov {
             if !now_spread.is_zero() {
                 self.spread = now_spread;
                 self.spread_vec.push(self.spread);
+                if last_trade_price > first_trade_price {
+                    self.spread_long_vec.push(self.spread);
+                } else {
+                    self.spread_short_vec.push(self.spread);
+                }
                 self.spread_count_map.insert(self.spread, self.spread_count_map.get(&self.spread).unwrap_or(&0) + 1);
 
                 if self.spread_vec.len() > 2_000 {
@@ -203,16 +226,16 @@ 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 = 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;
+        // 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 = 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;