修復一些平倉bug。

global/src/cci.rs

@@ -16,7 +16,7 @@ pub struct CentralControlInfo {
 
 impl CentralControlInfo {
     // 时间窗口大小（微秒）
-    const MAX_TIME_RANGE_MICROS: i64 = 3 * 60_000_000;
+    const MAX_TIME_RANGE_MICROS: i64 = 5 * 60_000_000;
 
     pub fn new() -> Self {
         Self {

strategy/src/avellaneda_stoikov.rs

@@ -91,7 +91,7 @@ impl AvellanedaStoikov {
             cci_arc,
 
             is_ready: false,
-            prev_trade_time: 0,
+            prev_trade_time: Utc::now().timestamp_micros(),
             t_diff: Default::default(),
             flow_ratio: Decimal::ONE,
             flow_out_value: Default::default(),
@@ -182,18 +182,15 @@ impl AvellanedaStoikov {
     }
 
     pub async fn update_inventory(&mut self, inventory: &Decimal, min_amount_value: &Decimal) {
-        let new_inventory = (inventory / (min_amount_value / self.mid_price)).round();
-        if self.inventory.abs() < new_inventory.abs() {
-            self.prev_trade_time = Utc::now().timestamp_micros();
-        }
-        self.inventory = new_inventory;
+        self.prev_trade_time = Utc::now().timestamp_micros();
+        self.inventory = (inventory / (min_amount_value / self.mid_price)).round();
 
         self.update_level().await;
         self.processor().await;
     }
 
     pub fn update_sigma_square(&mut self) {
-        self.sigma_square = self.spread_max * dec!(0.618);
+        self.sigma_square = self.spread_max * dec!(0.5);
         self.sigma_square.rescale(10);
     }
 
@@ -233,10 +230,10 @@ impl AvellanedaStoikov {
 
     pub fn update_delta(&mut self) {
         if self.gamma != Decimal::ZERO {
-            let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(dec!(1.618)) * self.t_diff / Decimal::TWO;
+            let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff / Decimal::TWO;
 
             self.base_delta = self.gamma * self.sigma_square * self.t_diff / Decimal::TWO + (Decimal::ONE / self.gamma) * (Decimal::ONE + self.gamma / self.kappa).ln();
-            self.ratio_edge = self.flow_ratio * self.sigma_square * self.t_diff;
+            self.ratio_edge = self.flow_ratio * self.sigma_square;
 
             self.bid_delta = self.base_delta;
             self.ask_delta = self.base_delta;
@@ -248,11 +245,11 @@ impl AvellanedaStoikov {
             }
 
             if self.ratio_edge > Decimal::ZERO {
-                self.ask_delta -= self.ratio_edge.abs() * dec!(1.618);
-                self.bid_delta += self.ratio_edge.abs() * dec!(16);
+                self.ask_delta = self.ask_delta - self.ratio_edge.abs() * (dec!(1.618) - self.t_diff);
+                self.bid_delta = self.bid_delta + self.ratio_edge.abs() * dec!(16);
             } else if self.ratio_edge < Decimal::ZERO {
-                self.ask_delta += self.ratio_edge.abs() * dec!(16);
-                self.bid_delta -= self.ratio_edge.abs() * dec!(1.618);
+                self.ask_delta = self.ask_delta + self.ratio_edge.abs() * dec!(16);
+                self.bid_delta = self.bid_delta - self.ratio_edge.abs() * (dec!(1.618) - self.t_diff);
             }
 
             if self.init_delta_plus.is_zero() {
@@ -267,10 +264,12 @@ impl AvellanedaStoikov {
     }
 
     pub fn update_t_diff(&mut self) {
-        // let time_diff_decimal = Decimal::from_i64(Utc::now().timestamp_micros() - self.prev_trade_time).unwrap();
-        // self.t_diff = time_diff_decimal / Decimal::from_i64(Self::MAX_TIME_RANGE_MICROS).unwrap();
-        // self.t_diff = min(self.t_diff, Decimal::ONE);
-        self.t_diff = Decimal::ONE;
+        if self.prev_trade_time > 0 {
+            let time_diff_decimal = Decimal::from_i64(Utc::now().timestamp_micros() - self.prev_trade_time).unwrap();
+            self.t_diff = max(Decimal::ONE - time_diff_decimal / Decimal::from_i64(Self::MAX_TIME_RANGE_MICROS).unwrap(), Decimal::ZERO);
+        } else {
+            self.t_diff = Decimal::ONE;
+        }
     }
 
     pub fn update_flow_ratio(&mut self) {
@@ -351,15 +350,15 @@ impl AvellanedaStoikov {
             bid_price: self.bid_price,
             last_price: self.last_price,
             spread: self.spread,
-            spread_max: self.spread_max,
-            spread_min: self.spread_min,
+            spread_max: self.ask_delta,
+            spread_min: self.bid_delta,
             optimal_ask_price: self.optimal_ask_price,
             optimal_bid_price: self.optimal_bid_price,
 
             inventory: self.inventory,
             sigma_square: self.flow_ratio,
             gamma: self.ratio_edge,
-            kappa: self.kappa,
+            kappa: self.t_diff,
 
             flow_ratio: self.flow_ratio,
             ref_price: self.ref_price,