調整。

strategy/src/avellaneda_stoikov.rs

@@ -54,6 +54,7 @@ pub struct AvellanedaStoikov {
 impl AvellanedaStoikov {
     // 时间窗口大小（微秒）
     const MAX_TIME_RANGE_MICROS: i64 = 5 * 60_000_000;
+    const TRADE_RANGE_MICROS: i64 = 2 * 60_000_000;
     // const ONE_MILLION: Decimal = dec!(1_000_000);
     // const TWENTY_THOUSAND: Decimal = dec!(20_000);
     const IRA: Decimal = dec!(1);
@@ -62,7 +63,7 @@ impl AvellanedaStoikov {
         let avellaneda_stoikov = Self {
             // 分别给与的长度
             depth_vec: FixedTimeRangeDeque::new(Self::MAX_TIME_RANGE_MICROS),
-            trade_vec: FixedTimeRangeDeque::new(Self::MAX_TIME_RANGE_MICROS),
+            trade_vec: FixedTimeRangeDeque::new(Self::TRADE_RANGE_MICROS),
             spread_vec: FixedTimeRangeDeque::new(Self::MAX_TIME_RANGE_MICROS),
 
             mid_price: Default::default(),
@@ -230,7 +231,7 @@ impl AvellanedaStoikov {
 
     pub fn update_delta(&mut self) {
         if self.gamma != Decimal::ZERO {
-            let pos_edge = self.gamma * self.sigma_square * self.inventory.abs() * self.t_diff / Decimal::TWO;
+            let pos_edge = self.gamma * self.sigma_square * self.inventory.abs() * self.t_diff;
 
             self.base_delta = self.sigma_square * self.t_diff;
             self.ratio_edge = dec!(3.14) * self.flow_ratio * self.sigma_square;
@@ -245,11 +246,11 @@ impl AvellanedaStoikov {
             }
 
             if self.ratio_edge > Decimal::ZERO {
-                self.ask_delta = self.ask_delta - self.ratio_edge.abs() * (Decimal::ONE - self.t_diff);
+                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!(0.5) + dec!(0.5) * self.t_diff);
             } else if self.ratio_edge < Decimal::ZERO {
                 self.ask_delta = self.ask_delta + self.ratio_edge.abs() * (dec!(0.5) + dec!(0.5) * self.t_diff);
-                self.bid_delta = self.bid_delta - self.ratio_edge.abs() * (Decimal::ONE - self.t_diff);
+                self.bid_delta = self.bid_delta - self.ratio_edge.abs() * (dec!(1.618) - self.t_diff);
             }
 
             if self.init_delta_plus.is_zero() {