skyffire 1 year ago
parent
commit
0a053e3916
1 changed files with 2 additions and 2 deletions
  1. 2 2
      strategy/src/avellaneda_stoikov.rs

+ 2 - 2
strategy/src/avellaneda_stoikov.rs

@@ -526,8 +526,8 @@ impl AvellanedaStoikov {
 
             inventory: self.inventory,
             sigma_square: self.money_flow_index,
-            gamma: self.flow_ratio,
-            kappa: self.flow_ratio_short,
+            gamma: self.flow_ratio_short,
+            kappa: self.t_diff,
 
             flow_ratio: self.flow_ratio,
             ref_price: self.ref_price,