skyffire 6 сар өмнө
parent
commit
6e588b6b89

+ 1 - 1
strategy/src/predictor.rs

@@ -506,7 +506,7 @@ impl Predictor {
 
         let inventory = self.inventory;
 
-        let sigma_square = self.fair_price - self.mid_price;
+        let sigma_square = (self.fair_price - self.mid_price) / self.fair_price;
 
         let gamma = self.fair_rate_focus_open;
         let kappa = self.fair_rate_focus_close;