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@@ -369,10 +369,10 @@ impl AvellanedaStoikov {
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self.open_interest_ema = if self.open_interest_ema.is_zero() {
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self.open_interest
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} else {
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- dec!(0.01) * self.open_interest + dec!(0.99) * self.open_interest_ema
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+ dec!(0.1) * self.open_interest + dec!(0.9) * self.open_interest_ema
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};
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- self.open_interest_diff = self.open_interest - self.open_interest_ema;
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}
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+ self.open_interest_diff = self.open_interest - self.open_interest_ema;
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self.update_money_flow();
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self.processor().await;
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@@ -552,7 +552,7 @@ impl AvellanedaStoikov {
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optimal_ask_price: self.optimal_ask_price,
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optimal_bid_price: self.optimal_bid_price,
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- inventory: self.money_flow,
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+ inventory: self.open_interest_ema,
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sigma_square: self.open_interest,
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gamma: self.open_interest_diff,
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kappa: self.money_flow_diff,
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