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@@ -159,7 +159,7 @@ impl AvellanedaStoikov {
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let first_trade = self.trade_vec.get(0).unwrap();
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let last_trade = self.trade_vec.get(self.trade_vec.len() - 1).unwrap();
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- let time_diff = (last_trade.time - first_trade.time) / (Decimal::ONE_THOUSAND);
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+ let time_diff = (last_trade.time - first_trade.time) / (Decimal::TEN);
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let mut vol_square_total = Decimal::ZERO;
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for (index, trade) in self.trade_vec.deque.iter().enumerate() {
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if index == 0 {
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@@ -167,7 +167,7 @@ impl AvellanedaStoikov {
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}
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let prev_trade = self.trade_vec.get(index - 1).unwrap();
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- let vol_square = (trade.price - prev_trade.price).powd(Decimal::TWO);
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+ let vol_square = (trade.price - prev_trade.price).abs();
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vol_square_total += vol_square;
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}
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