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@@ -220,12 +220,12 @@ impl AvellanedaStoikov {
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pub fn update_delta(&mut self) {
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if self.gamma != Decimal::ZERO {
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- let pos_edge = if self.inventory.abs() < dec!(5) {
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- self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff
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- } else {
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- Decimal::PI * self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff
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- };
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- // let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff;
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+ // let pos_edge = if self.inventory.abs() < dec!(5) {
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+ // self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff
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+ // } else {
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+ // Decimal::PI * self.gamma * self.sigma_square * self.inventory.abs().powd(Decimal::TWO) * self.t_diff
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+ // };
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+ let pos_edge = self.gamma * self.sigma_square * self.inventory.abs().powd(dec!(3)) * self.t_diff;
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self.base_delta = self.gamma * self.sigma_square * self.t_diff / Decimal::TWO + (Decimal::ONE / self.gamma) * (Decimal::ONE + self.gamma / self.kappa).ln();
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self.ratio_edge = self.flow_ratio_long * self.sigma_square;
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