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@@ -291,22 +291,25 @@ impl AvellanedaStoikov {
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if self.flow_ratio_trades.abs() > dec!(0.273) {
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if self.inventory > Decimal::ZERO && self.ratio_edge > Decimal::ZERO {
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- self.ask_delta -= self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
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+ self.ask_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
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self.bid_delta += self.sigma_square.abs() * dec!(10);
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} else if self.inventory < Decimal::ZERO && self.ratio_edge < Decimal::ZERO {
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self.ask_delta += self.sigma_square.abs() * dec!(10);
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- self.bid_delta -= self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
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+ self.bid_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
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} else {
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self.ask_delta += self.sigma_square.abs() * dec!(10);
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self.bid_delta += self.sigma_square.abs() * dec!(10);
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}
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} else {
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if self.ratio_edge > Decimal::ZERO {
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- self.ask_delta -= self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
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+ self.ask_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
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self.bid_delta += self.sigma_square.abs() * dec!(5);
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} else if self.ratio_edge < Decimal::ZERO {
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self.ask_delta += self.sigma_square.abs() * dec!(5);
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- self.bid_delta -= self.ratio_edge.abs() * (Decimal::TWO - self.t_diff);
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+ self.bid_delta -= self.sigma_square.abs() * (Decimal::TWO - self.t_diff);
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+ } else {
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+ self.ask_delta += self.sigma_square.abs() * dec!(5);
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+ self.bid_delta += self.sigma_square.abs() * dec!(5);
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}
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}
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}
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