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@@ -311,7 +311,8 @@ impl AvellanedaStoikov {
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pub fn update_t_diff(&mut self) {
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if self.prev_trade_time > 0 {
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let time_diff_decimal = Decimal::from_i64(Utc::now().timestamp_micros() - self.prev_trade_time).unwrap();
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- self.t_diff = max(Decimal::ONE - time_diff_decimal / Decimal::from_i64(Self::OPEN_DELAY_MICROS).unwrap(), Decimal::ZERO);
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+ let diff = Decimal::from_i64(Self::OPEN_DELAY_MICROS).unwrap() * (self.inventory.abs() * dec!(0.5) + Decimal::ONE);
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+ self.t_diff = max(Decimal::ONE - time_diff_decimal / diff, Decimal::ZERO);
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} else {
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self.t_diff = Decimal::ONE;
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}
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