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@@ -231,7 +231,7 @@ impl AvellanedaStoikov {
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}
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}
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pub fn update_sigma_square(&mut self) {
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pub fn update_sigma_square(&mut self) {
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- self.sigma_square = self.spread_max * dec!(0.5);
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+ self.sigma_square = self.spread_max * dec!(0.3);
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self.sigma_square.rescale(10);
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self.sigma_square.rescale(10);
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}
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}
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