波动率调整

kappa/data_processing.py

@@ -163,7 +163,7 @@ def calculate_sigma_squared(prices, timestamps):
         return 0.0
 
     time_diff = int(int((timestamps[-1] - timestamps[0]).total_seconds() * 1000) / 100)
-    price_diff_squared = [(prices[i] - prices[i - 1]) ** 2 for i in range(1, n)]
+    price_diff_squared = [(1 - prices[i] / prices[i - 1]) ** 2 for i in range(1, n)]
     sigma_squared = np.sum(price_diff_squared) / time_diff
 
     return sigma_squared

kappa/ws_client.py

@@ -7,7 +7,7 @@ from logger_config import logger
 from data_processing import on_message_depth, on_message_trade, stop_event
 
 # Binance WebSocket API URL
-SYMBOL = "zro" + "usdt"
+SYMBOL = "eth" + "usdt"
 SOCKET_TRADE = "wss://fstream.binance.com/stream?streams=" + SYMBOL + "@trade"
 SOCKET_DEPTH = "wss://fstream.binance.com/stream?streams=" + SYMBOL + "@depth20@100ms"