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@@ -41,11 +41,15 @@ def on_message(_ws, message):
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def get_tick_size_from_prices(ask_price, bid_price):
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# 获取价格的小数位数
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- ask_decimal_places = len(str(ask_price).split('.')[1])
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- bid_decimal_places = len(str(bid_price).split('.')[1])
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+ # 获取 Decimal 的 tuple 表示
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+ ask_decimal_tuple = ask_price.as_tuple()
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+ bid_decimal_tuple = bid_price.as_tuple()
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+
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+ # 计算小数位数
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+ places = max(abs(ask_decimal_tuple.exponent), abs(bid_decimal_tuple.exponent))
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# 确定最小变动单元
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- tick_size = 10 ** -max(ask_decimal_places, bid_decimal_places)
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+ tick_size = 10 ** -places
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return tick_size
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@@ -257,4 +261,4 @@ def process_depth_data():
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gamma = 1.0
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T_minus_t = 1.0
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delta_sum = calculate_delta_sum(gamma, sigma_squared, T_minus_t, k_initial)
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- logger.info(f"δ^a + δ^b: {delta_sum}")
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+ logger.info(f"δ^a + δ^b: {delta_sum}")
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