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Model wrong #8
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Thank you for pointing out, could you give a more detailed explaination? |
Lets say you configure sigma as 0.03 that means that volatility is 3% of current spot price. Use that value to calculate spreads. |
Ah, I see. I'll look into it. Will update here when it is fixed |
In the meantime, feel free to send a pull request if there is any fixes or improvements you'd like to add. |
A couple more suggestions please:
If you do these you strategy will become better. Good luck. |
Thank you, these are very valuable inputs. I'll add them into the product plan. Looking forward to your suggestions & critics when these are done |
Noted, will look into it |
sorry to bother you. |
No. Convert sigma in % to dollar value.
…On Sat, Apr 3, 2021, 15:41 ahao1995 ***@***.***> wrote:
sorry to bother you.
I don't understand this issue.
you mean to calculate sigma with leverage? @pavybez
<https://github.com/pavybez> @hello2all <https://github.com/hello2all>
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thank you~ |
So sorry to bother you again. I am not major in finance, the knowledge base is a little bit poor. |
Nice implementation but AS model is wrong. You need to multiply the vol% in config with current price to get sigma.
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