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strategyv2: investigate irrational historical transaction prices #49

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zhehaowang opened this issue Dec 26, 2019 · 1 comment
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strategyv2: investigate irrational historical transaction prices #49

zhehaowang opened this issue Dec 26, 2019 · 1 comment
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enhancement New feature or request strategy

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@zhehaowang
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Feed has confirmed transaction history like this one:
Du 304775-101 saw a 42.5 size buy at 3000CNY on Dec 23, and the immediate one before was 5079CNY on Dec 12.
Such big discrepancy will hurt how well to-last conditions can make decision.

Similar investigation should be

  • conducted on the field "du_listing_bid", and to
  • discount findings where stockx spread is absurdly wide.

These are probably the biggest blockers before autobid.
@zhehaowang zhehaowang added enhancement New feature or request strategy labels Dec 26, 2019
@zhehaowang zhehaowang mentioned this issue Dec 27, 2019
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@zhehaowang
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This is superseded by #55 . The volatility seems very much expected.
Does Du even run a price-time priority matching engine?

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