INNER CODE UNIT · Python

s

keanekwa/Optiver-Ready-Trader-Go · ASModel.py:96

            s = (bid_prices[0] + ask_prices[0]) / (2 * TICK_SIZE_IN_CENTS) # mid price in $
            q = 0
            gamma = 0.05
            var = 0
            k = 1
            if self.T > 0:
                self.T -= 0.002
            else:
                self.T = 0.000001

            if int(s) != 0:
                self.mid_prices.append(s)

            lookback = 10

            if len(self.mid_prices) >= lookback:
                var = np.var(self.mid_prices[-1:-lookback - 1:-1])
                q = self.position

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