INNER CODE UNIT · Python

var

keanekwa/Optiver-Ready-Trader-Go · ASModel.py:112

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

            # Reservation pricing
            r = s - (q * gamma * var * self.T)

			# Bid ask spread
            delta = (gamma * var * self.T + (2 / gamma * math.log(1 + (gamma / k))))

            # Prices to be sent in
            new_bid_price = math.ceil((r - delta / 2)) * TICK_SIZE_IN_CENTS
            new_ask_price = math.ceil((r + delta / 2)) * TICK_SIZE_IN_CENTS

            if self.bid_id != 0 and new_bid_price not in (self.bid_price, 0):
                self.send_cancel_order(self.bid_id)
                self.bid_id = 0
            if self.ask_id != 0 and new_ask_price not in (self.ask_price, 0):
                self.send_cancel_order(self.ask_id)

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