From 2818fb46d21ac18c9e6ce1a764dfd29070e6a7b0 Mon Sep 17 00:00:00 2001 From: Geoff Taylor Date: Mon, 26 Jul 2021 16:16:00 +0100 Subject: [PATCH] Fixed problem with position size in ConfidenceIntervalDesiredOrdersBuilder. --- mango/marketmaking/confidenceintervaldesiredordersbuilder.py | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/mango/marketmaking/confidenceintervaldesiredordersbuilder.py b/mango/marketmaking/confidenceintervaldesiredordersbuilder.py index 0da5901..1fe9a04 100644 --- a/mango/marketmaking/confidenceintervaldesiredordersbuilder.py +++ b/mango/marketmaking/confidenceintervaldesiredordersbuilder.py @@ -47,7 +47,8 @@ class ConfidenceIntervalDesiredOrdersBuilder(DesiredOrdersBuilder): quote_tokens: mango.TokenValue = mango.TokenValue.find_by_token(inventory, price.market.quote) total = (base_tokens.value * price.mid_price) + quote_tokens.value - position_size = total * self.position_size_ratio + position_size_value = total * self.position_size_ratio + position_size = position_size_value / price.mid_price # From Daffy on 26th July 2021: max(pyth_conf * 2, price * min_charge) min_charge = max(price.confidence * 2, price.mid_price * self.min_price_ratio)