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Automatically calculate observation change lots

Open Henry-E opened this issue 10 months ago • 0 comments

There's a variable max_observation_change_per_update_lots which is now used to update the TWAP. The problem is that these updates lots vary based on the base and quote lots. So a $5 change might be 5_000 lots or 50_000 lots depending on the base lot size. Therefore to avoid any unfortunate mistakes, we should add a function that takes some absolute dollar value, e.g. $5 / 5_000_000 and automatically calculates the correct max_observation_change_per_update_lots based on the base and quote lots of the market.

Henry-E avatar Mar 25 '24 15:03 Henry-E