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[2] twap strategies should have the option to exclude their own offers when considering price feed inputs

Open nikhilsaraf opened this issue 3 years ago • 0 comments

currently the twap strategy uses a price feed, typically from its own exchange to see if they are first in line. if they are not then the update orders to be first in line.

if the person who is second in line reduces changes their price (lowers it for bid or increases for ask) then we want the bot to also reflect the same change but yet be the best bid / ask.

what we do today is we continue to look at the price feed (ticker) which reflects back our own price in this situation. this results in a no change operation. we can clearly do better.

nikhilsaraf avatar Dec 26 '20 10:12 nikhilsaraf