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Simpler weight function for LP scoring #2252

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davidsiska-vega opened this issue Apr 22, 2024 · 1 comment · Fixed by #2267
Closed

Simpler weight function for LP scoring #2252

davidsiska-vega opened this issue Apr 22, 2024 · 1 comment · Fixed by #2267
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@witgaw
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🏛️ Colosseo II

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@davidsiska-vega
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  1. Add an option to replace prob-of-trading-based weight with simple piecewise-linear and continuous functions, which are specified by setting a "range", optional to config from best bid / ask vs mid.

  2. Add an option to calculate probability of trading weights in the current design from mid as opposed to best bid / ask.

In market protos this should ideally go with the SLA params.
@davidsiska-vega davidsiska-vega added this to the 🕌 Genbu Temple milestone Apr 22, 2024
@davidsiska-vega davidsiska-vega mentioned this issue Apr 22, 2024
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@witgaw witgaw mentioned this issue May 9, 2024
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@witgaw witgaw linked a pull request May 9, 2024 that will close this issue
Add model-free alternatives for: risk factors, liquidity scoring and price monitoring triggers #2267
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@witgaw
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witgaw commented May 15, 2024

#2267

@witgaw witgaw closed this as completed May 15, 2024
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🏛️ Colosseo II
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@witgaw @davidsiska-vega