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feat: make drift term available #701

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merged 9 commits into from
Sep 5, 2024
Merged

feat: make drift term available #701

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4691e71
feat: make drift term available
Jiajia-Cui Aug 30, 2024
8229a58
feat: address comments
Jiajia-Cui Aug 30, 2024
6113b41
feat: add more asset to risky_trader
Jiajia-Cui Sep 2, 2024
5399890
feat: tweaks for consistent AMM runs
cdummett Sep 3, 2024
6409872
feat: add cumulated trade volume plot
Jiajia-Cui Sep 4, 2024
e59f9cf
feat: reverse trade order
Jiajia-Cui Sep 4, 2024
85643fd
chore: tidy up
Jiajia-Cui Sep 4, 2024
4c39230
feat: address comments from Charlie
Jiajia-Cui Sep 5, 2024
ac4ade3
chore: run linter
cdummett Sep 5, 2024
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1 change: 1 addition & 0 deletions vega_sim/scenario/amm/registry.py
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Original file line number Diff line number Diff line change
Expand Up @@ -14,6 +14,7 @@
annualised_volatility=0.5,
notional_trade_volume=100,
process_theta=0.02,
drift=0.02,
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),
],
amm_liquidity_fee=0.001,
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2 changes: 2 additions & 0 deletions vega_sim/scenario/benchmark/configs.py
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Expand Up @@ -11,10 +11,12 @@ def __init__(
notional_trade_volume: int,
risky_trader_funds: int = 1_000,
process_theta: float = 0,
drift: float = 0,
):
self.market_config = market_config
self.initial_price = initial_price
self.process_theta = process_theta
self.drift = drift
self.annualised_volatility = annualised_volatility
self.notional_trade_volume = notional_trade_volume
self.risky_trader_funds = risky_trader_funds
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