Merge pull request #11 from Overmuse/SR/update_equilibrium

use short_term spread for equilibrium calculation
Overmuse · Jun 24, 2021 · 34caa2c · 34caa2c
2 parents 43d3d7a + 7560eda
commit 34caa2c
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diff --git a/Cargo.lock b/Cargo.lock
diff --git a/Cargo.toml b/Cargo.toml
@@ -1,6 +1,6 @@
 [package]
 name = "double-trouble"
-version = "0.3.1"
+version = "0.3.2"
 authors = ["Sebastian Rollen <[email protected]>"]
 edition = "2018"
 

diff --git a/src/trading/mod.rs b/src/trading/mod.rs
@@ -33,8 +33,8 @@ pub async fn run<T: AsRef<Path>>(cash: Decimal, data_file: T, kafka: KafkaSettin
             let opt1 = open_close.get(&pair.asset_1);
             let opt2 = open_close.get(&pair.asset_2);
             opt1.zip(opt2).map(|((op1, cl1), (op2, cl2))| {
-                let equilibrium = (((op1.ln() - op2.ln()) - pair.original_lt_spread)
-                    + ((cl1.ln() - cl2.ln()) - pair.original_lt_spread))
+                let equilibrium = (((op1.ln() - op2.ln()) - pair.original_st_spread)
+                    + ((cl1.ln() - cl2.ln()) - pair.original_st_spread))
                     / Decimal::new(2, 0);
                 TradeBands::new(pair, equilibrium)
             })