Closed LevBeta closed 11 months ago
Functions are not coded for simplicity (reading) but more for performance.
2x the time for the simple mid_price, on my benchmark
This function uses the following formula:
$WMID = P^b (1 - I) + P^a I$
$I=\frac{Q_b}{Q_b+Q_a}$
Functions are not coded for simplicity (reading) but more for performance.
2x the time for the simple mid_price, on my benchmark
This function uses the following formula:
$WMID = P^b (1 - I) + P^a I$
$I=\frac{Q_b}{Q_b+Q_a}$