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overlay-market / overlay-risk

Risk metrics for various data streams
MIT License
13 stars 4 forks source link

[WIP] Error fixes and improvements #22

Open deepsp94 opened 3 years ago

deepsp94 commented 3 years ago

I'm not done with this branch so not ready to merge yet! Noting down the current status and next steps to keep everyone in loop.

What's done:

  1. Fixed overflow error
  2. TWAP based on an hour, rather than last 6 points (which might not be an hour)

What's left:

  1. Include tolerance parameter for TWAP window
  2. Do not accept duplicate values from brownie. Otherwise/additionally, explore graph implementation for robustness.
deepsp94 commented 2 years ago

@mikeyrf should we close this for now since Sushi is de-prioritised?