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a self.eta error in TCO #88

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GXY2017 opened this issue Dec 16, 2022 · 0 comments
Open

a self.eta error in TCO #88

GXY2017 opened this issue Dec 16, 2022 · 0 comments

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@GXY2017
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GXY2017 commented Dec 16, 2022

I don't know where does this int 10 come from, guess should be self.eta which default value is 10 ?

    def update_tco(self, x: npt.NDArray, b: npt.NDArray, x_pred: npt.NDArray):
        """
        :param x: ratio of change in price
        """
        lambd = 10 * self.trx_fee_pct  # SHOUD BE   self.eta * self.trx_fee_pct  ?

        # last price adjusted weights
        updated_b = np.multiply(b, x) / np.dot(b, x)
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