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jsrimr/Change_fee.py

Created September 6, 2019 04:54
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Change_fee.py
def step(self):
...
derivative_diff = self.get_derivative_diffs(self.df_sample.iloc[self.step_st: self.step_st + self.obs_len])
self.fee_rate = np.clip( self.fee_rate * derivative_diff / self.previous_diff, self.min_fee_rate, self.max_fee_rate)
...
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