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Riy777 commited on
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76c05b8
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1 Parent(s): 155d67f

Update ml_engine/sniper_engine.py

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  1. ml_engine/sniper_engine.py +1 -1
ml_engine/sniper_engine.py CHANGED
@@ -54,7 +54,7 @@ def _add_liquidity_proxies(df):
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  dp = df_proxy['close'].diff()
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  roll_cov = dp.rolling(64).cov(dp.shift(1))
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- df_proxy['roll_spread'] = (2 * np.sqrt(np.maximum(0, -roll_cov))).fillna(method='bfill')
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  sign = np.sign(df_proxy['close'].diff()).fillna(0)
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  df_proxy['signed_vol'] = sign * df_proxy['volume']
 
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  dp = df_proxy['close'].diff()
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  roll_cov = dp.rolling(64).cov(dp.shift(1))
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+ df_proxy['roll_spread'] = (2 * np.sqrt(np.maximum(0, -roll_cov))).bfill()
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  sign = np.sign(df_proxy['close'].diff()).fillna(0)
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  df_proxy['signed_vol'] = sign * df_proxy['volume']