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Absolute batch tolerances do not scale with number of trades #54

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fhenneke opened this issue Jul 4, 2023 · 0 comments
Open

Absolute batch tolerances do not scale with number of trades #54

fhenneke opened this issue Jul 4, 2023 · 0 comments

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@fhenneke
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fhenneke commented Jul 4, 2023

At the moment, if there are many orders in a batch absolute tolerances in e.g. the cost coverage test are easily reached. This is, however, not an indication of misbehavior.

We should think about scaling the absolute tolerance up in case of multiple orders in a batch. Linear scaling might be the right thing to do: if there are n orders in a batch then the tolerance for an alert should be n times the absolute tolerance for a single order batch.
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@fhenneke