Variable controls for ladder price-point whales

[pmaji]

Variable controls for ladder price-point whales

[ac8493a]

Glad to see the implimintation of behavior economics. It would also be interesting to consider cultural variables especially those involving numbers.

[theimo1221]

vol_grp_ask = vol_grp_ask[ ((vol_grp_ask[TBL_VOLUME] >= minVolume) & (vol_grp_ask['count'] >= 2.0) & (vol_grp_ask['count'] < 70.0))]

As you can see we already filter out those ladders existing with more than 70 orders.

In my opinion it´s up to the user to decide human behaviuor or whale.
Besides this would mean different levels for each pair.

[pmaji]

Yep @theimo1221 I am aware, but the question is about how arbitrarily that cutoff is being created.

I don't know if this is presently the best way of doing the filtering. A whale may very well set more than 70 orders via a ladder but not use a standard modal point, whereas other 70+ order volume types may be entirely innocuous. This is one of the hardest behavioral economic components of this project, because it is mostly guesstimation. My hunch is that we are better off filtering out specific obvious volume values that are DEFINITELY psychological modal points (like 10 ETH, etc.). But I need to give this more thought. For now I'm keeping this issue open because I'm not happy with it yet I think we can do this in a more robust manner.

[pmaji]

Just finished a call with @theimo1221 that included discussion of the 70+ order volume filter. Given distributional tests, it appears to be robust. Will include a brief explanation of this in the README in the future, and do additional stress-testing soon to confirm that this holds true under stress scenarios.