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feat(hedger): switch Shadow Order to fixed 600s timeout for data collection

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DiTus
2025-12-21 10:56:59 +01:00
parent 50aa497037
commit 246983ba08
1 changed files with 3 additions and 7 deletions
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clp_hedger.py
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@ -900,13 +900,9 @@ class ScalperHedger:
# --- Shadow Order Creation ---
# Simulate: "What if we placed a Maker order instead?"
try:
# Dynamic Timeout: Inverse to Volatility
# Low Vol (0.025%) -> 60s wait. High Vol (0.15%) -> 10s wait.
base_vol = Decimal("0.0005") # 0.05%
# Avoid div by zero
safe_vol = max(Decimal("0.0001"), vol_pct)
calc_timeout = float(30 * (base_vol / safe_vol))
dynamic_timeout = max(10.0, min(60.0, calc_timeout))
# Fixed Timeout for Data Collection (10 min)
# We want to capture the full distribution of fill times.
dynamic_timeout = 600.0
# Shadow Price (Passive)
# If we Taker BUY, we would have Maker BUY at BID