diff --git a/doc/CHANGELOG.md b/doc/CHANGELOG.md index c2aeb14..0bf3023 100644 --- a/doc/CHANGELOG.md +++ b/doc/CHANGELOG.md @@ -14,6 +14,11 @@ All notable changes to this project will be documented in this file. - **x1.0 (Multiplier):** Scales based on reference volatility (0.05%). Multiplier = `max(1.0, Vol / 0.05%)`. - **Thresh:** The % of max delta deviation required to trigger a trade. Calculated as `Base (Range Dependent) * Multiplier`. - **Execution Analysis Logs**: Added Bid/Ask book state to the `[TRIG]` log in `clp_hedger.py`. This data enables "Shadow Logging" to compare current Taker execution costs against theoretical Maker savings (Spread capture + Rebates). +- **Shadow Order Simulator**: Implemented a simulation engine in `clp_hedger.py` to verify if Maker orders would have filled. + - **Trigger**: Created automatically alongside every Taker trade. + - **Logic**: Tracks if the market price crosses the passive Maker price within a timeframe. + - **Dynamic Timeout**: "Time to Live" scales inversely with volatility (10s in high vol, 60s in low vol). + - **Goal**: Gather empirical data to determine if switching to Maker orders is profitable. ### Documentation - **Analysis**: Completed optimization analysis in `todo/optymalization rebalance_threshol.md` with technical justification for using StdDev over ATR.