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docs: add Shadow Order Simulator to changelog

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2025-12-21 10:24:40 +01:00
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doc/CHANGELOG.md
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@ -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%)`. - **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`. - **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). - **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 ### Documentation
- **Analysis**: Completed optimization analysis in `todo/optymalization rebalance_threshol.md` with technical justification for using StdDev over ATR. - **Analysis**: Completed optimization analysis in `todo/optymalization rebalance_threshol.md` with technical justification for using StdDev over ATR.