ditus/uniswap_auto_clp
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

docs: document execution analysis logging in changelog

Browse Source
This commit is contained in:
DiTus
2025-12-21 09:44:30 +01:00
parent b1913ec870
commit 4b30f4a62b
1 changed files with 1 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files

1
doc/CHANGELOG.md
View File

@ -13,6 +13,7 @@ All notable changes to this project will be documented in this file.
- **Vol:** Standard Deviation of last 300 prices relative to mean.
- **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).
### Documentation
- **Analysis**: Completed optimization analysis in `todo/optymalization rebalance_threshol.md` with technical justification for using StdDev over ATR.