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docs: document execution analysis logging in changelog

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2025-12-21 09:44:30 +01:00
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doc/CHANGELOG.md
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@ -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. - **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%)`. - **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).
### 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.