# Analysis Request: Dynamic Timeout for Shadow Orders

**Status:** Completed
**Date:** 2025-12-20
**Priority:** Medium

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## 1. User Description & Query
**Goal:** Optimize the Shadow Order simulation by making the "Time to Live" (timeout) dynamic based on market volatility.
**Logic:** 
*   **Low Volatility (Slow Market):** Orders sit on the book longer. Give the shadow order more time (e.g., 60s) to fill.
*   **High Volatility (Fast Market):** Price moves quickly. If it doesn't fill instantly, it likely ran away. Timeout should be short (e.g., 10s) to fail fast.

## 2. Agent Summary
*   **Objective:** Implement a dynamic timeout calculation during shadow order creation.
*   **Formula:** Inverse relationship with volatility.

## 3. Main Analysis

### 3.1 Volatility Scaling
We already calculate `vol_pct` (5-min rolling StdDev).
*   **Base Vol:** `0.05%` (0.0005).
*   **Base Timeout:** 30 seconds.

**Formula:**
`timeout = Base_Timeout * (Base_Vol / Current_Vol)`

**Examples:**
*   **Low Vol (0.025%):** `30 * (0.05 / 0.025) = 60s` (Max cap).
*   **Normal Vol (0.05%):** `30 * (0.05 / 0.05) = 30s`.
*   **High Vol (0.15%):** `30 * (0.05 / 0.15) = 10s`.

### 3.2 Constraints
*   **Min Timeout:** 10s (Give at least some chance even in crazy markets).
*   **Max Timeout:** 60s (Don't track stale orders forever).

## 4. Conclusion
**Recommendation:** Implement this dynamic timeout alongside the shadow order logic. It makes the "Success/Fail" metric much more realistic for a Maker strategy in different regimes.

## 5. Implementation Plan
- [ ] **Step 1:** Add `get_dynamic_timeout(vol_pct)` helper method.
- [ ] **Step 2:** Use this timeout when creating the shadow order entry.