uniswap_auto_clp/todo/fishing_orders.md

[Feature Name / Analysis Topic] - fishing orders

Status: in progress Started: 2025/12/23 Last Updated: [YYYY-MM-DD] Tags: [Tag1, Tag2]

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1. Origin & Context (The "Why")

This section captures the inception of the idea. What was the problem, and what was the initial vision?

• Goal: create additional reveniue, increase TotPnL,
• Initial State: currently we are under the water in total (clp position+fees+ TotPnL if closed hedge) ~$10-20, after 24h (clp position 2000, range +/-1%, fees $5)
• Trigger: to make a hedger real delta-zero to clp position
• Original Hypothesis: make small reveniue will help with it

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2. Chronological Evolution (The Journey)

A living diary of the process. Add new entries top-down as the feature evolves. This is the story of "How we got here".

📅 Entry 1: 2025-12-23 - Initial Implementation

• Objective: Implement a "Fishing" mechanism to capture Maker rebates and reduce hedge size at break-even prices.
• Investigation:
  • Findings: Identified that when the price is in the "Safe Zone" (near entry), the bot sits idle. This is an opportunity to place resting Maker orders to "fish" for better entries/exits than standard Taker rebalances.
• Current Implementation:
  • Logic: Places a Maker BUY order (Alo - Add Liquidity Only) at the hedge_entry_price when current market price is above entry.
  • Size: 10% of the target hedge size (FISHING_ORDER_SIZE_PCT = 0.10).
  • Management: The order is tracked via self.fishing_oid and is automatically cancelled before any standard rebalance trade to avoid size conflicts.
• Decision: Start with a conservative 10% size and only for closing/reducing the hedge (Buy-to-Close when price is above entry) to validate the "Maker fill" probability without over-exposing.

📅 Entry 2: 2025-12-23 - Analysis of Symmetric Fishing (Bottom-Side)

• Objective: Analyze the potential of adding a "Sell" fishing order when price is below entry (Symmetric Grid).
• Investigation:
  • Scenario: Price is 1900 (Down). Entry is 2000. Hedger is Short.
  • Logic: A Limit SELL at 2000 is a valid Maker order (Above current price).
  • Effect: If filled, it increases the Short position at 2000. Since the neutral target at 2000 is fixed, this results in being slightly "Over-Hedged" (Short Delta) at Entry.
  • Strategic Value: This creates a "Mean Reversion" or "Grid" effect around the entry.
    • Top Side (Buy at Entry): Profitable if price drops to Entry and bounces up.
    • Bottom Side (Sell at Entry): Profitable if price rises to Entry and rejects down.
  • Verdict: This is beneficial. It helps offset hedging costs (which typically lose money in chop) by actively trading the chop around the entry price.
• Decision: Implement the symmetric bottom-side fishing order.
  • If Price < Entry: Place Maker SELL at Entry.
  • If Price > Entry: Place Maker BUY at Entry.

📅 Entry 3: 2025-12-23 - Implementation of Symmetric Fishing

• Action Taken: Modified clp_hedger.py to allow fishing orders on both sides of the entry price.
• Result:
  • When Price > Entry: Places Maker BUY at Entry (Reduce Short).
  • When Price < Entry: Places Maker SELL at Entry (Increase Short).
• Safety Features:
  • Added a 0.1% price buffer (dist_pct > 0.001) to prevent placing orders too close to the market price, which could result in unintended Taker trades or API rejections for Alo orders.
  • Maintains the existing 10% size restriction to ensure fishing doesn't drastically warp the delta profile.

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3. Final Technical Solution (The "How")

The consolidated, final design documentation.

3.1 Architecture & Logic

• Core Components: ScalperHedger class in clp_hedger.py.
• Data Flow:
  1. Bot checks for active standard rebalance orders. If none exist, it enters "Fishing Mode".
  2. Compares current_mid_price against the hedge_entry_price from the exchange.
  3. Determines side: BUY if price is above entry, SELL if price is below entry.
  4. Places an Alo (Add Liquidity Only) Limit order at the exact hedge_entry_price.
• Configuration:
  • FISHING_ORDER_SIZE_PCT = 0.10: Size of the fishing order relative to the current target hedge.

3.2 Key Constraints & Edge Cases

• Safe Zone Only: Only active when no other orders are pending.
• Rebalance Priority: Automatically cancelled before any rebalance trade to avoid over-exposure.
• Maker Buffer: Only placed if market price is >0.1% away from entry to ensure Maker status.

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4. Retrospective (The "Cookbook" of Fails & Ups)

Summary of lessons learned. "Read this before touching this code again."

❌ What Failed (Pitfalls to Avoid)

• Trap: [Don't try doing X, because Y will happen.]
• False Assumption: [We thought Z was true, but it wasn't.]

✅ What Worked (Success Factors)

• Key Insight: [The breakthrough was...]
• Design Pattern: [This specific pattern proved robust.]

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5. Artifacts & References

• Affected Files:
  • [path/to/file.py]
• Commits: [git hash or description]
• External Links: [URLs]