Changelog

All notable changes to this project will be documented in this file.

[2025-12-20]

Dynamic Rebalance Threshold: Implemented volatility-based threshold adjustment in clp_hedger.py.
- Volatility Metric: Added calculate_volatility() using rolling Standard Deviation (5-minute window).
- Adaptive Logic: Rebalance threshold now scales (1.0x - 3.0x) based on market volatility to reduce fee costs during "chop" (noise) while maintaining precision during trends.
- Safety Cap: Threshold is capped at 20% of the range width to prevent dangerous unhedged exposure in tight ranges.
- Log Explanation: (Vol: 0.029% x1.0 | Thresh: 7.4%)
  - 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).

Analysis: Completed optimization analysis in todo/optymalization rebalance_threshol.md with technical justification for using StdDev over ATR.

Dynamic Edge Proximity: Implemented get_dynamic_edge_proximity in clp_hedger.py and clp_scalper_hedger.py. This scales the edge protection buffer based on position size (Base 4% + 4% per $10k, capped at 15%) to better protect larger positions.
Large Hedge Override: Added logic to bypass trade cooldowns in clp_hedger.py when a rebalance requirement significantly exceeds the threshold (LARGE_HEDGE_MULTIPLIER).

Double Logging: Resolved duplicate log entries in the terminal by setting logger.propagate = False in both clp_hedger.py and clp_scalper_hedger.py and cleaning up root logger handlers.
Bug Fixes: Fixed a NameError (undefined dynamic_buffer) and an IndentationError in clp_hedger.py.

clp_scalper_hedger.py: Removed the scalper-hedger script as the main clp_hedger.py now includes all necessary edge protection and dynamic proximity features.

Weekend Strategy Update:
- Updated uniswap_manager.py: Increased capital to $2,000 (TARGET_INVESTMENT_VALUE_USDC) and set a tighter range of +/- 1% (RANGE_WIDTH_PCT = 0.01).
- Updated clp_hedger.py: Lowered MIN_THRESHOLD_ETH to 0.008 for finer control and reduced DYNAMIC_THRESHOLD_MULTIPLIER to 1.2 for lower volatility environment.