uniswap_auto_clp/doc/CHANGELOG.md

Changelog

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

[2025-12-21]

Optimization

• Low Volatility Optimization:
  • Introduced BASE_REBALANCE_THRESHOLD_PCT configuration flag in clp_hedger.py.
  • Increased base rebalance threshold from 0.05 (5%) to 0.08 (8%) to reduce "churn" (excessive trading) during low volatility/sideways markets.
  • This change aims to improve net profitability by ensuring that rebalancing fees are only paid when the delta imbalance is statistically significant.
• Logging Improvements:
  • Updated [IDLE] log format to show estimated BUY (B) and SELL (S) trigger price levels instead of raw delta difference. This provides better visual feedback on how far the price is from the next rebalance.

[2025-12-20]

Added

• 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).
• Shadow Order Simulator: Implemented a simulation engine in clp_hedger.py to verify if Maker orders would have filled.
  • Trigger: Created automatically alongside every Taker trade.
  • Logic: Tracks if the market price crosses the passive Maker price within a timeframe.
  • Extended Timeout: Fixed at 600s (10 min) to capture the full distribution of fill times. This data will help determine the optimal "Time to Live" for future Maker strategies.
  • Goal: Gather empirical data to determine if switching to Maker orders is profitable.

Documentation

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

[2025-12-19]

Added

• 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).

Fixed

• 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.

Removed

• 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.

Configuration Changes

• 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.