Analysis Request: Extended Timeout for Shadow Orders

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

1. User Description & Query

Goal: Extend the Shadow Order timeout to 10 minutes (600s) to capture the "Mean Time to Execution" across different market conditions. Reasoning: Instead of failing fast (which assumes Maker is bad if not instant), we want to gather data on how long it actually takes to fill. This helps optimize the timeout later.

2. Agent Summary

Objective: Modify clp_hedger.py to use a long fixed timeout (or much longer dynamic timeout) for shadow orders.
Risk: "Success" at 9 minutes is effectively a "Failure" for hedging (Delta Drift).
Mitigation: We are collecting data, not executing trades. A 9-minute fill log is valuable data point (it tells us "Maker is impossible here").

3. Main Analysis

3.1 Data Value vs. Hedging Reality

Hedging Reality: If a hedge takes > 30s to fill, the price has likely moved significantly. The "Hedge" is no longer hedging the original risk.
Data Value: By waiting 10 minutes, we can generate a distribution curve:
- 50% fill in < 5s (Great!)
- 30% fill in 5s-60s (Okay for stable markets)
- 20% fill in > 60s (Terrible)
- If we used a 60s timeout, we would just see "20% Failed", losing the nuance.

3.2 Implementation Strategy

Instead of a complex dynamic timeout for now, let's set a Fixed Long Timeout (600s) for the Shadow Simulator.

Why? We want to see the actual fill time for every order, not cut it off artificially.
Logging: The log filled in X.Xs becomes the primary metric.

3.3 Memory Impact

Even with 1 trade per minute, 10 minutes = 10 items in the list.
Memory usage is negligible (<1KB).

4. Conclusion

Recommendation: Switch the Shadow Order logic to use a Fixed 600s Timeout.

This turns the simulator into a "Fill Time Data Collector".
We can analyze the logs later to find the "Optimal Timeout" (e.g., "95% of fills happen within 45s, so set timeout to 45s").

5. Implementation Plan

Step 1: In clp_hedger.py, replace the dynamic timeout calculation with timeout = 600.
Step 2: Update logging to ensure fill_time is prominent.

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