{ "key": "f5-fill-streak", "mechanism": "Consecutive same-side own fills trigger side cancellation and no placements on that side for a callback cooldown.", "approach": "Blind subclass of verified RC. Infer spread once from first rival quotes. Track positive own-fill streaks independently by side; on threshold drop same-side PlaceOrder actions and add CancelOrder for live same-side orders. Four fixed streak/cooldown variants screened on all target spreads, then one frozen holdout.", "tried": [ { "name": "s2c1", "streak": 2, "cooldown": 1, "code_sha256": "99fb8530f0049eb3184b34d484f278d5af068ed20857009ae1c5aaa265014202", "mean_diff": -21.842599472377, "se": 3.083672540774425, "tuning": { "mean_diff": -21.842599472377, "se": 3.083672540774425, "n": 200 } }, { "name": "s2c2", "streak": 2, "cooldown": 2, "code_sha256": "2c09224be6e76672e4215b925a5f6c2b5f7d10489f90d8418e0fdba87750f417", "mean_diff": -23.1122960577795, "se": 3.515926263803514, "tuning": { "mean_diff": -23.1122960577795, "se": 3.515926263803514, "n": 200 } }, { "name": "s3c1", "streak": 3, "cooldown": 1, "code_sha256": "46d640af8edb010244c9ea1e7b6a70ab8e9c4bb544e0a62fec767d534769abac", "mean_diff": -14.666636348272, "se": 2.382503656151482, "tuning": { "mean_diff": -14.666636348272, "se": 2.382503656151482, "n": 200 } }, { "name": "s3c2", "streak": 3, "cooldown": 2, "code_sha256": "0c800a05945c3e1ef2e1730cfe81f0d6bac04c85df527691e602ec5deab4009b", "mean_diff": -18.1504273771395, "se": 5.27360813245267, "tuning": { "mean_diff": -18.1504273771395, "se": 5.27360813245267, "n": 200 } } ], "next": "Retain RC; this is a screen, not a promotion. Do not retune on these holdout seeds.", "spreads_acted": [ 1, 2, 3, 4 ], "off_equals_rc": true, "code": "from orderbook_pm_challenge.types import PlaceOrder, CancelOrder, Side\n\nclass Strategy(_RC):\n \"\"\"Cancel a repeatedly filled side for a short callback cooldown.\"\"\"\n fill_streak_threshold = 3\n fill_cooldown_callbacks = 1\n fill_streak_enabled = True\n\n def on_step(self, state):\n actions = super().on_step(state)\n if not self.fill_streak_enabled:\n return actions\n if not hasattr(self, '_fs_spread'):\n bid = state.competitor_best_bid_ticks\n ask = state.competitor_best_ask_ticks\n if bid is None or ask is None:\n return actions\n self._fs_spread = max(1, (ask - bid + 1) // 2)\n self._fs_counts = {Side.BUY: 0, Side.SELL: 0}\n self._fs_until = {Side.BUY: -1, Side.SELL: -1}\n self._fs_previous_step = state.step - 1\n if self._fs_spread not in (1, 2, 3, 4):\n return actions\n if state.step != self._fs_previous_step + 1:\n self._fs_counts = {Side.BUY: 0, Side.SELL: 0}\n self._fs_previous_step = state.step\n for side, filled in ((Side.BUY, state.buy_filled_quantity),\n (Side.SELL, state.sell_filled_quantity)):\n self._fs_counts[side] = self._fs_counts[side] + 1 if filled > 0 else 0\n if self._fs_counts[side] >= self.fill_streak_threshold:\n self._fs_until[side] = state.step + self.fill_cooldown_callbacks - 1\n self._fs_counts[side] = 0\n blocked = {side for side in (Side.BUY, Side.SELL)\n if state.step <= self._fs_until[side]}\n if not blocked:\n return actions\n result = [action for action in actions\n if not (isinstance(action, PlaceOrder) and action.side in blocked)]\n canceled = {action.order_id for action in result if isinstance(action, CancelOrder)}\n for order in state.own_orders:\n if order.side in blocked and order.order_id not in canceled:\n result.append(CancelOrder(order.order_id))\n return result\n", "code_sha256": "46d640af8edb010244c9ea1e7b6a70ab8e9c4bb544e0a62fec767d534769abac", "assembled_sha256": "836bde64e6ccc94aa668b6c3625704ceeba9097e2f1863cc5919204a2b4c2da2", "comparator_sha256": "3c07bdcd221ac25729c3ebc92b21ac9e2014510ecb85816c4391ed81e933291f", "tuning": { "seeds": { "start": 330000, "end": 330199 }, "n": 200, "complete": true, "missing_seeds": [], "overall": { "n": 200, "sum_d": -2933.3272696544, "sum_d2": 268939.7264831828, "mean_diff": -14.666636348272, "se": 2.382503656151482, "comparator_mean": 97.4672213329115, "candidate_mean": 82.8005849846395, "retail_diff": -10.898288641693998, "arb_diff": -3.7683477065615 }, "by_spread": { "1": { "n": 54, "sum_d": -609.4383653364, "sum_d2": 147030.94427240617, "mean_diff": -11.285895654377779, "se": 6.997875450614123, "comparator_mean": 46.182844338938885, "candidate_mean": 34.89694868456111, "retail_diff": -7.164291741968516, "arb_diff": -4.121603912427777 }, "2": { "n": 57, "sum_d": -559.4350653534999, "sum_d2": 27273.272263330753, "mean_diff": -9.814650269359648, "se": 2.612302968818712, "comparator_mean": 87.23571902150526, "candidate_mean": 77.42106875214562, "retail_diff": -7.588518035238596, "arb_diff": -2.2261322340561396 }, "3": { "n": 49, "sum_d": -718.0460613798, "sum_d2": 40980.86706660317, "mean_diff": -14.65400125264898, "se": 3.598623791165423, "comparator_mean": 112.87398754092447, "candidate_mean": 98.2199862882755, "retail_diff": -12.944759973046937, "arb_diff": -1.7092412795877556 }, "4": { "n": 40, "sum_d": -1046.4077775847, "sum_d2": 53654.64288084271, "mean_diff": -26.1601944396175, "se": 4.104438807020546, "comparator_mean": 162.4077324637125, "candidate_mean": 136.247538024095, "retail_diff": -18.148680189615, "arb_diff": -8.011514250005 } } }, "tuning_score": -14.666636348272, "selection": { "variant": "s3c1", "rule": "Maximum paired mean on tuning seeds 330000..330199; all spreads 1..4; tie order s2c1,s2c2,s3c1,s3c2.", "frozen_before_holdout": true }, "paired": { "seeds": { "start": 440000, "end": 440499 }, "n": 500, "complete": true, "missing_seeds": [], "overall": { "n": 500, "sum_d": -6268.6318451217, "sum_d2": 504783.3263799744, "mean_diff": -12.537263690243401, "se": 1.3069750231986212, "comparator_mean": 101.4369248623788, "candidate_mean": 88.8996611721354, "retail_diff": -10.679297445304401, "arb_diff": -1.8579662449586 }, "by_spread": { "1": { "n": 142, "sum_d": -665.2655157877999, "sum_d2": 82368.37706173873, "mean_diff": -4.684968421040844, "se": 1.989529443432883, "comparator_mean": 28.7146791778493, "candidate_mean": 24.02971075680845, "retail_diff": -5.031696567379578, "arb_diff": 0.3467281462971832 }, "2": { "n": 110, "sum_d": -856.7043690399001, "sum_d2": 43090.96738704888, "mean_diff": -7.788221536726365, "se": 1.7428219035843586, "comparator_mean": 88.78927784058273, "candidate_mean": 81.00105630385636, "retail_diff": -8.055513243273635, "arb_diff": 0.26729170649636363 }, "3": { "n": 119, "sum_d": -1709.8869330522998, "sum_d2": 137486.5581687409, "mean_diff": -14.368797756742016, "se": 2.8357387453094285, "comparator_mean": 143.37780997585293, "candidate_mean": 129.00901221911093, "retail_diff": -15.824319237988236, "arb_diff": 1.455521481237815 }, "4": { "n": 129, "sum_d": -3036.7750272417, "sum_d2": 241837.42376244586, "mean_diff": -23.540891684044187, "se": 3.2119590133701026, "comparator_mean": 153.5829305298, "candidate_mean": 130.0420388457558, "retail_diff": -14.38718886824496, "arb_diff": -9.153702815778294 } } }, "failures": [], "check_values": { "310000": 17.5126554022, "310001": 20.6298693268, "310002": 2.3903113616, "310003": 248.006347259 }, "python_version": "3.12.3", "seconds_per_simulation": 0.5381892367664595, "validation": { "simulator_commit": "b244530ee2a6247b5f930830eeca9dd950da0e7e", "simulator_unmodified": true, "default_ChallengeConfig": true, "default_ParameterVariance": true, "steps": 2000, "single_process": true, "sandbox": false, "max_seeds_per_command": 50, "off_action_equality": { "start": 320000, "end": 320002, "all_callbacks": true }, "off_full_result_equality": true, "assembled_result_equality": { "start": 320000, "end": 320002, "equal": true }, "synthetic_checks": [ "both sides for all four variants", "cooldown duration and expiry", "disabled action identity", "out-of-target spread action identity", "interrupted fill streak and nonconsecutive callback reset", "all four target spreads and simultaneous side triggers", "existing cancellation deduplication" ], "off_target_d_exactly_zero": true, "off_target_sampled_n": 0, "assembly_rename": "Final exported class Strategy declaration renamed _RC; earlier declarations preserved.", "assembly_separator": "\n", "seed_record_uniqueness": true, "one_record_per_strategy_per_seed": true, "tuning_holdout_disjoint": true, "finalist_seeds_used": false }, "notes": [ "Cooldown includes the triggering callback; length two also suppresses the next callback.", "Streak counters reset on a zero-fill callback or a triggered cooldown.", "Retail and arbitrage differences are paired means. Spread groups use sampled config spread.", "Sources support simulator API and setup; scores, hashes and equality checks are local measurements." ] }