{ "key": "f5-rival-shift", "mechanism": "Cancel vulnerable-side orders after both rival quotes shift in the same direction; suppress placements for a short cooldown.", "approach": "Blind RC subclass calls super first, infers spread from the first quotes, and suppresses sells after an upward rival shift or buys after a downward shift. Screen four variants: minimum quote movement exactly one tick or at least two ticks, each with one or two callbacks of suppression. Freeze the highest paired tuning mean across spreads 1-4.", "tried": [ { "name": "m1_c1", "code_sha256": "1c017ac4bbc20b0d6e040e77df30253cacc0659b681642990c8d1227cc512473", "tuning": { "mean_diff": -0.4528054063595009, "se": 0.979639871357755, "n": 200 }, "mean_diff": -0.4528054063595009, "se": 0.979639871357755 }, { "name": "m1_c2", "code_sha256": "596d7da940753102365f6c33fefe412aac9ddaddecc7baff01b7c7d254fc73ee", "tuning": { "mean_diff": 0.1915351608525005, "se": 1.810455534352095, "n": 200 }, "mean_diff": 0.1915351608525005, "se": 1.810455534352095 }, { "name": "m2_c1", "code_sha256": "a1a4342b9c05c05c14e4d9ff94d246c8650e40be2116c80f73d1a23ce4edb5d7", "tuning": { "mean_diff": -0.13980684085099906, "se": 0.08066476895643346, "n": 200 }, "mean_diff": -0.13980684085099906, "se": 0.08066476895643346 }, { "name": "m2_c2", "code_sha256": "9a8b4f2c2b090e6b38e85a6025e9092973f8e376e09e42036ffce61dab0c8f7b", "tuning": { "mean_diff": -0.8693393933969996, "se": 0.45230779902397694, "n": 200 }, "mean_diff": -0.8693393933969996, "se": 0.45230779902397694 } ], "next": "Retain RC: the frozen overlay had a negative holdout mean and did not establish a gain. No promotion; reserve finalist seeds for measure items.", "spreads_acted": [ 1, 2, 3, 4 ], "off_equals_rc": true, "code": "from orderbook_pm_challenge.types import CancelOrder, PlaceOrder, Side\n\n\nclass Strategy(_RC):\n \"\"\"Cancel the vulnerable side after a simultaneous rival quote shift.\"\"\"\n shift_kind = 1\n cooldown = 2\n enabled = True\n\n def on_step(self, state):\n actions = super().on_step(state)\n if not self.enabled:\n return actions\n bid = state.competitor_best_bid_ticks\n ask = state.competitor_best_ask_ticks\n if not hasattr(self, '_f5_previous'):\n self._f5_previous = (bid, ask)\n self._f5_spread = (max(1, (ask - bid + 1) // 2)\n if bid is not None and ask is not None else None)\n self._f5_until = {Side.BUY: -1, Side.SELL: -1}\n return actions\n old_bid, old_ask = self._f5_previous\n self._f5_previous = (bid, ask)\n if self._f5_spread not in (1, 2, 3, 4):\n return actions\n if all(x is not None for x in (bid, ask, old_bid, old_ask)):\n db, da = bid - old_bid, ask - old_ask\n if db * da > 0:\n magnitude = min(abs(db), abs(da))\n trigger = (magnitude == 1 if self.shift_kind == 1 else magnitude >= 2)\n if trigger:\n side = Side.SELL if db > 0 else Side.BUY\n self._f5_until[side] = state.step + self.cooldown - 1\n blocked = {side for side, until in self._f5_until.items() if state.step <= until}\n if not blocked:\n return actions\n result = [a for a in actions\n if not (isinstance(a, PlaceOrder) and a.side in blocked)]\n cancelled = {a.order_id for a in result if isinstance(a, CancelOrder)}\n extra = [CancelOrder(o.order_id) for o in state.own_orders\n if o.side in blocked and o.order_id not in cancelled]\n return extra + result\n", "code_sha256": "596d7da940753102365f6c33fefe412aac9ddaddecc7baff01b7c7d254fc73ee", "assembled_sha256": "5db3b6aea5ca05226c6bd11105d32c4f87e19a311c6455b52a38a67580bdf415", "comparator_sha256": "3c07bdcd221ac25729c3ebc92b21ac9e2014510ecb85816c4391ed81e933291f", "tuning": { "seeds": { "start": 330000, "end_inclusive": 330199 }, "selected": "m1_c2", "selection": "Largest paired mean over all target spreads, frozen before holdout.", "complete": true, "overall": { "n": 200, "sum_d": 38.3070321705001, "sum_d2": 130461.75696984051, "mean_diff": 0.1915351608525005, "se": 1.810455534352095, "comparator_mean": 97.4672213329115, "candidate_mean": 97.65875649376399, "retail_diff": -1.4485654881269983, "arb_diff": 1.6401006489295002 }, "by_spread": { "1": { "n": 54, "sum_d": -200.09015730660008, "sum_d2": 46338.43082678886, "mean_diff": -3.705373283455557, "se": 3.9914751096844894, "comparator_mean": 46.182844338938885, "candidate_mean": 42.477471055483335, "retail_diff": -3.9280694497796285, "arb_diff": 0.22269616634814782 }, "2": { "n": 57, "sum_d": 255.07782090459992, "sum_d2": 83904.12985173271, "mean_diff": 4.475049489554385, "se": 5.091968834362411, "comparator_mean": 87.23571902150526, "candidate_mean": 91.71076851105965, "retail_diff": -0.3803578227228051, "arb_diff": 4.855407312264912 }, "3": { "n": 49, "sum_d": -18.221967743699853, "sum_d2": 112.91442563301392, "mean_diff": -0.37187689272856844, "se": 0.21243055777032563, "comparator_mean": 112.87398754092447, "candidate_mean": 112.50211064819591, "retail_diff": -0.47597833786326293, "arb_diff": 0.10410144504898092 }, "4": { "n": 40, "sum_d": 1.5413363162001161, "sum_d2": 106.281865685939, "mean_diff": 0.038533407905002905, "se": 0.26094315220495634, "comparator_mean": 162.4077324637125, "candidate_mean": 162.4462658716175, "retail_diff": -0.8148503221699986, "arb_diff": 0.8533837299150001 } } }, "paired": { "seeds": { "start": 440000, "end_inclusive": 440499 }, "n": 500, "complete": true, "missing_seeds": [], "overall": { "n": 500, "sum_d": -219.36693052680016, "sum_d2": 20488.967860247212, "mean_diff": -0.43873386105360035, "se": 0.2858922268444159, "comparator_mean": 101.4369248623788, "candidate_mean": 100.99819100132521, "retail_diff": -0.9941215586304005, "arb_diff": 0.5553876975736001 }, "by_spread": { "1": { "n": 142, "sum_d": 42.36381074339993, "sum_d2": 11738.920653314553, "mean_diff": 0.29833669537605584, "se": 0.7652907041462438, "comparator_mean": 28.7146791778493, "candidate_mean": 29.01301587322535, "retail_diff": -1.5246593415464798, "arb_diff": 1.8229960369211267 }, "2": { "n": 110, "sum_d": -120.7968150424001, "sum_d2": 5643.654316336249, "mean_diff": -1.098152864021819, "se": 0.6779624669428338, "comparator_mean": 88.78927784058273, "candidate_mean": 87.6911249765609, "retail_diff": -0.4628093959109091, "arb_diff": -0.6353434681090908 }, "3": { "n": 119, "sum_d": -99.27051696949985, "sum_d2": 836.6935030911196, "mean_diff": -0.8342060249537803, "se": 0.23170587267585635, "comparator_mean": 143.37780997585293, "candidate_mean": 142.54360395089915, "retail_diff": -0.8326198398966406, "arb_diff": -0.001586185077310894 }, "4": { "n": 129, "sum_d": -41.66340925830015, "sum_d2": 2269.6993875052917, "mean_diff": -0.32297216479302443, "se": 0.3696520521483552, "comparator_mean": 153.5829305298, "candidate_mean": 153.25995836500698, "retail_diff": -1.0121578164162781, "arb_diff": 0.6891856516294577 } } }, "failures": [], "check_values": { "310000": 17.5126554022, "310001": 20.6298693268, "310002": 2.3903113616, "310003": 248.006347259 }, "python_version": "3.12.3", "seconds_per_simulation": 1.374293258918216, "validation": { "disabled_seeds": { "start": 320000, "end_inclusive": 320002 }, "disabled_action_comparison": "Exact action-list equality against a separate RC instance at every callback; all 6000 callbacks passed.", "synthetic_tests": "Passed direction, threshold, cooldown expiry, inactive spread and disabled return-object identity.", "off_target": "Spreads outside 1-4 return RC actions unchanged. Default variance samples only spreads 1-4; inactive-spread equality checked synthetically.", "assembly": "Rename the final public class Strategy declaration in RC to class _RC, leaving earlier declarations intact, then append code verbatim with no added separator.", "simulator_commit": "b244530ee2a6247b5f930830eeca9dd950da0e7e", "steps": 2000, "workers": 1, "sandbox": false, "records_tuning": 1000, "records_holdout": 1000, "max_seeds_per_command": 50, "assembled_equivalence": { "seed": 320003, "steps": 2000, "equal": true } }, "scoreboard": { "current_best_sha256": "3c07bdcd221ac25729c3ebc92b21ac9e2014510ecb85816c4391ed81e933291f", "screen_only": true, "selected_code_sha256": "596d7da940753102365f6c33fefe412aac9ddaddecc7baff01b7c7d254fc73ee", "paired_holdout_mean": -0.43873386105360035, "paired_holdout_se": 0.2858922268444159 } }