{ "key": "f5-rival-vanish-side", "mechanism": "f5-rival-vanish-side", "approach": "Overlay on RC: when the rival best bid (ask) becomes None, drop own BUY (SELL) PlaceOrders and cancel resting orders on that side, for at most K callbacks or until the rival side reappears. Gate on rival spread s in {1,2,3,4} from first two-sided quote. Tuned K in {2,5,10} on 330000..330199; froze K=2; holdout 440000..440499 once.", "tried": [ { "name": "K=2", "code_sha256": "82a618d923a29a9fa6d69756367a98b06b86e40fa4452c218c17e73a509adb3b", "mean_diff": -0.23235802096849828, "se": 0.3091819472077692, "by_spread": { "1": { "mean_diff": -1.1110577015703718, "se": 1.0891795230871877 }, "2": { "mean_diff": 0.23452912251052774, "se": 0.20219500947190472 }, "3": { "mean_diff": -0.22941933629387437, "se": 0.26333085965467656 }, "4": { "mean_diff": 0.2849724796600046, "se": 0.1807701756513377 } } }, { "name": "K=5", "code_sha256": "8179287428001eb8090424c8ce4e8dc3a54f8ab831c45de851fc28cd7950dd75", "mean_diff": -0.2347617239844993, "se": 0.3090084700626745, "by_spread": { "1": { "mean_diff": -1.2148724573092593, "se": 1.0889407248501666 }, "2": { "mean_diff": 0.3170756453929815, "se": 0.18656783666730883 }, "3": { "mean_diff": -0.2279374251918322, "se": 0.26380304943035593 }, "4": { "mean_diff": 0.2936597486199995, "se": 0.1815651686884781 } } }, { "name": "K=10", "code_sha256": "e4ea8639f0e9f96a5c4b0c1d12be606349c0b44648d108e62385f88ed1542622", "mean_diff": -1.865376706536999, "se": 1.3614160239542499, "by_spread": { "1": { "mean_diff": -6.96373389565, "se": 4.989984445772933 }, "2": { "mean_diff": 0.3291868462070184, "se": 0.19647723297854192 }, "3": { "mean_diff": -0.5361581477938766, "se": 0.40118465574235523 }, "4": { "mean_diff": 0.26185970164500144, "se": 0.18997924331617494 } } } ], "frozen": "K=2", "next": "Effect is small/negative overall, driven by spread 1 (high variance); mild positive on spreads 2 and 4. If pursued, restrict to spreads 2 and 4 and screen on a fresh seed range; otherwise drop.", "spreads_acted": [ 1, 2, 3, 4 ], "off_equals_rc": true, "off_check_seeds": [ 310000, 310001, 310002, 310003 ], "code": "from orderbook_pm_challenge.types import CancelOrder, CancelAll, PlaceOrder, Side\n\nVANISH_K = 2\nTARGET_SPREADS = (1, 2, 3, 4)\n\n\nclass Strategy(_RC):\n \"\"\"Overlay f5-rival-vanish-side: when a rival side vanishes (best quote None),\n cancel own orders on that side and place nothing there until the rival side\n reappears, for at most VANISH_K callbacks.\"\"\"\n\n def __init__(self, *a, **k):\n super().__init__(*a, **k)\n self._vk = VANISH_K\n self._vs = None\n self._vleft = {Side.BUY: 0, Side.SELL: 0}\n self._vprev = {Side.BUY: True, Side.SELL: True}\n\n def on_step(self, state):\n actions = super().on_step(state)\n if self._vk <= 0:\n return actions\n bid = state.competitor_best_bid_ticks\n ask = state.competitor_best_ask_ticks\n if self._vs is None and bid is not None and ask is not None:\n self._vs = max(1, (ask - bid + 1) // 2)\n if self._vs not in TARGET_SPREADS:\n return actions\n present = {Side.BUY: bid is not None, Side.SELL: ask is not None}\n for side in (Side.BUY, Side.SELL):\n if not present[side]:\n if self._vprev[side]:\n self._vleft[side] = self._vk\n else:\n self._vleft[side] = 0\n self._vprev[side] = present[side]\n blocked = {sd for sd in (Side.BUY, Side.SELL) if self._vleft[sd] > 0 and not present[sd]}\n for sd in blocked:\n self._vleft[sd] -= 1\n if not blocked:\n return actions\n acts = list(actions or [])\n out = [a for a in acts if not (isinstance(a, PlaceOrder) and a.side in blocked)]\n if any(isinstance(a, CancelAll) for a in out):\n return out\n cancelled = {a.order_id for a in out if isinstance(a, CancelOrder)}\n for o in state.own_orders:\n if o.side in blocked and o.order_id not in cancelled:\n out.append(CancelOrder(o.order_id))\n return out\n", "code_sha256": "82a618d923a29a9fa6d69756367a98b06b86e40fa4452c218c17e73a509adb3b", "assembled_sha256": "85ad7f11afb2d8dea8c34306aba12867b9bd61354e65665f9274192e0c95cb8d", "comparator_sha256": "3c07bdcd221ac25729c3ebc92b21ac9e2014510ecb85816c4391ed81e933291f", "tuning": { "seeds": "330000..330199", "selected": "K=2", "selection": "best overall paired mean over target spreads 1-4", "stats": { "seeds": "330000..330199", "n": 200, "complete": true, "missing_seeds": [], "overall": { "n": 200, "sum_d": -46.471604193699655, "sum_d2": 3815.4184138533537, "mean_diff": -0.23235802096849828, "se": 0.3091819472077692, "comparator_mean": 97.4672213329115, "candidate_mean": 97.234863311943, "retail_diff": -1.1335143304814994, "arb_diff": 0.9011563095120003 }, "by_spread": { "1": { "n": 54, "sum_d": -59.997115884800074, "sum_d2": 3461.8852975884024, "mean_diff": -1.1110577015703718, "se": 1.0891795230871877, "comparator_mean": 46.182844338938885, "candidate_mean": 45.07178663736851, "retail_diff": -4.144705119666666, "arb_diff": 3.0336474181092594 }, "2": { "n": 57, "sum_d": 13.368159983100082, "sum_d2": 133.6331901926737, "mean_diff": 0.23452912251052774, "se": 0.20219500947190472, "comparator_mean": 87.23571902150526, "candidate_mean": 87.47024814401578, "retail_diff": -0.04643423456842113, "arb_diff": 0.28096335707192915 }, "3": { "n": 49, "sum_d": -11.241547478399845, "sum_d2": 165.67409751391025, "mean_diff": -0.22941933629387437, "se": 0.26333085965467656, "comparator_mean": 112.87398754092447, "candidate_mean": 112.64456820463062, "retail_diff": -0.004732724144897342, "arb_diff": -0.22468661216122265 }, "4": { "n": 40, "sum_d": 11.398899186400184, "sum_d2": 54.225828558367034, "mean_diff": 0.2849724796600046, "se": 0.1807701756513377, "comparator_mean": 162.4077324637125, "candidate_mean": 162.6927049433725, "retail_diff": -0.0002533695199987918, "arb_diff": 0.2852258491824998 } } } }, "paired": { "seeds": "440000..440499", "n": 500, "complete": true, "missing_seeds": [], "overall": { "n": 500, "sum_d": -71.19560727259969, "sum_d2": 21751.460090946515, "mean_diff": -0.14239121454519937, "se": 0.2951941208523611, "comparator_mean": 101.4369248623788, "candidate_mean": 101.29453364783359, "retail_diff": -0.32188855778239955, "arb_diff": 0.1794973432353998 }, "by_spread": { "1": { "n": 142, "sum_d": -69.14863503060008, "sum_d2": 20623.434832080755, "mean_diff": -0.48696221852535265, "se": 1.0140793412581235, "comparator_mean": 28.7146791778493, "candidate_mean": 28.227716959323942, "retail_diff": -0.9637163500915497, "arb_diff": 0.47675413156760543 }, "2": { "n": 110, "sum_d": 6.696930725699981, "sum_d2": 155.0663837420595, "mean_diff": 0.060881188415454375, "se": 0.11357363850323848, "comparator_mean": 88.78927784058273, "candidate_mean": 88.85015902899818, "retail_diff": -0.07351537835909085, "arb_diff": 0.13439656676818196 }, "3": { "n": 119, "sum_d": 0.6129972670003898, "sum_d2": 758.078343244088, "mean_diff": 0.005151237537818402, "se": 0.23234945391167766, "comparator_mean": 143.37780997585293, "candidate_mean": 143.38296121339076, "retail_diff": -0.06997586716806618, "arb_diff": 0.07512710471092367 }, "4": { "n": 129, "sum_d": -9.356900234699978, "sum_d2": 214.8805318796146, "mean_diff": -0.07253411034651146, "se": 0.11389686124003795, "comparator_mean": 153.5829305298, "candidate_mean": 153.51039641945349, "retail_diff": -0.05955610361007652, "arb_diff": -0.012978006744186114 } } }, "failures": 0, "check_values": [ 17.5126554022, 20.6298693268, 2.3903113616, 248.006347259 ], "python_version": "3.12.3", "seconds_per_simulation": 0.7075376479625702, "notes": "Spread per seed for by_spread is the sampled cfg.competitor.spread_ticks. Simulator unmodified at b244530, single-process, no sandbox. Screen, not a promotion." }