{ "key": "f5-jump-cluster", "mechanism": "Cancel both sides and suppress placement for C callbacks after a rival mid move of at least two ticks.", "approach": "Subclass the SHA-checked RC. Compare consecutive rival quote midpoints in doubled ticks; on a move of at least four doubled ticks, cancel all own resting orders and omit new placements for C callbacks. Use the first-quote spread gate 1–4. Screen C=1,2,4 on paired tuning seeds and freeze the top mean.", "tried": [ { "name": "C=1", "code_sha256": "1c2489e77f6f40437e3411e34c715c9cdf886e714b2b91ffbb56657e0272d484", "tuning_mean_diff": -1.6514591169819992, "se": 1.009338669007516 }, { "name": "C=2", "code_sha256": "9fca38bd1a5266a0d739fc8921991573767f540b385e0b8837bc6456b804bbca", "tuning_mean_diff": -2.974308668148501, "se": 1.5624592458641104 }, { "name": "C=4", "code_sha256": "987cb900ccc3c0457ff55b035ef36c2bf26abe747405f95afe05a70aa32f7b28", "tuning_mean_diff": -3.7696152242769982, "se": 1.5935010157399256 } ], "next": "Do not promote this overlay; the frozen holdout does not clear a two-SE paired gain over RC.", "spreads_acted": [ 1, 2, 3, 4 ], "off_equals_rc": true, "code": "from orderbook_pm_challenge.types import CancelAll, CancelOrder, PlaceOrder\n\n\nclass Strategy(_RC):\n COOLDOWN = 1\n\n def on_step(self, state):\n actions = super().on_step(state)\n if self.COOLDOWN == 0:\n return actions\n\n bid = state.competitor_best_bid_ticks\n ask = state.competitor_best_ask_ticks\n if state.step == 0:\n self._jump_spread = max(1, (ask - bid + 1) // 2) if bid is not None and ask is not None else 0\n self._jump_last_mid2 = None\n self._jump_remaining = 0\n\n mid2 = bid + ask if bid is not None and ask is not None else None\n if self._jump_spread in (1, 2, 3, 4) and mid2 is not None and self._jump_last_mid2 is not None:\n if abs(mid2 - self._jump_last_mid2) >= 4:\n self._jump_remaining = self.COOLDOWN\n self._jump_last_mid2 = mid2\n\n if self._jump_remaining <= 0:\n return actions\n self._jump_remaining -= 1\n kept = [action for action in actions if not isinstance(action, PlaceOrder)]\n if not any(isinstance(action, CancelAll) for action in kept):\n cancelled = {action.order_id for action in kept if isinstance(action, CancelOrder)}\n kept.extend(CancelOrder(order.order_id) for order in state.own_orders if order.order_id not in cancelled)\n return kept\n", "code_sha256": "1c2489e77f6f40437e3411e34c715c9cdf886e714b2b91ffbb56657e0272d484", "assembled_sha256": "1babae006176f288427bc6ac9f06ce040c92c6ec55e3477c979011dbe3793aba", "comparator_sha256": "3c07bdcd221ac25729c3ebc92b21ac9e2014510ecb85816c4391ed81e933291f", "tuning": { "seeds": { "start": 330000, "end": 330199 }, "n": 200, "selected": "C=1", "overall": { "n": 200, "sum_d": -330.2918233963998, "sum_d2": 41092.29248341637, "mean_diff": -1.6514591169819992, "se": 1.009338669007516, "comparator_mean": 97.4672213329115, "candidate_mean": 95.8157622159295, "retail_diff": -0.9683506149984988, "arb_diff": -0.683108501986 }, "by_spread": { "1": { "n": 54, "sum_d": -90.98686679350003, "sum_d2": 31963.623066031254, "mean_diff": -1.684941977657408, "se": 3.333873932827155, "comparator_mean": 46.182844338938885, "candidate_mean": 44.49790236128148, "retail_diff": -0.7345993188851858, "arb_diff": -0.950342658779629 }, "2": { "n": 57, "sum_d": -14.973862662500064, "sum_d2": 202.79759333247608, "mean_diff": -0.2626993449561415, "se": 0.24960116646234912, "comparator_mean": 87.23571902150526, "candidate_mean": 86.97301967654911, "retail_diff": -0.9321098854368401, "arb_diff": 0.6694105404824556 }, "3": { "n": 49, "sum_d": -115.92738176309986, "sum_d2": 5961.949990115959, "mean_diff": -2.3658649339408133, "se": 1.5550665305450355, "comparator_mean": 112.87398754092447, "candidate_mean": 110.50812260698368, "retail_diff": -1.3252570050285706, "arb_diff": -1.0406079289408166 }, "4": { "n": 40, "sum_d": -108.40371217729985, "sum_d2": 2963.9218339366817, "mean_diff": -2.710092804432496, "se": 1.308291534590645, "comparator_mean": 162.4077324637125, "candidate_mean": 159.69763965928001, "retail_diff": -0.8983475765899973, "arb_diff": -1.8117452278125001 } } }, "paired": { "seeds": { "start": 440000, "end": 440499 }, "n": 500, "complete": true, "missing_seeds": [], "overall": { "n": 500, "sum_d": -679.9477088961996, "sum_d2": 55468.2987347577, "mean_diff": -1.3598954177923992, "se": 0.46755939453635587, "comparator_mean": 101.4369248623788, "candidate_mean": 100.0770294445864, "retail_diff": -0.6411754396247994, "arb_diff": -0.7187199781584 }, "by_spread": { "1": { "n": 142, "sum_d": -1.0918031194999105, "sum_d2": 307.8608376283616, "mean_diff": -0.007688754362675426, "se": 0.1239988260886355, "comparator_mean": 28.7146791778493, "candidate_mean": 28.70699042348662, "retail_diff": -0.07188748991408551, "arb_diff": 0.06419873556478888 }, "2": { "n": 110, "sum_d": 70.25687737540004, "sum_d2": 5884.036194699573, "mean_diff": 0.6386988852309095, "se": 0.697855837138205, "comparator_mean": 88.78927784058273, "candidate_mean": 89.42797672581364, "retail_diff": -1.0315261366499997, "arb_diff": 1.6702250218663637 }, "3": { "n": 119, "sum_d": -70.26822007829986, "sum_d2": 1075.7318763469614, "mean_diff": -0.590489244355461, "se": 0.2713913635243533, "comparator_mean": 143.37780997585293, "candidate_mean": 142.7873207314975, "retail_diff": -1.2429287964008393, "arb_diff": 0.6524395520369747 }, "4": { "n": 129, "sum_d": -678.8445630737999, "sum_d2": 48200.669826082805, "mean_diff": -5.262360954060465, "se": 1.6440141434443016, "comparator_mean": 153.5829305298, "candidate_mean": 148.32056957573954, "retail_diff": -0.37987049954573415, "arb_diff": -4.882490454473643 } } }, "failures": [], "check_values": { "310000": 17.5126554022, "310001": 20.6298693268, "310002": 2.3903113616, "310003": 248.006347259 }, "python_version": "3.12.3", "seconds_per_simulation": 0.4274556741921697 }