{ "np2_check": { "n": 1000, "seeds": [ 0, 999 ], "sha256": "51f1c1a9d4999ee460eb8bbc66880da8074b173399a4f5d71f96671482e18ac0", "mean_edge": 526.1155722459862, "expected_mean_edge_rounded": 526.1156, "passed": true, "ch": { "mean_edge": 525.5258821780834, "expected": 525.525882178, "sha256": "6dd68f77a70900319460215374143dbd5d924198450a46d9f5f91f6b1e3d35c3", "passed": true } }, "variants": [ { "name": "BASE", "w": 0.1, "gate_bps": 30, "n": 2000, "mean_diff": 0.10312176914142748, "se": 0.01267534949762333, "worst": [ { "seed": 10870, "diff": -12.63679623677757, "candidate_edge": 463.9499343612489, "np2_edge": 476.58673059802646 }, { "seed": 10846, "diff": -8.169419708641499, "candidate_edge": 669.8478733975377, "np2_edge": 678.0172931061792 }, { "seed": 11968, "diff": -2.845424403297386, "candidate_edge": 505.70502760826264, "np2_edge": 508.55045201156 }, { "seed": 11316, "diff": -2.830900426198923, "candidate_edge": 494.338548687781, "np2_edge": 497.1694491139799 }, { "seed": 11268, "diff": -2.2323983818620263, "candidate_edge": 587.6438799382881, "np2_edge": 589.8762783201502 } ], "sha256": "0aeda3210f9d7ab51a1bd6b6d9a810ec9233069009655459a501df84b41b26ec" }, { "name": "w015", "w": 0.15, "gate_bps": 30, "n": 2000, "mean_diff": 0.06043978648054212, "se": 0.011386984170832672, "worst": [ { "seed": 11268, "diff": -3.0288060223706452, "candidate_edge": 586.8474722977795, "np2_edge": 589.8762783201502 }, { "seed": 11907, "diff": -2.700684186176659, "candidate_edge": 629.942222868471, "np2_edge": 632.6429070546477 }, { "seed": 11316, "diff": -2.537839139055052, "candidate_edge": 494.63160997492486, "np2_edge": 497.1694491139799 }, { "seed": 11240, "diff": -1.8234340226263157, "candidate_edge": 482.6342454882932, "np2_edge": 484.4576795109195 }, { "seed": 11392, "diff": -1.8200021969652198, "candidate_edge": 673.515148280049, "np2_edge": 675.3351504770142 } ], "sha256": "8c3aa0428044ca5c26fab2e92e0cf75502317e7995b0fbf5b3a8545e1a344f99", "versus_base": { "n": 2000, "mean_diff": -0.042681982660885354, "se": 0.012120603428298165, "worst": [ { "seed": 11907, "diff": -2.7536431983679677 }, { "seed": 11757, "diff": -2.5603881372023807 }, { "seed": 11147, "diff": -2.190836494541827 }, { "seed": 11163, "diff": -1.949760965793189 }, { "seed": 11815, "diff": -1.6091071089369962 } ] } }, { "name": "w020", "w": 0.2, "gate_bps": 30, "n": 2000, "mean_diff": -0.17831414453017447, "se": 0.01613346475537521, "worst": [ { "seed": 11392, "diff": -8.006867539991504, "candidate_edge": 667.3282829370227, "np2_edge": 675.3351504770142 }, { "seed": 10475, "diff": -5.569579232831984, "candidate_edge": 778.5584452156135, "np2_edge": 784.1280244484454 }, { "seed": 11907, "diff": -5.0998168869436995, "candidate_edge": 627.543090167704, "np2_edge": 632.6429070546477 }, { "seed": 10609, "diff": -3.811525048829594, "candidate_edge": 660.536487746894, "np2_edge": 664.3480127957235 }, { "seed": 11815, "diff": -2.9533234002281006, "candidate_edge": 525.6188996525215, "np2_edge": 528.5722230527496 } ], "sha256": "35baf6f1deafe40dbd827dc6b33e81be0735ea85e8d544001f6d74c0aee659a5", "versus_base": { "n": 2000, "mean_diff": -0.281435913671602, "se": 0.01739817360651589, "worst": [ { "seed": 11392, "diff": -7.318939738678409 }, { "seed": 11907, "diff": -5.152775899135008 }, { "seed": 10475, "diff": -4.373181636655886 }, { "seed": 10609, "diff": -4.0243891559754275 }, { "seed": 11163, "diff": -3.4353907315022525 } ] } }, { "name": "w030", "w": 0.3, "gate_bps": 30, "n": 2000, "mean_diff": -1.2275708007414097, "se": 0.03000391033718654, "worst": [ { "seed": 11392, "diff": -13.534007963899285, "candidate_edge": 661.8011425131149, "np2_edge": 675.3351504770142 }, { "seed": 10775, "diff": -10.006550837354666, "candidate_edge": 630.6913705376937, "np2_edge": 640.6979213750484 }, { "seed": 11907, "diff": -8.627577665320587, "candidate_edge": 624.0153293893271, "np2_edge": 632.6429070546477 }, { "seed": 10475, "diff": -8.465596508830572, "candidate_edge": 775.6624279396149, "np2_edge": 784.1280244484454 }, { "seed": 10159, "diff": -7.727233449805794, "candidate_edge": 630.204920203798, "np2_edge": 637.9321536536038 } ], "sha256": "b2894d6e1b0388d3d2d815649a6944821dcc39338037b0085a880cad021227f0", "versus_base": { "n": 2000, "mean_diff": -1.3306925698828367, "se": 0.031110792135153536, "worst": [ { "seed": 11392, "diff": -12.84608016258619 }, { "seed": 10775, "diff": -9.72606416526844 }, { "seed": 11907, "diff": -8.680536677511896 }, { "seed": 10789, "diff": -7.702469577214856 }, { "seed": 10193, "diff": -7.5905269851355115 } ] } }, { "name": "gate20", "w": 0.1, "gate_bps": 20, "n": 2000, "mean_diff": 0.06464950584616366, "se": 0.012541840659872443, "worst": [ { "seed": 10870, "diff": -12.641889336110182, "candidate_edge": 463.9448412619163, "np2_edge": 476.58673059802646 }, { "seed": 10846, "diff": -8.081386972697828, "candidate_edge": 669.9359061334814, "np2_edge": 678.0172931061792 }, { "seed": 11240, "diff": -1.851536485853103, "candidate_edge": 482.6061430250664, "np2_edge": 484.4576795109195 }, { "seed": 10609, "diff": -1.7894067979111696, "candidate_edge": 662.5586059978124, "np2_edge": 664.3480127957235 }, { "seed": 10839, "diff": -1.6502112772932378, "candidate_edge": 792.9802208687422, "np2_edge": 794.6304321460354 } ], "sha256": "ec6e727145a9f323efd2bc0329c0baaf1e9a037ced4959c96406a52fb17604ae", "versus_base": { "n": 2000, "mean_diff": -0.03847226329526381, "se": 0.006652140623197343, "worst": [ { "seed": 10839, "diff": -2.9517751307942035 }, { "seed": 10609, "diff": -2.002270905057003 }, { "seed": 10645, "diff": -1.6000196862977418 }, { "seed": 11669, "diff": -1.5745536116568246 }, { "seed": 11502, "diff": -1.2073123464745095 } ] } } ], "chosen": { "name": "BASE", "sha256": "0aeda3210f9d7ab51a1bd6b6d9a810ec9233069009655459a501df84b41b26ec", "rule": "Highest tuning mean_diff; retain BASE unless winner exceeds BASE by 2 standard errors of paired winner-minus-BASE differences.", "confirmation_seeds": [ 2000000, 2001999 ] }, "paired": { "n": 2000, "mean_diff": 0.09501598319038686, "se": 0.00931574512215638, "worst": [ { "seed": 2000504, "diff": -3.3931276805892594, "candidate_edge": 714.6864564963025, "np2_edge": 718.0795841768918 }, { "seed": 2001336, "diff": -1.6109971753022023, "candidate_edge": 458.5512676938193, "np2_edge": 460.1622648691215 }, { "seed": 2000710, "diff": -1.5515184256519206, "candidate_edge": 619.8228154338755, "np2_edge": 621.3743338595274 }, { "seed": 2001921, "diff": -1.3261607419689199, "candidate_edge": 476.7259108339947, "np2_edge": 478.0520715759636 }, { "seed": 2000453, "diff": -1.3102895926517704, "candidate_edge": 529.9010342056629, "np2_edge": 531.2113237983147 } ], "seed_start": 2000000, "seed_end": 2001999 }, "code": "// SPDX-License-Identifier: MIT\npragma solidity ^0.8.24;\n\nimport {AMMStrategyBase} from \"./AMMStrategyBase.sol\";\nimport {TradeInfo} from \"./IAMMStrategy.sol\";\n\ncontract Strategy is AMMStrategyBase {\n uint256 constant ELAPSED_CAP = 8;\n uint256 constant SIGNAL_THRESHOLD = WAD / 650;\n uint256 constant DIR_DECAY = 750000000000000000;\n uint256 constant ACT_DECAY = 530000000000000000;\n uint256 constant SIZE_DECAY = 530000000000000000;\n uint256 constant TOX_DECAY = 910000000000000000;\n uint256 constant SIGMA_DECAY = 690000000000000000;\n uint256 constant LAMBDA_DECAY = 990000000000000000;\n uint256 constant SIZE_BLEND_DECAY = 828000000000000000;\n uint256 constant TOX_BLEND_DECAY = 51000000000000000;\n uint256 constant ACT_BLEND_DECAY = 985000000000000000;\n uint256 constant PHAT_ALPHA = 270000000000000000;\n uint256 constant PHAT_ALPHA_RETAIL = 30000000000000000;\n uint256 constant PHAT_ALPHA_SAME = 120000000000000000;\n uint256 constant REVERT_U = 0;\n uint256 constant DIR_IMPACT_MULT = 4;\n uint256 constant GATE_SIGMA_MULT = 7200000000000000000;\n uint256 constant MIN_GATE = 30000000000000000;\n uint256 constant TRADE_TOX_BOOST = 3500 * BPS;\n uint256 constant STALE_ATTRACT_FRAC = 1050000000000000000;\n uint256 constant RET_CAP = WAD / 35;\n uint256 constant TOX_CAP = WAD / 5;\n uint256 constant TRADE_RATIO_CAP = WAD / 5;\n uint256 constant LAMBDA_CAP = 1820000000000000000;\n uint256 constant STEP_COUNT_CAP = 64;\n uint256 constant BASE_FEE = 4 * BPS;\n uint256 constant SIGMA_COEF = 200000000000000000;\n uint256 constant LAMBDA_COEF = 12 * BPS;\n uint256 constant FLOW_SIZE_COEF = 4842 * BPS;\n uint256 constant TOX_COEF = 300 * BPS;\n uint256 constant TOX_QUAD_COEF = 15000 * BPS;\n uint256 constant ACT_COEF = 91843 * BPS;\n uint256 constant DIR_COEF = 20 * BPS;\n uint256 constant DIR_TOX_COEF = 100 * BPS;\n uint256 constant STALE_DIR_COEF = 6850 * BPS;\n uint256 constant SIGMA_TOX_COEF = 500 * BPS;\n uint256 constant TAIL_KNEE = 600 * BPS;\n uint256 constant TAIL_SLOPE_PROTECT = 930000000000000000;\n uint256 constant TAIL_SLOPE_ATTRACT = 850000000000000000;\n\n function afterInitialize(uint256 initialX, uint256 initialY) external override returns (uint256, uint256) {\n slots[0] = BASE_FEE; slots[1] = BASE_FEE; slots[2] = 0; slots[3] = WAD; slots[4] = 0;\n slots[5] = initialX > 0 ? wdiv(initialY, initialX) : 100 * WAD;\n slots[6] = 950000000000000; slots[7] = 800000000000000000; slots[8] = 2000000000000000;\n slots[9] = 0; slots[10] = 0; slots[11] = 0; slots[12] = 0;\n return (BASE_FEE, BASE_FEE);\n }\n\n function afterSwap(TradeInfo calldata trade) external override returns (uint256, uint256) {\n uint256 prevBidFee = slots[0]; uint256 prevAskFee = slots[1]; uint256 lastTs = slots[2];\n uint256 dirState = slots[3]; uint256 actEma = slots[4]; uint256 pHat = slots[5];\n uint256 sigmaHat = slots[6]; uint256 lambdaHat = slots[7]; uint256 sizeHat = slots[8];\n uint256 toxEma = slots[9]; uint256 stepTradeCount = slots[10];\n\n bool isNewStep = trade.timestamp > lastTs;\n if (isNewStep) {\n uint256 elapsedRaw = trade.timestamp - lastTs;\n uint256 elapsed = elapsedRaw > ELAPSED_CAP ? ELAPSED_CAP : elapsedRaw;\n dirState = _decayCentered(dirState, DIR_DECAY, elapsed);\n actEma = wmul(actEma, _powWad(ACT_DECAY, elapsed));\n sizeHat = wmul(sizeHat, _powWad(SIZE_DECAY, elapsed));\n toxEma = wmul(toxEma, _powWad(TOX_DECAY, elapsed));\n if (stepTradeCount > 0 && elapsedRaw > 0) {\n uint256 lambdaInst = (stepTradeCount * WAD) / elapsedRaw;\n if (lambdaInst > LAMBDA_CAP) lambdaInst = LAMBDA_CAP;\n lambdaHat = wmul(lambdaHat, LAMBDA_DECAY) + wmul(lambdaInst, WAD - LAMBDA_DECAY);\n }\n stepTradeCount = 0;\n }\n\n bool firstInStep = stepTradeCount == 0;\n uint256 spot = trade.reserveX > 0 ? wdiv(trade.reserveY, trade.reserveX) : pHat;\n if (pHat == 0) pHat = spot;\n\n uint256 feeUsed = trade.isBuy ? prevBidFee : prevAskFee;\n uint256 gamma = feeUsed < WAD ? WAD - feeUsed : 0;\n uint256 pImplied;\n if (gamma == 0) { pImplied = spot; }\n else { pImplied = trade.isBuy ? wmul(spot, gamma) : wdiv(spot, gamma); }\n\n {\n uint256 ret = pHat > 0 ? wdiv(absDiff(pImplied, pHat), pHat) : 0;\n uint256 alpha = firstInStep ? PHAT_ALPHA : PHAT_ALPHA_RETAIL;\n uint256 prePhat = pHat;\n bool secondPrint = !firstInStep && stepTradeCount == 1;\n bool sameDir = false; bool oppDir = false;\n if (secondPrint) {\n bool up2 = pImplied >= pHat;\n uint256 d1 = slots[12];\n if (d1 != 0) { sameDir = (d1 == 1) == up2; oppDir = !sameDir; }\n if (sameDir) alpha = PHAT_ALPHA_SAME;\n }\n if (firstInStep) { slots[11] = pHat; slots[12] = pImplied >= pHat ? 1 : 2; }\n uint256 adaptiveGate = wmul(sigmaHat, GATE_SIGMA_MULT);\n if (adaptiveGate < MIN_GATE) adaptiveGate = MIN_GATE;\n if (ret <= adaptiveGate) { pHat = wmul(pHat, WAD - alpha) + wmul(pImplied, alpha); }\n if (oppDir && REVERT_U > 0) {\n uint256 pre = slots[11];\n if (pre > pHat) pHat = pHat + wmul(pre - pHat, REVERT_U);\n else pHat = pHat - wmul(pHat - pre, REVERT_U);\n }\n if (firstInStep) {\n if (ret > RET_CAP) ret = RET_CAP;\n sigmaHat = wmul(sigmaHat, SIGMA_DECAY) + wmul(ret, WAD - SIGMA_DECAY);\n }\n }\n\n // Interior retail routing equalizes fee-adjusted marginal prices.\n // Subsequent trades in a step cannot be the initial arbitrage trade.\n if (!firstInStep && feeUsed > 30 * BPS && gamma > 0) {\n uint256 normalSpot = trade.isBuy\n ? wdiv(wmul(spot, gamma), WAD - 30 * BPS)\n : wdiv(wmul(spot, WAD - 30 * BPS), gamma);\n pHat = wmul(pHat, 900000000000000000) + wmul(normalSpot, 100000000000000000);\n }\n\n uint256 tradeRatio = trade.reserveY > 0 ? wdiv(trade.amountY, trade.reserveY) : 0;\n if (tradeRatio > TRADE_RATIO_CAP) tradeRatio = TRADE_RATIO_CAP;\n\n if (tradeRatio > SIGNAL_THRESHOLD) {\n uint256 push = tradeRatio * DIR_IMPACT_MULT;\n if (push > WAD / 4) push = WAD / 4;\n if (trade.isBuy) {\n dirState = dirState + push;\n if (dirState > 2 * WAD) dirState = 2 * WAD;\n } else {\n dirState = dirState > push ? dirState - push : 0;\n }\n actEma = wmul(actEma, ACT_BLEND_DECAY) + wmul(tradeRatio, WAD - ACT_BLEND_DECAY);\n sizeHat = wmul(sizeHat, SIZE_BLEND_DECAY) + wmul(tradeRatio, WAD - SIZE_BLEND_DECAY);\n if (sizeHat > WAD) sizeHat = WAD;\n }\n\n uint256 tox = pHat > 0 ? wdiv(absDiff(spot, pHat), pHat) : 0;\n if (tox > TOX_CAP) tox = TOX_CAP;\n toxEma = wmul(toxEma, TOX_BLEND_DECAY) + wmul(tox, WAD - TOX_BLEND_DECAY);\n uint256 toxSignal = toxEma;\n\n stepTradeCount = stepTradeCount + 1;\n if (stepTradeCount > STEP_COUNT_CAP) stepTradeCount = STEP_COUNT_CAP;\n\n uint256 flowSize = wmul(lambdaHat, sizeHat);\n uint256 fBase = BASE_FEE + wmul(SIGMA_COEF, sigmaHat) + wmul(LAMBDA_COEF, lambdaHat) + wmul(FLOW_SIZE_COEF, flowSize);\n uint256 fMid = fBase + wmul(TOX_COEF, toxSignal) + wmul(TOX_QUAD_COEF, wmul(toxSignal, toxSignal)) + wmul(ACT_COEF, actEma);\n fMid = fMid + wmul(SIGMA_TOX_COEF, wmul(sigmaHat, toxSignal));\n\n uint256 dirDev; bool sellPressure;\n if (dirState >= WAD) { dirDev = dirState - WAD; sellPressure = true; }\n else { dirDev = WAD - dirState; sellPressure = false; }\n\n uint256 skew = wmul(DIR_COEF, dirDev) + wmul(DIR_TOX_COEF, wmul(dirDev, toxSignal));\n uint256 bidFee; uint256 askFee;\n if (sellPressure) {\n bidFee = fMid + skew;\n askFee = fMid > skew ? fMid - skew : 0;\n } else {\n askFee = fMid + skew;\n bidFee = fMid > skew ? fMid - skew : 0;\n }\n\n {\n uint256 staleShift = wmul(STALE_DIR_COEF, toxSignal);\n uint256 attractShift = wmul(staleShift, STALE_ATTRACT_FRAC);\n if (spot >= pHat) {\n bidFee = bidFee + staleShift;\n askFee = askFee > attractShift ? askFee - attractShift : 0;\n } else {\n askFee = askFee + staleShift;\n bidFee = bidFee > attractShift ? bidFee - attractShift : 0;\n }\n }\n\n {\n bool tradeAligned = (trade.isBuy && spot >= pHat) || (!trade.isBuy && spot < pHat);\n if (tradeAligned) {\n uint256 tradeBoost = wmul(TRADE_TOX_BOOST, tradeRatio);\n if (trade.isBuy) { bidFee = bidFee + tradeBoost; }\n else { askFee = askFee + tradeBoost; }\n }\n }\n\n if (sellPressure) {\n bidFee = clampFee(_compressTailWithSlope(bidFee, TAIL_SLOPE_PROTECT));\n askFee = clampFee(_compressTailWithSlope(askFee, TAIL_SLOPE_ATTRACT));\n } else {\n askFee = clampFee(_compressTailWithSlope(askFee, TAIL_SLOPE_PROTECT));\n bidFee = clampFee(_compressTailWithSlope(bidFee, TAIL_SLOPE_ATTRACT));\n }\n\n slots[0] = bidFee; slots[1] = askFee; slots[2] = trade.timestamp;\n slots[3] = dirState; slots[4] = actEma; slots[5] = pHat;\n slots[6] = sigmaHat; slots[7] = lambdaHat; slots[8] = sizeHat;\n slots[9] = toxEma; slots[10] = stepTradeCount;\n\n return (bidFee, askFee);\n }\n\n function _compressTailWithSlope(uint256 fee, uint256 slope) internal pure returns (uint256) {\n if (fee <= TAIL_KNEE) return fee;\n return TAIL_KNEE + wmul(fee - TAIL_KNEE, slope);\n }\n\n function _powWad(uint256 factor, uint256 exp) internal pure returns (uint256 result) {\n result = WAD;\n while (exp > 0) {\n if (exp & 1 == 1) result = wmul(result, factor);\n factor = wmul(factor, factor);\n exp >>= 1;\n }\n }\n\n function _decayCentered(uint256 centered, uint256 decayFactor, uint256 elapsed) internal pure returns (uint256) {\n uint256 mul = _powWad(decayFactor, elapsed);\n if (centered >= WAD) { return WAD + wmul(centered - WAD, mul); }\n uint256 below = wmul(WAD - centered, mul);\n return below < WAD ? WAD - below : 0;\n }\n\n function getName() external pure override returns (string memory) { return \"no_cubic\"; }\n}\n", "sha256": "0aeda3210f9d7ab51a1bd6b6d9a810ec9233069009655459a501df84b41b26ec", "blocked": null, "next": "Carry the frozen BASE code and fresh confirmation result into aggregation. All four alternatives underperformed BASE on tuning. The confirmed +0.095016 edge gain is far below the stated multi-point leaderboard targets; pursue a different mechanism rather than raising this routing weight. No confirmation-driven retuning was performed.", "methodology": { "simulator_commit": "6b6921f8d463314aa7c96234e1be25a25245f704", "tuning_seeds": [ 10000, 11999 ], "confirmation_seeds": [ 2000000, 2001999 ], "batch_size_max": 20, "workers": 8, "opponent": "VanillaStrategy, separately for each candidate and NP2", "draws": "default_rng(seed): uniform(19,21), uniform(.6,1), uniform(.000882,.001008), in that order; build_config(seed=seed)", "retail_seed": "seed+1 (simulator engine)", "difference": "candidate edges[submission] minus NP2 edges[submission]", "se": "sample standard deviation of paired differences (ddof=1) / sqrt(n)", "validation": { "NP2": true, "CH": true, "BASE": true, "w015": true, "w020": true, "w030": true, "gate20": true }, "source_urls": [ "https://api.imd.fun/artifacts/528a6da78583c6142644a552c86670f9d25c20e39e92f4de44deae05ddc8cecd", "https://api.imd.fun/artifacts/da313379a2e69e9286668865e06b18dfcae25732c82b934b0fd9c2ef0d8c2ff5", "https://github.com/benedictbrady/amm-challenge/tree/6b6921f8d463314aa7c96234e1be25a25245f704" ] } }