{ "key": "f-paired-size", "mech": "paired sizing from own historical fill fractions", "approach": "Blind subclass of N. Estimate each side's per-share next-step fill probability with an EWMA of previous filled quantity / offered quantity. Reallocate N's combined fresh bid/ask shares inversely to those probabilities, including retained exposure in the balance equation. Keep prices and cancellations; gate to genuinely paired fresh quotes, quantize to 0.01, and fall back to N sizes if proposed collateral is unaffordable. Screen only; failures and negative gains reject this implementation.", "tried": [ { "mechanism": "one paired sizing overlay", "variants": "Three EWMA rates; identical 0.05 prior and spread gate 1..4. No incumbent source inspection. No other mechanisms or seeds tested." }, { "incumbent_sha256": "bf0d179f3e47d28819f6fa7e0d25548c2ced43374c216d36460b00a26a26ffae", "selection_rule": "Highest all-seed tuning mean difference, including returned partial edge on failures; all variants rejected operationally. This selects a frozen negative control for the required holdout, not a valid strategy promotion." }, { "limitations": "Estimated balance is exact only before positivity clamps, collateral fallback, share quantization, and stochastic fill uncertainty. Independent order floors can lose less than one 0.01-share quantum per fresh order versus N total. The collateral guard checks proposed resizes only; falling back to N does not guarantee its actions remain feasible on altered inventory paths. Fill fractions depend on price, queue and size; a single EWMA per side does not condition on these. Failed simulations return partial edge and do not reach 2000 steps; their arithmetic means below are diagnostics, not valid challenge scores. successful_pairs_only is a survivor-biased diagnostic." }, { "orchestration": "Serial unmodified pinned simulator, no workers or sandbox. Holdout used chunks of 50 seeds; tuning used a persistent tool session after nohup did not survive the tool boundary. Append-only completed records have unique (seed,strategy). A tuning launcher was interrupted and resumed from completed records; an in-progress unrecorded attempt may have restarted. No failed completed run was rerun." } ], "next": "Reject this overlay and retain N. Do not promote from this screen. Before retesting, solve collateral-feasible paired allocation jointly with retained order reservations and account for the dependence of fill probability on quote price and offered size; use new tuning seeds only with separate authorization.", "spreads_acted": [ 1, 2, 3, 4 ], "off_equals_n": { "equal": true, "seeds": "310000..310009", "steps": 20000 }, "code": "from dataclasses import replace as _ps_replace\nfrom orderbook_pm_challenge.types import PlaceOrder as _PSPlace, CancelAll as _PSAll, CancelOrder as _PSCancel, Side as _PSSide\nimport math as _ps_math\n\nclass Strategy(_N):\n # Fill-fraction model: expected filled shares = offered shares * EWMA fraction.\n paired_enabled = True\n paired_alpha = 0.05\n paired_prior = 0.05\n paired_spreads = (1, 2, 3, 4)\n\n def on_step(self, state):\n actions = list(super().on_step(state))\n if not self.paired_enabled or self.s not in self.paired_spreads:\n return actions\n if not hasattr(self, '_ps_rates'):\n self._ps_rates = [self.paired_prior, self.paired_prior]\n self._ps_exposure = [0.0, 0.0]\n for i, filled in enumerate((state.buy_filled_quantity, state.sell_filled_quantity)):\n exposure = self._ps_exposure[i]\n if exposure > 0:\n fraction = min(1.0, max(0.0, filled / exposure))\n self._ps_rates[i] += self.paired_alpha * (fraction - self._ps_rates[i])\n # Replay cancellations to distinguish retained exposure from fresh quotes.\n retained = {o.order_id: o for o in state.own_orders}\n for a in actions:\n if isinstance(a, _PSAll):\n retained.clear()\n elif isinstance(a, _PSCancel):\n retained.pop(a.order_id, None)\n old = [sum(o.remaining_quantity for o in retained.values() if o.side == side)\n for side in (_PSSide.BUY, _PSSide.SELL)]\n fresh = [sum(a.quantity for a in actions if isinstance(a, _PSPlace) and a.side == side)\n for side in (_PSSide.BUY, _PSSide.SELL)]\n # Only rebalance genuinely paired fresh quotes; do not create a missing side.\n if min(fresh) > 0:\n total = sum(fresh)\n pb, ps = (max(0.002, p) for p in self._ps_rates)\n bid = (ps * (total + old[1]) - pb * old[0]) / (pb + ps)\n # Preserve total fresh size, with one quantum left on either side.\n bid = min(total - 0.01, max(0.01, bid))\n targets = [bid, total - bid]\n proposed = []\n used = [0.0, 0.0]\n indices = [[j for j, a in enumerate(actions) if isinstance(a, _PSPlace) and a.side == side]\n for side in (_PSSide.BUY, _PSSide.SELL)]\n for j, a in enumerate(actions):\n if not isinstance(a, _PSPlace):\n proposed.append(a)\n continue\n i = 0 if a.side == _PSSide.BUY else 1\n q = targets[i] - used[i] if j == indices[i][-1] else a.quantity * targets[i] / fresh[i]\n q = _ps_math.floor((q + 1e-9) * 100) / 100\n used[i] += q\n if q >= 0.01:\n proposed.append(_ps_replace(a, quantity=q))\n # Collateral feasibility is a guard, never a second sizing signal.\n reserved = sum(o.remaining_quantity * (o.price_ticks / 100 if o.side == _PSSide.BUY else 1 - o.price_ticks / 100)\n for o in retained.values())\n free = max(0.0, state.cash - reserved)\n available_yes = max(0.0, state.yes_inventory - sum(o.remaining_quantity for o in retained.values() if o.side == _PSSide.SELL))\n cost = 0.0\n for a in proposed:\n if isinstance(a, _PSPlace):\n if a.side == _PSSide.BUY:\n cost += a.quantity * a.price_ticks / 100\n else:\n covered = min(available_yes, a.quantity)\n available_yes -= covered\n cost += (a.quantity - covered) * (1 - a.price_ticks / 100)\n if cost <= free - 1e-7:\n actions = proposed\n self._ps_exposure = [old[i] + sum(a.quantity for a in actions if isinstance(a, _PSPlace) and a.side == side)\n for i, side in enumerate((_PSSide.BUY, _PSSide.SELL))]\n return actions\n", "code_sha256": "7620ca65f64f77e47c6119780072497c6dc3f11bf8446af2186ca8627cb0a2c1", "assembled_sha256": "a94fd8177d33d8cdf176e0fa036cb80284086f445339e5b6a499c46be2bdc410", "tuning": { "seeds": "320000..320199", "selected": "fast", "variants": [ { "name": "fast", "alpha": 0.05, "prior": 0.05, "spreads_acted": [ 1, 2, 3, 4 ], "code_sha256": "7620ca65f64f77e47c6119780072497c6dc3f11bf8446af2186ca8627cb0a2c1", "overall": { "n": 200, "sum_d": -17601.3713363127, "sum_d2": 3242674.0051193875, "mean_diff": -88.00685668156349, "se": 6.523310810685201, "incumbent_mean": 98.47071831456549, "candidate_mean": 10.463861633002002, "retail_diff": -38.638462419132495, "arb_diff": -49.368394262441 }, "by_spread": { "1": { "n": 50, "sum_d": -1349.7505519276, "sum_d2": 213123.61279133428, "mean_diff": -26.995011038552, "se": 8.492183242343131, "incumbent_mean": 25.711261479664, "candidate_mean": -1.2837495588879997, "retail_diff": -22.523708916452, "arb_diff": -4.471302122158 }, "2": { "n": 50, "sum_d": -3223.1596658485, "sum_d2": 290649.9738826342, "mean_diff": -64.46319331697, "se": 5.8160513027094005, "incumbent_mean": 61.219908510538, "candidate_mean": -3.243284806431999, "retail_diff": -11.852903453008, "arb_diff": -52.610289863886 }, "3": { "n": 48, "sum_d": -5285.6130735619, "sum_d2": 894808.7616312286, "mean_diff": -110.11693903253958, "se": 11.774574969746553, "incumbent_mean": 130.8342429047854, "candidate_mean": 20.717303872245836, "retail_diff": -49.20657669522917, "arb_diff": -60.91036233749792 }, "4": { "n": 52, "sum_d": -7742.848044974699, "sum_d2": 1844091.6568141903, "mean_diff": -148.90092394182113, "se": 16.143848425858977, "incumbent_mean": 174.37579815333268, "candidate_mean": 25.47487421151154, "retail_diff": -70.13358046120192, "arb_diff": -78.76734348050192 } }, "failed_incumbent": 0, "failed_candidate": 25, "completed_2000_step_pairs": 175 }, { "name": "medium", "alpha": 0.025, "prior": 0.05, "spreads_acted": [ 1, 2, 3, 4 ], "code_sha256": "60d2539736102dbf558d88d1b1571c492cd1a671cff0fd7126fca8beafcb3f67", "overall": { "n": 200, "sum_d": -18535.0943015773, "sum_d2": 3503712.3539862144, "mean_diff": -92.6754715078865, "se": 6.69876563695913, "incumbent_mean": 98.47071831456549, "candidate_mean": 5.795246806679001, "retail_diff": -42.4989578206685, "arb_diff": -50.1765136872725 }, "by_spread": { "1": { "n": 50, "sum_d": -1532.2775761176001, "sum_d2": 260798.30941688304, "mean_diff": -30.645551522352, "se": 9.342481818835727, "incumbent_mean": 25.711261479664, "candidate_mean": -4.934290042688, "retail_diff": -25.007101572196003, "arb_diff": -5.638449950362001 }, "2": { "n": 50, "sum_d": -3597.7483887073, "sum_d2": 424290.8716615507, "mean_diff": -71.954967774146, "se": 8.216831960456542, "incumbent_mean": 61.219908510538, "candidate_mean": -10.735059263608001, "retail_diff": -18.74549238356, "arb_diff": -53.209475390524005 }, "3": { "n": 48, "sum_d": -6179.8969986167, "sum_d2": 1298492.1068612528, "mean_diff": -128.74785413784792, "se": 14.929557252019347, "incumbent_mean": 130.8342429047854, "candidate_mean": 2.086388766937499, "retail_diff": -66.29321133508124, "arb_diff": -62.45464280302292 }, "4": { "n": 52, "sum_d": -7225.1713381357, "sum_d2": 1520131.0660465278, "mean_diff": -138.94560265645578, "se": 13.951884568814902, "incumbent_mean": 174.37579815333268, "candidate_mean": 35.43019549687693, "retail_diff": -60.19399465888462, "arb_diff": -78.75160799740577 } }, "failed_incumbent": 0, "failed_candidate": 27, "completed_2000_step_pairs": 173 }, { "name": "slow", "alpha": 0.01, "prior": 0.05, "spreads_acted": [ 1, 2, 3, 4 ], "code_sha256": "2407ef63c9103a66d18f87614aca2848e5ea6d5ca00729ff3e30af42f61d3ea5", "overall": { "n": 200, "sum_d": -19818.2779336093, "sum_d2": 4361530.154986648, "mean_diff": -99.0913896680465, "se": 7.761698018060278, "incumbent_mean": 98.47071831456549, "candidate_mean": -0.6206713534809998, "retail_diff": -41.139730653080996, "arb_diff": -57.9516590149905 }, "by_spread": { "1": { "n": 50, "sum_d": -1371.0876763413, "sum_d2": 197066.5927003627, "mean_diff": -27.421753526826002, "se": 8.067798535828691, "incumbent_mean": 25.711261479664, "candidate_mean": -1.7104920471619998, "retail_diff": -21.015825175857998, "arb_diff": -6.405928350984001 }, "2": { "n": 50, "sum_d": -3844.2713745173, "sum_d2": 422262.53862167854, "mean_diff": -76.885427490346, "se": 7.1910968367500585, "incumbent_mean": 61.219908510538, "candidate_mean": -15.665518979808, "retail_diff": -16.101747659254002, "arb_diff": -60.783679831042 }, "3": { "n": 48, "sum_d": -6459.3854581729, "sum_d2": 1697962.930509023, "mean_diff": -134.5705303786021, "se": 19.166127075539766, "incumbent_mean": 130.8342429047854, "candidate_mean": -3.7362874738166667, "retail_diff": -62.766355984118746, "arb_diff": -71.80417439462501 }, "4": { "n": 52, "sum_d": -8143.5334245778, "sum_d2": 2044238.0931555831, "mean_diff": -156.60641201111156, "se": 17.027488006984893, "incumbent_mean": 174.37579815333268, "candidate_mean": 17.769386142221155, "retail_diff": -64.60158464659423, "arb_diff": -92.00482736451538 } }, "failed_incumbent": 0, "failed_candidate": 26, "completed_2000_step_pairs": 174 } ], "score_valid_for_ranking": false, "score_semantics": "Arithmetic total_edge returned by engine, including partial edge from failed runs; unusable as a valid 2000-step score." }, "paired": { "seeds": "430000..430499", "n": 500, "complete": true, "missing_seeds": [], "overall": { "n": 500, "sum_d": -44243.0026025803, "sum_d2": 9803437.977292811, "mean_diff": -88.48600520516061, "se": 4.858128085159907, "incumbent_mean": 95.54201511346659, "candidate_mean": 7.056009908306001, "retail_diff": -39.402075841275206, "arb_diff": -49.0839293639194 }, "by_spread": { "1": { "n": 131, "sum_d": -4040.0242224467, "sum_d2": 906940.9855945596, "mean_diff": -30.83987956066183, "se": 6.777857307879428, "incumbent_mean": 38.277936657049615, "candidate_mean": 7.438057096387786, "retail_diff": -25.241439114346566, "arb_diff": -5.598440446300001 }, "2": { "n": 120, "sum_d": -9681.0696630072, "sum_d2": 1392737.9389524066, "mean_diff": -80.67558052506, "se": 6.54499629148749, "incumbent_mean": 77.8558643979175, "candidate_mean": -2.8197161271425, "retail_diff": -24.667672697434167, "arb_diff": -56.0079078276225 }, "3": { "n": 133, "sum_d": -15558.9960798994, "sum_d2": 4166935.050340116, "mean_diff": -116.98493293157443, "se": 11.561713262786139, "incumbent_mean": 146.55140363646615, "candidate_mean": 29.56647070489173, "retail_diff": -58.59867804978421, "arb_diff": -58.386254881896996 }, "4": { "n": 116, "sum_d": -14962.912637227, "sum_d2": 3336824.0024057296, "mean_diff": -128.99062618299138, "se": 10.269051230714659, "incumbent_mean": 120.02204692465259, "candidate_mean": -8.968579258338794, "retail_diff": -48.626418037455174, "arb_diff": -80.36420814558105 } }, "failed_incumbent": 0, "failed_candidate": 56, "completed_2000_step_pairs": 444, "score_valid_for_ranking": false, "successful_pairs_only": { "n": 444, "sum_d": -33184.1698849958, "sum_d2": 5104798.053435596, "mean_diff": -74.73912136260314, "se": 3.6529330962418696, "incumbent_mean": 83.35672045689302, "candidate_mean": 8.617599094289865, "retail_diff": -20.992741030796175, "arb_diff": -53.74638033186914 }, "complete_semantics": "Every requested seed has both returned engine results. completed_2000_step_pairs counts pairs without engine failure; failed partial runs are retained in required all-seed arithmetic and explicitly invalid for ranking." }, "failures": { "count": 134, "tuning": [ { "seed": 320000, "strategy": "medium", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320003, "strategy": "slow", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320007, "strategy": "medium", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320008, "strategy": "medium", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320009, "strategy": "slow", "spread": 2, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320011, "strategy": "fast", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320011, "strategy": "slow", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320018, "strategy": "fast", "spread": 2, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320024, "strategy": "fast", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320024, "strategy": "medium", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320024, "strategy": "slow", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320025, "strategy": "slow", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320030, "strategy": "fast", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320030, "strategy": "medium", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320030, "strategy": "slow", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320031, "strategy": "fast", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320032, "strategy": "medium", "spread": 1, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320032, "strategy": "slow", "spread": 1, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320035, "strategy": "slow", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320039, "strategy": "fast", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320039, "strategy": "medium", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320039, "strategy": "slow", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320042, "strategy": "slow", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320043, "strategy": "fast", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320043, "strategy": "medium", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320043, "strategy": "slow", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320047, "strategy": "fast", "spread": 1, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320047, "strategy": "medium", "spread": 1, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320047, "strategy": "slow", "spread": 1, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320050, "strategy": "medium", "spread": 1, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320050, "strategy": "slow", "spread": 1, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320059, "strategy": "fast", "spread": 2, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320059, "strategy": "medium", "spread": 2, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320064, "strategy": "medium", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320069, "strategy": "slow", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320083, "strategy": "medium", "spread": 2, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320084, "strategy": "fast", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320084, "strategy": "medium", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320084, "strategy": "slow", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320086, "strategy": "slow", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320097, "strategy": "medium", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320099, "strategy": "medium", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320099, "strategy": "slow", "spread": 3, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320101, "strategy": "fast", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320101, "strategy": "medium", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320101, "strategy": "slow", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320112, "strategy": "fast", "spread": 4, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320116, "strategy": "fast", "spread": 1, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320116, "strategy": "slow", "spread": 1, "error": "orderbook_pm_challenge.market.OrderBookError: Insufficient free cash for order collateral" }, { "seed": 320117, "strategy": "slow", "spread": 4, "error": 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