{ "approach": "No tuning: NP2 = pinned CH plus verbatim A (normalizer-derived pHat update) and B (two-print alpha and side storage).", "tried": { "simulator_commit": "6b6921f8d463314aa7c96234e1be25a25245f704", "ch_sha256": "6dd68f77a70900319460215374143dbd5d924198450a46d9f5f91f6b1e3d35c3", "validation": { "starter": "passed", "NP": "passed", "NP2": "passed" }, "measurement": "Unmodified Rust amm_sim_rs.run_batch; each file separately versus unchanged VanillaStrategy (30 bps); explicit per-seed numpy.default_rng sampling in MatchRunner._build_configs order (size, arrival rate, sigma), canonical default config; 8 workers; chunks of 100; 2400-second cap per run. Zero-seed config fields checked against MatchRunner._build_configs. Same NP2 edge vector in both paired comparisons; sample standard deviation ddof=1 divided by sqrt(n).", "np_expected_mean_0_999": 526.0337302497852, "np_benchmark_matches": true, "np_benchmark_difference": 0.0, "np2_score_0_999": { "seed_start": 0, "n": 1000, "mean_edge": 525.6623425079387, "se": 2.7855648509724875 }, "reference_scores": [ { "reference": "NP", "seed_start": 1002000, "n": 2000, "mean_edge": 521.8149003905262, "se": 2.0694140566497023 }, { "reference": "CH", "seed_start": 1002000, "n": 2000, "mean_edge": 521.3719745818235, "se": 2.06840424230884 } ], "scoreboard": [ { "strategy": "CH", "sha256": "6dd68f77a70900319460215374143dbd5d924198450a46d9f5f91f6b1e3d35c3", "seed_start": 1002000, "n": 2000, "mean_edge": 521.3719745818235, "se": 2.06840424230884 }, { "strategy": "NP", "sha256": "95d21646a5b6d293c86c36a184769477be7b1ff39ab2adde7668ed79fb22dd38", "seed_start": 1002000, "n": 2000, "mean_edge": 521.8149003905262, "se": 2.0694140566497023 }, { "strategy": "NP2", "sha256": "b64e1ffdc9738ff20126dbd28daaf19cfb8735857445e1402605a5bec1e7a944", "seed_start": 1002000, "n": 2000, "mean_edge": 521.4848257927852, "se": 2.066202765633876 } ], "public_writeup": "Read dipankar/amm-challenge ANALYSIS.md: discussion of hidden-state estimation versus trade classification. Background only; no candidate edits or tuning derived from it.", "timing": "seconds_per_simulation is sum of run_batch wall times divided by total completed simulations across the five requested runs; includes limited overlap of NP benchmark and NP2 fresh run; excludes setup and compilation." }, "next": "NP2 does not clear twice its paired standard error versus NP on the requested fresh seeds; do not promote it under the stated rule. No tuning performed.", "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 = 60000000000000000;\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;\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 : (slots[11] == (trade.isBuy ? 1 : 2) ? 120000000000000000 : PHAT_ALPHA_RETAIL);\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 (firstInStep) {\n if (ret > RET_CAP) ret = RET_CAP;\n sigmaHat = wmul(sigmaHat, SIGMA_DECAY) + wmul(ret, WAD - SIGMA_DECAY);\n }\n }\n\n if(!firstInStep&&feeUsed>30*BPS&&gamma>0){uint256 nS=trade.isBuy?wdiv(wmul(spot,gamma),WAD-30*BPS):wdiv(wmul(spot,WAD-30*BPS),gamma);pHat=wmul(pHat,9*WAD/10)+wmul(nS,WAD/10);}\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 slots[11] = trade.isBuy ? 1 : 2;\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", "code_sha256": "b64e1ffdc9738ff20126dbd28daaf19cfb8735857445e1402605a5bec1e7a944", "np_sha256": "95d21646a5b6d293c86c36a184769477be7b1ff39ab2adde7668ed79fb22dd38", "np_score_0_999": { "seed_start": 0, "n": 1000, "mean_edge": 526.0337302497852, "se": 2.7912248204542776 }, "score": { "seed_start": 1002000, "n": 2000, "mean_edge": 521.4848257927852, "se": 2.066202765633876 }, "paired": [ { "reference": "NP", "seed_start": 1002000, "n": 2000, "mean_diff": -0.3300745977409508, "se": 0.01565653821868209, "worst": [ { "seed": 1003965, "diff": -3.494797917108258, "candidate_edge": 621.373459344401, "reference_edge": 624.8682572615093 }, { "seed": 1003396, "diff": -3.1702918782798406, "candidate_edge": 727.5258771645282, "reference_edge": 730.696169042808 }, { "seed": 1003145, "diff": -2.8954260347460377, "candidate_edge": 681.0788885233972, "reference_edge": 683.9743145581432 }, { "seed": 1002965, "diff": -2.780281712413739, "candidate_edge": 644.858450196004, "reference_edge": 647.6387319084178 }, { "seed": 1002139, "diff": -2.6538914327596785, "candidate_edge": 588.4936357532363, "reference_edge": 591.147527185996 } ] }, { "reference": "CH", "seed_start": 1002000, "n": 2000, "mean_diff": 0.112851210961747, "se": 0.021736791171690077, "worst": [ { "seed": 1003396, "diff": -7.73284229028252, "candidate_edge": 727.5258771645282, "reference_edge": 735.2587194548107 }, { "seed": 1002359, "diff": -7.171739317756533, "candidate_edge": 698.7281882021879, "reference_edge": 705.8999275199444 }, { "seed": 1002112, "diff": -4.926017611879843, "candidate_edge": 645.1071850051402, "reference_edge": 650.03320261702 }, { "seed": 1002403, "diff": -4.317887773441498, "candidate_edge": 800.5242382078451, "reference_edge": 804.8421259812866 }, { "seed": 1002390, "diff": -3.6213680554317307, "candidate_edge": 740.813638841127, "reference_edge": 744.4350068965588 } ] } ], "calibration": null, "seconds_per_simulation": 0.17511607514665228, "blocked": null, "citations": [ "https://raw.githubusercontent.com/ChengHua926/amm-challenge/d34a5199c59a4c44d5336a25f1436b4ae1f21104/contracts/src/Strategy.sol", "https://raw.githubusercontent.com/benedictbrady/amm-challenge/6b6921f8d463314aa7c96234e1be25a25245f704/amm_competition/competition/match.py", "https://raw.githubusercontent.com/benedictbrady/amm-challenge/6b6921f8d463314aa7c96234e1be25a25245f704/amm_competition/competition/config.py", "https://raw.githubusercontent.com/benedictbrady/amm-challenge/6b6921f8d463314aa7c96234e1be25a25245f704/contracts/src/VanillaStrategy.sol", "https://raw.githubusercontent.com/benedictbrady/amm-challenge/6b6921f8d463314aa7c96234e1be25a25245f704/amm_sim_rs/src/lib.rs", "https://raw.githubusercontent.com/dipankar/amm-challenge/main/ANALYSIS.md" ] }