{ "approach": "Independent bid and ask fees. A trade of at least 0.50% of post-trade Y reserves widens the opposite side by 135 bps, capped at base plus two bumps. Both sides start at 30 bps; excess fees decay by 7 bps per elapsed observed step. This protects the side a return arbitrage would use while leaving the other side open to retail flow.", "tuned_values": { "bid": { "base_bps": 30, "size_threshold_bps_of_y_reserves": 50, "widen_bps": 135, "decay_bps_per_step": 7 }, "ask": { "base_bps": 30, "size_threshold_bps_of_y_reserves": 50, "widen_bps": 135, "decay_bps_per_step": 7 }, "cap_bumps": 2 }, "tried": [ { "stage": "fixed bases", "seed_start": 0, "n_per_setting": 100, "settings": 9, "best_parameters": [ 80, 80, 10000, 10000, 0, 0, 0, 0 ], "best_cap_multiple": 3, "best_mean_edge": 391.7258791004588, "best_paired_mean_vs_selected": -54.85139009731438 }, { "stage": "coarse dynamic", "seed_start": 0, "n_per_setting": 100, "settings": 30, "best_parameters": [ 60, 60, 30, 30, 60, 60, 10, 10 ], "best_cap_multiple": 3, "best_mean_edge": 426.6158760237849, "best_paired_mean_vs_selected": -19.961393173988313 }, { "stage": "refined dynamic", "seed_start": 0, "n_per_setting": 100, "settings": 32, "best_parameters": [ 45, 45, 45, 45, 100, 100, 15, 15 ], "best_cap_multiple": 3, "best_mean_edge": 439.8855511213026, "best_paired_mean_vs_selected": -6.691718076470579 }, { "stage": "coordinate pass 1", "seed_start": 100, "n_per_setting": 200, "settings": 23, "best_parameters": [ 40, 40, 40, 40, 120, 120, 10, 10 ], "best_cap_multiple": 2, "best_mean_edge": 431.5139046081167, "best_paired_mean_vs_selected": -4.673552637570879 }, { "stage": "coordinate pass 2", "seed_start": 300, "n_per_setting": 500, "settings": 18, "best_parameters": [ 30, 30, 45, 45, 135, 135, 7, 7 ], "best_cap_multiple": 3, "best_mean_edge": 434.5839829091306, "best_paired_mean_vs_selected": -0.5838401749463742 }, { "stage": "bid/ask sweeps", "seed_start": 800, "n_per_setting": 400, "settings": 17, "best_parameters": [ 30, 30, 50, 50, 135, 135, 7, 7 ], "best_cap_multiple": 3, "best_mean_edge": 429.5021781412976, "best_paired_mean_vs_selected": 0.0 }, { "stage": "confirmation", "seed_start": 1200, "n_per_setting": 800, "settings": 12, "best_parameters": [ 30, 30, 50, 50, 135, 135, 7, 7 ], "best_cap_multiple": 2, "best_mean_edge": 434.60629890573733, "best_paired_mean_vs_selected": 0.0 } ], "next": [ "Estimate the hidden fair price from post-arbitrage band-edge trades and use its gap to set directional fees.", "Separate large retail trades from first-in-step arbitrage using timestamp and direction before widening.", "Adapt the base fee to inferred volatility and inventory; evaluate changes with 2,000 paired fresh seeds." ], "code": "// SPDX-License-Identifier: MIT\npragma solidity ^0.8.24;\n\nimport {AMMStrategyBase} from \"./AMMStrategyBase.sol\";\nimport {TradeInfo} from \"./IAMMStrategy.sol\";\n\n/// @notice Raises the fee on the side exposed by a large price-moving trade.\ncontract Strategy is AMMStrategyBase {\n uint256 private constant BASE_BID = 30 * BPS;\n uint256 private constant BASE_ASK = 30 * BPS;\n uint256 private constant THRESHOLD_BID = 50; // bps of Y reserves\n uint256 private constant THRESHOLD_ASK = 50; // bps of Y reserves\n uint256 private constant BUMP_BID = 135 * BPS;\n uint256 private constant BUMP_ASK = 135 * BPS;\n uint256 private constant DECAY_BID = 7 * BPS; // bps per elapsed step\n uint256 private constant DECAY_ASK = 7 * BPS;\n uint256 private constant MAX_BID = BASE_BID + 2 * BUMP_BID;\n uint256 private constant MAX_ASK = BASE_ASK + 2 * BUMP_ASK;\n\n // slots[0] = bid fee, slots[1] = ask fee, slots[2] = last observed step.\n function afterInitialize(uint256, uint256) external override returns (uint256, uint256) {\n slots[0] = BASE_BID;\n slots[1] = BASE_ASK;\n slots[2] = 0;\n return (BASE_BID, BASE_ASK);\n }\n\n function afterSwap(TradeInfo calldata trade) external override returns (uint256 bidFee, uint256 askFee) {\n uint256 elapsed = trade.timestamp > slots[2] ? trade.timestamp - slots[2] : 0;\n bidFee = slots[0];\n askFee = slots[1];\n\n // Saturating linear decay avoids underflow and cannot cross the base fee.\n uint256 excessBid = bidFee - BASE_BID;\n uint256 excessAsk = askFee - BASE_ASK;\n uint256 bidDecay = elapsed * DECAY_BID;\n uint256 askDecay = elapsed * DECAY_ASK;\n bidFee = BASE_BID + (bidDecay >= excessBid ? 0 : excessBid - bidDecay);\n askFee = BASE_ASK + (askDecay >= excessAsk ? 0 : excessAsk - askDecay);\n\n // When this AMM buys X, spot falls and a return trade uses its ask.\n // When it sells X, spot rises and a return trade uses its bid.\n if (trade.reserveY > 0) {\n uint256 sizeBps = trade.amountY * 10000 / trade.reserveY;\n if (trade.isBuy) {\n if (sizeBps >= THRESHOLD_ASK) {\n askFee = askFee + BUMP_ASK;\n if (askFee > MAX_ASK) askFee = MAX_ASK;\n }\n } else {\n if (sizeBps >= THRESHOLD_BID) {\n bidFee = bidFee + BUMP_BID;\n if (bidFee > MAX_BID) bidFee = MAX_BID;\n }\n }\n }\n\n slots[0] = bidFee;\n slots[1] = askFee;\n slots[2] = trade.timestamp;\n return (bidFee, askFee);\n }\n\n function getName() external pure override returns (string memory) {\n return \"ExampleTuned\";\n }\n}\n", "code_sha256": "0b262897556896df7d0792f531096a0b730a0363a0ddd7b857cc635a23180c07", "score": { "n": 1000, "mean_edge": 435.16220010470994 }, "paired": { "reference": "contracts/src/StarterStrategy.sol at 6b6921f8d463314aa7c96234e1be25a25245f704", "seed_start": 100000, "n": 2000, "mean_diff": 65.71226105406619, "se": 0.3472059830117122, "worst": [ { "seed": 100645, "diff": 28.125249534884347 }, { "seed": 100357, "diff": 28.925404473331753 }, { "seed": 101882, "diff": 32.61803847847793 }, { "seed": 101559, "diff": 33.54280503445824 }, { "seed": 101263, "diff": 34.67965021925107 } ] }, "paired_previous_best": { "reference": "symmetric dynamic incumbent, SHA-256 d4226fadfb03dcd28f9b412427fe12dc525882d41398bde153cf37ea683e577c", "seed_start": 100000, "n": 2000, "mean_diff": 0.8145439646022257, "se": 0.07548650571926896, "worst": [ { "seed": 100270, "diff": -17.932238515038307 }, { "seed": 101858, "diff": -13.870611392936041 }, { "seed": 101965, "diff": -13.319246261564103 }, { "seed": 101256, "diff": -12.39164045063626 }, { "seed": 101502, "diff": -12.087249398819154 } ] }, "seconds_per_simulation": 0.050964071901049464, "validate_ok": true, "citations": [ { "title": "AMM challenge simulator and README at pinned commit", "url": "https://github.com/benedictbrady/amm-challenge/tree/6b6921f8d463314aa7c96234e1be25a25245f704", "use": "Rules, example, and engine source" }, { "title": "Algebra Finance AMM fee challenge notes", "url": "https://www.linkedin.com/pulse/amm-fee-challenge-notes-from-our-run-optimization-arena-qe3ff", "use": "Public write-up on asymmetric fees and simulation tuning" }, { "title": "AMM challenge research post-mortem", "url": "https://github.com/dipankar/amm-challenge/blob/main/ANALYSIS.md", "use": "Public discussion of the limitations of size-triggered spike and decay versus fair-price estimation" } ], "changed": [ "candidates/example-tuned/Strategy.sol", "candidates/example-tuned/result.json", "candidates/example-tuned/NOTES.md", "artifacts/goal/batches/r1/items/example-tuned/result.json" ], "checks": [ { "command": "git -C test/scratch/amm-challenge checkout 6b6921f8d463314aa7c96234e1be25a25245f704", "result": "Pinned simulator source checked out." }, { "command": "maturin develop --release -m test/scratch/amm-challenge/amm_sim_rs/Cargo.toml", "result": "Rust Python extension built successfully." }, { "command": "amm-match validate candidates/example-tuned/Strategy.sol", "result": "Strategy ExampleTuned validated successfully; Solidity compilation and deployment passed." }, { "command": "amm-match run candidates/example-tuned/Strategy.sol --simulations 20", "result": "20-seed smoke score 463.66 edge." }, { "command": "python test/scratch/measure.py", "result": "Candidate score 435.1622 on seeds 0-999; fresh paired gain over starter 65.7123 ± 0.3472 SE and over incumbent 0.8145 ± 0.0755 SE on seeds 100000-101999." }, { "command": "amm-match run candidates/example-tuned/Strategy.sol --simulations 1000", "result": "Official CLI reported 435.16 edge, matching custom seeded runner mean 435.1622 on seeds 0-999." } ] }