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ftdt-quant-lab/live
ramseshk 2429394cd8 Deep audit fixes: A-S gamma scaling + Mean Rev window
1. A-S reservation price now uses gamma*500000 scaling.
   Before: bash.003 skew on 4K BTC (invisible, same as naive dual-quote)
   After:  ~0 skew at max inventory (0.05% of mid — enough to suppress one side)

2. Mean Reversion: 20-tick → 60-tick window, threshold 1.0σ → 0.5σ.
   20 seconds of 1s ticks is noise, not mean-reverting.
   60 seconds captures real short-term reversion dynamics.

Fill attribution verified: BTC sizes differ by 50 μBTC, ETH by 0.0025 — all above matching tolerance.
Orderbook null guards present — no crash on failed fetch.
2026-08-06 08:34:37 +00:00
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