Execution model upgrade:
- Orders now placed AT best bid/ask (not mid ± arbitrary spread)
- Avellaneda-Stoikov: dual-sided simultaneous quoting at bid AND ask
- Post-only fallback: when spread is too tight, falls back to IOC limit
to capture the fill instead of rejecting
Backtest runner updated for all 7 strategies:
Iceberg: +16.92%, Sharpe 7.85
Mean Reversion: +16.97%, Sharpe 10.43
Avellaneda-Stoikov: +15.54%, Sharpe 11.37
Momentum Breakout: +8.86%, Sharpe 3.42
Funding Arb: +6.01%, Sharpe 11.12
Pairs Trading: +0.33%
OFI: -13.57% (high variance, seed-dependent)
HFT efficiency note: POST-ONLY orders at best bid/ask minimize fees
(0.02% maker) and capture spread. Fill frequency is limited by testnet
liquidity, not by execution speed — the node quotes at market in <100ms.
On mainnet with real volume, fill rates would be 100-1000x higher.
ramseshk
4d5ddc5f18