jackyu66gitandCursor
e2fbe1c2b3
Keep frozen research conclusions and code; raw ledgers and secrets stay out of git. Co-authored-by: Cursor <cursoragent@cursor.com>
82 lines
2.3 KiB
Python
82 lines
2.3 KiB
Python
#!/usr/bin/env python3
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"""
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Economic Fee Sensitivity v0.1 (MATCHED=3890)
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Computes:
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net_attr_30s(fee_factor) = gross_markout_30s_usdt - fee_factor * fee_total_usdt + realized_component_usdt
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Assumption:
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realized_component_usdt and gross_markout_30s_usdt are fixed (price/path unchanged).
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Only fee scaling is applied as a counterfactual sensitivity.
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This is NOT a strategy backtest and does NOT modify any execution logic.
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"""
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from __future__ import annotations
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import argparse
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import json
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import math
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from pathlib import Path
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ROOT = Path(__file__).resolve().parents[1]
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def main() -> int:
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ap = argparse.ArgumentParser(description="Economic Fee Sensitivity v0.1")
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ap.add_argument(
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"--attribution",
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default=str(ROOT / "logs" / "maker_edge" / "Economic_Attribution_v0_1.json"),
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)
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ap.add_argument(
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"--out",
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default=str(ROOT / "logs" / "maker_edge" / "Economic_Fee_Sensitivity_v0_1.txt"),
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)
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args = ap.parse_args()
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data = json.loads(Path(args.attribution).read_text())
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fee_total = float(data["fee_total_usdt"])
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realized_total = float(data["realized_component_usdt"])
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gross_markout = float(data["gross_markout_30s_usdt"])
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factors = [1.0, 0.5, 0.25, 0.1, 0.0]
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lines: list[str] = []
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def p(s: str = "") -> None:
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lines.append(s)
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print(s)
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p("=" * 72)
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p("Economic Fee Sensitivity v0.1 (MATCHED=3890)")
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p("=" * 72)
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p(f"gross_markout_30s_usdt: {gross_markout:+.6f} USDT")
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p(f"fee_total_usdt: {fee_total:+.6f} USDT")
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p(f"realized_component_usdt:{realized_total:+.6f} USDT")
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p()
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p("Fee assumption → Net attributable @30s")
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p("-" * 42)
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header = ["fee_factor", "fee_usdt_assumed", "net_attr_30s_usdt"]
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p(" | ".join(header))
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for f in factors:
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fee_assumed = f * fee_total
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net = gross_markout - fee_assumed + realized_total
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row = [f"{f:.2f}", f"{fee_assumed:+.6f}", f"{net:+.6f}"]
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p(" | ".join(row))
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p()
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p("Interpretation:")
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p("- If net remains < 0 at fee_factor=0 → economics not salvageable by fee reduction alone.")
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p("- If fee reduction flips net > 0 → current venue/fee tier can be the dominant issue.")
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p("=" * 72)
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Path(args.out).write_text("\n".join(lines) + "\n", encoding="utf-8")
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return 0
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if __name__ == "__main__":
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raise SystemExit(main())
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