diff --git a/config/ml/phase_e_fill_coeffs.json b/config/ml/phase_e_fill_coeffs.json new file mode 100644 index 000000000..aea5fdf63 --- /dev/null +++ b/config/ml/phase_e_fill_coeffs.json @@ -0,0 +1,60 @@ +{ + "ask_coeffs": [ + [ + 0.015584787353873253, + -40.335906982421875, + 0.041306495666503906, + 0.6524077653884888, + -0.055438391864299774 + ], + [ + -0.677562415599823, + -40.335906982421875, + 0.041306495666503906, + 0.6524077653884888, + -0.055438391864299774 + ], + [ + -1.0830274820327759, + -40.335906982421875, + 0.041306495666503906, + 0.6524077653884888, + -0.055438391864299774 + ] + ], + "bid_coeffs": [ + [ + -0.21279112994670868, + -2.063631057739258, + -0.09875621646642685, + -0.006330371834337711, + -0.28642183542251587 + ], + [ + -0.9059383273124695, + -2.063631057739258, + -0.09875621646642685, + -0.006330371834337711, + -0.28642183542251587 + ], + [ + -1.3114033937454224, + -2.063631057739258, + -0.09875621646642685, + -0.006330371834337711, + -0.28642183542251587 + ] + ], + "empirical_ask_l1_rate": 0.713424, + "empirical_bid_l1_rate": 0.049668, + "fit_iters": 1000, + "fit_lr": 0.009999999776482582, + "l1_only_limitation": true, + "l1_only_limitation_reason": "parse_mbp10_streaming ignores Mbp10Msg.levels[1..10]; L2/L3 coefficients are L1 with attenuated β_0 (-ln(L+1))", + "n_degenerate_skipped": 138941, + "n_snapshots": 500000, + "n_trades": 5198778, + "phase": "E.0 Task 5", + "snapshot_interval": 50, + "window_seconds": 60.0 +} \ No newline at end of file diff --git a/crates/ml/examples/phase_e_fit_fill_model.rs b/crates/ml/examples/phase_e_fit_fill_model.rs index 063028729..96f492d2d 100644 --- a/crates/ml/examples/phase_e_fit_fill_model.rs +++ b/crates/ml/examples/phase_e_fit_fill_model.rs @@ -74,7 +74,7 @@ struct Cli { #[arg(long, default_value_t = 60.0)] window_seconds: f32, /// Output JSON path. - #[arg(long, default_value = "phase_e_fill_coeffs.json")] + #[arg(long, default_value = "config/ml/phase_e_fill_coeffs.json")] out_path: PathBuf, /// MBP-10 events between snapshot emissions (denser = larger sample). #[arg(long, default_value_t = 10)]