fix: Short Sandwich #537
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fix: Short Sandwich #537
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jalextowle
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- For `test__calculateMaxLong__matureShort`, I ultimately settled for a relatively large bound. There are a few strategies that can be used to increase it's performance. First, we should see if adding a stricter constraint on the spot price improves the worst-case performance of `calculateMaxLong`. Second, we can try some of the tricks outlined in this thread: https://math.stackexchange.com/questions/508199/newtons-method-why-is-there-slow-convergence-with-a-high-multiplicity. - For `test_long_multiblock_round_trip_end_of_checkpoint`, the failure occurs rarely, so we can merge without fixing it in this PR. This issue is tracked here: #582. I'll address this issue in an immediate follow-up PR.
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This is really good. Just a few comments. On the testing side, i think it would be good to add a path independence test that shows that you can close trades in a different order and still get the same result. i actually tested a few cases when i reviewed this the first time around.
Also, here is a desmos that shows the short sandwhich problem:
https://www.desmos.com/calculator/trao96oozf
and here is the zeta adjustment:
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Fixes: #426.
Aside from implementing the zeta adjustment, this PR also includes significant improvements to both
get_max_longandget_max_short.