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enforce positive invariant and max `EPSILON` for trading functions

Open Autoparallel opened this issue 1 year ago • 0 comments

Idea

When we have our bisection yield us a value now that is validated -EPSILON < invariant < EPSILON we need to instead take:

  • 0<= invariant < epsilon (which means adjusting how we do bisection a bit)
  • epsilon< MAX where MAX is chosen such that the trading curve maintains convexity.

Autoparallel avatar Feb 22 '24 19:02 Autoparallel