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fix: unify weight handling, relative arb tolerance, arb fee modeling#57

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fix: unify weight handling, relative arb tolerance, arb fee modeling#57
MatthewWilletts wants to merge 2 commits into
devfrom
stashed-cleanup

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  • fine_weights: unify weight handling between weight-outputting and weight-change-outputting rules — both now prepend initial weights
  • optimal_n_pool_arb: switch invariant validation from absolute to relative tolerance ((post - initial) / initial >= slack), making it scale-invariant with pool TVL
  • optimal_n_pool_arb: fix slack passthrough — parallelised_optimal_trade_sifter and wrapped variant were hardcoding slack=0 instead of forwarding the arg
  • optimal_n_pool_arb: add arb fee adjustment functions that fold external costs into effective market prices before trade sizing, unifying the fee-aware and fee-free paths
  • plot_utils: fix deprecated df.pivot(*cols) to keyword form
  • price_data_fingerprint_utils: switch from CSV to parquet loading
  • amalgamated_data_utils: add docstring to forward_fill_ohlcv_data

MatthewWilletts and others added 2 commits February 9, 2026 13:30
- fine_weights: unify weight handling between weight-outputting and
  weight-change-outputting rules — both now prepend initial weights
- optimal_n_pool_arb: switch invariant validation from absolute to relative
  tolerance ((post - initial) / initial >= slack), making it scale-invariant
  with pool TVL
- optimal_n_pool_arb: fix slack passthrough — parallelised_optimal_trade_sifter
  and wrapped variant were hardcoding slack=0 instead of forwarding the arg
- optimal_n_pool_arb: add arb fee adjustment functions that fold external
  costs into effective market prices before trade sizing, unifying the
  fee-aware and fee-free paths
- plot_utils: fix deprecated df.pivot(*cols) to keyword form
- price_data_fingerprint_utils: switch from CSV to parquet loading
- amalgamated_data_utils: add docstring to forward_fill_ohlcv_data
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