Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

hyperdrive 0.20.1; fix checkpoint exposure bug #207

Open
wants to merge 6 commits into
base: main
Choose a base branch
from

Conversation

dpaiton
Copy link
Contributor

@dpaiton dpaiton commented Dec 18, 2024

A Hyperdrive update from this time last year (delvtech/hyperdrive#692) reworked exposure such that the state long_exposure variable included exposure adjustments from any current trade, without representing negative exposure. For example, here is the latest code for long exposure in open short. This update did not get fully propagated to the short side of the rust SDK. The long side can remain unchanged since negative checkpoint exposure can net out future longs, which is not accounted for in the state.long_exposure variable.

This PR implements the fix. I will do a round of updating test tolerances once the remaining max short fixes are implemented.

The commits are organized to separate meaningful changes from regex propagation.

@dpaiton dpaiton changed the title remove checkpoint exposure hyperdrive 0.20.1; fix checkpoint exposure bug Dec 18, 2024
@dpaiton dpaiton force-pushed the dpaiton/remove-checkpoint-exposure branch 3 times, most recently from f578aaa to c2dcff6 Compare December 18, 2024 17:59
@dpaiton dpaiton marked this pull request as ready for review December 18, 2024 17:59
@dpaiton dpaiton force-pushed the dpaiton/remove-checkpoint-exposure branch from c2dcff6 to ea954c9 Compare December 19, 2024 20:51
@dpaiton dpaiton mentioned this pull request Dec 20, 2024
7 tasks
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging this pull request may close these issues.

1 participant