update time component, TWAP checker

vali_objects/utils/risk_profiling.py

@@ -156,24 +156,23 @@ def risk_assessment_leverage_advancement_criteria(position: Position) -> bool:
     @staticmethod
     def risk_assessment_time_utilization(position: Position) -> float:
         """Flags the position if the time based criteria is not met"""
-        # First filter for all orders that are stepping into a losing position
-        time_decay = ValiConfig.RISK_PROFILING_TIME_DECAY
-        time_cycle = ValiConfig.RISK_PROFILING_TIME_CYCLE
 
-        # First make a determination on the entry and exit times
-        open_time = position.orders[0].processed_ms
-        close_time = position.orders[-1].processed_ms
+        position_orders = position.orders
+        if len(position_orders) < 2:
+            return 0    # less than two steps will never flag the position
 
-        # Now determine all suspect orders
+        # TWAP orders are monatome_orders
         monatome_position = RiskProfiling.monatome_positions(position)
         monatome_orders = monatome_position.orders
 
-        # now look at the time criteria between orders
+        # now look at the time deltas between orders
         order_times = [order.processed_ms for order in monatome_orders]
-        time_deltas = np.diff(order_times) / time_cycle  # convert to hours
+        if position.is_closed_position:
+            order_times = order_times[:-1]      # excluding the last TP/SL order
+        time_deltas = np.diff(order_times) / 1000   # convert ms to s
+        time_deltas_var = float(np.var(time_deltas))
 
-        # now apply the time decay
-        return 0
+        return time_deltas_var
 
     @staticmethod
     def risk_assessment_time_criteria(position: Position) -> bool:

vali_objects/vali_config.py

@@ -76,14 +76,14 @@ class ValiConfig:
     RISK_PROFILING_SCOPING_MECHANIC = 100
     RISK_PROFILING_SIGMOID_SHIFT = 0.1
     RISK_PROFILING_SIGMOID_SPREAD = 50
-    RISK_PROFILING_TIME_DECAY = 5
-    RISK_PROFILING_TIME_CYCLE = POSITIONAL_EQUIVALENCE_WINDOW_MS
-    RISK_PROFILING_TIME_CRITERIA = 0.5
+    # RISK_PROFILING_TIME_DECAY = 5
+    # RISK_PROFILING_TIME_CYCLE = POSITIONAL_EQUIVALENCE_WINDOW_MS
+    RISK_PROFILING_TIME_CRITERIA = 300  # in seconds, threshold for variance of order time intervals
 
     PLAGIARISM_MATCHING_TIME_RESOLUTION_MS = 60 * 1000 * 2  # 2 minutes
     PLAGIARISM_MAX_LAGS = 60
     PLAGIARISM_LOOKBACK_RANGE_MS = 10 * 24 * 60 * 60 * 1000  # 10 days
-    PLAGIARISM_FOLLOWER_TIMELAG_THRESHOLD = 1.0005 
+    PLAGIARISM_FOLLOWER_TIMELAG_THRESHOLD = 1.0005
     PLAGIARISM_FOLLOWER_SIMILARITY_THRESHOLD = 0.75
     PLAGIARISM_REPORTING_THRESHOLD = 0.8
     PLAGIARISM_REFRESH_TIME_MS = 1000 * 60 * 60 * 24 # 1 day