Lags start price - Githubissues

panoptic-labs / research

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Fixes previous assumption that there were many swap near each day's first price (this assumption is not true in less popular pools).

For the following data:
Day 1
Open price: P1
Close price: P2

Day 2 Open price: P3

Old logic: start an LP position around P3 on Day 2 New logic: start an LP position around P2 on Day 2

This is b/c sometimes the first swap on Day 2 can start very late (i.e. 8PM UTC) in illiquid/unpopular pools. And sometimes that swap is MASSIVE and crashes the price in the pool. Creating the LP position around the last close price prevents forward-looking bias in the backtest.

panoptic-labs / research

Lags start price #28