you're not doing anything wrong at all, babies don't come with a manual & they all have there own body clocks which can change as they go along, its what makes those early weeks & months so knackering
maybe theres a couple of things that might help though - at least they did with my own DD when she was tiny..
You mentioned rocking helps - look into perhaps buying one of those baby bouncer chairs, the ones that come with various sounds & vibrations - My own DD (when tiny) wouldn't let me put her down at all without screaming blue murder - we bought a Mamas & Papas one with breathing sounds - it was a godsend & from then onwards she was quite happy for me to go to the loo, wash etc
as its her cot - maybe one of those baby CDs with breathing/heart sounds might help
Also try adding a drop of lavender & a drop of chamomile aromatherapy oil to her bath, along with a cup of epsom salts - these aroma oils are safe for babies & promote sleep & relaxation - if no bath, add a drop near where she sleeps, - the epsom salts gets magnesium into her system via her skin - magnesium is a mineral modern diet & soil quality means is often lacking & its important for relaxation & sleep amongst other things.
You don't say if you BF or not? - but if you do, you might want to think about cutting out foods with chemical additives - these can pass to baby via your milk & can cause everything from skin flare ups, colic & the sort of "wired" sleeplessness you mention - these turned out to be the source of a lot of my own DDs problems
& if shes just lying there happily, not crying, don't worry, shes obviously quite happy :)
good luck & enjoy her, she'll be back chatting & giving you earache before you can blink - as mine now is :)