jack/nautilus_mm
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Snapshot nautilus_mm after EXP_002 Phase 1 stop.

Browse Source 
Keep frozen research conclusions and code; raw ledgers and secrets stay out of git.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
jackyu66git
2026-09-10 16:53:22 +08:00
co-authored by Cursor
commit e2fbe1c2b3
49 changed files with 9633 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Economic_Attribution_v0_1.json
+531
View File
@@ -0,0 +1,531 @@
{
"experiment_id": "MM_EDGE_EXP_001",
"population": {
"name": "MATCHED",
"fills": 3890,
"paths": 3886,
"clusters": 3334
},
"strategy": "v0.1 FROZEN",
"execution": "STOPPED",
"stage3": "LOCKED",
"fee_total_usdt": 42.42214561,
"fee_per_fill_usdt": 0.010916661248069994,
"fee_per_btc_usdt": 12.74857122550787,
"fee_per_cluster_usdt": 0.012724098863227356,
"realized_component_usdt": -8.52172967,
"gross_markout_30s_usdt": -1.7307799999996094,
"net_attr_30s_usdt": -52.67465527999961,
"markout_by_horizon": [
{
"horizon": "1s",
"n": 3886,
"fill_w": 1.9522065688461466e-05,
"cluster_w": 1.9672552540924558e-05,
"gross_usdt": 4.140839999999786
},
{
"horizon": "5s",
"n": 3886,
"fill_w": 1.6056729777556372e-05,
"cluster_w": 1.563711857682482e-05,
"gross_usdt": 3.4058050000001323
},
{
"horizon": "10s",
"n": 3886,
"fill_w": 1.1123222170478668e-05,
"cluster_w": 1.1253447279750312e-05,
"gross_usdt": 2.359355000000128
},
{
"horizon": "30s",
"n": 3886,
"fill_w": -8.159793870873894e-06,
"cluster_w": -8.29897884011306e-06,
"gross_usdt": -1.7307799999996094
},
{
"horizon": "300s",
"n": 3886,
"fill_w": -3.581687863688742e-05,
"cluster_w": -3.542059919144397e-05,
"gross_usdt": -7.597144999999726
}
],
"inventory_metrics": {
"max_net_btc": 0.0059,
"min_net_btc": -0.0058000000000000005,
"max_abs_net_btc": 0.0059,
"avg_abs_net_btc_per_fill": 0.0029282519280205655,
"time_weighted_abs_net_btc": 0.0035138619697350987,
"time_weighted_signed_net_btc": 0.0009845445677824191,
"long_qty": 1.6646,
"short_qty": 1.6670000000000003,
"turnover_btc": 3.331600000000001
},
"bucket_rows": [
{
"dimension": "PathType",
"bucket": "A_immediate_edge",
"fills": 1481,
"clusters": 1279,
"btc_qty": 1.2579000000000002,
"notional_usdt": 80131.73112,
"fee_usdt": 16.02634448,
"fee_per_fill": 0.010821299446320053,
"fee_per_btc": 12.74055527466412,
"markout_1s": 0.00010135972212851294,
"markout_5s": 0.00012093929414163527,
"markout_10s": 0.00011803045894311667,
"markout_30s": 0.00015268377244562442,
"markout_300s": 0.00013524292871909752,
"gross_markout_30s_usdt": 12.23481500000004,
"realized_pnl_usdt": -1.7373983300000004,
"net_attr_30s_usdt": -5.52892780999996
},
{
"dimension": "PathType",
"bucket": "C_toxic",
"fills": 1290,
"clusters": 1114,
"btc_qty": 1.1028000000000002,
"notional_usdt": 70343.84668,
"fee_usdt": 14.068767789999999,
"fee_per_fill": 0.010906021542635659,
"fee_per_btc": 12.757315732680446,
"markout_1s": -2.26781740733745e-05,
"markout_5s": -5.864727612589716e-05,
"markout_10s": -9.311823718992184e-05,
"markout_30s": -0.0002122337020878937,
"markout_300s": -0.0004798649291039827,
"gross_markout_30s_usdt": -14.92933499999959,
"realized_pnl_usdt": -2.45849123,
"net_attr_30s_usdt": -31.45659401999959
},
{
"dimension": "PathType",
"bucket": "B_drawdown_then_recover",
"fills": 872,
"clusters": 767,
"btc_qty": 0.7574000000000001,
"notional_usdt": 48282.0527,
"fee_usdt": 9.656409660000001,
"fee_per_fill": 0.011073864288990827,
"fee_per_btc": 12.749418616318987,
"markout_1s": -4.145950488969804e-05,
"markout_5s": -3.18002221144232e-05,
"markout_10s": -1.0215286476420607e-05,
"markout_30s": -8.034869652509012e-06,
"markout_300s": 0.00040945162631827824,
"gross_markout_30s_usdt": -0.3879400000000708,
"realized_pnl_usdt": -2.83361474,
"net_attr_30s_usdt": -12.87796440000007
},
{
"dimension": "PathType",
"bucket": "D_mixed",
"fills": 243,
"clusters": 215,
"btc_qty": 0.20950000000000005,
"notional_usdt": 13353.11977,
"fee_usdt": 2.6706236800000003,
"fee_per_fill": 0.010990220905349795,
"fee_per_btc": 12.747607064439139,
"markout_1s": -2.877754462019724e-05,
"markout_5s": -4.676173139724288e-05,
"markout_10s": -4.12787430573779e-06,
"markout_30s": 0.00010122578268464162,
"markout_300s": -0.00033310680025451153,
"gross_markout_30s_usdt": 1.3516800000000115,
"realized_pnl_usdt": -1.49222537,
"net_attr_30s_usdt": -2.8111690499999886
},
{
"dimension": "Toxicity",
"bucket": "non_toxic",
"fills": 2596,
"clusters": 2236,
"btc_qty": 2.2248,
"notional_usdt": 141766.90359,
"fee_usdt": 28.35337782,
"fee_per_fill": 0.010921948312788905,
"fee_per_btc": 12.744236704422867,
"markout_1s": 4.046155946657924e-05,
"markout_5s": 5.3124388057320254e-05,
"markout_10s": 6.284717923844347e-05,
"markout_30s": 9.310039695986549e-05,
"markout_300s": 0.00018451697355013032,
"gross_markout_30s_usdt": 13.198554999999981,
"realized_pnl_usdt": -6.063238439999999,
"net_attr_30s_usdt": -21.21806126000002
},
{
"dimension": "Toxicity",
"bucket": "toxic",
"fills": 1290,
"clusters": 1114,
"btc_qty": 1.1028000000000002,
"notional_usdt": 70343.84668,
"fee_usdt": 14.068767789999999,
"fee_per_fill": 0.010906021542635659,
"fee_per_btc": 12.757315732680446,
"markout_1s": -2.26781740733745e-05,
"markout_5s": -5.864727612589716e-05,
"markout_10s": -9.311823718992184e-05,
"markout_30s": -0.0002122337020878937,
"markout_300s": -0.0004798649291039827,
"gross_markout_30s_usdt": -14.92933499999959,
"realized_pnl_usdt": -2.45849123,
"net_attr_30s_usdt": -31.45659401999959
},
{
"dimension": "Volatility",
"bucket": "high_vol",
"fills": 1944,
"clusters": 1704,
"btc_qty": 1.7018000000000004,
"notional_usdt": 108527.27282000001,
"fee_usdt": 21.705452540000003,
"fee_per_fill": 0.011165356244855968,
"fee_per_btc": 12.754408590903747,
"markout_1s": 2.410343439052789e-05,
"markout_5s": 2.200234962100767e-05,
"markout_10s": 1.3732354654038277e-05,
"markout_30s": -1.8503321311044688e-05,
"markout_300s": -7.311572283918717e-05,
"gross_markout_30s_usdt": -2.0081149999998673,
"realized_pnl_usdt": -2.5832574499999996,
"net_attr_30s_usdt": -26.296824989999866
},
{
"dimension": "Volatility",
"bucket": "low_vol",
"fills": 1942,
"clusters": 1630,
"btc_qty": 1.6258000000000004,
"notional_usdt": 103583.47745,
"fee_usdt": 20.71669307,
"fee_per_fill": 0.010667710128733266,
"fee_per_btc": 12.74246098536105,
"markout_1s": 1.4722039050446979e-05,
"markout_5s": 9.827339504906817e-06,
"markout_10s": 8.389561939738874e-06,
"markout_30s": 2.677405768059181e-06,
"markout_300s": 3.2621515353484367e-06,
"gross_markout_30s_usdt": 0.2773350000002581,
"realized_pnl_usdt": -5.9384722199999995,
"net_attr_30s_usdt": -26.377830289999743
},
{
"dimension": "Trend",
"bucket": "range",
"fills": 1521,
"clusters": 1383,
"btc_qty": 1.3480000000000003,
"notional_usdt": 85940.04824,
"fee_usdt": 17.18800828,
"fee_per_fill": 0.011300465667324127,
"fee_per_btc": 12.750747982195842,
"markout_1s": -1.477018021278579e-06,
"markout_5s": -8.501973351929517e-06,
"markout_10s": -1.3186808981480409e-05,
"markout_30s": -3.577395013107376e-05,
"markout_300s": -8.103131360308704e-05,
"gross_markout_30s_usdt": -3.074414999999833,
"realized_pnl_usdt": -5.27847826,
"net_attr_30s_usdt": -25.540901539999833
},
{
"dimension": "Trend",
"bucket": "trend_up",
"fills": 1255,
"clusters": 1097,
"btc_qty": 1.0467,
"notional_usdt": 66723.59572000001,
"fee_usdt": 13.34471747,
"fee_per_fill": 0.010633241011952193,
"fee_per_btc": 12.749324037451037,
"markout_1s": 3.411746587448147e-05,
"markout_5s": 3.5157502749763345e-05,
"markout_10s": 2.718513563945042e-05,
"markout_30s": -2.7502264831481206e-06,
"markout_300s": -1.9947965717947442e-06,
"gross_markout_30s_usdt": -0.18350500000001263,
"realized_pnl_usdt": 0.07479931999999989,
"net_attr_30s_usdt": -13.453423150000011
},
{
"dimension": "Trend",
"bucket": "trend_down",
"fills": 1110,
"clusters": 972,
"btc_qty": 0.9329000000000001,
"notional_usdt": 59447.10631,
"fee_usdt": 11.88941986,
"fee_per_fill": 0.010711189063063063,
"fee_per_btc": 12.744581262729124,
"markout_1s": 3.349759346764102e-05,
"markout_5s": 3.012139885602704e-05,
"markout_10s": 2.823922145589404e-05,
"markout_30s": 2.568905527607399e-05,
"markout_300s": -8.414370876041091e-06,
"gross_markout_30s_usdt": 1.5271400000002369,
"realized_pnl_usdt": -3.3180507300000004,
"net_attr_30s_usdt": -13.680330589999762
},
{
"dimension": "FillContext",
"bucket": "neutral",
"fills": 1388,
"clusters": 1213,
"btc_qty": 1.1838000000000002,
"notional_usdt": 75485.50388999999,
"fee_usdt": 15.09709914,
"fee_per_fill": 0.01087687257925072,
"fee_per_btc": 12.7530825646224,
"markout_1s": 1.647018216652519e-05,
"markout_5s": -3.5886360432144643e-06,
"markout_10s": -2.1338136688432127e-05,
"markout_30s": -6.403666599409166e-05,
"markout_300s": -0.00017397764237140476,
"gross_markout_30s_usdt": -4.833839999999636,
"realized_pnl_usdt": 0.9367158200000003,
"net_attr_30s_usdt": -18.994223319999634
},
{
"dimension": "FillContext",
"bucket": "sell_resistance",
"fills": 979,
"clusters": 861,
"btc_qty": 0.8544,
"notional_usdt": 54478.163700000005,
"fee_usdt": 10.89563175,
"fee_per_fill": 0.011129348059244126,
"fee_per_btc": 12.752377984550561,
"markout_1s": 2.2746912080660278e-05,
"markout_5s": 3.396737104044108e-05,
"markout_10s": 4.7584661889033e-05,
"markout_30s": 6.382970283559833e-05,
"markout_300s": 0.00015825056159152353,
"gross_markout_30s_usdt": 3.4773250000000804,
"realized_pnl_usdt": -6.22020069,
"net_attr_30s_usdt": -13.63850743999992
},
{
"dimension": "FillContext",
"bucket": "buy_support",
"fills": 957,
"clusters": 842,
"btc_qty": 0.8356000000000002,
"notional_usdt": 53220.48314,
"fee_usdt": 10.64409564,
"fee_per_fill": 0.01112235699059561,
"fee_per_btc": 12.73826668262326,
"markout_1s": 8.405128507064573e-06,
"markout_5s": 1.8714880836011024e-05,
"markout_10s": 2.0467871310649115e-05,
"markout_30s": 1.984809114230057e-05,
"markout_300s": 5.777324478456582e-05,
"gross_markout_30s_usdt": 1.0563249999999906,
"realized_pnl_usdt": -4.60049982,
"net_attr_30s_usdt": -14.188270460000009
},
{
"dimension": "FillContext",
"bucket": "buy_pressure_absorbing",
"fills": 288,
"clusters": 242,
"btc_qty": 0.23299999999999998,
"notional_usdt": 14849.31926,
"fee_usdt": 2.96986344,
"fee_per_fill": 0.010312025833333334,
"fee_per_btc": 12.74619502145923,
"markout_1s": 3.085831693539742e-05,
"markout_5s": 9.949951065962983e-07,
"markout_10s": -5.396206963900885e-06,
"markout_30s": -8.174078412265757e-05,
"markout_300s": -0.00018505090717539603,
"gross_markout_30s_usdt": -1.2137950000000812,
"realized_pnl_usdt": 0.5555894899999999,
"net_attr_30s_usdt": -3.628068950000081
},
{
"dimension": "FillContext",
"bucket": "sell_pressure_absorbing",
"fills": 246,
"clusters": 207,
"btc_qty": 0.19330000000000003,
"notional_usdt": 12320.81768,
"fee_usdt": 2.46416312,
"fee_per_fill": 0.01001692325203252,
"fee_per_btc": 12.74786921883083,
"markout_1s": 3.3994902844800725e-05,
"markout_5s": 1.3797785537899414e-05,
"markout_10s": -3.266666307814853e-05,
"markout_30s": -5.2299288629677764e-05,
"markout_300s": -0.0003042407652930987,
"gross_markout_30s_usdt": -0.6443699999999568,
"realized_pnl_usdt": 0.9138141899999999,
"net_attr_30s_usdt": -2.194718929999957
},
{
"dimension": "FillContext",
"bucket": "sell_pressure_falling",
"fills": 10,
"clusters": 10,
"btc_qty": 0.010000000000000002,
"notional_usdt": 638.0611,
"fee_usdt": 0.12761222,
"fee_per_fill": 0.012761222,
"fee_per_btc": 12.761221999999997,
"markout_1s": 0.0002923701194132765,
"markout_5s": 0.0002596146356515865,
"markout_10s": 0.0005288678466685525,
"markout_30s": 8.886296312371227e-05,
"markout_300s": -2.1392935566876843e-05,
"gross_markout_30s_usdt": 0.056699999999975284,
"realized_pnl_usdt": 0.02931205,
"net_attr_30s_usdt": -0.041600170000024736
},
{
"dimension": "FillContext",
"bucket": "buy_pressure_rising",
"fills": 8,
"clusters": 8,
"btc_qty": 0.0075,
"notional_usdt": 479.4465,
"fee_usdt": 0.0958893,
"fee_per_fill": 0.0119861625,
"fee_per_btc": 12.78524,
"markout_1s": 0.00011800065283618207,
"markout_5s": 4.155833862592348e-05,
"markout_10s": -0.00018521357440294395,
"markout_30s": -0.0002589965720888399,
"markout_300s": -0.0008807030607168815,
"gross_markout_30s_usdt": -0.12417499999999199,
"realized_pnl_usdt": -0.00064907,
"net_attr_30s_usdt": -0.22071336999999197
},
{
"dimension": "FillContext",
"bucket": "momentum_down_catching_knife",
"fills": 5,
"clusters": 5,
"btc_qty": 0.005,
"notional_usdt": 317.4407,
"fee_usdt": 0.06348814,
"fee_per_fill": 0.012697627999999999,
"fee_per_btc": 12.697628,
"markout_1s": -8.804794092254599e-05,
"markout_5s": 0.00041661324461542815,
"markout_10s": 0.0007213945785779604,
"markout_30s": 0.000589716441527518,
"markout_300s": 0.0009308825238855407,
"gross_markout_30s_usdt": 0.18720000000000436,
"realized_pnl_usdt": -0.13601287,
"net_attr_30s_usdt": -0.012301009999995626
},
{
"dimension": "FillContext",
"bucket": "momentum_up_chasing",
"fills": 5,
"clusters": 5,
"btc_qty": 0.005,
"notional_usdt": 321.51430000000005,
"fee_usdt": 0.06430286,
"fee_per_fill": 0.012860572,
"fee_per_btc": 12.860572000000001,
"markout_1s": 0.00036950144985773765,
"markout_5s": 0.001018928240516915,
"markout_10s": 0.0009125566110123747,
"markout_30s": 0.0009575001796187784,
"markout_300s": 0.0014820491654648018,
"gross_markout_30s_usdt": 0.30785000000000584,
"realized_pnl_usdt": 0.00020122999999998975,
"net_attr_30s_usdt": 0.24374837000000582
}
],
"counterfactuals": [
{
"name": "BASELINE",
"fills": 3886,
"clusters": 3332,
"btc_qty": 3.327600000000001,
"fee_usdt": 42.42214561,
"gross_markout_30s_usdt": -1.7307799999996094,
"realized_pnl_usdt": -8.52172967,
"net_attr_30s_usdt": -52.67465527999961,
"markout_30s": -8.159793870873894e-06
},
{
"name": "EXCLUDE_PATH_C",
"fills": 2596,
"clusters": 2236,
"btc_qty": 2.2248,
"fee_usdt": 28.35337782,
"gross_markout_30s_usdt": 13.198554999999981,
"realized_pnl_usdt": -6.063238439999999,
"net_attr_30s_usdt": -21.21806126000002,
"markout_30s": 9.310039695986549e-05
},
{
"name": "EXCLUDE_TOXIC",
"fills": 2596,
"clusters": 2236,
"btc_qty": 2.2248,
"fee_usdt": 28.35337782,
"gross_markout_30s_usdt": 13.198554999999981,
"realized_pnl_usdt": -6.063238439999999,
"net_attr_30s_usdt": -21.21806126000002,
"markout_30s": 9.310039695986549e-05
},
{
"name": "EXCLUDE_NEGATIVE_STATE",
"fills": 1956,
"clusters": 1723,
"btc_qty": 1.7100000000000002,
"fee_usdt": 21.79513061,
"gross_markout_30s_usdt": 5.085400000000057,
"realized_pnl_usdt": -10.9272001,
"net_attr_30s_usdt": -27.636930709999945,
"markout_30s": 4.666546513967971e-05
}
],
"recon03_extension": {
"venue_confirmed_no_trade_history": 876,
"venue_partial_order_canceled": 11
},
"account_recon_ref": {
"experiment_id": "MM_EDGE_EXP_001",
"maker_only_status": "PASS",
"taker_filled_count": 0,
"maker_filled_count": 3890,
"exchange_trades": 3890,
"jsonl_fills": 4777,
"income_by_type": {
"COMMISSION": -52.04535895999991,
"REALIZED_PNL": -9.671389249999995,
"FUNDING_FEE": 0.05826837000000001
},
"income_sum": -61.658479839999906,
"start_wallet_assumed": 5000.0,
"end_wallet": 4938.32625704,
"end_unrealized": 0.40078863,
"end_equity": 4938.72704567,
"wallet_residual_gap": -0.015263119999872288,
"net_qty": -0.0023999999999990695,
"fee_by_asset": {
"USDT": 42.47422358999987
},
"positions": [
{
"symbol": "BTCUSDT",
"amt": 0.0032,
"entry": 64233.4,
"unrealized": 0.40078863
}
],
"probe": "STOPPED"
}
}