Snapshot nautilus_mm after EXP_002 Phase 1 stop.
Keep frozen research conclusions and code; raw ledgers and secrets stay out of git. Co-authored-by: Cursor <cursoragent@cursor.com>
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jackyu66git
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# Project Status
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## MM_EDGE_EXP_001 — CLOSED (FROZEN)
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| Dimension | Status |
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|-----------|--------|
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| Research Phenomenon | **PASS** (conditional markout exists) |
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| Economic Edge | **FAIL** |
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| Prefill Predictability | **FAIL** (snapshot observability) |
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| Strategy | **FROZEN** |
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| Execution | **STOPPED** |
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| Stage 3 | **LOCKED** |
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EXP_001 Prefill strict conclusion:
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> Under current **snapshot observability** (~1.66s), no CANDIDATE_V0_2_SIGNAL.
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> This is **NOT** proof that pre-fill signal does not exist in the market.
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Weak signals (research observations only — **not** trading filters):
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- `depth_total_5`: ±3.8pp Path C separation, Economic gate FAIL
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- `obi_change_5s`: +0.00027 USDT/fill economic Δ
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- `pre_deteriorated_strict=False`: +0.00116 USDT/fill economic Δ
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Reports: `logs/maker_edge/` — see sections below for detail.
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---
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## MM_EDGE_EXP_002 — Phase 1 STOPPED (artifact FROZEN)
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| Dimension | Status |
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|-----------|--------|
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| Type | Data Collection / Observability |
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| Strategy | **NONE** |
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| Trading | **NO** |
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| Execution | **STOPPED** 2026-09-10T08:45:24Z |
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| Stage 3 | **LOCKED** |
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| Gate 1 | **PASS** (smoke `EXP-002-RUN-001`) |
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| Gate 2 | **PASS** |
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| Gate 3 | **PASS** |
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| Gate 4 | **BLOCKED** (no `fill_anchor`; not opened) |
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| Long-run | **EXP-002-RUN-002** STOPPED + systemd **disabled** |
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| Hypothesis Closure | **NO** — Gate 4 never ran |
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Human decision 2026-09-10: stop further collection. Phase 1 is an observability artifact only.
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This is **not** “market has no pre-fill signal” and **not** a v0.2 unlock.
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`event-state-probe.service` (user): **inactive / disabled**. Do not restart `EXP-002-RUN-002`.
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Ledger: `logs/event_state/EXP-002-RUN-002/` — 24 files, 2026-08-18 → 2026-09-10 (last day partial), **18.06 GiB**.
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Event counts not fully censused; size-based estimate ~1.2e7 lines (volume gates clearly exceeded).
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`fill_anchor` expected **0** (observability-only). Marker: `EXP-002-RUN-002.PHASE1_STOPPED.json`
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Do **not** Path-C snoop this artifact. Frozen Gate 4 sample gates remain in `MM_EDGE_EXP_002.md`.
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Spec: `MM_EDGE_EXP_002.md`
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Smoke: `./scripts/smoke_test_event_state.sh`
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Validate: `python scripts/validate_event_ledger.py --dir logs/event_state/EXP-002-RUN-001 --run-id EXP-002-RUN-001`
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Logs: `logs/event_state/EXP-002-RUN-001/`
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### EXP-002-RUN-001 Smoke (2026-08-18, ~12 min + restart)
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Host: `jADUtR1041803` | Sessions: **2** (restart test) | Schema: `immutable_event_v1`
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| Check | Result |
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|-------|--------|
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| Gate 1 Event Completeness | **PASS** (Phase 1 stream; no fill_anchor) |
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| Gate 2 Temporal Integrity | **PASS** |
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| Gate 3 Event Coverage | **PASS** |
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| Restart contract | **PASS** (0 parse fail, 0 dup event_id, seq reset) |
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| Gate 4 | **BLOCKED** |
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Write rates:
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- `aggressive_trade`: **3.21 / sec** (2300 events)
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- `book_update`: **6.09 / sec** (4366 events)
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- **total**: **9.30 / sec** (6666 market events)
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Timestamp quality (100% exchange + local present):
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- `local − exchange` lag: p50 **112.5ms**, p95 **237.7ms**, p99 **251.4ms**, max **443.4ms**
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- `exchange > local + 50ms`: **0** violations
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Event order (recorded, not sorted):
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- `exchange_ts_ns` regressions: **1053** (max back **276ms**) — multi-source async; explicit in report
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Raw schema sample (n=200 each): **0% missing** on core fields; **0** hollow book_update.
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Manifest: `logs/event_state/EXP-002-RUN-001/EXP-002-RUN-001.manifest.json`
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Report: `logs/event_state/EXP-002-RUN-001/Event_Ledger_Validation.json`
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Long-run identity: **EXP-002-RUN-002** (separate from smoke) — **STOPPED** 2026-09-10. Status: `./scripts/event_state_status.sh`
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---
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## MM_EDGE_EXP_001 Detail
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**Phase: Prefill Adverse-Selection Attribution v0.1** (probe **STOPPED**)
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| Gate | Status |
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|------|--------|
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| Research Freeze | **ACTIVE** |
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| Probe | **STOPPED** |
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| Data Integrity | **PASS** |
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| Maker-only | **PASS** (`TAKER=0`) |
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| Account Reconciliation (RECON-01) | **PASS** |
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| RECON-02 classification | **PASS** |
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| Order-level closure (RECON-03) | **PASS** |
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| Strict trade-level closure | **FAIL** (Testnet userTrades cutoff — **not** Alpha FAIL) |
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| Economic Edge | **FAIL** (current execution economics) |
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| Prefill Predictability (v0.1 strict) | **FAIL** (no CANDIDATE_V0_2_SIGNAL) |
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| Stage 3 | **LOCKED** |
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## Evidence taxonomy (4777 fills)
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| Class | Count | Grade |
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|-------|-------|-------|
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| **MATCHED** | 3890 | Order + Trade (dual) |
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| **VENUE_CONFIRMED_NO_TRADE_HISTORY** | 876 | Order FILLED, no trade row |
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| **VENUE_PARTIAL_ORDER_CANCELED** | 11 | Partial fill + TTL cancel |
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| DUPLICATE / MISMATCH / UNCONFIRMED | 0 | — |
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`userTrades` cutoff: **2026-08-17T03:08 UTC** — see `TESTNET_LIMITATIONS.md`
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Matched trade-level: qty residual **0**, |Δt| p50 **72ms**
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## Separation
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```
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MakerAlpha (+0.008%) ≠ Account Δ (−61.66 = fee + realized)
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Strict trade FAIL ≠ Maker Edge FAIL
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887 orphans = VENUE-HISTORY-CUTOFF (now order-confirmed)
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```
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## Economic Attribution v0.1 (Hard Evidence Population only)
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Population: **MATCHED=3890**
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Core report: `logs/maker_edge/Economic_Attribution_v0_1.txt`
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- Matched fills / paths / clusters: **3890 / 3886 / 3334**
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- Fee total: **42.42 USDT**
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- Realized component: **−8.52 USDT**
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- Gross markout @30s: **−1.73 USDT**
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- Net attributable @30s: **−52.67 USDT**
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- Inventory carry:
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- Max `|net BTC|`: **0.0059**
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- TW `|net BTC|`: **0.0035**
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- Turnover: **3.3316 BTC**
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Counterfactual Attribution:
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- Baseline matched net30: **−52.67 USDT**
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- Exclude `Path C`: **−21.22 USDT**
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- Exclude toxic: **−21.22 USDT**
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- Exclude negative states: **−27.64 USDT**
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Interpretation:
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- v0.1 已完成 baseline 使命：**Maker markout phenomenon exists, economic edge not established**
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- 当前主要拖累不是“假 alpha”，而是 **fee + realized / inventory economics**
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## Metric Reconciliation (MATCHED=3890)
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- Return-space MakerAlpha（fill-weighted）：-0.000693%
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- Return-space MakerAlpha（notional-weighted）：-0.000816%
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- Dollar-space gross markout @30s：-1.730780 USDT
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结论：回报口径一致，但“加权方式”导致返回与美元金额的方向差异。
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## Fee Sensitivity (counterfactual, fee only)
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net_attr_30s @fee_factor:
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1.00 → -52.674655 USDT
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0.50 → -31.463582 USDT
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0.25 → -20.858046 USDT
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0.10 → -14.494724 USDT
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0.00 → -10.252510 USDT
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结论：即使假设 0 fee，net 仍 < 0，因此“真实拖累”不仅是 fee。
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## Prefill Adverse-Selection Attribution v0.1 (strict contract)
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Population: **MATCHED paths = 3886** (100% strict-prefill coverage)
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Core report: `logs/maker_edge/Prefill_Adverse_Selection_Attribution_v0_1.txt`
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Time contract: `feature_timestamp <= t_fill - 0.25s`
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Feature source: sampled `mid_tick` / `inventory_tick` only (no fill-callback leakage)
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Baseline (strict population):
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- P(Path C): **33.20%**
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- P(Toxic): **34.61%**
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- P(Neg30s): **47.43%**
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- P(Economic<0): **77.61%**
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- Mean net_attr_30s: **−0.0136 USDT/fill**
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- Feature age: mean **1681ms**, median **1660ms**
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Conclusion Matrix (auto-grade):
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- **CANDIDATE_V0_2_SIGNAL**: **0 / 19 features**
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- **STATISTICAL_SIGNAL_ONLY**: spread_change_5s (Toxic/Neg30s), inventory/inventory_skew (Economic only)
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- **NO_PREFILL_SIGNAL**: all others under strict gate
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Unavailable under strict contract (deferred to EXP_002):
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- `time_since_last_market_event`, intensity, large trades, fill-callback `market_event_before_fill`
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## Forbidden (both experiments)
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- Resume EXP_001 probe without new experiment ID
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- Restart EXP_002 / `EXP-002-RUN-002` collection
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- Enable trading under EXP_002
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- Reclassify VENUE_CONFIRMED as MATCHED
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- Unlock Stage 3 on observability or attribution alone
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- Treat STATISTICAL_SIGNAL_ONLY as v0.2 candidate
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- Design v0.2 or claim Hypothesis Closure without a later fill-authorized Gate 4
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