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>
2026-09-10 16:53:22 +08:00
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+# Testnet Limitations — MM_EDGE_EXP_001
+
+Observed on **Binance USDT-M Futures Testnet** during Data Collection (Aug 2026).
+
+## userTrades history cutoff
+
+```
+Endpoint:   GET /fapi/v1/userTrades
+Observed max trade time (UTC): 2026-08-17T03:08:23
+Behavior:   Pagination returns 3890 rows; no further trades via time/fromId
+            after cutoff, even while probe continues to produce fills until
+            2026-08-18.
+```
+
+**Impact:** Local jsonl fill count can exceed paginated `userTrades` count.
+This is **not** evidence of duplicate local logging or fake fills.
+
+## Order API remains available
+
+```
+Endpoint:   GET /fapi/v1/order?orderId=
+Behavior:   Post-cutoff orders return status=FILLED, executedQty, avgPrice
+            while userTrades?orderId= returns 0 rows for the same orderId.
+```
+
+RECON-03 classifies these as:
+
+```
+VENUE_CONFIRMED_NO_TRADE_HISTORY
+```
+
+Evidence grade: **Order only** (not dual Order+Trade).
+
+## Income ledger continues
+
+`GET /fapi/v1/income` continues to record COMMISSION / REALIZED_PNL after
+the userTrades cutoff. Account reconciliation (RECON-01) uses income, not
+userTrades alone.
+
+## Implications for future runs
+
+1. **Real-time immutable ledger** — persist on every `OrderFilled`:
+   `venue_trade_id`, `venue_order_id`, `liquidity_side`, `commission`,
+   `exchange_ts`, `local_ts`. Do not rely on post-hoc userTrades backfill.
+
+2. **Reports must use evidence taxonomy** — never compare raw fill count to
+   userTrades count without cutoff annotation.
+
+3. **Strict trade-level closure** may remain FAIL on Testnet while
+   **order-level closure** can still PASS.
+
+## Maker-only constraint
+
+Post-only orders rejected with `-5022` when they would take. Verified:
+`TAKER_FILLED_COUNT = 0` on all 3890 trades inside userTrades window.