nautilus_mm/STATUS.md

Project Status

MM_EDGE_EXP_001 — CLOSED (FROZEN)

Dimension	Status
Research Phenomenon	PASS (conditional markout exists)
Economic Edge	FAIL
Prefill Predictability	FAIL (snapshot observability)
Strategy	FROZEN
Execution	STOPPED
Stage 3	LOCKED

EXP_001 Prefill strict conclusion:

Under current snapshot observability (~1.66s), no CANDIDATE_V0_2_SIGNAL.
This is NOT proof that pre-fill signal does not exist in the market.

Weak signals (research observations only — not trading filters):

• depth_total_5: ±3.8pp Path C separation, Economic gate FAIL
• obi_change_5s: +0.00027 USDT/fill economic Δ
• pre_deteriorated_strict=False: +0.00116 USDT/fill economic Δ

Reports: logs/maker_edge/ — see sections below for detail.

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MM_EDGE_EXP_002 — Phase 1 STOPPED (artifact FROZEN)

Dimension	Status
Type	Data Collection / Observability
Strategy	NONE
Trading	NO
Execution	STOPPED 2026-09-10T08:45:24Z
Stage 3	LOCKED
Gate 1	PASS (smoke EXP-002-RUN-001)
Gate 2	PASS
Gate 3	PASS
Gate 4	BLOCKED (no fill_anchor; not opened)
Long-run	EXP-002-RUN-002 STOPPED + systemd disabled
Hypothesis Closure	NO — Gate 4 never ran

Human decision 2026-09-10: stop further collection. Phase 1 is an observability artifact only.
This is not “market has no pre-fill signal” and not a v0.2 unlock.

event-state-probe.service (user): inactive / disabled. Do not restart EXP-002-RUN-002.

Ledger: logs/event_state/EXP-002-RUN-002/ — 24 files, 2026-08-18 → 2026-09-10 (last day partial), 18.06 GiB.
Event counts not fully censused; size-based estimate ~1.2e7 lines (volume gates clearly exceeded).
fill_anchor expected 0 (observability-only). Marker: EXP-002-RUN-002.PHASE1_STOPPED.json

Do not Path-C snoop this artifact. Frozen Gate 4 sample gates remain in MM_EDGE_EXP_002.md.

Spec: MM_EDGE_EXP_002.md
Smoke: ./scripts/smoke_test_event_state.sh
Validate: python scripts/validate_event_ledger.py --dir logs/event_state/EXP-002-RUN-001 --run-id EXP-002-RUN-001
Logs: logs/event_state/EXP-002-RUN-001/

EXP-002-RUN-001 Smoke (2026-08-18, ~12 min + restart)

Host: jADUtR1041803 | Sessions: 2 (restart test) | Schema: immutable_event_v1

Check	Result
Gate 1 Event Completeness	PASS (Phase 1 stream; no fill_anchor)
Gate 2 Temporal Integrity	PASS
Gate 3 Event Coverage	PASS
Restart contract	PASS (0 parse fail, 0 dup event_id, seq reset)
Gate 4	BLOCKED

Write rates:

• aggressive_trade: 3.21 / sec (2300 events)
• book_update: 6.09 / sec (4366 events)
• total: 9.30 / sec (6666 market events)

Timestamp quality (100% exchange + local present):

• local − exchange lag: p50 112.5ms, p95 237.7ms, p99 251.4ms, max 443.4ms
• exchange > local + 50ms: 0 violations

Event order (recorded, not sorted):

• exchange_ts_ns regressions: 1053 (max back 276ms) — multi-source async; explicit in report

Raw schema sample (n=200 each): 0% missing on core fields; 0 hollow book_update.

Manifest: logs/event_state/EXP-002-RUN-001/EXP-002-RUN-001.manifest.json
Report: logs/event_state/EXP-002-RUN-001/Event_Ledger_Validation.json

Long-run identity: EXP-002-RUN-002 (separate from smoke) — STOPPED 2026-09-10. Status: ./scripts/event_state_status.sh

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MM_EDGE_EXP_001 Detail

Phase: Prefill Adverse-Selection Attribution v0.1 (probe STOPPED)

Gate	Status
Research Freeze	ACTIVE
Probe	STOPPED
Data Integrity	PASS
Maker-only	PASS (TAKER=0)
Account Reconciliation (RECON-01)	PASS
RECON-02 classification	PASS
Order-level closure (RECON-03)	PASS
Strict trade-level closure	FAIL (Testnet userTrades cutoff — not Alpha FAIL)
Economic Edge	FAIL (current execution economics)
Prefill Predictability (v0.1 strict)	FAIL (no CANDIDATE_V0_2_SIGNAL)
Stage 3	LOCKED

Evidence taxonomy (4777 fills)

Class	Count	Grade
MATCHED	3890	Order + Trade (dual)
VENUE_CONFIRMED_NO_TRADE_HISTORY	876	Order FILLED, no trade row
VENUE_PARTIAL_ORDER_CANCELED	11	Partial fill + TTL cancel
DUPLICATE / MISMATCH / UNCONFIRMED	0	—

userTrades cutoff: 2026-08-17T03:08 UTC — see TESTNET_LIMITATIONS.md

Matched trade-level: qty residual 0, |Δt| p50 72ms

Separation

MakerAlpha (+0.008%)  ≠  Account Δ (−61.66 = fee + realized)
Strict trade FAIL     ≠  Maker Edge FAIL
887 orphans           =  VENUE-HISTORY-CUTOFF (now order-confirmed)

Economic Attribution v0.1 (Hard Evidence Population only)

Population: MATCHED=3890
Core report: logs/maker_edge/Economic_Attribution_v0_1.txt

• Matched fills / paths / clusters: 3890 / 3886 / 3334
• Fee total: 42.42 USDT
• Realized component: −8.52 USDT
• Gross markout @30s: −1.73 USDT
• Net attributable @30s: −52.67 USDT
• Inventory carry:
  • Max |net BTC|: 0.0059
  • TW |net BTC|: 0.0035
  • Turnover: 3.3316 BTC

Counterfactual Attribution:

• Baseline matched net30: −52.67 USDT
• Exclude Path C: −21.22 USDT
• Exclude toxic: −21.22 USDT
• Exclude negative states: −27.64 USDT

Interpretation:

• v0.1 已完成 baseline 使命：Maker markout phenomenon exists, economic edge not established
• 当前主要拖累不是“假 alpha”，而是 fee + realized / inventory economics

Metric Reconciliation (MATCHED=3890)

• Return-space MakerAlpha（fill-weighted）：-0.000693%
• Return-space MakerAlpha（notional-weighted）：-0.000816%
• Dollar-space gross markout @30s：-1.730780 USDT 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。

Fee Sensitivity (counterfactual, fee only)

net_attr_30s @fee_factor: 1.00 → -52.674655 USDT 0.50 → -31.463582 USDT 0.25 → -20.858046 USDT 0.10 → -14.494724 USDT 0.00 → -10.252510 USDT 结论：即使假设 0 fee，net 仍 < 0，因此“真实拖累”不仅是 fee。

Prefill Adverse-Selection Attribution v0.1 (strict contract)

Population: MATCHED paths = 3886 (100% strict-prefill coverage)
Core report: logs/maker_edge/Prefill_Adverse_Selection_Attribution_v0_1.txt

Time contract: feature_timestamp <= t_fill - 0.25s
Feature source: sampled mid_tick / inventory_tick only (no fill-callback leakage)

Baseline (strict population):

• P(Path C): 33.20%
• P(Toxic): 34.61%
• P(Neg30s): 47.43%
• P(Economic<0): 77.61%
• Mean net_attr_30s: −0.0136 USDT/fill
• Feature age: mean 1681ms, median 1660ms

Conclusion Matrix (auto-grade):

• CANDIDATE_V0_2_SIGNAL: 0 / 19 features
• STATISTICAL_SIGNAL_ONLY: spread_change_5s (Toxic/Neg30s), inventory/inventory_skew (Economic only)
• NO_PREFILL_SIGNAL: all others under strict gate

Unavailable under strict contract (deferred to EXP_002):

• time_since_last_market_event, intensity, large trades, fill-callback market_event_before_fill

Forbidden (both experiments)

• Resume EXP_001 probe without new experiment ID
• Restart EXP_002 / EXP-002-RUN-002 collection
• Enable trading under EXP_002
• Reclassify VENUE_CONFIRMED as MATCHED
• Unlock Stage 3 on observability or attribution alone
• Treat STATISTICAL_SIGNAL_ONLY as v0.2 candidate
• Design v0.2 or claim Hypothesis Closure without a later fill-authorized Gate 4