jackyu66gitandCursor
e2fbe1c2b3
Keep frozen research conclusions and code; raw ledgers and secrets stay out of git. Co-authored-by: Cursor <cursoragent@cursor.com>
343 lines
9.3 KiB
Markdown
343 lines
9.3 KiB
Markdown
# Research Freeze / Data Collection Phase
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**研究框架已冻结。** 研究对象：可验证的市场现象（不是策略）。
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验证的假设是：
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> 在当前 BTC 永续、当前交易所、当前报价假设、当前执行条件下，被动成交是否产生正向 Maker Alpha。
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不是：「我的策略有没有赚钱」。
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| 报告结论 | 含义 | 下一步 |
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|----------|------|--------|
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| **FAIL** | 这个市场假设不成立 | 换假设（Carry / Basis / Funding…） |
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| **PARTIAL_PASS** | 优势仅局部存在 | Event-driven LP |
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| **PASS** | 普遍可捕获 | Economic Simulation → Symmetric MM |
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| **COLLECTING** | 样本不足 | 继续采集 |
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三个答案都推进系统。只有盈利才算成功 —— 错误。
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---
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## 状态机（锁定）
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```
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Research Freeze
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v
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Data Collection
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v
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Maker Edge Report v0.1
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+---- FAIL --------------→ 换假设
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+---- PARTIAL_PASS ------→ Event-driven LP
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+---- PASS --------------→ Economic Simulation
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| ↓
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| Symmetric MM / Quote Engine
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+---- COLLECTING --------→ 继续采集
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```
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---
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## 观察窗口（不要过早解释）
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| 规模 | 用途 |
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|------|------|
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| **~500 fills** | 发现异常 / 管道是否工作 |
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| **~2000 fills** | 初步判断（Decision 门槛默认） |
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| **~10000 fills** | 才讨论稳定性 |
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**cluster 数量比 fill 数量更重要。**
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5000 fills / 80 clusters ≠ 3000 fills / 900 clusters。
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第一份报告最值得看的不是 Decision，而是三个**分布**：Fill Alpha / Cluster Alpha / Toxicity。
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---
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## Unlock Stage3（Economic Simulation）必须同时满足
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```
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Data Integrity PASS
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AND cluster-weighted MakerAlpha > 0
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AND benchmark-adjusted alpha > 0
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AND edge not concentrated in one event/regime
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```
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否则：继续 Data Collection，或判定 FAIL / PARTIAL_PASS。
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**禁止**用改 Quote Logic / 改成本假设 来「凑」解锁。
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---
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## 冻结期间只允许 / 禁止
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### ✅ 允许
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- 数据字段（不改变报价行为）
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- 数据质量检查
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- 报告解释能力（分布、归因、可比格式）
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### ❌ 禁止（直到 Gate 解锁）
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- 新交易规则 / 动态 spread / inventory skew
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- 新过滤条件（Pulse / AI）
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- 新收益优化参数（为结果改 fee/slip/latency）
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### 三不动
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1. Quote Logic
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2. 成本模型：`Net = Raw − Fee − Slip − Latency`
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3. 失败定义：`PASS` / `PARTIAL_PASS` / `COLLECTING` / `FAIL`
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---
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## Report v0.1 固定格式
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```
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Executive Summary
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Section 1 — Data Integrity
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Section 2 — Fill Alpha (+ distribution: mean/median/p25/p75)
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Section 3 — Toxicity Profile (+ loss concentration)
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Section 4 — Observed Edge Attribution (事实，非策略建议)
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Section 5 — Decision + Stage3 unlock checklist
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```
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第一份报告不期待 PASS。价值在于：市场在哪些情况下愿意付给流动性提供者溢价。
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---
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## Experiment ID（强制绑定）
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每轮 Data Collection 绑定固定身份，写入每条 jsonl + 每份报告：
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```
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Experiment: MM_EDGE_EXP_001
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Version: probe_v0.1
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Quote: frozen
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Fee: frozen
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Exchange: frozen
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```
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环境变量：`EXPERIMENT_ID` / `PROBE_VERSION`（见 `.env.example`）。
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换实验假设时换新 ID（如 `MM_EDGE_EXP_002`），禁止在同一 ID 下改报价逻辑后重解释旧数据。
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报告阅读顺序：**Integrity → 分布（非均值）→ Cluster → Toxicity → Decision**。
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Integrity FAIL → `Decision=INVALID`，不解释 Alpha。
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---
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## Post-Report Phase (2026-08-18)
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Maker Edge Report → **PARTIAL_PASS**.
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Account wallet moved ≈ −62 USDT vs assumed 5000 start — **not** Maker Edge FAIL evidence;
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also **not** ignorable. Research markout ≠ account equity.
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**Probe volume STOPPED** until:
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1. Maker-only hard check: `TAKER_FILLED_COUNT == 0` (exchange `userTrades.maker`)
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2. Order→Fill→Fee→Position→Funding→Equity ledger residual ≈ 0
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See `STATUS.md` and `scripts/reconcile_account.py`.
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Stage3 remains **LOCKED**. Economic Edge = **UNKNOWN**.
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---
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## Economic Attribution Phase (2026-08-18)
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`MM_EDGE_EXP_001 / probe_v0.1` is now a **FROZEN BASELINE**.
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Execution state:
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- Probe: **STOPPED**
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- Strategy modifications: **forbidden**
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- Purpose: **Economic Attribution only**
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First hard-evidence population:
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```
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MATCHED = 3890
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```
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This means:
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- Local Fill
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- Venue Trade
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- venue_trade_id
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- quantity closure
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- price verification
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- fee verification
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- maker-only verification
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Economic Attribution v0.1 must:
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1. Use **MATCHED only** for core conclusions
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2. Keep `VENUE_CONFIRMED_NO_TRADE_HISTORY` / `VENUE_PARTIAL_ORDER_CANCELED`
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as extension evidence, not core population
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3. Treat counterfactuals as **attribution**, not backtest / simulation
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Current baseline conclusion:
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> Maker markout exists, but economic edge is **not established** under v0.1.
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Known explanation path:
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```
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MakerAlpha
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↓
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matched fills
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↓
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fee + realized / inventory economics
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↓
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account outcome
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```
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Next allowed work:
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- Fee attribution
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- Inventory carry / exposure attribution
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- Counterfactual attribution (`Path C`, toxic, negative states)
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- Real-time immutable fill ledger design for future runs
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Still forbidden:
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- Resume v0.1 live execution
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- Change quote offset / TTL / cooldown as a shortcut
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- Unlock Stage3 from attribution alone
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---
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## Prefill Adverse-Selection Attribution Phase (2026-08-18)
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Purpose: **Pre-fill adverse-selection predictability audit** — NOT strategy / backtest / optimization / model training.
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Hard contract:
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```
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feature_timestamp <= t_fill - 0.25s
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```
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Features: sampled `mid_tick` / `inventory_tick` only.
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Forbidden as features: fill price, post-fill states, Path A/B/C/D, markout, future book/trade/inventory, realized PnL, cancel-after-fill.
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Population: **MATCHED paths = 3886** (100% strict coverage)
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Executability gate (three tiers):
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| Grade | Meaning |
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|-------|---------|
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| `NO_PREFILL_SIGNAL` | P(C) / economic almost unchanged |
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| `STATISTICAL_SIGNAL_ONLY` | probability shift, economic improvement insufficient |
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| `CANDIDATE_V0_2_SIGNAL` | probability + economic separation — only this enters v0.2 hypothesis |
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Sample-size policy:
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- n < 30 → `LOW_N` (exploratory only)
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- n < 100 → `WEAK_EVIDENCE`
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- n >= 100 → `USABLE`
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v0.1 strict conclusion:
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> **0 / 19 features** reach `CANDIDATE_V0_2_SIGNAL`.
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> Fill 前可观测信号不足以支撑 v0.2 设计。Stage 3 remains **LOCKED**.
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Deferred (requires richer pre-fill event log):
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- `time_since_last_market_event`
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- intensity / large trades
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- fill-callback `market_event_before_fill`
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Still forbidden:
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- Treat `STATISTICAL_SIGNAL_ONLY` as v0.2 candidate
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- Resume probe or design v0.2 strategy without new experiment ID + prefill signal pass
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---
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## MM_EDGE_EXP_002 — Event-State Observability (2026-08-18)
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**Type:** Data Collection / Observability Experiment
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**NOT:** strategy experiment, backtest, optimization, model training
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```
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MM_EDGE_EXP_001 → phenomenon PASS, economic FAIL, prefill FAIL (snapshot)
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MM_EDGE_EXP_002 → close observability gap (immutable event ledger)
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→ Gate 4 only after Gates 1–3 + fill anchors
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→ (only then) v0.2 hypothesis allowed
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```
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Identity:
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| Field | Value |
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|-------|-------|
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| Experiment | MM_EDGE_EXP_002 |
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| Probe | event_state_v0.1 |
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| Strategy | NONE |
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| Trading | NO |
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| Stage 3 | LOCKED |
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| Depends on | MM_EDGE_EXP_001 FROZEN |
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Core change: **Immutable Event Ledger** — raw events first, features offline later.
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Pre-fill window schema (frozen):
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```
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[-5s, fill - 250ms) → all market_event rows
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fill_anchor → immutable fill metadata (Gate 4; Phase 1 may have none)
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```
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Success gates:
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1. **Event Completeness** — PASS (smoke)
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2. **Temporal Integrity** — PASS (smoke)
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3. **Event Coverage** — PASS (smoke)
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4. **Predictability** — BLOCKED until frozen sample gates in `MM_EDGE_EXP_002.md`
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Long-run: `EXP-002-RUN-002` / `event-state-probe.service` / trading=NO.
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Frozen before long-run (do not change after seeing more data):
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- Phase 1 dataset: ≥ 7 days AND ≥ 5,000,000 market events
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- Gate 4: ≥ 2,000 MATCHED fill_anchors AND ≥ 500 clusters (requires later fill-authorized phase)
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No daily Path C analysis during collection.
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Still forbidden:
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- Resume EXP_001 or modify v0.1 quote logic
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- Enable trading under EXP_002
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- Unlock Stage 3 from observability data alone
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- Peek at Gate 4 before the frozen sample threshold
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---
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## MM_EDGE_EXP_002 Phase 1 STOPPED (2026-09-10)
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Human decision: **stop collection**. Do not open a fill-authorized phase. Do not design v0.2.
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| Field | Value |
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|-------|-------|
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| Run | `EXP-002-RUN-002` |
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| Stopped | **2026-09-10T08:45:24Z** |
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| systemd | user `event-state-probe` **inactive / disabled** |
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| Ledger | `logs/event_state/EXP-002-RUN-002/` (24 files, 18.06 GiB, 2026-08-18 → 2026-09-10 partial) |
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| Trading | **NO** |
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| Stage 3 | **LOCKED** |
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| Gate 4 | **BLOCKED** (no `fill_anchor`) |
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| Hypothesis Closure | **NO** |
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Phase 1 volume thresholds are met as an **observability freeze** only.
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That does **not** unlock Gate 4 or Stage 3.
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Marker: `logs/event_state/EXP-002-RUN-002/EXP-002-RUN-002.PHASE1_STOPPED.json`
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Still forbidden:
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- Restart `EXP-002-RUN-002`
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- Enable trading under EXP_002
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- Path-C / Gate 4 peek on this artifact
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- Treat this stop as “no pre-fill signal exists”
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