jackyu66gitandCursor
e2fbe1c2b3
Keep frozen research conclusions and code; raw ledgers and secrets stay out of git. Co-authored-by: Cursor <cursoragent@cursor.com>
56 lines
1.7 KiB
Markdown
56 lines
1.7 KiB
Markdown
# Testnet Limitations — MM_EDGE_EXP_001
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Observed on **Binance USDT-M Futures Testnet** during Data Collection (Aug 2026).
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## userTrades history cutoff
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```
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Endpoint: GET /fapi/v1/userTrades
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Observed max trade time (UTC): 2026-08-17T03:08:23
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Behavior: Pagination returns 3890 rows; no further trades via time/fromId
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after cutoff, even while probe continues to produce fills until
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2026-08-18.
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```
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**Impact:** Local jsonl fill count can exceed paginated `userTrades` count.
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This is **not** evidence of duplicate local logging or fake fills.
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## Order API remains available
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```
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Endpoint: GET /fapi/v1/order?orderId=
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Behavior: Post-cutoff orders return status=FILLED, executedQty, avgPrice
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while userTrades?orderId= returns 0 rows for the same orderId.
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```
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RECON-03 classifies these as:
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```
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VENUE_CONFIRMED_NO_TRADE_HISTORY
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```
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Evidence grade: **Order only** (not dual Order+Trade).
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## Income ledger continues
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`GET /fapi/v1/income` continues to record COMMISSION / REALIZED_PNL after
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the userTrades cutoff. Account reconciliation (RECON-01) uses income, not
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userTrades alone.
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## Implications for future runs
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1. **Real-time immutable ledger** — persist on every `OrderFilled`:
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`venue_trade_id`, `venue_order_id`, `liquidity_side`, `commission`,
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`exchange_ts`, `local_ts`. Do not rely on post-hoc userTrades backfill.
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2. **Reports must use evidence taxonomy** — never compare raw fill count to
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userTrades count without cutoff annotation.
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3. **Strict trade-level closure** may remain FAIL on Testnet while
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**order-level closure** can still PASS.
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## Maker-only constraint
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Post-only orders rejected with `-5022` when they would take. Verified:
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`TAKER_FILLED_COUNT = 0` on all 3890 trades inside userTrades window.
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