docs + audit sweep 2026-07-23: fill-model lesson, five-test day, archive pass

FINDINGS: 'The fill model is the next scorer' section (A2 chain grade
-$7.54/fill x1344 confirms the surge kill; oracle harness chain grade
vetoes the ledger-positive tiers; virtual-book +26% variance footnote;
the five tandem tests and the makers-on-the-wall through-line).
HANDOFF: snapshot -> 07-23 (7-wallet rev 5, dark flags, Friday agenda
incl #20/#21). READMEs: /test consolidation row, measurement-harness
research row, study statuses + new script inventory.
Archive: value/ (closed 07-19) + its test, ETHERSCAN_MIGRATION.md,
order_probe v1 -> archive/; replay_out/ gitignored; links repaired.
Tests: all 7 active scripts pass post-move.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>

archive/value/PLAN.md

@@ -0,0 +1,125 @@
+# ── POST-MORTEM (2026-07-19): EXPERIMENT CLOSED — HYPOTHESIS REFUTED ──
+Killed by the pre-registered criterion, decisively: 994 resolved tickets,
+**1W / 993L, 0.075x realized multiple** (paper bank $1,000 spent; 32 tickets
+/ ~$32 still open at shutdown — even if ALL win, the multiple caps ~0.1x).
+The v0 sub-2¢ mix AND the v0.1 1-2c band both failed live-paper despite the
+cache showing 1.24-1.28x historically. Expected wins at the historical rate:
+~12; observed: 1 (p ≈ 0 — not variance).
+
+VERDICT: today's sub-2¢ asks are near-perfectly informed. The 2025-era
+calibration edge no longer exists in the current market — the visible cheap
+tail is pure adverse selection now. The honest FAK fill model + $1 stakes
+made this a ~$1,000-paper-dollar lesson instead of a real one; the fill
+model, chain settles, and silo pattern all worked exactly as designed and
+are reusable for the next hypothesis (tape-derived flow signals).
+Fly app destroyed 2026-07-19; feed/state/dashboard remain as the record.
+
+# VALUE — undervalued-market bot (silo'd from the copy trader)
+
+Status: RESEARCH + PLAN (2026-07-17). No bot code yet. USER directives:
+copy-bot playbook (paper first → real money), paper must mimic reality as
+closely as possible, and a HARD SILO — nothing here may touch or impact the
+copy trader. Own dashboard page eventually (jaxperro.com/value).
+
+## Phase-1 research findings (calibration study, 2026-07-17)
+
+Data: 13.5M TRUSTED resolved bet rows (trust.py CTE — the res_t=ts poison and
+stale marks excluded), 26.2M raw, read-only against live/cache.duckdb.
+
+1. **The market is well-calibrated where the copybot lives.** 60¢–98¢
+   realized-vs-price gaps are ±0.3% and NEGATIVE net of the 4% fee model.
+   There is NO simple "buy favorites" edge. (Also independently validates the
+   copybot's price band: no systematic juice was left on the table.)
+2. **Longshots 2¢–60¢ are systematically OVERPRICED** (gap −1.7% to −3.5%,
+   cluster-conservative z −9 to −42). Blanket longshot buying is a donation.
+3. **THE ANOMALY: sub-2¢ contracts are UNDERPRICED.**
+   - Full set: n=696k bets / 291k markets, avg entry 0.82¢, realized 1.02%
+     → 1.24x gross, ≈ +20%/$ net of entry fee, z≈+12 (market-clustered).
+   - Survives WITHOUT our skilled wallets: rows from wallets outside the
+     94-wallet skilled pool, on market-sides NO skilled wallet touched:
+     1.27x, +23%/$ net (n=648k / 286k markets).
+   - NOT refunds: on the payout-covered subset only 41/153k rows were 50/50
+     refunds (each does mark won=TRUE — the boolean lies exactly as feared,
+     but the frequency is negligible). Refund-aware TRUE EV on that subset:
+     entry 0.85¢ → EV 1.31¢/share = 1.55x gross, ~+50%/$ net. Covered
+     subset skews rich (it's markets our pipeline settled); the honest
+     global estimate stays ~1.24–1.27x.
+   - Horizon: the effect is strongest at SHORT time-to-resolution (<1h and
+     1h–1d), i.e. in-play/near-expiry dust.
+   - Skilled wallets at sub-2¢ run 2.85x (n=5.5k) — the informed-niche
+     effect on top of the structural one; that part is signal A's business
+     (smart-money scanner), not this bot's.
+
+**Interpretation**: below ~2¢ the favorite-longshot bias INVERTS — consistent
+with sellers harvesting "sure" pennies (selling 99¢ completes = supplying the
+1¢ side) pushing tails below fair. Per-bet payoff is 50–120x with ~1% hit
+rate: massive variance, only harvestable as a LAW-OF-LARGE-NUMBERS portfolio
+(hundreds of independent markets), tiny per-market stakes.
+
+**What the data CANNOT tell us (= why the paper bot exists):**
+- EXECUTABILITY: cached fills are prices people actually got, but dust books
+  are thin (our own depth gate: ask5c<$50 = "mispriced every fill"). Whether
+  $1–5/market is fillable at ≤2¢ TODAY, at FAK, without moving the book, is
+  unknowable from history. This is the #1 risk and the paper bot's #1 job.
+- Era drift: the cache spans months; the bias may have closed.
+- Correlation: same-event dust tickets resolve together (event cap needed).
+
+## Strategy V0 (paper only): systematic sub-2¢ portfolio
+
+- Universe: every active market with an ask ≤ 2¢ (gamma/CLOB scan; exclude
+  markets resolving <X min out if the book is one-sided — parameter, not
+  dogma; the horizon data says near-expiry is where the edge LIVES, so no
+  blanket exclusion).
+- Entry: FAK-modeled buy at the ask, protected band exactly like the live
+  executor would send. Stake: flat $1–2/market (venue min), hard event cap 1
+  (correlated dust resolves together), portfolio cap N open.
+- Exit: hold to resolution (redeem is fee-free; the whole edge is terminal).
+  Settle at CHAIN truth via payouts.py vectors (0.5 refunds are real).
+- Measurement: edge-vs-hurdle daily from day 1 (the copybot's edge.py
+  pattern). Break-even hit rate at 1¢ ≈ price×(1+fee drag) ≈ 1.05% — the
+  book needs ~2,000+ resolved tickets for a significant verdict; at ~1–3k
+  qualifying markets/day observed in cache era, ~2–6 weeks of paper.
+
+Signal A (smart-money consensus scanner) is a SEPARATE later deliverable —
+dashboard watchlist first, never auto-traded from this silo.
+
+## Silo architecture (mirrors the copybot playbook, shares nothing live)
+
+- **Code**: new files under `value/` ONLY. May import the read-only research
+  libs (`trust`, `payouts`, `smart_money` GETs). MUST NOT import copybot.py
+  or copytrade.py (book/fee helpers get duplicated into `value/` — ~40 lines
+  bought for total blast-radius isolation). No shared state, no shared feed,
+  no shared webhook, no shared Fly app.
+- **Runtime**: own Fly app (`wwf-valuebot`, arn) cloning this repo at boot,
+  same clone-guard pattern. Poll-driven (gamma universe scan + book reads);
+  needs NO Alchemy/RTDS — detection latency is irrelevant to a standing
+  limit-universe strategy.
+- **State/feed**: `value/valuebot_state.json`, feed `value/valuebot.json`,
+  fills `value/valuebot_fills.jsonl` — committed by ITS OWN pushes, same
+  pull-rebase-push discipline. Paper realism from day 1: FAK-vs-book fill
+  model (no ask inside band = MISS, the 2026-07-16 parity lesson), category
+  fee rates, depth-gated stakes, refund-aware chain settles, honest missed
+  ledger, daily edge row.
+- **Dashboard**: later, jaxperro.com/value reading the feed — separate page,
+  separate feed file; the trading/live pages are untouched.
+- **Ops**: HANDOFF.md stays the shared session log; this file is the value
+  bot's own state-of-the-world.
+
+## Rollout gates (copybot playbook)
+
+1. PAPER (build next): 2–6 weeks; verdict = realized portfolio ROI vs the
+   ~1.05% break-even hit rate with real fill misses counted.
+2. KILL criteria: fill rate <30% of attempts (the edge exists but isn't
+   buyable), or realized multiple <1.1x after 2k resolved tickets, or the
+   paper book can't deploy >$50/week at $1–2 stakes (too thin to matter).
+3. REAL MONEY: only after paper verdict + user go; separate wallet, separate
+   caps conversation. Never funded from or through the copy-trader wallet.
+
+## Open research (phase 2, before/alongside paper build)
+
+- Maker-vs-taker split: can resting 1¢ bids harvest the same edge with
+  NEGATIVE fee (maker) instead of paying the taker rate? Adverse-selection
+  test needed (the copybot's resting-limit analysis says beware).
+- Era stability: recompute the bucket table on trailing 30/60/90d windows.
+- Category cut once slugs are joined (slug_cache/gamma) — is it all esports
+  comebacks, or broad?