From 230fca369b057d58e78effc1d6987b1d6f4840aa Mon Sep 17 00:00:00 2001 From: jaxperro Date: Fri, 7 Aug 2026 17:35:53 -0400 Subject: [PATCH] research: forward ledger 2026-08-07 [skip ci] --- research/forward_ledger.jsonl | 12 ++++++++++++ research/params/informed_set.json | 2 +- research/params/maker_set.json | 4 ++-- research/surge_book.json | 4 ++-- 4 files changed, 17 insertions(+), 5 deletions(-) diff --git a/research/forward_ledger.jsonl b/research/forward_ledger.jsonl index 09e9b8e4..e3a72575 100644 --- a/research/forward_ledger.jsonl +++ b/research/forward_ledger.jsonl @@ -140,3 +140,15 @@ {"study": "oracle", "day": "2026-08-05", "computed_at": "2026-08-05 13:21 UTC", "0.04": {"events": 4192, "fills": 829, "pending": 5, "refunds": 0, "pnl": 6808.55, "wins": 389, "ev_per_fill": 8.21, "hit": 0.469}, "0.07": {"events": 2264, "fills": 293, "pending": 3, "refunds": 0, "pnl": 1472.43, "wins": 136, "ev_per_fill": 5.03, "hit": 0.464}, "0.1": {"events": 1435, "fills": 139, "pending": 1, "refunds": 0, "pnl": 664.08, "wins": 68, "ev_per_fill": 4.78, "hit": 0.489}} {"study": "flow_sub5c_EXPLORATORY", "day": "2026-08-05", "computed_at": "2026-08-05 13:21 UTC", "triggers": 27, "set_size": 150, "first": {"fills": 11, "misses": 16, "pending": 0, "refunds": 0, "pnl": 867.0, "wins": 1, "ev_per_fill": 78.82, "hit": 0.091}, "worst": {"fills": 11, "misses": 16, "pending": 0, "refunds": 0, "pnl": 867.0, "wins": 1, "ev_per_fill": 78.82, "hit": 0.091}, "controls_worst": [{"seed": 1, "fills": 0, "pnl": 0.0}, {"seed": 2, "fills": 0, "pnl": 0.0}, {"seed": 3, "fills": 0, "pnl": 0.0}]} {"study": "lean", "day": "2026-08-05", "computed_at": "2026-08-05 13:21 UTC", "screened": 3100, "leans": 5369, "follow_small": {"n": 3669, "pending": 338, "pnl": -2422.98, "ev_per_lean": -0.66, "hit": 0.594}, "mid_report": {"n": 917, "pending": 86, "pnl": 258.64, "ev_per_lean": 0.28, "hit": 0.576}, "fade_whale": {"n": 340, "pending": 13, "pnl": 4708.55, "ev_per_lean": 13.85, "hit": 0.476}} +{"study": "flow", "day": "2026-08-03", "computed_at": "2026-08-06 21:23 UTC", "frozen_at": "2026-07-20 21:14 UTC", "triggers": 2237, "set_size": 150, "first": {"fills": 665, "misses": 1507, "pending": 64, "refunds": 1, "pnl": 5431.0, "wins": 404, "ev_per_fill": 8.17, "hit": 0.608}, "worst": {"fills": 665, "misses": 1507, "pending": 64, "refunds": 1, "pnl": 5058.18, "wins": 404, "ev_per_fill": 7.61, "hit": 0.608}, "controls_worst": [{"seed": 1, "fills": 16, "pnl": 501.7}, {"seed": 2, "fills": 3, "pnl": -52.59}, {"seed": 3, "fills": 13, "pnl": -724.5}]} +{"study": "oracle", "day": "2026-08-03", "computed_at": "2026-08-06 21:23 UTC", "0.04": {"events": 7879, "fills": 1533, "pending": 1, "refunds": 0, "pnl": -186.73, "wins": 713, "ev_per_fill": -0.12, "hit": 0.465}, "0.07": {"events": 4121, "fills": 531, "pending": 0, "refunds": 0, "pnl": 3619.57, "wins": 248, "ev_per_fill": 6.82, "hit": 0.467}, "0.1": {"events": 2636, "fills": 253, "pending": 0, "refunds": 0, "pnl": 3171.44, "wins": 123, "ev_per_fill": 12.54, "hit": 0.486}} +{"study": "flow_sub5c_EXPLORATORY", "day": "2026-08-03", "computed_at": "2026-08-06 21:23 UTC", "triggers": 42, "set_size": 150, "first": {"fills": 7, "misses": 28, "pending": 7, "refunds": 0, "pnl": -721.0, "wins": 0, "ev_per_fill": -103.0, "hit": 0.0}, "worst": {"fills": 7, "misses": 28, "pending": 7, "refunds": 0, "pnl": -721.0, "wins": 0, "ev_per_fill": -103.0, "hit": 0.0}, "controls_worst": [{"seed": 1, "fills": 0, "pnl": 0.0}, {"seed": 2, "fills": 0, "pnl": 0.0}, {"seed": 3, "fills": 0, "pnl": 0.0}]} +{"study": "lean", "day": "2026-08-03", "computed_at": "2026-08-06 21:23 UTC", "screened": 2712, "leans": 8026, "follow_small": {"n": 5145, "pending": 1014, "pnl": 15181.22, "ev_per_lean": 2.95, "hit": 0.597}, "mid_report": {"n": 1167, "pending": 271, "pnl": 106.49, "ev_per_lean": 0.09, "hit": 0.583}, "fade_whale": {"n": 307, "pending": 102, "pnl": -2554.54, "ev_per_lean": -8.32, "hit": 0.417}} +{"study": "flow", "day": "2026-08-04", "computed_at": "2026-08-06 21:23 UTC", "frozen_at": "2026-07-20 21:14 UTC", "triggers": 3258, "set_size": 150, "first": {"fills": 1007, "misses": 2189, "pending": 51, "refunds": 11, "pnl": 1454.34, "wins": 579, "ev_per_fill": 1.44, "hit": 0.575}, "worst": {"fills": 1007, "misses": 2189, "pending": 51, "refunds": 11, "pnl": 1152.64, "wins": 579, "ev_per_fill": 1.14, "hit": 0.575}, "controls_worst": [{"seed": 1, "fills": 18, "pnl": -391.78}, {"seed": 2, "fills": 6, "pnl": 230.85}, {"seed": 3, "fills": 6, "pnl": 554.22}]} +{"study": "oracle", "day": "2026-08-04", "computed_at": "2026-08-06 21:23 UTC", "0.04": {"events": 7997, "fills": 24, "pending": 1501, "refunds": 0, "pnl": -851.82, "wins": 11, "ev_per_fill": -35.49, "hit": 0.458}, "0.07": {"events": 4349, "fills": 11, "pending": 556, "refunds": 0, "pnl": -652.15, "wins": 4, "ev_per_fill": -59.29, "hit": 0.364}, "0.1": {"events": 2892, "fills": 7, "pending": 248, "refunds": 0, "pnl": -483.45, "wins": 2, "ev_per_fill": -69.06, "hit": 0.286}} +{"study": "flow_sub5c_EXPLORATORY", "day": "2026-08-04", "computed_at": "2026-08-06 21:23 UTC", "triggers": 67, "set_size": 150, "first": {"fills": 18, "misses": 49, "pending": 0, "refunds": 0, "pnl": 646.0, "wins": 1, "ev_per_fill": 35.89, "hit": 0.056}, "worst": {"fills": 18, "misses": 49, "pending": 0, "refunds": 0, "pnl": 646.0, "wins": 1, "ev_per_fill": 35.89, "hit": 0.056}, "controls_worst": [{"seed": 1, "fills": 0, "pnl": 0.0}, {"seed": 2, "fills": 0, "pnl": 0.0}, {"seed": 3, "fills": 0, "pnl": 0.0}]} +{"study": "lean", "day": "2026-08-04", "computed_at": "2026-08-06 21:23 UTC", "screened": 2853, "leans": 11130, "follow_small": {"n": 7555, "pending": 869, "pnl": 15000.19, "ev_per_lean": 1.99, "hit": 0.592}, "mid_report": {"n": 1924, "pending": 162, "pnl": 6075.96, "ev_per_lean": 3.16, "hit": 0.606}, "fade_whale": {"n": 516, "pending": 38, "pnl": 4722.41, "ev_per_lean": 9.15, "hit": 0.438}} +{"study": "flow", "day": "2026-08-05", "computed_at": "2026-08-06 21:23 UTC", "frozen_at": "2026-07-20 21:14 UTC", "triggers": 1430, "set_size": 150, "first": {"fills": 435, "misses": 994, "pending": 0, "refunds": 1, "pnl": 670.21, "wins": 245, "ev_per_fill": 1.54, "hit": 0.563}, "worst": {"fills": 435, "misses": 994, "pending": 0, "refunds": 1, "pnl": 414.21, "wins": 245, "ev_per_fill": 0.95, "hit": 0.563}, "controls_worst": [{"seed": 1, "fills": 8, "pnl": 68.47}, {"seed": 2, "fills": 0, "pnl": 0.0}, {"seed": 3, "fills": 5, "pnl": 236.1}]} +{"study": "oracle", "day": "2026-08-05", "computed_at": "2026-08-06 21:23 UTC", "0.04": {"events": 4192, "fills": 829, "pending": 5, "refunds": 0, "pnl": 6808.55, "wins": 389, "ev_per_fill": 8.21, "hit": 0.469}, "0.07": {"events": 2264, "fills": 293, "pending": 3, "refunds": 0, "pnl": 1472.43, "wins": 136, "ev_per_fill": 5.03, "hit": 0.464}, "0.1": {"events": 1434, "fills": 139, "pending": 1, "refunds": 0, "pnl": 664.08, "wins": 68, "ev_per_fill": 4.78, "hit": 0.489}} +{"study": "flow_sub5c_EXPLORATORY", "day": "2026-08-05", "computed_at": "2026-08-06 21:23 UTC", "triggers": 27, "set_size": 150, "first": {"fills": 10, "misses": 17, "pending": 0, "refunds": 0, "pnl": 970.0, "wins": 1, "ev_per_fill": 97.0, "hit": 0.1}, "worst": {"fills": 10, "misses": 17, "pending": 0, "refunds": 0, "pnl": 970.0, "wins": 1, "ev_per_fill": 97.0, "hit": 0.1}, "controls_worst": [{"seed": 1, "fills": 0, "pnl": 0.0}, {"seed": 2, "fills": 0, "pnl": 0.0}, {"seed": 3, "fills": 0, "pnl": 0.0}]} +{"study": "lean", "day": "2026-08-05", "computed_at": "2026-08-06 21:23 UTC", "screened": 3100, "leans": 5369, "follow_small": {"n": 3891, "pending": 116, "pnl": -878.19, "ev_per_lean": -0.23, "hit": 0.594}, "mid_report": {"n": 977, "pending": 26, "pnl": -193.46, "ev_per_lean": -0.2, "hit": 0.572}, "fade_whale": {"n": 352, "pending": 1, "pnl": 4719.61, "ev_per_lean": 13.41, "hit": 0.474}} diff --git a/research/params/informed_set.json b/research/params/informed_set.json index aa9b7697..11bfc6c2 100644 --- a/research/params/informed_set.json +++ b/research/params/informed_set.json @@ -1,5 +1,5 @@ { - "generated_at": 1785978652, + "generated_at": 1786138469, "as_of_tape_ts": 1785931199, "method": "study_flow.informed_set FROZEN (top_n=150, z>=2.5, n>=6)", "wallets": [ diff --git a/research/params/maker_set.json b/research/params/maker_set.json index 4bc185d4..4f388f5f 100644 --- a/research/params/maker_set.json +++ b/research/params/maker_set.json @@ -1,6 +1,6 @@ { - "computed_at": 1785978668, - "as_of": 1785974400, + "computed_at": 1786138483, + "as_of": 1786060800, "method": "maker_lean.screen_asof (z>=2.5, >=6 resolved maker bets, pnl>0) on orders_matched strictly before as_of", "frozen_params": { "lean_usd": [ diff --git a/research/surge_book.json b/research/surge_book.json index 83bb8a99..54550dff 100644 --- a/research/surge_book.json +++ b/research/surge_book.json @@ -1,5 +1,5 @@ { - "computed_at": "2026-08-06 01:11 UTC", + "computed_at": "2026-08-07 21:34 UTC", "spec": { "bank": 100.0, "stake_pct": 0.05, @@ -600,7 +600,7 @@ 65.22 ], [ - 1785978670, + 1786138484, 60.83 ] ]