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#24 v1: follow-since windows (config git history -> per-wallet clamp), reject-split buckets (REJECTED vs UNSEEN), reconcile --csv row + drift alarm, live-replica residual

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Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
jaxperro
2026-07-24 13:30:09 -04:00
parent 0658b23ab2
commit 25d3dedc49
4 changed files with 181 additions and 9 deletions
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research/copy_reconcile.py
+91 -9
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@@ -23,6 +23,7 @@ honest. Companion input: live/portfolio_follow_bets.json (portfolio.py
import json
import os
import sys
import time
sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
import tape # noqa: E402
@@ -77,13 +78,34 @@ def bot_views():
return v
def rejects():
"""{book: {token,...}} — the reject ledgers (live since 2026-07-24)
split UNSEEN into REJECTED (screen: the bot saw and filtered) vs
truly unseen (universe)."""
out = {"paper": set(), "live": set()}
for book, f in (("paper", "copybot_rejects.jsonl"),
("live", "copybot_rejects.live.jsonl")):
for r in load_jsonl(f):
if r.get("token"):
out[book].add(str(r["token"]))
return out
def main():
bets = json.load(open(os.path.join(ROOT, "live",
"portfolio_follow_bets.json")))
try:
fs = {k.lower(): int(v) for k, v in json.load(open(os.path.join(
ROOT, "live", "follow_since.json"))).items()}
nm2w = {w["name"]: w["wallet"].lower() for w in json.load(open(
os.path.join(ROOT, "live", "copybot.paper.json")))["wallets"]}
except Exception:
fs, nm2w = {}, {}
bets = [b for b in bets if b.get("entry_t", 0) >= PARITY_T0
and b.get("asset") and b.get("p")]
print(f"backtest bets in the parity era with join keys: {len(bets)}",
flush=True)
and b.get("asset") and b.get("p")
and b.get("entry_t", 0) >= fs.get(nm2w.get(b["name"], ""), 0)]
print(f"backtest bets in the parity era with join keys "
f"(follow-since applied): {len(bets)}", flush=True)
db = tape.connect()
tape.build_resolved(db)
pays = fwd.payouts_for(db, [b["asset"] for b in bets])
@@ -100,9 +122,11 @@ def main():
print(f"chain-graded (refunds/pending excluded): {len(graded)}\n",
flush=True)
rej = rejects()
row = {"date": time.strftime("%Y-%m-%d"), "n": len(graded)}
for book in ("paper", "live"):
f, mset = v[book]["fills"], v[book]["missed"]
buckets = {"FILLED": [], "MISSED": [], "UNSEEN": []}
buckets = {"FILLED": [], "MISSED": [], "REJECTED": [], "UNSEEN": []}
pg = 0.0
for b in graded:
a = b["asset"]
@@ -114,17 +138,23 @@ def main():
pg += b["_ev_bt"] - ev_real
elif a in mset:
buckets["MISSED"].append(b)
elif a in rej[book]:
buckets["REJECTED"].append(b) # screen gap, now visible
else:
buckets["UNSEEN"].append(b)
buckets["UNSEEN"].append(b) # universe gap
tot_bt = sum(b["_ev_bt"] for b in graded)
row[f"{book}_bt_ev"] = round(tot_bt)
print(f"== {book.upper()} (n={len(graded)} signals · backtest "
f"$100-EV {tot_bt:+,.0f}) ==")
for k in ("FILLED", "MISSED", "UNSEEN"):
for k in ("FILLED", "MISSED", "REJECTED", "UNSEEN"):
bs = buckets[k]
ev = sum(b["_ev_bt"] for b in bs)
share = 100 * ev / tot_bt if tot_bt else 0
print(f" {k:>7}: n={len(bs):>4} · backtest EV in bucket "
row[f"{book}_{k.lower()}_n"] = len(bs)
row[f"{book}_{k.lower()}_ev"] = round(ev)
print(f" {k:>8}: n={len(bs):>4} · backtest EV in bucket "
f"{ev:+9.0f} ({share:+5.1f}% of story)")
row[f"{book}_fill_gap"] = round(pg)
print(f" fill-price gap on FILLED (their_p feeless -> my_p+fee): "
f"{pg:+,.0f}")
un = buckets["UNSEEN"]
@@ -135,8 +165,60 @@ def main():
top = sorted(byw.items(), key=lambda kv: -kv[1])[:4]
print(f" unseen by wallet: {top}")
print(flush=True)
json.dump({"n": len(graded)}, open(os.path.join(
HERE, "copy_reconcile.json"), "w"))
# live-bankroll replica residual: the model at the live book's capital
# vs the live book itself (window-aligned numbers recorded raw)
try:
rep = json.load(open(os.path.join(ROOT, "live",
"portfolio_live_replica.json")))
lv = json.load(open(os.path.join(ROOT, "live",
"copybot_live_real_full.json")))
row["replica_pnl"] = round(rep.get("pnl") or 0, 2)
row["live_realized"] = round(lv.get("pnl_realized")
or lv.get("realized") or 0, 2)
print(f"REPLICA: model-at-live-bank 30d P&L {row['replica_pnl']:+.2f}"
f" vs live book realized {row['live_realized']:+.2f} "
f"(residual {row['replica_pnl'] - row['live_realized']:+.2f})",
flush=True)
except Exception:
pass
json.dump(row, open(os.path.join(HERE, "copy_reconcile.json"), "w"))
if "--csv" in sys.argv:
import csv as _csv
path = os.path.join(ROOT, "history", "reconcile.csv")
os.makedirs(os.path.dirname(path), exist_ok=True)
rows = []
try:
rows = list(_csv.DictReader(open(path)))
except FileNotFoundError:
pass
rows = [r for r in rows if r.get("date") != row["date"]]
# drift alarm: any bucket-EV share moved >15pp vs the trailing mean
if len(rows) >= 5:
import statistics as _st
for book in ("paper", "live"):
for k in ("filled", "missed", "rejected", "unseen"):
key = f"{book}_{k}_ev"
tot_k = f"{book}_bt_ev"
hist = [float(r[key]) / max(1, abs(float(r[tot_k])))
for r in rows[-7:] if r.get(key) and r.get(tot_k)]
if not hist:
continue
cur = row[key] / max(1, abs(row[tot_k]))
if abs(cur - _st.mean(hist)) > 0.15:
print(f"⚠ RECONCILE DRIFT {book}.{k}: share "
f"{cur:+.0%} vs 7d mean {_st.mean(hist):+.0%}",
flush=True)
rows.append({k: str(vv) for k, vv in row.items()})
cols = sorted({c for r in rows for c in r}, key=lambda c:
(c != "date", c))
with open(path, "w", newline="") as fh:
w = _csv.DictWriter(fh, fieldnames=cols)
w.writeheader()
for r in rows:
w.writerow(r)
print(f"[reconcile.csv] {len(rows)} rows -> history/reconcile.csv",
flush=True)
if __name__ == "__main__":