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retire the depth gate's spread skip — lag-era relic blocking informed in-play copies (12W/5L would-be); stake cap + dust skip stay

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Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
jaxperro
2026-07-19 12:33:56 -04:00
parent 3f2c45f6c4
commit 2785d1ea13
2 changed files with 25 additions and 5 deletions
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copytrade.py
+13 -5
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@@ -68,7 +68,8 @@ DEFAULT_CONFIG = {
# 0.05 line sits at the EV knee (0.05-0.10
# moves ≈ breakeven, >0.10 = −20% ROI).
"depth_gate": { # 2026-07-13, fitted on 131 gated fills —
"max_spread": 0.08, # wider = market mid-move (med |slip| ~14%)
"max_spread": 0.08, # RETIRED as a skip 2026-07-19 (lag-era
# relic) — kept for config compatibility
"min_ask5c": 50.0, # dust books mispriced every observed fill
"max_frac_of_ask5c": 0.10, # stake ≤10% of 5c ask depth (impact <~2%)
},
@@ -571,10 +572,17 @@ class CopyTrader:
bk = book_depth(token)
if bk and bk.get("ask5c") is not None:
d_reason = None
if (bk.get("spread") or 0) > dg["max_spread"]:
d_reason = (f"book unreliable (spread {bk['spread']:.2f} > "
f"{dg['max_spread']:.2f})")
elif bk["ask5c"] < dg["min_ask5c"]:
# SPREAD SKIP RETIRED (2026-07-19): the 0.08 rule was fitted in
# the 39-90s-lag era, when a wide spread meant the book had
# repriced under a late copy (med |slip| ~14%). At RTDS-era
# ~4s lag the mechanism is gone (median |slip| 3.7%→1.7%,
# Kruto+gkmg in-play mean +0.4%), and the skip was firing on
# the informed wallets' BEST moments — in-play chaos IS their
# signal (17 resolved skips ran 12W/5L, +$11 live/+$674 paper
# would-be). Overpay is already bounded twice: the price guard
# (their fill +0.05 abs) and the FAK protected band. The
# depth-based stake cap and dust skip below KEEP earning.
if bk["ask5c"] < dg["min_ask5c"]:
d_reason = (f"thin book (${bk['ask5c']:.0f} within 5c < "
f"${dg['min_ask5c']:.0f})")
else: