research: maker_sharps (T2) + sibling_sum_scan (T4) exploratory passes

T2: the maker species is real and distinct — 673 wallets clear the taker
screen's z>=2.5 discipline on the orders_matched stream (~33 expected by
chance), pooled +$5.9M over 47,693 resolved bets in ~6 tape days; only
96/673 overlap the taker informed set, 3/37 watch_sharps. Not copyable by
taking (their edge IS the spread) — follow-ons: inventory-lean signal,
T1 generic maker sim.

T4: print-substrate sibling-sum scan reads 2.8%/1.5% violation minutes but
the top examples expose the artifact (resolution-time dust prints at bids,
not standing offers); persistence p50 1min. Verdict: inconclusive at v0,
needs standing-book data (L2 recording / live paired scanner) — parked
behind the T1 decision.

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

research/maker_sharps.py

@@ -0,0 +1,96 @@
+#!/usr/bin/env python3
+"""T2 EXPLORATORY (2026-07-23) — maker-sharp selection: mine the maker side
+of every match (aux orders_matched, ~6M wallet-attributed rows the screens
+have never touched). Do improbably-winning MAKERS exist — the species
+farming the crater wall — and are they a distinct, followable cohort?
+
+Method mirrors the taker screen (study_flow.informed_set): per wallet-asset
+net maker position (maker BUY = resting bid filled), entry vwap, resolved
+via tape proxy (chain-validated 742/742 method); wallet improbability
+z = (wins − Σp)/sqrt(Σp(1−p)) on n≥6 resolved bets with net≥5sh, vwap in
+[0.05,0.95], pnl>0; z≥2.5 qualifies. Readouts: cohort size, top wallets,
+overlap vs the taker informed set + watch_sharps (distinct species?),
+pooled per-bet EV of qualifying makers' resolved bets. NOT pre-registered;
+a forward table row + copyability (lag) study only if a cohort exists."""
+import json
+import os
+import sys
+
+sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
+import tape                                    # noqa: E402
+
+HERE = os.path.dirname(os.path.abspath(__file__))
+SET_MIN_Z, SET_MIN_BETS = 2.5, 6
+
+
+def main():
+    db = tape.connect()
+    tape.build_resolved(db)
+    rows = db.execute("""
+    WITH mk AS (
+      SELECT lower(json_extract_string(payload,'$.proxyWallet')) wallet,
+             json_extract_string(payload,'$.asset') asset,
+             json_extract_string(payload,'$.side') side,
+             cast(json_extract(payload,'$.price') AS DOUBLE) price,
+             cast(json_extract(payload,'$.size') AS DOUBLE) size,
+             any_value(json_extract_string(payload,'$.name')) OVER
+               (PARTITION BY lower(json_extract_string(payload,'$.proxyWallet'))) nm
+      FROM aux WHERE type = 'orders_matched'
+    ), bets AS (
+      SELECT wallet, any_value(nm) nm, mk.asset,
+             any_value(tk.payout) payout,
+             sum(CASE WHEN side='BUY' THEN size ELSE -size END) net,
+             sum(CASE WHEN side='BUY' THEN size*price END)
+               / nullif(sum(CASE WHEN side='BUY' THEN size END),0) vwap
+      FROM mk JOIN res_tok tk ON mk.asset = tk.asset
+      GROUP BY wallet, mk.asset
+      HAVING net >= 5 AND vwap BETWEEN 0.05 AND 0.95
+    )
+    SELECT wallet, any_value(nm), count(*) n,
+           sum(CASE WHEN payout=1.0 THEN 1 ELSE 0 END) wins,
+           sum(vwap) exp_w, sum(vwap*(1-vwap)) var_s,
+           sum(net*(payout - vwap)) pnl,
+           avg(vwap) avg_entry, sum(net*vwap) staked
+    FROM bets GROUP BY wallet
+    HAVING n >= ? AND var_s > 0
+    """, [SET_MIN_BETS]).fetchall()
+    print(f"maker wallets with >= {SET_MIN_BETS} resolved conviction-ish "
+          f"positions: {len(rows)}")
+    scored = []
+    for w, nm, n, wins, exp_w, var_s, pnl, avg_e, staked in rows:
+        z = (wins - exp_w) / (var_s ** 0.5)
+        if z >= SET_MIN_Z and pnl > 0:
+            scored.append((z, w, nm, n, wins, pnl, avg_e, staked))
+    scored.sort(reverse=True)
+    print(f"qualifying maker-sharps (z>={SET_MIN_Z}, pnl>0): {len(scored)}")
+    # overlap with the taker screens
+    taker = set()
+    try:
+        d = json.load(open(os.path.join(HERE, "params", "informed_set.json")))
+        taker = {x.lower() for x in d["wallets"]}
+    except Exception:
+        pass
+    watch = set()
+    try:
+        for r in json.load(open(os.path.join(
+                os.path.dirname(HERE), "live", "watch_sharps.json"))):
+            watch.add(r["wallet"].lower())
+    except Exception:
+        pass
+    ol_t = sum(1 for z, w, *_ in scored if w in taker)
+    ol_w = sum(1 for z, w, *_ in scored if w in watch)
+    print(f"overlap: {ol_t} in taker informed set (n={len(taker)}) · "
+          f"{ol_w} in watch_sharps (n={len(watch)})")
+    pooled_pnl = sum(s[5] for s in scored)
+    pooled_n = sum(s[3] for s in scored)
+    print(f"cohort pooled: {pooled_n} resolved bets · "
+          f"${pooled_pnl:+,.0f} maker pnl\n")
+    print(f"{'z':>5} {'name':<20} {'bets':>5} {'wins':>5} {'hit':>5} "
+          f"{'pnl':>10} {'avg entry':>9}")
+    for z, w, nm, n, wins, pnl, avg_e, staked in scored[:15]:
+        print(f"{z:5.1f} {(nm or w[:12]):<20} {n:>5} {int(wins):>5} "
+              f"{wins/n:>5.2f} {pnl:>+10,.0f} {avg_e:>9.2f}")
+
+
+if __name__ == "__main__":
+    main()

research/sibling_sum_scan.py

@@ -0,0 +1,89 @@
+#!/usr/bin/env python3
+"""T4 EXPLORATORY (2026-07-23) — sibling-sum consistency: how often do a
+binary market's two tokens price to YES+NO != $1 beyond fees, and does it
+persist long enough to execute? Model-free structural arb:
+  sum < 1 − fees  → buy both, merge to $1 (venue split/merge is native)
+  sum > 1 + fees  → split $1, sell both
+v0 substrate is PRINTS (co-active minutes: both legs printed in the same
+UTC minute — staleness-safe, undercounts violations that sat in books
+without printing). Fees modeled taker-side both legs (worst case; merge/
+split itself is free). Persistence = consecutive violating minutes.
+Phase 2 (only if rich): a live book scanner. NOT pre-registered."""
+import os
+import sys
+
+sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
+import tape                                    # noqa: E402
+
+FEE = 0.03
+MIN_PROFIT = 0.005                 # 0.5c/share after fees
+
+
+def main():
+    db = tape.connect()
+    print("pairing binary conds (exactly 2 assets on tape)…")
+    db.execute("""
+    CREATE TEMP TABLE pairs AS
+    SELECT cond, min(asset) a1, max(asset) a2
+    FROM (SELECT DISTINCT cond, asset FROM trades
+          WHERE cond IS NOT NULL AND cond != '')
+    GROUP BY cond HAVING count(DISTINCT asset) = 2""")
+    n_pairs, = db.execute("SELECT count(*) FROM pairs").fetchone()
+    print(f"binary markets: {n_pairs:,}")
+    rows = db.execute(f"""
+    WITH m AS (
+      SELECT t.cond, cast(floor(t.ts/60) AS BIGINT) mnt, t.asset,
+             arg_max(t.price, t.ts) px,
+             any_value(t.title) title
+      FROM trades t JOIN pairs p ON t.cond = p.cond
+      GROUP BY 1, 2, 3
+    ), co AS (
+      SELECT cond, mnt, any_value(title) title,
+             min(px) pa, max(px) pb, sum(px) s, count(*) legs
+      FROM m GROUP BY cond, mnt HAVING count(*) = 2
+    )
+    SELECT cond, mnt, title, pa, pb, s,
+           (1 - s) - {FEE}*(least(pa,1-pa) + least(pb,1-pb)) buy_profit,
+           (s - 1) - {FEE}*(least(pa,1-pa) + least(pb,1-pb)) sell_profit
+    FROM co""").fetchall()
+    n_co = len(rows)
+    buys = [r for r in rows if r[6] > MIN_PROFIT]
+    sells = [r for r in rows if r[7] > MIN_PROFIT]
+    print(f"co-active market-minutes: {n_co:,}")
+    print(f"buy-both arbs  (sum<1−fees): {len(buys):,} "
+          f"({100*len(buys)/max(n_co,1):.2f}%)")
+    print(f"split-sell arbs (sum>1+fees): {len(sells):,} "
+          f"({100*len(sells)/max(n_co,1):.2f}%)")
+    for tag, vs, idx in (("BUY-BOTH", buys, 6), ("SPLIT-SELL", sells, 7)):
+        if not vs:
+            continue
+        prof = sorted(r[idx] for r in vs)
+        print(f"\n{tag}: profit/share p50 {prof[len(prof)//2]*100:.1f}c · "
+              f"p90 {prof[int(len(prof)*.9)]*100:.1f}c · "
+              f"max {prof[-1]*100:.1f}c")
+        # persistence: consecutive violating minutes per cond
+        by_cond = {}
+        for r in vs:
+            by_cond.setdefault(r[0], []).append(r[1])
+        runs = []
+        for mins in by_cond.values():
+            mins.sort()
+            run = 1
+            for i in range(1, len(mins)):
+                if mins[i] == mins[i-1] + 1:
+                    run += 1
+                else:
+                    runs.append(run)
+                    run = 1
+            runs.append(run)
+        runs.sort()
+        print(f"  persistence: {len(by_cond)} markets · runs p50 "
+              f"{runs[len(runs)//2]}min · p90 {runs[int(len(runs)*.9)]}min "
+              f"· max {runs[-1]}min")
+        top = sorted(vs, key=lambda r: -r[idx])[:5]
+        for r in top:
+            print(f"  {r[idx]*100:5.1f}c/sh · sum {r[5]:.3f} · {r[2][:56]}")
+
+
+if __name__ == "__main__":
+    main()