From f19cc8d168ff4fd842268d6a55798ca286d3940f Mon Sep 17 00:00:00 2001
From: jaxperro <jaxtorres@gmail.com>
Date: Wed, 8 Jul 2026 17:56:20 -0400
Subject: [PATCH] copybot: capture order-book snapshot (spread + 5c depth) on
 every copy

New 'book' field in the fills ledger: {bb, ba, spread, bid5c, ask5c}
from CLOB /book at fill time. The calibration experiment's weakest
assumption is the flat SLIP haircut; weeks of these snapshots give an
empirical fill model for the backtest and a depth gate before real
money sizes up (today's probe: a  stake vs $77 of bids within 5c).
Best-effort, never blocks a copy.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
---
 copybot.py | 30 ++++++++++++++++++++++++++++++
 1 file changed, 30 insertions(+)

diff --git a/copybot.py b/copybot.py
index efa7b7d7..4c1758c0 100644
--- a/copybot.py
+++ b/copybot.py
@@ -454,6 +454,35 @@ class Copybot:
                     for b in bets.values() if b.get("pnl") is None)
         return st.get("cash", 0) - (self.cfg["bankroll_usd"] + adj + realized + flows)
 
+    def _book_snapshot(self, token):
+        """Top-of-book spread + $-depth within 5c of touch, captured per copy
+        into the fills ledger. The calibration experiment's weakest model
+        assumption is the flat SLIP haircut — 2026-07-08 probe: an open
+        position showed a 9c spread with $77 of bids within 5c vs our $40
+        stakes. Weeks of these snapshots = an EMPIRICAL fill model for the
+        backtest and a depth gate before sizing up. NB captured just AFTER
+        our own fill, so ask-side depth is net of what we took — fine for a
+        first-order model. Best-effort: never blocks or fails a copy."""
+        try:
+            req = urllib.request.Request(f"{CLOB_API}/book?token_id={token}",
+                                         headers={"User-Agent": "Mozilla/5.0"})
+            b = json.loads(urllib.request.urlopen(req, timeout=6, context=SSL_CTX).read())
+            bids = b.get("bids") or []
+            asks = b.get("asks") or []
+            bb = max((float(x["price"]) for x in bids), default=None)
+            ba = min((float(x["price"]) for x in asks), default=None)
+
+            def depth(side, ref, sgn):
+                if ref is None:
+                    return None
+                return round(sum(float(x["size"]) * float(x["price"]) for x in side
+                                 if sgn * (float(x["price"]) - ref) >= -0.05), 2)
+            return {"bb": bb, "ba": ba,
+                    "spread": round(ba - bb, 4) if bb is not None and ba is not None else None,
+                    "bid5c": depth(bids, bb, 1), "ask5c": depth(asks, ba, -1)}
+        except Exception:
+            return None
+
     def _record_lag(self, wallet, t, fill):
         """Gap 1 — log the detection lag and price slippage of a copy: their fill
         time/price vs ours. Appends to copybot_fills.jsonl and tracks running
@@ -474,6 +503,7 @@ class Copybot:
             "shares": round(fill["shares"], 2), "cost": round(fill["shares"] * my_p, 2),
             "fee": fill.get("fee", 0),
             "mode": "live" if self.engine.ex.live else "paper",
+            "book": self._book_snapshot(fill["token"]),
         }
         try:
             with open(os.path.join(self.here, self.fill_log), "a") as fh: