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jaxperro
165 lines
11 KiB
Markdown
165 lines
11 KiB
Markdown
# research/ — the edge factory (SILO)
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Standing rules (user directive 2026-07-20: "built in a silo to not affect
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anything on the live bot"):
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- **Nothing here is imported by, or imports, the bot** (`copybot.py`,
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`copytrade.py`, their configs). The Fly workers run pinned entrypoints;
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this directory is inert to them.
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- **Tape access is read-only** (`duckdb.connect(..., read_only=True)`).
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- The ONE shared write: `live/cache.duckdb::resolutions` via `live/payouts.py`
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— append-only immutable chain facts, the same store the daily pipeline
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already feeds. Nothing else in `live/` is touched.
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- The existing paper bot is the live test's CONTROL — graduated edges get
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their own paper harness here, never that one.
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- Studies are pre-registered (GitHub issue per study: hypothesis, params,
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verdict + kill criteria) BEFORE their forward window opens. Exploration
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happens on already-collected tape; **verdicts only come from
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`forward_ledger.jsonl` rows dated after the params freeze commit.**
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- **SCORER LAW (2026-07-22, FINDINGS "round three"): every scorer resolves
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outcomes through `forward.payouts_for()` — tape proxy first, CTF chain
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overlay for the remainder. A "pending" bucket is NEVER ignorable on
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Polymarket: market liveness encodes the outcome (a losing bet's winning
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sibling keeps trading, so losses hide in pending while wins score).
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This bug inflated Study A from a true −$6/fill to +$46/fill.**
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- **Every study gets one instrument that does not share the scorer's
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assumptions** — the surge paper harness (chain-graded from day one) is
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what caught the bug. Divergence between instruments is signal, not noise.
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- **DATA LAW (2026-07-22): tests are additive, never subtractive.** Raw
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streams (tape, attempts, markouts, settles, meta snapshots) are
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append-only; analysis opens them read-only; no script rewrites or
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rotates a raw stream. Bot-state trims exist ONLY where an append-only
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log on the volume carries the same rows durably (settles) or the nightly
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pull archives them (attempts/markouts). A study that would need to
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mutate a stream records a NEW stream instead.
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Layout:
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tape.py read-only loaders · tape proxy-resolution (terminal-VWAP +
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sibling veto — exact per-bet, but resolution TIMING is
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win-biased; see SCORER LAW) · title parsers · chain_overlay()
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sim.py execution replayer calibrated on OUR live fills ledger
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(lag, FAK no-match, protected band, 3% taker fee)
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study_flow.py Study A — surge momentum (#16 CLOSED 2026-07-23; A2
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chain grade −$7.54/fill × 1,344 independently confirms)
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study_oracle.py Study B — crypto oracle fair value (#17: E0.04 killed;
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E≥0.07/0.1 ledger-positive but the harness chain grade
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2026-07-23 reads −$8.51/−$5.90 per fill at real latency
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— taker arm evidence-dead, tiers accrue to their formal
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bars, maker pivot is the successor hypothesis)
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copy_edge_slices.py T5 — parity-era copy edge by niche/lag/band/wallet
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(esports carries it; feeds #14)
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copy_maker_entry.py T3 — resting-bid copy entries beat taker FAKs
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(+$17.45 vs +$12.86/signal; basis of #20)
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sell_mirror_study.py sharp exits are bankroll ops, not signal
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(basis of #21 hold-through)
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maker_sharps.py T2 — 673 improbably-winning MAKERS in
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orders_matched (86% invisible to taker screens);
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follow-on: inventory-lean signal
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sibling_sum_scan.py T4 — print-substrate sum-arb scan (artifact-
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dominated; needs standing-book data; parked)
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maker_lean.py T6 — WALK-FORWARD POSITIVE: follow small maker
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inventory leans (+$2.51/lean, 59% hit, positive
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all 3 days) → STUDY C #22 PRE-REGISTERED
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(params/study_lean.json frozen 052eda0; follow
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arm verdict-gated, fade $2k+ FAILED its
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event-concentration gate — report-only; nightly
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rows via forward.py score_lean, study:"lean")
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event_leadlag.py T9 — POSITIVE: same-outcome siblings reprice
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slowly after leader bursts (+$9.73/$100 chain,
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n=2,028; stale-print entry optimism stated) →
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STUDY D #23: wwf-lagbot harness (below) is the
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Stage-2 execution-realism instrument
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settle_discount.py T7 — settlement-discount niche: industrialized
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by incumbents (+2-3%/hold for the good ones);
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residual unproven (63% of vol outside
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tape-resolution); parked at our scale
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miss_audit.py T8 — guard counterfactual: guards earn their
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keep; crater-rejects were GOOD misses (retry EV
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follow-up queued)
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copy_age_slices.py T10 — market-age gradient inconclusive at
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n<=15/cell (6-24h positive both books;
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age~market-type confound); reruns as fills accrue
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maker_quote_sim.py T1 — crypto maker quoting at fair−m: STAGE-1
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KILL 2026-07-23 (best cell +$0.37/fill at
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m=4c/R=1s under queue-front optimism; every
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R=4s cell −$7-9/fill — staleness IS the
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adverse selection; ~31-50k graded fills/cell)
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copy_maker_patience.py T11 — #20's 60s maker TTL is ALREADY OPTIMAL:
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touches land in 1-2s, fill rate flat after 5m,
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and the marginal late fills lower EV (loser
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fill-rate 100% at 5m+ — patience past a minute
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only harvests adverse selection)
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maker_unwind.py T12 — maker-sharp unwinds are NOT exit signals:
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STAY +$5.95/unwind (n=265, 2.6x the bar) vs
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FADE -$5.22 — #21 one species over; Study C
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keeps NO exit rule (concentration caveat in
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the header; --grade-only re-grades the dump)
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depth_imbalance.py T14 — book imbalance at fill is a BAND: extremes
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adverse both ways, balanced 0.25-0.47 least-bad
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in BOTH harnesses (portable #23 guard
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candidate); slope "gate" = quantile-tie
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artifact — check feature variance first
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sharp_halflife.py T15 — published-set churn is violent: 49% of
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detected sharps gone in 1 day, ~10% at 28d
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(real as-of git history of watch_sharps.json);
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EV-by-age = churn's meaning — pending its
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81k-cond chain-ensure
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requote.py crater→requote timing (feeds the bots' per-niche retry)
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forward.py scores frozen studies on new tape days → forward_ledger
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(payouts_for chain overlay mandatory; controls + sub5c
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exploratory arm — 0-for-38, dead)
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informed_set.py publishes params/informed_set.json nightly (surgebot input)
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surgebot.py A2 MEASUREMENT harness (wwf-surgebot → jaxperro.com/test):
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every cooldown-passed trigger paper-FAK'd at $100 against
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the live asks; v1's cash-gated $100/5% book (halted at its
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−50% line 2026-07-22) is replayed offline instead —
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surge_book_replay.py → surge_book.json. v1 artifacts
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frozen: surge_paper_ledger.jsonl + /data/surge_state.json.
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oraclebot.py Study B real-time PAPER harness (wwf-oraclebot →
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jaxperro.com/test): fair value tick-by-tick on the venue's
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own settlement feed, all E-tiers tracked, three settle
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layers (own-feed tick → CLOB flags → nightly chain truth)
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lagbot.py Study D real-time PAPER harness (wwf-lagbot →
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jaxperro.com/test, deployed 2026-07-23, SEM_VER l1):
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leader bursts ≥10¢/120s → paper-FAK $100 on ≤2 lagging
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same-outcome siblings at ≤ stale+4¢; DOWN-moves buy the
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sibling's COMPLEMENT token; cooldown 600s/event, 30-min
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warmup (leader maps built live from the stream). Every
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attempt logs the ask premium over the stale print — the
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observational kill-switch (median ≥+8¢ over 3 days =
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mirage) can kill #23 without a paper sample
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grade_surge.py / grade_oracle.py / grade_lag.py nightly chain-truth
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re-grades → surge_meas / oracle_paper / lag_paper
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ledgers (grade_lag also prints EV per episode AND
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%-of-staked — partial fills can't flatter the verdict —
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plus the median-premium kill-switch read); all three
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pull the raw volume streams to local .pull copies
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markout_flow.py exploratory markout-exit curve (chain-truth verdict: NO
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scalp inside the dead surge signal — losers bleed from
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minute one; v0's res_tok version was round-3-biased)
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meta_snap.py nightly gzipped snapshot of ALL active markets (~12k/day,
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research/meta/, local-only) — τ knowable at trigger for
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every tape trigger; token→outcome maps close the
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label-gap artifact class
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params/ frozen study parameters (committed = frozen)
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nightly.sh launchd runner (fires 09:15, then WAITS for fresh tape —
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Stage 0 keeps the tape ~15-min fresh whenever the Mac is
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awake; deadline 8h, then scores anyway and logs staleness)
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Data streams (the moat — all append-only, per DATA LAW):
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Fly volumes (accrue 24/7, Mac-independent; daily Fly snapshots ×5):
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wwf-recorder /data full firehose → Parquet folds (25GB, ~3+ weeks of
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Mac-offline headroom before the 85% disk guard)
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wwf-surgebot /data surge_attempts.jsonl (every attempt + top-5 asks +
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top-3 bids + latency) · surge_markouts.jsonl (book
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re-reads +60/300/1800s per fill) · surge_settles
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.jsonl (durable settles) · surge2_state.json
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wwf-oraclebot /data oracle_attempts / oracle_markouts / oracle_settles
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.jsonl + oracle_state.json (same shapes)
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wwf-lagbot /data lag_attempts.jsonl (every attempt + top-5 asks +
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premium vs stale + latency) · lag_settles.jsonl
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(durable settles) · lag_state.json
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Mac (nightly pulls + git): ledgers + params committed; raw .pull copies
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and meta/ gzips local. forward.py backfills any tape-covered day the
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ledger has never seen — a Mac gap > RESCORE_DAYS leaves no holes.
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