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jaxperro
f2fb8d67b7
54 chain-graded parity+ signals @$100: maker bid at their price fills 93% within 60s, EV/signal +$17.45 vs taker +$12.86 (+36%) — fee removal + no pay-up. No adverse-selection asymmetry at the 60s window (winners fill 92% vs losers 94%); mild asymmetry only in patient tails, so 60s-then- cancel is the shape. Queue-position optimism stated: maker wins while real priority >~68%; markout re-read stream will refine. Candidate execution change behind mirror-exactly + pre-registration. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
97 lines
4.3 KiB
Python
97 lines
4.3 KiB
Python
#!/usr/bin/env python3
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"""T3 EXPLORATORY (2026-07-23) — maker-entry copy execution: instead of
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FAK-taking a copy signal (pays the ~1.9% taker fee + slippage, always
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fills), rest a bid at the sharp's own print price. Fill = a later tape
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print at <= that price (the book crossed through our level; queue-position
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optimism stated). Missed = no fill in the window (EV 0, capital free).
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The trade-off being measured: fee+slippage savings + better entries vs
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fill-rate loss and ADVERSE SELECTION (bids fill preferentially on the way
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DOWN — winners run away unfilled, losers come to you). The split of fill
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rate by eventual outcome is THE number.
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Universe: every non-untracked BUY fill in both books with their_price and
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tape coverage. Windows 60s/5m/30m/to-resolution. Chain-true grading
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(payouts_for). NOT pre-registered — exploration for a possible execution
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change behind the mirror-exactly discipline."""
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import json
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import os
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import sys
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sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
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import tape # noqa: E402
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import forward as fwd # noqa: E402
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ROOT = os.path.dirname(os.path.dirname(os.path.abspath(__file__)))
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WINDOWS = [(60, "60s"), (300, "5m"), (1800, "30m"), (None, "to-res")]
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FEE = 0.03
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def main():
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db = tape.connect()
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t_lo, t_hi = db.execute("SELECT min(ts), max(ts) FROM trades").fetchone()
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tape.build_resolved(db)
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fills = []
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for path, book in ((os.path.join(ROOT, "copybot_fills.jsonl"), "paper"),
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(os.path.join(ROOT, "copybot_fills.live.jsonl"), "live")):
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for ln in open(path):
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r = json.loads(ln)
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if (r.get("side") == "SELL" or r.get("untracked")
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or not r.get("their_price") or not r.get("my_price")):
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continue
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sig_ts = r["ts"] - (r.get("detect_lag_s") or 0)
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if not (t_lo + 60 <= sig_ts <= t_hi - 1800):
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continue # need tape around the signal
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fills.append({"book": book, "token": str(r["token"]),
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"sig_ts": sig_ts, "p": r["their_price"],
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"my_px": r["my_price"], "shares": r.get("shares", 0),
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"fee": r.get("fee") or 0,
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"cost": r.get("cost") or r["my_price"] * r.get("shares", 0)})
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print(f"copy signals with tape coverage: {len(fills)}")
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pays = fwd.payouts_for(db, [f["token"] for f in fills])
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graded = [f for f in fills if pays.get(f["token"]) is not None
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and pays.get(f["token"]) != 0.5]
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print(f"chain-graded (refunds excluded): {len(graded)}")
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# taker baseline: what actually happened, normalized to $100 stakes
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tk_pnl = 0.0
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for f in graded:
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pay = pays[f["token"]]
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sh = 100.0 / f["my_px"]
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tk_pnl += sh * (pay - f["my_px"]) - FEE * sh * min(f["my_px"], 1 - f["my_px"])
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print(f"\nTAKER baseline @$100/signal: {len(graded)} fills · "
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f"EV/signal {tk_pnl/len(graded):+.2f}")
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for win_s, tag in WINDOWS:
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mk_pnl = 0.0
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n_fill = 0
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win_fill = lose_fill = win_all = lose_all = 0
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for f in graded:
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pay = pays[f["token"]]
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(win_all, lose_all) = (win_all + (pay == 1), lose_all + (pay == 0))
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hi = f["sig_ts"] + win_s if win_s else t_hi
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r = db.execute("""SELECT min(ts) FROM trades WHERE asset = ?
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AND ts > ? AND ts <= ? AND price <= ?""",
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[f["token"], f["sig_ts"], hi, f["p"]]).fetchone()
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if r[0] is None:
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continue # bid never touched — no fill
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n_fill += 1
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sh = 100.0 / f["p"]
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mk_pnl += sh * (pay - f["p"]) # maker: no taker fee
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if pay == 1:
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win_fill += 1
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else:
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lose_fill += 1
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fr = n_fill / len(graded)
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fr_w = win_fill / max(win_all, 1)
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fr_l = lose_fill / max(lose_all, 1)
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print(f"MAKER bid@their_px, window {tag:>6}: fill {fr:5.0%} "
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f"({n_fill}) · EV/signal {mk_pnl/len(graded):+6.2f} · "
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f"EV/fill {mk_pnl/max(n_fill,1):+6.2f} · "
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f"fill-rate winners {fr_w:.0%} vs losers {fr_l:.0%}"
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f"{' ⚠ adverse' if fr_l > fr_w + 0.1 else ''}")
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if __name__ == "__main__":
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main()
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