{"version": "2-real-tape", "created": "2026-10-06", "audit": {"excluded": [{"ticker": "KXBTC15M-26JUL300530-30", "reason": "Empty historical tape; no execution labels created"}], "market_coverage": [{"ticker": "KXBTC15M-26JUL272015-15", "trade_prints": 23827, "tape_contract_volume": 1849598.46, "metadata_volume": "1849598.46"}, {"ticker": "KXBTC15M-26JUL280015-15", "trade_prints": 31040, "tape_contract_volume": 2578323.25, "metadata_volume": "2578323.25"}, {"ticker": "KXBTC15M-26JUL280415-15", "trade_prints": 17020, "tape_contract_volume": 1383648.09, "metadata_volume": "1383648.09"}, {"ticker": "KXBTC15M-26JUL280815-15", "trade_prints": 15216, "tape_contract_volume": 1162112.32, "metadata_volume": "1162112.32"}, {"ticker": "KXBTC15M-26JUL281215-15", "trade_prints": 19846, "tape_contract_volume": 1609811.04, "metadata_volume": "1609811.04"}, {"ticker": "KXBTC15M-26JUL281615-15", "trade_prints": 22143, "tape_contract_volume": 1530491.46, "metadata_volume": "1530491.46"}, {"ticker": "KXBTC15M-26JUL282015-15", "trade_prints": 19302, "tape_contract_volume": 1646826.72, "metadata_volume": "1646826.72"}, {"ticker": "KXBTC15M-26JUL290015-15", "trade_prints": 38034, "tape_contract_volume": 3413403.91, "metadata_volume": "3413403.91"}, {"ticker": "KXBTC15M-26JUL290415-15", "trade_prints": 11264, "tape_contract_volume": 1053486.33, "metadata_volume": "1053486.33"}, {"ticker": "KXBTC15M-26JUL290815-15", "trade_prints": 11573, "tape_contract_volume": 972018.77, "metadata_volume": "972018.77"}, {"ticker": "KXBTC15M-26JUL291215-15", "trade_prints": 28434, "tape_contract_volume": 2374453.55, "metadata_volume": "2374453.55"}, {"ticker": "KXBTC15M-26JUL291615-15", "trade_prints": 32624, "tape_contract_volume": 2435107.85, "metadata_volume": "2435107.85"}, {"ticker": "KXBTC15M-26JUL292015-15", "trade_prints": 21659, "tape_contract_volume": 1769226.02, "metadata_volume": "1769226.02"}, {"ticker": "KXBTC15M-26JUL292345-45", "trade_prints": 16844, "tape_contract_volume": 1564104.66, "metadata_volume": "1564104.66"}, {"ticker": "KXBTC15M-26JUL300530-30", "trade_prints": 0, "tape_contract_volume": 0, "metadata_volume": "0.00"}, {"ticker": "KXBTC15M-26JUL300900-00", "trade_prints": 12553, "tape_contract_volume": 1030105.0, "metadata_volume": "1030105.00"}, {"ticker": "KXBTC15M-26JUL301230-30", "trade_prints": 22079, "tape_contract_volume": 1991790.67, "metadata_volume": "1991790.67"}, {"ticker": "KXBTC15M-26JUL301600-00", "trade_prints": 25040, "tape_contract_volume": 2105085.42, "metadata_volume": "2105085.42"}, {"ticker": "KXBTC15M-26JUL302015-15", "trade_prints": 28758, "tape_contract_volume": 2614729.0, "metadata_volume": "2614729.00"}, {"ticker": "KXBTC15M-26JUL310015-15", "trade_prints": 38684, "tape_contract_volume": 3392982.62, "metadata_volume": "3392982.62"}, {"ticker": "KXBTC15M-26JUL310415-15", "trade_prints": 21096, "tape_contract_volume": 2156951.61, "metadata_volume": "2156951.61"}, {"ticker": "KXBTC15M-26JUL310815-15", "trade_prints": 13321, "tape_contract_volume": 1226126.37, "metadata_volume": "1226126.37"}, {"ticker": "KXBTC15M-26JUL311215-15", "trade_prints": 17316, "tape_contract_volume": 1189998.64, "metadata_volume": "1189998.64"}, {"ticker": "KXBTC15M-26JUL311615-15", "trade_prints": 30289, "tape_contract_volume": 2281675.23, "metadata_volume": "2281675.23"}, {"ticker": "KXBTC15M-26JUL312015-15", "trade_prints": 14694, "tape_contract_volume": 1188283.33, "metadata_volume": "1188283.33"}, {"ticker": "KXBTC15M-26AUG010015-15", "trade_prints": 22957, "tape_contract_volume": 1498980.98, "metadata_volume": "1498980.98"}, {"ticker": "KXBTC15M-26AUG010415-15", "trade_prints": 10007, "tape_contract_volume": 780056.97, "metadata_volume": "780056.97"}, {"ticker": "KXBTC15M-26AUG010815-15", "trade_prints": 7909, "tape_contract_volume": 602401.27, "metadata_volume": "602401.27"}, {"ticker": "KXBTC15M-26AUG011215-15", "trade_prints": 15059, "tape_contract_volume": 1234600.33, "metadata_volume": "1234600.33"}, {"ticker": "KXBTC15M-26AUG011615-15", "trade_prints": 29628, "tape_contract_volume": 2022100.58, "metadata_volume": "2022100.58"}, {"ticker": "KXBTC15M-26AUG012015-15", "trade_prints": 14307, "tape_contract_volume": 1002347.15, "metadata_volume": "1002347.15"}, {"ticker": "KXBTC15M-26AUG020015-15", "trade_prints": 13151, "tape_contract_volume": 955547.13, "metadata_volume": "955547.13"}, {"ticker": "KXBTC15M-26AUG020415-15", "trade_prints": 17225, "tape_contract_volume": 1562549.98, "metadata_volume": "1562549.98"}, {"ticker": "KXBTC15M-26AUG020815-15", "trade_prints": 8603, "tape_contract_volume": 725032.9, "metadata_volume": "725032.90"}, {"ticker": "KXBTC15M-26AUG021215-15", "trade_prints": 28580, "tape_contract_volume": 2122460.77, "metadata_volume": "2122460.77"}, {"ticker": "KXBTC15M-26AUG021615-15", "trade_prints": 26967, "tape_contract_volume": 1883184.45, "metadata_volume": "1883184.45"}, {"ticker": "KXBTC15M-26AUG022015-15", "trade_prints": 17152, "tape_contract_volume": 1573096.41, "metadata_volume": "1573096.41"}, {"ticker": "KXBTC15M-26AUG030015-15", "trade_prints": 36269, "tape_contract_volume": 3108436.39, "metadata_volume": "3108436.39"}, {"ticker": "KXBTC15M-26AUG030415-15", "trade_prints": 18143, "tape_contract_volume": 1561989.31, "metadata_volume": "1561989.31"}, {"ticker": "KXBTC15M-26AUG030815-15", "trade_prints": 17723, "tape_contract_volume": 1473174.86, "metadata_volume": "1473174.86"}, {"ticker": "KXBTC15M-26AUG031215-15", "trade_prints": 21335, "tape_contract_volume": 1927268.07, "metadata_volume": "1927268.07"}, {"ticker": "KXBTC15M-26AUG031615-15", "trade_prints": 28968, "tape_contract_volume": 2166490.22, "metadata_volume": "2166490.22"}, {"ticker": "KXBTC15M-26AUG032015-15", "trade_prints": 30179, "tape_contract_volume": 2713150.81, "metadata_volume": "2713150.81"}, {"ticker": "KXBTC15M-26AUG040015-15", "trade_prints": 34756, "tape_contract_volume": 2836390.73, "metadata_volume": "2836390.73"}, {"ticker": "KXBTC15M-26AUG040415-15", "trade_prints": 15543, "tape_contract_volume": 1359413.77, "metadata_volume": "1359413.77"}, {"ticker": "KXBTC15M-26AUG040815-15", "trade_prints": 10006, "tape_contract_volume": 1001911.31, "metadata_volume": "1001911.31"}, {"ticker": "KXBTC15M-26AUG041215-15", "trade_prints": 17659, "tape_contract_volume": 1585923.78, "metadata_volume": "1585923.78"}, {"ticker": "KXBTC15M-26AUG041615-15", "trade_prints": 15113, "tape_contract_volume": 1392116.66, "metadata_volume": "1392116.66"}], "duplicate_trade_ids": 0, "unique_trades": 989895, "candles": 89280, "spot_hashes": {"BTCUSDT-1m-2026-07.zip": "3ef15c84353da48e1c7c5fd99b9751cb036bf8986ed47f7cd1be63359c0d4f6b", "BTCUSDT-1m-2026-08.zip": "acab442e02745177063031d402929703ae983715010064b40cf811c4beb843d4"}}, "split": {"train_days": ["2026-07-28", "2026-07-29", "2026-07-30", "2026-07-31"], "validation_days": ["2026-08-01", "2026-08-02"], "test_days": ["2026-08-03", "2026-08-04"], "markets": [23, 11, 11], "embargo": "One complete market omitted at each boundary", "train_rows": 5796, "test_rows": 2772, "test_positive_fill_rate": 0.5541125541125541}, "selection": {"fill_model": "gradient_boosting", "validation_brier": {"logistic": 0.2517452500006709, "gradient_boosting": 0.20819332935880944}, "best_fixed": [0.05, 1], "validation_fixed_pnl": {"(0.01, 1)": -19.158, "(0.01, 5)": -62.756, "(0.01, 20)": -112.96, "(0.03, 1)": -17.219000000000005, "(0.03, 5)": -53.614999999999995, "(0.03, 20)": -83.76, "(0.05, 1)": -14.833, "(0.05, 5)": -45.14500000000001, "(0.05, 20)": -65.38}}, "fill_models": {"logistic": {"brier": 0.25251212199219875, "log_loss": 0.698903394795319}, "gradient_boosting": {"brier": 0.22362575664318352, "log_loss": 0.6365240102880808}, "constant": {"brier": 0.24727510727038138}, "quantity_fraction_mae": 0.45380638637869725, "adverse_brier_on_replay_filled": 0.2938894774394228}, "fair_value_brier": {"fair": 0.17973396925973473, "unadjusted_fair": 0.41301519147098253, "constant_training_rate": 0.23663859769719883}, "scenarios": {"strict": {"fixed_3c_size5": {"net_pnl": -22.695000000000004, "market_count": 11, "filled_contracts": 665.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 40.260000000000005, "day_block_bootstrap_total_95pct": [-58.42000000000001, 13.029999999999998], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "validation_best_fixed": {"net_pnl": -4.444000000000002, "market_count": 11, "filled_contracts": 146.0, "max_abs_inventory": 11.0, "settled_market_drawdown": 11.715, "day_block_bootstrap_total_95pct": [-19.03, 10.141999999999998], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "learned_value": {"net_pnl": -24.64000000000001, "market_count": 11, "filled_contracts": 960.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 37.540000000000006, "day_block_bootstrap_total_95pct": [-62.400000000000006, 13.119999999999987], "bootstrap_days": 2, "abstentions": 79, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "frozen_LinUCB": {"net_pnl": -82.353, "market_count": 11, "filled_contracts": 913.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 82.353, "day_block_bootstrap_total_95pct": [-130.818, -33.888000000000005], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "hindsight_best_fixed_per_market": {"net_pnl": 22.854999999999993, "market_count": 11, "filled_contracts": 387.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 10.543, "day_block_bootstrap_total_95pct": [1.0140000000000025, 44.695999999999984], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}}, "touch": {"fixed_3c_size5": {"net_pnl": -19.33000000000001, "market_count": 11, "filled_contracts": 705.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 35.36, "day_block_bootstrap_total_95pct": [-54.580000000000005, 15.919999999999991], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "validation_best_fixed": {"net_pnl": -4.7379999999999995, "market_count": 11, "filled_contracts": 158.0, "max_abs_inventory": 12.0, "settled_market_drawdown": 11.198999999999998, "day_block_bootstrap_total_95pct": [-19.119999999999997, 9.644], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "learned_value": {"net_pnl": -26.479999999999997, "market_count": 11, "filled_contracts": 1040.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 39.379999999999995, "day_block_bootstrap_total_95pct": [-62.44, 9.48], "bootstrap_days": 2, "abstentions": 78, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "frozen_LinUCB": {"net_pnl": -77.29800000000002, "market_count": 11, "filled_contracts": 1010.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 77.298, "day_block_bootstrap_total_95pct": [-120.84, -33.756], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "hindsight_best_fixed_per_market": {"net_pnl": 19.169, "market_count": 11, "filled_contracts": 407.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 10.211000000000002, "day_block_bootstrap_total_95pct": [-4.171999999999995, 42.51], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}}, "queue100": {"fixed_3c_size5": {"net_pnl": -25.420000000000005, "market_count": 11, "filled_contracts": 660.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 42.985, "day_block_bootstrap_total_95pct": [-63.870000000000005, 13.029999999999998], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "validation_best_fixed": {"net_pnl": -5.243000000000002, "market_count": 11, "filled_contracts": 144.0, "max_abs_inventory": 11.0, "settled_market_drawdown": 12.514000000000001, "day_block_bootstrap_total_95pct": [-20.628000000000004, 10.141999999999998], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "learned_value": {"net_pnl": -25.040000000000006, "market_count": 11, "filled_contracts": 920.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 37.94000000000001, "day_block_bootstrap_total_95pct": [-63.2, 13.119999999999992], "bootstrap_days": 2, "abstentions": 79, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "frozen_LinUCB": {"net_pnl": -82.353, "market_count": 11, "filled_contracts": 913.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 82.353, "day_block_bootstrap_total_95pct": [-130.81799999999998, -33.88799999999999], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "hindsight_best_fixed_per_market": {"net_pnl": 22.546, "market_count": 11, "filled_contracts": 389.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 10.851999999999997, "day_block_bootstrap_total_95pct": [0.396000000000003, 44.696], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}}, "latency1s": {"fixed_3c_size5": {"net_pnl": -21.535000000000004, "market_count": 11, "filled_contracts": 655.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 40.260000000000005, "day_block_bootstrap_total_95pct": [-58.42, 15.350000000000001], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "validation_best_fixed": {"net_pnl": -4.444000000000001, "market_count": 11, "filled_contracts": 146.0, "max_abs_inventory": 11.0, "settled_market_drawdown": 11.715, "day_block_bootstrap_total_95pct": [-19.03, 10.142], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "learned_value": {"net_pnl": -24.640000000000015, "market_count": 11, "filled_contracts": 960.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 37.540000000000006, "day_block_bootstrap_total_95pct": [-62.40000000000001, 13.119999999999983], "bootstrap_days": 2, "abstentions": 79, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "frozen_LinUCB": {"net_pnl": -82.353, "market_count": 11, "filled_contracts": 913.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 82.353, "day_block_bootstrap_total_95pct": [-130.81799999999998, -33.888000000000005], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "hindsight_best_fixed_per_market": {"net_pnl": 22.455000000000002, "market_count": 11, "filled_contracts": 377.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 10.543, "day_block_bootstrap_total_95pct": [1.0140000000000025, 43.896], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}}, "maker_fee_stress": {"fixed_3c_size5": {"net_pnl": -24.956700000000005, "market_count": 11, "filled_contracts": 665.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 40.9966, "day_block_bootstrap_total_95pct": [-60.4602, 10.54679999999999], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "validation_best_fixed": {"net_pnl": -4.932200000000001, "market_count": 11, "filled_contracts": 146.0, "max_abs_inventory": 11.0, "settled_market_drawdown": 11.898800000000001, "day_block_bootstrap_total_95pct": [-19.501, 9.6366], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "learned_value": {"net_pnl": -28.240900000000018, "market_count": 11, "filled_contracts": 960.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 39.80710000000001, "day_block_bootstrap_total_95pct": [-65.13280000000002, 8.650999999999977], "bootstrap_days": 2, "abstentions": 79, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "frozen_LinUCB": {"net_pnl": -85.4177, "market_count": 11, "filled_contracts": 913.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 85.4177, "day_block_bootstrap_total_95pct": [-133.13739999999999, -37.69800000000001], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}, "hindsight_best_fixed_per_market": {"net_pnl": 21.522000000000002, "market_count": 11, "filled_contracts": 387.0, "max_abs_inventory": 20.0, "settled_market_drawdown": 10.7466, "day_block_bootstrap_total_95pct": [0.03980000000000272, 43.0042], "bootstrap_days": 2, "abstentions": 0, "capital_normalization": "No Sharpe: collateral/capital return series not established"}}}, "failure_slices": {"near_expiry": {"states": 22, "fair_brier": 0.07778730818048889}, "deep_ITM_OTM": {"states": 39, "fair_brier": 0.0034552253634307227}, "fast_move": {"states": 5, "fair_brier": 0.0892280438097595}}, "local_compute_ms": {"median": 2.059291990008205, "p95": 2.835846168454737, "n": 300}, "limitations": ["Hypothetical own fills inferred from actual trades; no own order logs or historical queue.", "Opening strike anchors Binance to BRTI; no contemporaneous BRTI series available. Terminal 60-second average is approximated by a spot digital, not exact settlement pricing.", "Only eight sampled days; test bootstrap has two day blocks and weak uncertainty resolution.", "Counterfactual orders assumed not to affect historical trades; partial fills capped by eligible volume.", "LinUCB rewards come from replay, not observed randomized trading. Frozen test policy.", "Maker base multiplier zero per July schedule/current quadratic series; historical per-account terms unverified; multiplier-one stress provided.", "No live orders, venue connectivity, real execution SLA, or live profitability established."], "policy_loss_slices": {"fixed_3c_size5": {"near_expiry": {"decision_count": 22, "settlement_attributed_pnl": -11.584999999999999}, "deep_ITM_OTM": {"decision_count": 39, "settlement_attributed_pnl": 3.855}, "fast_move": {"decision_count": 5, "settlement_attributed_pnl": -4.675000000000001}}, "validation_best_fixed": {"near_expiry": {"decision_count": 22, "settlement_attributed_pnl": -2.156}, "deep_ITM_OTM": {"decision_count": 39, "settlement_attributed_pnl": 0.4329999999999999}, "fast_move": {"decision_count": 5, "settlement_attributed_pnl": -0.97}}, "learned_value": {"near_expiry": {"decision_count": 6, "settlement_attributed_pnl": -0.1}, "deep_ITM_OTM": {"decision_count": 15, "settlement_attributed_pnl": 1.159999999999998}, "fast_move": {"decision_count": 5, "settlement_attributed_pnl": -9.399999999999999}}, "frozen_LinUCB": {"near_expiry": {"decision_count": 22, "settlement_attributed_pnl": -0.6909999999999997}, "deep_ITM_OTM": {"decision_count": 39, "settlement_attributed_pnl": 5.195000000000001}, "fast_move": {"decision_count": 5, "settlement_attributed_pnl": -10.6}}}, "freeze_note": "First held-out results retained. Post-evaluation changes add documentation and diagnostic loss breakdowns; no policy tuning.", "aws_measurements": {"successful_quote_roundtrip_median_ms": 798.4549999999999, "successful_quote_compute_median_ms": 4.899, "initial_health_lambda_report": {"duration_ms": 2.86, "init_ms": 100.97, "max_memory_mb": 38}, "private_quote_runtime": {"duration_ms": 27.8, "compute_ms": 25.024, "max_memory_mb": 38}, "scope": "Eight HTTPS requests from MacBook; includes network, not exchange execution", "provisioned_concurrency": false, "ECS_deployed": false}}