Microstructure/STATUS.md

Status

Last updated: 2026-08-09 UTC

Replacement-campaign source-freeze snapshot. This tracked file records the state before the v2 four-date L2 campaign. It must not be edited between the first Aug 10 capture and the Aug 13 terminal. During that interval, current status is authoritative only in data/m8_l2/campaign_authority.json and the immutable per-session bundles; after the campaign, generated final-run provenance is the authority for results.

Current evidence

The portfolio-quality software vertical slice is complete. Its model and execution output is labeled SYNTHETIC_SMOKE and supports only a software reproducibility claim.

A credential-free PUBLIC_SAMPLE_PARTIAL ingestion and a frozen trade-only research protocol were also completed for the fixed 2024-01-02 UTC configuration: 5,000 aggregate trades each for BTCUSDT and ETHUSDT. Both symbol ranges reached the configured cap and are explicitly incomplete. The normalized 10,000 rows produced zero current validation errors and warnings. This supports a bounded data-pipeline observation only—not a market signal, statistical-significance, profitability, or capacity claim. The public producer uses per-symbol purged folds and paired model-minus-prior uncertainty; execution and P&L are explicitly NOT_RUN because no contemporaneous book is present.

The frozen trade-only M8 study has reached its canonical terminal state. The raw-only authority binds two exchange-metadata responses, eight official ZIP/CHECKSUM pairs, and 36 retained artifacts totaling 117,897,562 bytes; every acquisition entry records csv_member_opened=false and economic_fields_inspected=false. The corrected clean-source producer at commit 88060613abe211cd8e80a3499678fca830f8ba2d published the checksummed artifacts/runs/binance-m8-multidate bundle with status INSUFFICIENT_DATA. BTCUSDT training normalization completed with 2,071,461 rows, zero errors, and zero warnings. ETHUSDT training normalization completed with 987,297 rows, zero errors, and 53 warnings, triggering the predeclared quality gate. Selection never started; no development lock or prediction was published; no validation or held-out archive member was opened; execution and P&L are NOT_RUN. No date or policy was replaced. Its report command revalidates the terminal/raw authority and writes a fresh external report without modifying the canonical bundle.

The live-L2 campaign remains the active evidence milestone. The superseded v1 campaign is preserved, not repaired: Aug 8 is MISSED_WINDOW, Aug 9 is a verified complete session, and its development authority is NOT_CREATED. Before observing any v2 session, the user reset the active prospective calendar to Aug 10 train, Aug 11 validation, Aug 12 primary test, and Aug 13 replication test. V1 evidence is not an input to v2. The v2 capture config, protocol, and analysis authority are separately hash-bound. The campaign-authority mechanism requires all four dates to share one outcome-blind nonce, canonical output-root filesystem identity, clean commit/source/import origin, and hashed Python/platform/production-dependency fingerprint. Strict capture and session verification, verified lazy inputs, observed-interval endpoint frames, Aug 10/11 LOCKED | NOT_CREATED development authority, no-refit Aug 12/13 evaluation, dependency-aware diagnostics, market-only scenarios, descriptive analyses, and artifact-driven L2 reporting are integrated in a tested end-to-end producer and CLI/Make path. Development and final production have explicit 8 GiB and 12 GiB fail-closed live-memory envelopes respectively; crossing any admission or post-allocation bound is a system failure and cannot publish a research terminal. The atomic final bundle is either COMPLETE or INSUFFICIENT_DATA; it embeds exact config/protocol, campaign, session-control, and development authority snapshots, while its verifier also revalidates every external authority. Reports are regenerated only into an external directory, leaving the immutable run untouched. The software path was complete at this remaining-campaign source freeze; the real v2 session-control evidence was not. No v2 session bundle or L2 empirical metric existed when these tracked bytes were frozen.

Milestones

Milestone	Status	Evidence
M0 Repository contract	Complete	Required files, Python packaging, locked environment, typed configuration and provenance
M1 Event data foundation	Complete	Public/synthetic adapters, exact schemas, partitioned Parquet, immutable raw/normalized manifests
M2 Book and quality controls	Complete	Gap-safe snapshot/delta replay and non-mutating quality rules covered by tests
M3 Leakage-safe dataset	Complete	Causal features, future labels, censoring, continuity isolation, lineage audit
M4 Model evaluation	Complete	Purged walk-forward prior/unpenalized/L2/tree ladder with calibration and block bootstrap
M5 Execution research	Complete	OOS-only costs, two-stage latency, market/limit partial fills, queue proxy, inventory, liquidation and sensitivity
M6 Reproducible vertical slice	Complete	Atomic CLI producer, immutable checksum bundle, deterministic run key, idempotent verification
M7 Research communication	Complete	Code-generated report/memo/table, read-only six-tab dashboard, limitations and portfolio material
M8 Broader empirical study	In progress	Trade-only branch closed with a canonical INSUFFICIENT_DATA terminal; complete frozen L2 software path verified offline; four prospective local-L2 session terminals and the resulting empirical terminal remain required

Verification ledger

• 2026-08-08: the final L2 session, input, development-lock, total-producer, recursive-verifier, CLI/Make, and external-report paths passed their focused offline suites. A consolidated repository gate is run separately before source freeze; its volatile test count is not hardcoded in this market-evidence file.
• 2026-08-08: every path listed by the canonical trade M8 checksums.sha256 reverified. Its manifest/failure/provenance agree on INSUFFICIENT_DATA, the clean source identity above, zero selection, zero held-out access, and NOT_RUN execution.
• 2026-08-07: make lint passed across source, tests, and dashboard.
• 2026-08-08: the pre-L2 baseline make check passed Ruff, strict mypy across 40 package modules, all 574 offline tests on Python 3.12.13, and a fresh current-source synthetic bundle. ruff format --check also passed across all 92 Python files.
• 2026-08-07: make check passed Ruff, strict mypy, all tests, and a fresh current-source synthetic bundle produced in an isolated temporary target.
• 2026-08-07: adversarial M8 tests proved that raw acquisition opens no CSV member, unsafe ZIP metadata is rejected before the standard ZIP parser, both symbol locks precede the first held-out open, tampered/missing authorities expose zero held-out rows, and deterministic data failures publish no endpoint.
• 2026-08-08: raw-only M8 acquisition published and independently reverified data/m8/_manifests/m8-acquisition.manifest-04d5c01f3810b6a300ec.json (SHA-256 04d5c01f3810b6a300ec0f9317052f254b2bec5d89bc0dfefd18cd71ad6582e6). Verification opened no CSV member and found no extra, missing, symlinked, or unmanifested raw artifact.
• 2026-08-08: the frozen dual-symbol L2 session core and Binance adapter passed 82 joint tests. A real adapter-produced mock bundle exposed 19 artifacts that passed strict raw-journal, snapshot, Parquet footer/schema, quality, manifest, absolute-time, overlap, and 29-gate reconciliation.
• 2026-08-07: pipeline tests independently reproduced two semantically identical run bundles, verified their checksums, rejected corruption, and preserved an incomplete target without repair.
• 2026-08-07: make download-sample succeeded after network permission was granted; raw public responses and metadata were manifested and kept outside Git. validate-public-data passed 10,000 normalized rows with zero findings.
• 2026-08-07: clean-commit canonical synthetic and public bundles were produced, checksum-verified, and independently re-rendered into technical report, IC memo, and model table. Generated artifacts remain ignored rather than committed.

Empirical claim register

• Supported: the fixed, capped public REST sample can be acquired, normalized with exchange-provided scales, content-hashed, partitioned, and validated.
• Exploratory diagnostic: the public producer persists each symbol's selected model, paired held-out model-minus-prior loss, fixed-block interval and status in a checksum-protected artifact. Exact metrics are read by generated reports and are not manually duplicated in this status file; instruments are not pooled.
• Not supported: confirmatory order-flow predictability, statistical significance, effect half-life, cross-date/instrument stability, economic profitability, live fill probability, or deployable capacity. Execution is NOT_RUN for the public trade-only input.
• Inconclusive by design: the full-archive trade M8 hypothesis was not evaluated because ETHUSDT training data failed the frozen warning gate. The terminal is evidence of data insufficiency, not evidence that the hypothesis failed.
• Failed/unsupported hypothesis disclosure is generated per symbol for runs that reach evaluation. The single capped date cannot test persistence or book/liquidity hypotheses, and synthetic output cannot evaluate a market hypothesis.

Next evidence sequence

Retain the canonical trade-only INSUFFICIENT_DATA bundle and its source-tagged predecessor unchanged; do not relax the warning gate, replace a date, or rerun until a favorable outcome appears. Use the completed L2 producer and explicit authority interfaces with ignored targets artifacts/runs/binance-m8-l2-development-lock and artifacts/runs/binance-m8-live-l2 for the development authority and final run, respectively. Then capture the exact simultaneous Aug 10--13 BTCUSDT/ETHUSDT sessions under one new clean v2 campaign authority. After Aug 11, durably publish either the fitted LOCKED authority or the control-only NOT_CREATED authority before Aug 12. A valid NOT_CREATED result exits 1 but does not cancel the Aug 12/13 captures; the final producer uses all four control authorities without opening economic frames. After Aug 13, produce and recursively verify the immutable final bundle, render reports externally, measure peak RSS, and complete the clean-room/resource audit. A failed/missed date terminalizes the declared campaign rather than selecting a substitute. The frozen facts are in docs/M8_L2_ANALYSIS_CONTRACT.md; generated bundles remain the only authority for any eventual metrics.