Microstructure/docs/M8_L2_PROTOCOL.md

M8 prospective live-L2 protocol — replacement campaign v2

Scope and frozen calendar

This replacement protocol was fixed before any v2 live session occurred. Both symbols must be captured concurrently from Binance Spot diff-depth at the requested 100 ms stream interval:

UTC session	Role
2026-08-10 14:00–15:00	Train
2026-08-11 14:00–15:00	Validation
2026-08-12 14:00–15:00	Primary test
2026-08-13 14:00–15:00	Replication test

The dates are the four consecutive UTC dates beginning after the v2 reset on 2026-08-09, and the common hour was chosen before observing those sessions. Missing, quiet, volatile, disconnected, corrupt, or unfavorable sessions are never replaced. They produce an explicit INSUFFICIENT_DATA status. The superseded Aug 8–11 campaign and its evidence remain immutable and are not inputs to this study. The exact config bytes in configs/m8_l2_capture_study.toml, this protocol, their hashes, and the freeze Git commit must enter every resulting bundle.

This is a research-only public market-data capture. It authenticates to no account and has no order-entry path.

Capture and continuity acceptance

Each symbol receives its own snapshot and diff-depth stream, started as close to the common boundary as the public network allows. Raw websocket bytes must be journaled before UTF-8/JSON parsing. Every continuity epoch begins from a fresh REST snapshot and may use only buffered deltas satisfying Binance U/u bridging. Gaps, malformed ranges, crossed books, or scale mismatches terminate that epoch; they are recorded rather than repaired.

A session is usable only when both symbols satisfy all of the following:

• capture-specific completion status is COMPLETE and reconstruction ends LIVE;
• requested duration is 3,600 seconds and overlapping receipt-time coverage is at least 3,300 seconds;
• at least one valid continuity epoch spans 1,800 seconds;
• sequence gaps and quality errors/warnings are all zero;
• no raw frame exceeds 1 MiB and no Arrow batch estimate exceeds 16 MiB;
• message, normalized-row, reconstructed-row, and excluded-row reconciliation is exact;
• every epoch has a raw snapshot anchor and every raw/normalized/quality file is checksum-manifested.

The 60,000-message ceiling is a safety bound, not a stopping target. A duration-aware graceful stop must publish completion evidence; SIGINT/cancellation or hitting the message ceiling early is not a complete one-hour session.

Causal dataset

Continuity is never bridged across reconnects or gaps. At each decision book event, features may use only locally received snapshot/delta state available at or before that event. Frozen features are absolute/relative spread, L1/L5/L10 depth, OFI, L1/L5/L10 queue imbalance, microprice displacement, observable zero-quantity cancellation intensity, short realized volatility, and regimes whose thresholds are fit on the training session only.

Labels begin strictly after the decision event and are censored at continuity boundaries. Report future mid-price direction/return and signed price impact at 20/100-event and 1/5-second horizons. Limit-fill and adverse-selection labels are not authorized without contemporaneous trade prints that prove depletion; this book-only protocol does not infer them from cancellation alone.

Evaluation and hypotheses

Per symbol, train on Aug 10, select the fixed prior/logistic/L2/tree ladder by Aug 11 log loss, lock the specification, then evaluate it without refit on Aug 12 and Aug 13. Probability calibration and regime thresholds use development data only. All declared horizons and model comparison rows are published; no final period is used for selection.

The primary book hypothesis is that observable OFI, imbalance, microprice, and liquidity state reduce future-mid-direction log loss relative to a historical prior on both untouched sessions. Report paired dependency-block differences by symbol, session, horizon, and train-defined regime, plus equal-session-weighted stability. A result is directionally replicated only if both untouched sessions favor the selected model. No p-value, H0 rejection, cross-symbol pooled alpha, or significance claim is authorized.

Execution boundary

Only scenario-based market-order evaluation is permitted: recorded best quotes, frozen taker fee, decision/order latency grids, inventory bounds, and end-of-run liquidation. It may show whether a predictive markout survives those serialized assumptions, but it is not realized execution. Limit fills, true queue priority, hidden liquidity, endogenous impact, and deployable capacity remain unsupported. Every report must keep predictive scores, simulated execution assumptions, and scenario P&L separate and must state that profitability is not established.

Immutable outputs

The study requires capture-specific raw journals and snapshots, capture and normalized manifests, DQ/exclusion summaries, causal frames, analysis lock, frozen predictions/comparisons, regime/stability diagnostics, scenario execution ledgers, generated reports, config/protocol/input/Git provenance, checksums, and _SUCCESS written last. A missing session or failed gate may produce a failure bundle, but never a promoted result bundle.