Microstructure/docs/M8_MULTIDATE_TRADE_PROTOCOL.md

M8 prospective multi-date aggregate-trade protocol

Freeze and scope

This protocol is outcome-blind: it is frozen before inspecting any declared date's price, quantity, aggressor side, class balance, feature, label, model, or economic result. During a parallel feasibility audit before the first protocol commit, the official Jan 3–5 archive availability, checksums, byte/row counts, aggregate-trade-ID boundaries, and timestamp boundaries were inspected. A stop-message race then allowed the same coverage-only checks for Jan 6 after the outcome-blind freeze; no economic field or result was read. These coverage-only facts were not supplied when the dates were chosen, and the mechanically selected calendar below was not changed after they became known. The previously inspected 2024-01-02 sample is protocol-development evidence only and is excluded from every fit, threshold, validation score, and test result below.

The study is a prospective stability test of the trade-only hypothesis. It is not an order-book, execution, profitability, or capacity study. Even a favorable result cannot answer the repository's book-dependent or trading-cost questions; those require separately frozen, contemporaneous, continuous L2 evidence.

The machine-readable specification is configs/m8_multidate_trade_study.toml. Its exact bytes, Git commit, and SHA-256 must be copied into the final study bundle. Changing a date, role, feature, model, endpoint, or interpretation rule creates a new protocol version and may not overwrite this study.

Protocol-boundary clarification

The acquisition/locking rules below are an operational hardening of the existing outcome-blind protocol, not an outcome-driven amendment. They change no date, role, feature, label, candidate, hypothesis, estimand, or interpretation rule. No declared economic outcome was opened to motivate this clarification: in particular, no declared price, quantity, buyer-maker value, class balance, feature, label, fit, score, or test result has been inspected. The historical coverage-only disclosure above remains the complete exception. An implementation that cannot enforce the hardened boundary does not execute this protocol.

Data calendar and completeness

Use the complete Binance Spot daily aggregate-trade archive for both BTCUSDT and ETHUSDT on each UTC date:

UTC date	Frozen role	Permitted use
2024-01-03	Train	Feature construction, fitting, train-only thresholds
2024-01-04	Validation	Candidate selection only
2024-01-05	Primary test	Open once after the selected specification is locked
2024-01-06	Replication test	Open with the same locked specification; no refit

The dates were chosen mechanically as the four adjacent dates immediately after the inspected 2024-01-02 development sample, not because of observed economic outcomes. Pre-freeze coverage-only inspection does not authorize any calendar change. Do not replace a quiet, volatile, missing, inconvenient, or unfavorable date.

All eight symbol/date archives must be present, checksum-verified, and complete for [00:00:00Z, 24:00:00Z). A missing archive, truncated response, failed checksum, row cap, noncontiguous aggregate-trade ID inside a symbol/date, or data quality error makes the study INSUFFICIENT_DATA. Such a failure is reported; it is not repaired by choosing another date. Raw archives remain immutable and uncommitted. Normalized data is partitioned by venue, symbol, and UTC date.

Acquisition of all eight archives is raw-only. It may verify the exact official CHECKSUM response, response lengths and hashes, and bounded ZIP end-of-central-directory/central-directory metadata for exactly one expected-name member and its declared sizes. It must not open, extract, or read the CSV member; stream decompressed member bytes; parse even its header; expose an economic field; or derive row, ID, timestamp, or class-balance coverage. Those operations constitute economic-data opening and belong to the staged normalization boundary below. Public exchangeInfo may be parsed only for the declared symbol's status and exact tick/lot filters, with its exact response and response sidecar preserved.

Archive transfer and later CSV normalization must both be streaming and byte-bounded. The byte ceilings in the machine-readable protocol are hard safety limits, not sampling rules:

• max_archive_compressed_bytes bounds each archive ZIP response body while it is transferred; an asserted Content-Length does not replace streamed byte accounting.
• max_archive_uncompressed_bytes bounds both the central-directory-declared size and the actual expanded bytes of each sole CSV member. The limit is rechecked while the member is normalized.
• max_total_download_bytes bounds the total immutable raw-evidence bytes accepted for this study. The total includes every retained ZIP body, official CHECKSUM body, raw-response sidecar, exchangeInfo metadata body and sidecar, and every retained rejected-response prefix and its rejection sidecar. A failed attempt or retry does not reset this total. A content-addressed file is counted once if it is physically retained once; distinct retained copies are counted separately. Derived normalized files, quality reports, and aggregate manifest/checksum indexes are not raw-response evidence and do not enter this ceiling.

The smaller CHECKSUM, metadata, and rejected-prefix responses also have fixed per-response bounds in the adapter and remain subject to the hard total above. Before accepting another raw artifact, the acquisition layer must reserve and account for its bounded body and sidecar; no published raw acquisition manifest may exceed the total. Crossing any per-response, expanded, or total limit fails closed before a research result is produced. Every accepted and rejected raw artifact is immutable, byte-counted, hashed, and enumerated by the raw acquisition manifest.

Prospective materialization and lock boundary

The study executes in the following one-way order:

1. Acquire and authenticate all eight raw ZIPs, all eight official CHECKSUM responses, and the exact symbol-metadata responses. Publish the immutable raw acquisition manifest without opening any CSV member.
2. Open, stream-normalize, and quality-check only the train and validation CSV members. Publish an immutable development normalized manifest that binds every normalized part, sidecar, quality artifact, and its raw source.
3. Select and refit using only those development rows. Persist one lock per symbol, then an aggregate lock that commits the exact bytes and SHA-256 of both symbol locks. Each symbol lock commits its selected specification, development-frame identity, and deterministic final-fit policy; the aggregate lock also commits the frozen protocol/config, raw acquisition manifest, development normalized manifest, and clean real Git revision. Close and fsync every lock and digest file and fsync its containing directory. The aggregate lock is not durable until all child locks and their directories are durable.
4. Immediately before the first decompressed CSV byte of every primary or replication archive is read, re-read and re-hash the exact durable aggregate lock and all identities it commits. Only then may that member be stream-normalized and quality-checked. Both untouched dates use the same locked fit and transformation state; there is no reselection, refit, recalibration, threshold change, feature change, or model update after the lock, including between primary and replication.
5. On success, publish a final normalized manifest covering all eight declared symbol/dates. Only that final manifest may authorize endpoint evaluation and final-bundle publication.

For this boundary, "opened" means the first decompressed byte of a CSV member, not a later Parquet scan. Inspecting ZIP directory metadata is not opening the member. Merely writing a lock path is not persistence: exact bytes, hashes, file descriptors, and containing directories must meet the durability rule above before a held-out member-open callback can succeed.

Timing and continuity

Each symbol/date is a separate continuity segment. Features reset at its first trade, labels are censored at its final trade, and neither lookbacks nor labels cross midnight or a sequence gap. Exchange event time is only an availability proxy; aggregate-trade ID breaks tied timestamps. No local receipt-time claim is permitted.

At decision trade i, a feature may use i and earlier trades from the same verified segment. The target is one only when the price at i + 20 is greater than the decision price. The target trade ID and information-end timestamp are serialized. The longest 100-trade lookback and 20-trade label tail determine feature readiness and right censoring.

Frozen features, candidates, and selection

The feature set is fixed before acquisition:

• one-trade log return;
• signed quantity, absolute quantity, and signed-volume imbalance over 5, 20, and 100 trades;
• trade count and event-time intensity over 50 trades;
• realized trade-price volatility over 100 trades.

Evaluate, separately for each symbol, the historical-prior classifier, unpenalized logistic regression, L2 logistic regression with C in {0.1, 1, 10}, and shallow decision trees with depth in {2, 4, 6} and minimum leaf size 40. Median imputation, standardization where applicable, and sigmoid calibration are learned only from chronologically earlier rows.

The 2024-01-03 fit predicts 2024-01-04. Mean validation log loss selects one candidate per symbol; stable candidate order is the tie breaker. After selection, the selected candidate is refit once on 2024-01-03 plus 2024-01-04 using the same chronological calibration rule. The selected specification and its hash are written to an analysis lock before either test date is evaluated. The same locked fit predicts both test dates; there is no update between primary and replication tests. All candidate validation rows and all locked-model test rows are published.

Hypotheses and estimands

For each symbol:

• H0: the validation-selected model does not reduce held-out log loss versus the historical-prior classifier on the untouched dates.
• H1: the validation-selected model reduces held-out log loss versus the prior on both the primary and replication dates.

The primary estimands are selected-model minus prior log loss for each symbol/date and the equal-date-weighted mean across the two test dates for each symbol. Negative values favor the selected model. A result is directionally_replicated only when both date-level point differences are negative. Otherwise it is mixed, failed, or insufficient_data according to the serialized observations. This status is descriptive and is not a significance decision.

Uncertainty uses paired, contiguous 40-trade blocks, resetting at every UTC date. The same resampled blocks are used for selected and prior predictions. Report 2,000 seeded percentile draws for each date and an equal-date-weighted paired draw for each symbol. Every interval must contain observations from the two nonoverlapping test dates before the aggregate is emitted.

No p-values are computed and no H0 rejection or statistical-significance claim is authorized. The two symbol hypotheses are not pooled. Candidate, feature, date, and regime diagnostics beyond the endpoints above are secondary and are reported without selective omission.

Stability and failed-result reporting

The run must publish, by symbol and date:

• row counts, UTC bounds, class balance, and all exclusions/censoring;
• prior and selected-model proper scores and paired loss differences;
• feature distribution stability using bins fitted on the training date only;
• validation, primary-test, and replication-test direction consistency;
• every declared model candidate's validation score;
• explicit supported, mixed, failed, or insufficient_data status.

No date or instrument may disappear because its result is unfavorable. Any aggregate row must be accompanied by its component date rows.

If primary or replication normalization, completeness validation, or data quality fails after the aggregate lock is durable, the run stops at the first deterministic failure and publishes immutable INSUFFICIENT_DATA terminal evidence. That evidence binds the same protocol/config, clean Git revision, raw acquisition manifest, development normalized manifest, per-symbol locks, and aggregate lock; it records the failing symbol/date/role, typed reason, retained partial evidence hashes, and which later members remained unopened. It contains no endpoint result. Its checksum manifest and terminal marker are written last, and publication uses a new atomic target followed by directory durability.

The same run identity may only verify and reuse that terminal evidence. It may not overwrite or delete it, reopen candidate selection, substitute an input, replace a date, relax quality, or continue with a partial aggregate. A source fix has a different clean Git revision and therefore a different run identity; it still cannot erase the original failed evidence. A failure before locking is also reported as INSUFFICIENT_DATA, but it cannot create a test-evaluation bundle or claim that held-out data was opened under a lock.

Explicit exclusions and promotion boundary

Aggregate trades contain no contemporaneous bid/ask, depth, cancellation, queue, or local receipt clock. Therefore this study must serialize execution, fills, P&L, fees-to-alpha conversion, and capacity as NOT_RUN. It cannot promote a book, fill, latency, execution, or profitability claim.

FULL_DATA means only that every byte of every predeclared daily trade archive was verified and included for this narrowly defined trade-only study. It does not mean full market observability, external validity, or deployable evidence. The overall M8 milestone remains incomplete until a separately frozen protocol has at least two nonoverlapping, continuous, contemporaneous L2 capture periods per reported interval and connects their gap-safe book states to causal research and execution artifacts.

Required immutable outputs

The atomic final bundle must contain the frozen protocol and machine spec, per-symbol and aggregate analysis locks, raw acquisition manifest, development and final normalized manifests, exact official CHECKSUM responses and sidecars, exact exchange metadata responses and sidecars, per-date quality summary, research/evaluation frames, predictions, candidate comparison, paired hypothesis artifact, feature stability, generated report/memo/table, resolved configuration, and a clean real Git revision/source-tree identity. The final manifest binds all of those exact bytes and hashes. The checksum manifest and _SUCCESS are written last only after atomic publication and directory durability. Corruption, input relocation without matching bytes, a dirty, unborn, synthetic, or different source identity, or any incomplete date must fail verification and reuse.