Microstructure/reports/executive_memo.md

Investment committee research memo

STATUS: SOURCE-CONTROLLED GOVERNANCE MEMO — RUN-SPECIFIC MEMOS ARE GENERATED BY CODE

Historical calendar note (2026-08-23): Any Aug 8–11 live-L2 schedule in this memo is superseded by the v2 Aug 10–13 protocol recorded in the README and docs/M8_L2_ANALYSIS_CONTRACT.md. It is retained as research history, not current campaign authority.

Page 1 — Decision and current evidence

Recommendation: Continue research construction only. Authorize no capital allocation, live trading, or connection to an account capable of placing orders.

Decision requested. The proposed research asks whether order-flow imbalance and liquidity state forecast short-horizon price movements and, separately, whether any measured effect can survive realistic implementation frictions. The decision today is not whether to trade a strategy. It is whether the research design is sufficiently falsifiable, reproducible, and execution-aware to finish the frozen four-session live-L2 campaign without changing its specification.

Current evidence. The completed synthetic vertical slice supports a software reproducibility claim only. The bounded public acquisition supports a data- pipeline observation plus exploratory per-symbol diagnostics only: both symbol ranges reached their declared row cap, and execution was NOT_RUN. The complete- archive trade study reached a valid INSUFFICIENT_DATA terminal when ETHUSDT training normalization produced 53 warnings against a zero-warning gate. Selection never started and neither held-out date was opened. This is a supported data-insufficiency conclusion, not an economic-model result. There is no supported simulated return, capacity, profitability, or statistical-significance claim. This source document therefore contains no substituted performance figures; run-specific memos are rendered from frozen artifacts.

Required analytical separation. The work will preserve three distinct layers. First, predictive quality asks whether features observable at decision time forecast strictly future labels on time-ordered held-out data. Second, economic stability asks whether the relationship persists across horizons, instruments, and liquidity or volatility regimes. Third, execution research applies fees, spread, decision and order latency, uncertain or partial fills, adverse selection, inventory constraints, liquidation, turnover, and size sensitivity. Success in one layer does not establish success in another.

Evidence standard. Model selection must use training and validation periods, with purging and embargo where labels overlap. Final test results remain untouched until specifications are fixed. Reports must identify every tested model or sensitivity relevant to interpretation, include uncertainty, and avoid presenting an isolated favorable specification. Every published number must trace to a checksum-verified bundle containing actual UTC coverage, configuration and input hashes, code state, and evidence tier.

Page 2 — Risks, kill criteria, and next evidence

Principal risks. Exchange timestamps may not represent local observability. Public trade data may be adequate for signed-flow research but cannot reveal true queue position, hidden liquidity, or cancellation priority. Snapshot and delta gaps can corrupt reconstructed books. A short or selected interval can confound signal with regime. Repeated features, horizons, and thresholds create multiple-testing risk. Fee, latency, fill, and liquidation assumptions can dominate simulated results. Venue-specific cryptocurrency behavior may not generalize to institutional instruments or other matching engines.

Controls. Preserve raw events; emit validation findings without silent repair; make ordering and label boundaries explicit; persist fold definitions; compare against simple baselines; calibrate probabilities; report bootstrap intervals; and show results by regime and instrument. Execution assumptions must be configuration-controlled and shown alongside gross-to-net attribution. The dashboard must read frozen, bounded artifacts and cannot trigger trading or recompute a preferred result. The four L2 sessions must share one clean campaign, runtime/import fingerprint, and canonical storage-root identity. Every development/final command consumes explicit path plus manifest/checksum/lock authorities. Reports are re-rendered outside the immutable run only after recursive verification.

Kill criteria. Do not escalate the research if a result depends on future information, fails sequence or checksum validation, disappears on the untouched test period, reverses across instruments or adjacent periods without an economic explanation, requires implausibly favorable latency or fills, or fails to remain competitive with the declared baseline after recorded costs. A high predictive score without calibration or executable economics is also insufficient.

Next evidence requested. Preserve the trade insufficiency terminal without a replacement date or relaxed quality rule. Use the completed frozen BTCUSDT/ETHUSDT live-L2 software path to collect only the declared Aug 8--11 UTC sessions under one clean campaign identity. Publish every session gate and quality exception; lock Aug 8/9 model, regime, calibration, and execution- reference state before either Aug 10/11 frame is opened; then publish all predeclared horizons, dependency-block uncertainty, equal-session stability, market-only sensitivity scenarios, failed hypotheses, and remaining limitations—or publish INSUFFICIENT_DATA if a declared gate fails. At this pre-capture source freeze, no L2 data or metric had been promoted; the tracked memo remains unchanged during the campaign. Only after those checks should the committee consider broader research. Live deployment remains outside scope regardless of the outcome.