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 this memo is superseded by the v2 Aug 10–13 protocol recorded in the README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.

<div style="page-break-after: always;"></div>

## 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.