# Decision log ## 2026-08-09 — Supersede the incomplete Aug 8–11 campaign with a new prospective v2 calendar - **Observed boundary:** The v1 Aug 8 session is an immutable `MISSED_WINDOW`, the Aug 9 validation session is immutable and complete, and the v1 development authority is `NOT_CREATED`. Those facts and files remain preserved. - **User decision:** Abandon v1 as the active empirical study and, before any of the new dates is observed, freeze Aug 10 train, Aug 11 validation, Aug 12 primary test, and Aug 13 replication test at 14:00–15:00 UTC. - **Integrity rule:** This is a new campaign/version and storage/source authority, not a replacement bundle inside v1. V1 observations are not used for v2 training, selection, evaluation, or reporting. Once Aug 10 begins, no v2 date, threshold, feature, model, or interpretation rule may be changed. - **Consequence:** A complete v2 train and validation may create the eight-state `LOCKED` development authority before Aug 12; otherwise v2 terminates through its existing `NOT_CREATED`/`INSUFFICIENT_DATA` branches without substitution. ## 2026-08-08 — Preserve the missed first L2 window as control evidence only - **Observed fact:** The declared Aug 8 14:00--15:00 UTC train window ended before a clean committed producer authority was available. No capture command ran, `data/m8_l2` remained absent, and no raw or economic field was opened. - **Decision:** Never backfill, replace, or infer that session. Once the release candidate has a clean source authority, invoke the already-tested late-start path solely to publish `INSUFFICIENT_DATA / MISSED_WINDOW`; it must not call a symbol capture adapter or network endpoint. Verify and retain that terminal, then continue Aug 9--11 on their declared windows under the same campaign authority. - **Consequence:** The four-date study cannot promote a fitted development lock, predictive metric, descriptive result, or execution scenario. Its honest final outcome is necessarily aggregate `INSUFFICIENT_DATA`, backed by one missed control terminal plus the remaining declared session authorities. ## 2026-08-08 — Make development insufficiency a positive authority - **Problem:** A valid `INSUFFICIENT_DATA` terminal on Aug 8 or Aug 9 forbids fitting, but a missing development lock cannot authorize the final four-date terminal and is indistinguishable from an interrupted workflow. - **Decision:** The Aug 9 command always atomically publishes exactly one development authority. `LOCKED` contains the eight fitted child states and uses `_LOCKED` bytes `locked\n`. `NOT_CREATED` contains only typed, recursively verified session-control reasons, uses `_NOT_CREATED` bytes `not-created\n`, and must not load any economic frame. Both statuses expose the same canonical authority path and SHA fields; a valid `NOT_CREATED` command or verification exits 1 rather than masquerading as a system error. - **Consequence:** Aug 10/11 are still captured on schedule. After Aug 11 the one final producer verifies all four session controls and the development authority. A `NOT_CREATED` branch publishes aggregate `INSUFFICIENT_DATA`, reports the union of development and held-out reasons, and contains no Parquet, model, prediction, descriptive, or execution artifact. ## 2026-08-08 — Complete the explicit-authority L2 terminal producer - **Decision:** Expose one operational path through `lock-m8-l2-development`, `verify-m8-l2-development-lock`, `reproduce-m8-l2`, `verify-m8-l2-run`, and `report-m8-l2`. Every stage takes explicit bundle paths and independently supplied manifest/checksum SHA-256 authorities; development and final verification additionally require the exact lock and run-control digests. No command discovers a "latest" input. - **Terminal semantics:** After both held-out bundles' base authorities are verified, any non-`COMPLETE` held-out session publishes aggregate `INSUFFICIENT_DATA` without opening either held-out economic frame. If all sessions are complete but an endpoint has no eligible held-out labels, the same typed terminal is published without predictive, descriptive, or execution promotion. Otherwise the producer restores the eight locked states without refit, writes all declared evaluation/descriptive/market-scenario artifacts, snapshots its external authorities, checksums the exact inventory, writes `_SUCCESS` last, and immediately performs recursive verification. The exact final marker bytes are `complete\n` for `_SUCCESS` and `terminal\n` for `INSUFFICIENT_DATA`. - **Reporting:** Both the canonical trade-M8 failure report and live-L2 reports are rendered only after verification into a directory outside the immutable run. The generated report-input snapshot is checksummed and re-rendered for equality; report commands state that the source bundle was not modified. ## 2026-08-08 — Bind one outcome-blind L2 campaign to its runtime and storage root - **Decision:** The first predeclared capture creates one random 256-bit, outcome-blind campaign nonce and binds all four sessions to one canonical output-root path plus its filesystem device/inode identity. Moving to a different root or replacing that directory is rejected before capture rather than treated as a continuation of the campaign. - **Runtime authority:** Bind the clean commit/source-tree identity, loaded package/module origin, Python/platform identity, and the exact versions of the eight production dependencies. Persist the canonical runtime payload and its SHA-256 and revalidate it throughout orchestration and later input/final-run verification. - **Reason:** A commit hash alone does not prove that all dates used the same interpreter, dependency environment, imported source tree, physical evidence root, or prospectively chosen campaign instance. ## 2026-08-08 — Accept the frozen trade-only M8 data-insufficiency terminal - **Observed evidence:** The corrected clean-source run at commit `88060613abe211cd8e80a3499678fca830f8ba2d` normalized 2,071,461 BTCUSDT training rows with no findings, then normalized 987,297 ETHUSDT training rows with zero errors and 53 `temporal.long_silence` warnings. That violated the predeclared zero-warning gate. - **Decision:** Treat `artifacts/runs/binance-m8-multidate` as the canonical `INSUFFICIENT_DATA` terminal. Preserve its complete failed-normalization evidence and the earlier noncanonical layout-defect terminal unchanged. Do not replace the date, relax the warning rule, or reinterpret insufficiency as a failed economic hypothesis. - **Boundary proved by the terminal:** Selection did not start; no analysis lock, fitted state, prediction, endpoint, held-out member, execution, P&L, capacity, or significance result was produced. The trade-only study is closed; live-L2 evidence remains a separate prospective campaign. ## 2026-08-08 — Freeze the complete live-L2 analysis contract before capture - **Authority:** The exact analysis TOML has source SHA-256 `71edf7eeb9d5e935a18b0d8e354dc29b5b1132ace8eccd577730572d2caa8617` and semantic SHA-256 `eeb9ac23ff275f26de57533a317d8165a89e99a14e86404a667cc69f6477bdac`. It binds capture-config SHA-256 `491b14727a3e8bad907d1ad64072f6ebc14e407f98a5c31fca7b0a9e6801e758` and capture-protocol SHA-256 `fe6d4aea5af3e9c529486b7e108afefeba623bf5ad3cc0743c0426a5e62e1fa7`. Every declared TOML field is rendered without amendment in `docs/M8_L2_ANALYSIS_CONTRACT.md` and enforced by a fail-closed loader. - **Development boundary:** Fit volatility regimes on Aug 8 only; select each of the two-symbol by four-endpoint candidates on Aug 9; persist final fitted model, prior, preprocessing, calibration, regimes, and execution reference in eight child locks plus one aggregate lock before either held-out session is exposed. - **Held-out and claims boundary:** Aug 10/11 restore locked state without fit, refit, recalibration, threshold change, or regime update. Evaluation uses the four declared horizons and 2,000-draw paired moving blocks. Execution is a market-order scenario only. Capacity, realized execution, and profitability claims remain forbidden irrespective of the result. ## 2026-08-08 — Keep raw authority separate from derived M8 failure evidence - **Discovery:** The first clean-source development attempt stopped at its frozen data-quality gate before selection, locks, or held-out access, but its terminal bundle could not be reused: normalized and quality artifacts had been written inside the directory that the raw-acquisition verifier correctly requires to be an exact raw-only authority. - **Decision:** Preserve the bundled raw authority unchanged below `data/input`; write normalized and DQ artifacts below `data/normalized_input`; root the final cross-stage manifest at `data`. `INSUFFICIENT_DATA` inventories must exactly match the physical regular-file tree and bind completed or failed normalization evidence. The producer runs the external reuse verifier before and after atomic publication. - **Evidence policy:** The original source-tagged attempt is retained rather than repaired or overwritten. It is not canonical research evidence, and its failure opened no declared held-out member. A fresh terminal requires a new clean committed source identity; the frozen dates and quality policy do not change. ## 2026-08-08 — Lock transparent final fitted state before held-out access - **Decision:** Fit and calibrate the validation-selected model and an independent historical prior once on train plus validation. Serialize canonical numeric preprocessing, estimator, calibration, feature-order, cutoff, and fallback state into each child lock; bind both state hashes into the aggregate lock. - **Held-out rule:** Primary and replication prediction restore those numeric states. No classifier/calibrator fit, refit, recalibration, or online update is permitted after the aggregate lock becomes durable. - **Reason:** A lock that committed only a future refit policy did not freeze the actual model used on untouched data. ## 2026-08-08 — Separate deterministic acquisition insufficiency from system faults - **Decision:** Declared-object absence and authenticated metadata/CHECKSUM/ZIP, response-size, or total-evidence-budget violations produce a typed immutable raw-only `INSUFFICIENT_DATA` authority. Transient-network exhaustion, permission/local-I/O errors, collisions, and program faults do not terminalize. - **Reason:** Deterministic missing/invalid declared evidence consumes the frozen study, while an operational failure must remain safely retryable and cannot be recorded as an empirical outcome. ## 2026-08-08 — Define prospective L2 coverage by observed book-state intervals - **Decision:** A frozen session counts only consecutive receipt-time intervals backed by `OBSERVED` reconstructed states within one continuity epoch. Stale, excluded, gapped, invalid, and silent intervals are not bridged. Cross-symbol coverage is the intersection of each symbol's interval union. - **Publication:** Both symbols share one absolute UTC barrier and one atomic terminal authority. Failed data/gates publish `INSUFFICIENT_DATA`; system faults preserve nonterminal raw evidence. No failed date is replaced. - **Reason:** Raw first/last websocket timestamps can hide reconnects and silent holes and therefore cannot prove usable simultaneous book coverage. ## 2026-08-07 — Enforce raw-only acquisition and lock-before-open execution - **Decision:** Split M8 into an immutable raw authority and a one-way research producer. Acquisition authenticates exchange metadata, eight ZIPs, eight official CHECKSUM responses, and bounded ZIP directory metadata, but cannot open a CSV member. The producer normalizes only train/validation, persists two symbol locks and an aggregate lock, then revalidates every committed identity immediately before each held-out member is opened. - **Reason:** Merely delaying a later Parquet scan would not preserve the prospective boundary if held-out economic rows had already been decompressed. The first decompressed member byte is therefore the enforced boundary. - **Failure policy:** Deterministic data insufficiency before or after locking is an immutable terminal result with no replacement date, endpoint prediction, execution result, or profitability/significance claim. Unexpected system failures publish no partial research target. - **Protocol effect:** This is operational hardening only. It changes no date, feature, candidate, endpoint, hypothesis, estimand, or interpretation rule. ## 2026-08-07 — Count every retained raw-evidence byte and physical copy - **Decision:** Use one reservation ledger for accepted responses, retry/error prefixes, CHECKSUM bodies, exchange metadata, and every source sidecar. Raw manifests enumerate the exact physical inventory. A self-contained run copy is a distinct retained copy and must fit under the same frozen total ceiling before its first byte is written. - **Reason:** Per-response limits alone do not bound accumulated retries, sidecars, or duplicated evidence on a 16 GB local machine. Post-hoc counting could leave an oversized partial publication. - **Consequence:** Raw response publication is fail-closed and rollback-safe; normalized Parquet and machine-generated manifest indexes remain outside the raw-response byte ceiling, as declared by the protocol. ## 2026-08-07 — Freeze future live-L2 sessions before observation - **Decision:** Reserve 14:00–15:00 UTC on 2026-08-08 through 2026-08-11 for concurrent BTCUSDT/ETHUSDT development, validation, primary-test, and replication-test captures. - **Acceptance:** Both symbols need at least 3,300 seconds of overlapping receipt-time coverage, a 1,800-second continuous valid epoch, zero sequence gaps, zero DQ findings, exact row reconciliation, and complete immutable capture evidence. - **Reason:** Fixed future sessions prevent outcome-based window choice and make disconnects or missing data visible failures rather than hidden replacements. - **Claim boundary:** The first protocol is book-only. It permits future-mid prediction and market-order scenarios, but not limit-fill, realized execution, capacity, significance, or profitability claims. ## 2026-08-07 — Record the Jan 6 coverage-metadata race - **Discovery:** Before a stop message reached the parallel feasibility audit, it completed the same official archive availability, checksum, byte/row count, aggregate-trade-ID boundary, and timestamp-boundary checks for Jan 6. It did not inspect or retain price, quantity, maker direction, class balance, features, labels, or model results. - **Correction:** Protocol 1.0.2 records coverage-only inspection for all four dates. The calendar, roles, hypotheses, model grid, and interpretation rules were already frozen and remain unchanged. - **Boundary:** This metadata helps verify feasibility and completeness only. It is not economic evidence and cannot justify changing or dropping a date. ## 2026-08-07 — Correct the M8 freeze claim to outcome-blind - **Discovery:** A parallel feasibility audit read official Jan 3–5 archive availability, checksum, byte/row count, aggregate-trade-ID boundary, and timestamp-boundary metadata before commit `a34ba13`. It did not inspect or retain economic fields, class balance, features, labels, or model results; Jan 6 was not inspected. - **Correction:** Protocol 1.0.1 describes the study as outcome-blind rather than claiming it was fully acquisition/inspection-blind. The calendar and all roles remain unchanged because they were selected mechanically before those metadata were reported. - **Constraint:** No economic field or model outcome from any declared date may be inspected until the ingestion, analysis lock, and final-test gates are implemented. Coverage-only facts cannot be used to replace a date. ## 2026-08-07 — Freeze the M8 multi-date trade calendar before acquisition - **Decision:** Reserve the complete 2024-01-03 and 2024-01-04 UTC Binance Spot daily aggregate-trade archives for training and validation, and reserve the adjacent 2024-01-05 and 2024-01-06 archives as primary and replication tests. Both BTCUSDT and ETHUSDT are mandatory. The inspected 2024-01-02 sample is excluded from all study estimates. - **Reason:** Adjacent dates chosen mechanically before acquisition provide an auditable barrier against outcome-based date selection. Full daily archives remove the current row-cap truncation while remaining feasible on local disk with streaming normalization. - **Evaluation:** Model selection uses validation log loss only. A locked model is then evaluated without refit on both untouched dates, using paired 40-trade-block loss differences and explicit direction-replication status. - **Claim boundary:** This is a complete-data trade-only study. Execution, book, fill, P&L, capacity, significance, and cross-instrument pooling remain unauthorized. M8 still requires separately frozen continuous real L2 evidence. - **Failure policy:** Missing, oversized, corrupt, noncontiguous, or otherwise invalid declared data produces `INSUFFICIENT_DATA`; dates are never replaced. Material choices are appended; prior entries are not rewritten to hide reversals. ## 2026-08-07 — Initialize the empty `Microstructure` directory - **Context:** The requested `microstructure` folder exists as `Microstructure` and contains no files or Git metadata. - **Decision:** Treat the capitalized directory as the target and initialize a clean Python research repository there. - **Consequence:** There is no existing user work to merge or preserve inside the target; all new paths are scoped to this directory. ## 2026-08-07 — Separate offline software evidence from market evidence - **Context:** A new user must reproduce a small run without a large download, while the project must not invent empirical findings. - **Decision:** Make the default smoke/reproduction data a deterministic, explicitly synthetic fixture generated from declared rules. Keep public Binance ingestion as a separate, credential-free command and never describe fixture metrics as empirical market results. - **Consequence:** The vertical slice can be tested offline. Economic conclusions remain deliberately unavailable until a manifested public-data run is made. ## 2026-08-07 — Use trade events for the initial research slice - **Context:** Historical trades are broadly public and compact; historical full depth is less consistently public. The objective explicitly permits trades or a small book sample for the first slice. - **Decision:** Build the first model dataset from signed trades and event-time liquidity proxies. Implement and test L2 snapshot/delta reconstruction as a separate adapter path, but do not pretend trade-only data identify queue fills. - **Consequence:** Initial fill probability and queue position are declared assumptions. Later L2 runs can replace them through the same interfaces. ## 2026-08-07 — Prefer integer event ordering plus UTC nanoseconds - **Context:** Exchange timestamps may tie and floating timestamps can obscure exact temporal order. - **Decision:** Normalize `event_id`, `sequence`, `event_ts_ns`, and `received_ts_ns`. Stable event ordering is `(event_ts_ns, sequence, event_id)`; receipt time is retained for latency realism. - **Consequence:** Features and labels can state observable cutoffs explicitly; downstream modules must not reorder tied events arbitrarily. ## 2026-08-07 — Make validation non-mutating - **Context:** Silent repair can erase evidence of feed or clock problems. - **Decision:** Validators emit typed findings and summaries but never mutate raw or normalized observations. Any later filtering writes a new derived dataset and records exclusion counts. - **Consequence:** A run can fail on fatal findings or continue on declared warnings without altering source evidence. ## 2026-08-07 — Evaluate event-time models with purged walk-forward folds - **Context:** Random splits leak regime information and overlapping future-label horizons leak outcomes across adjacent partitions. - **Decision:** Use expanding-window, time-ordered folds. Remove training rows whose label end reaches the validation/test boundary and support a configurable embargo. Reserve the last fold for final comparison, not model selection. - **Consequence:** Small fixtures may yield wide uncertainty; that is preferable to optimistic metrics. ## 2026-08-07 — Do not infer historical Spot depth from trade archives - **Context:** Binance's credential-free Spot archive exposes trades and aggregate trades, but not a complete historical Level-2 feed suitable for book reconstruction. REST snapshots are current anchors rather than historical depth observations. - **Decision:** Use fixed, bounded public REST aggregate trades for historical ingestion. Keep Level-2 research behind an optional public live diff-depth collector that begins with a locally received snapshot and creates a new epoch after every reconnect or gap. - **Consequence:** Historical trade research and book research are different evidence paths. No queue, cancellation, or depth claim is inferred from the downloaded trade sample. ## 2026-08-07 — Derive numerical scales from exchange metadata - **Context:** Fixed decimal precision can misrepresent instruments and can change across venue rules. Binance aggregate-trade timestamps also changed archive units for newer files, while REST uses its documented request units. - **Decision:** Fetch `PRICE_FILTER.tickSize` and `LOT_SIZE.stepSize` from public `exchangeInfo` before normalization, retain integer ticks/lots plus the scale, and make timestamp-unit conversion explicit at the adapter boundary. - **Consequence:** Exact source values are reproducible without assuming a universal `1e-8` quantum. Low-level fallback scales are not used by the sample workflow. ## 2026-08-07 — Freeze results as immutable atomic bundles - **Context:** A dashboard or report must never read half-written results, and a repeated command must not silently revise earlier evidence. - **Decision:** Produce into a sibling staging directory, serialize all inputs, folds, metrics, ledgers, assumptions and reports, checksum every file, create `_SUCCESS` last, verify the bundle, then atomically rename it. A completed target is reusable only if verification passes; incomplete or corrupted targets are rejected rather than repaired. - **Consequence:** Changed configuration or assumptions require a new run. The deterministic semantic run key is based on config, immutable input identity, Git state and seed, excluding wall-clock generation time. ## 2026-08-07 — Keep execution conditional and out-of-sample - **Context:** Archived public events cannot identify a strategy's true queue position, endogenous impact, or colocated latency. Replaying in-sample probabilities would further overstate execution evidence. - **Decision:** Accept only validation-selected, held-out test predictions in the execution simulator. Treat market depth, limit-fill Bernoulli behavior, queue ahead, latency, fees, liquidation and capacity as serialized scenario inputs; use common keyed randomness for comparable sensitivities. - **Consequence:** Predictive and execution tables remain separate. Simulated results are conditional diagnostics, not realized or deployable performance. ## 2026-08-07 — Cap and label the first public sample - **Context:** A local Apple Silicon workflow needs a small, auditable public acquisition rather than an open-ended download. - **Decision:** Request the fixed interval beginning 2024-01-02 00:00 UTC for BTCUSDT and ETHUSDT, capped at 5,000 aggregate trades per symbol, and label the acquisition `PUBLIC_SAMPLE_PARTIAL`. - **Consequence:** The cap was reached for both symbols. All 10,000 normalized rows passed the current validators, but both requested ranges are recorded as incomplete and no economic hypothesis is promoted from this sample. ## 2026-08-07 — Freeze the trade-only public study before model comparison - **Context:** The already acquired public sample contains aggregate trades but no contemporaneous order-book state. Reusing book features or the execution simulator would turn missing observations into assumptions and overstate the evidence. - **Decision:** Freeze a retrospective, explicitly exploratory trade-only protocol with per-symbol causal features, strictly later trade labels, purged walk-forward folds, validation-only model selection, and a paired fixed-block comparison against the historical prior. Require the caller to select the ingestion manifest by both path and SHA-256; never scan for a "latest" input. Serialize execution artifacts as `NOT_RUN` with a reason. - **Consequence:** BTCUSDT and ETHUSDT are reported separately, including failed or contradictory outcomes. The run cannot be interpreted as a book, fill, P&L, statistical-significance, or persistent-alpha study. ## 2026-08-07 — Make page/batch streaming the default public ingestion path - **Context:** A configurable row cap made the first 10,000-row sample safe, but the original downloader, validator, and ingestion composition retained the entire acquisition in memory. A cap on observations is not a RAM contract and does not satisfy the larger-history requirement. - **Decision:** Expose a lazy, page-bounded Binance iterator; feed each page once through an incremental validator with disk-backed exact identity state and then into a batch-bounded Parquet writer. Keep eager materialization only as an explicit compatibility operation with its own finite row guard. - **Consequence:** Public acquisition memory is bounded by response/batch and validator preview limits rather than total history length. Manifest and part metadata may still grow with page count; downstream full-history readers must likewise use verified batch scans instead of eager Arrow/Polars copies. ## 2026-08-07 — Verify public history before exposing a bounded canonical stream - **Context:** Hashing only an ingestion manifest does not prove that normalized rows still match the declared raw pages, source symbol, exchange metadata, or physical arrival order. Sorting first can also conceal source-order defects. - **Decision:** Bind the explicit ingestion path+SHA to configuration, raw URI semantics and exact aggregate-trade fields; require inverse raw-to-normalized coverage; run physical-order incremental DQ; and feed that single verified Arrow stream into a memory-limited DuckDB external sort. Keep eager loading as a separately guarded compatibility API. - **Consequence:** The current 10,000-row input can be materialized for the predeclared small study, while larger consumers can iterate bounded canonical batches without trusting a global in-memory sort. ## 2026-08-07 — Make quality evidence atomic and ingestion-manifested - **Context:** Reusing a fixed findings filename could truncate a previous complete JSONL before a rerun succeeded, leaving an older summary pointing at partial/new evidence. - **Decision:** Stream findings into a same-directory temporary file, fsync and atomically publish only on validator completion, use a distinct per-ingestion quality filename, and bind report/findings paths, byte counts and SHA-256 into the immutable ingestion manifest. - **Consequence:** A failed rerun cannot damage previously published findings; complete quality evidence is independently integrity-checkable. ## 2026-08-07 — Treat the exact source tree as part of run identity - **Context:** A Git commit plus `dirty=true` cannot distinguish different local patches. It also allowed an old clean bundle to satisfy `make smoke` after the implementation changed. - **Decision:** Hash the bytes, paths and modes of every tracked and non-ignored untracked source file. Include that digest with commit/dirty state in provenance and both synthetic/public run keys; refuse completed-target reuse when any component differs. Run the `make check` smoke leg in a fresh temporary target. - **Consequence:** Ignored raw/run artifacts do not perturb identity, but changed code, configuration, tests or documentation requires a new immutable bundle. ## 2026-08-07 — Journal live depth before parsing and reconstruct incrementally - **Context:** Retaining every WebSocket payload, delta and reconstructed book row in Python made `collect-l2 --max-messages` an in-memory history limit. A malformed frame could also fail before its original bytes were preserved. - **Decision:** Emit exact raw frames to a typed capture journal before decoding, record each reconnect snapshot anchor, enforce per-frame/batch byte ceilings, run a bounded-state incremental book reconstructor and incremental DQ, and stream capture-scoped Parquet output. Publish one immutable capture-ID summary last; keep the fixed summary filename only as a latest-pointer. - **Consequence:** Capture memory is bounded by book depth and batch limits rather than message count; every epoch is resnapshotted, every message is reconciled to an observation/exclusion, and parse/sequence failure leaves explicit raw evidence without fabricating a completed capture.