v2.0.0 - 1,746,551 rows (25x v1)

New: grad-entry-shape (1.6M price trajectories), grad-early-shadow (exit-policy grid), survivor-shadow (cross-strategy joins).
Updated: the four v1 files, all grown 31-61%.
New results: exhaustive condition sweep returns 0 of 114 positives; horizon-truncation bias bounded at -31.7 pp paired within-token (n=1,728).
Zenodo v2: https://doi.org/10.5281/zenodo.22051123

.gitattributes

@@ -60,3 +60,4 @@ saved_model/**/* filter=lfs diff=lfs merge=lfs -text
 *.webm filter=lfs diff=lfs merge=lfs -text
 grad-social-shadow.jsonl filter=lfs diff=lfs merge=lfs -text
 liquidity-track.jsonl filter=lfs diff=lfs merge=lfs -text
+grad-early-shadow.jsonl filter=lfs diff=lfs merge=lfs -text

MANIFEST.json

@@ -0,0 +1,62 @@
+{
+  "dataset": "fill-real",
+  "version": "2.0.0",
+  "built_at": "2026-08-21T21:56:42.237286+00:00",
+  "files": [
+    {
+      "file": "grad-social-shadow.jsonl",
+      "rows": 37401,
+      "bytes": 21988365,
+      "sha256": "8593667a4667be02c6f2225ecc1f2adf9bbee112807b837f2d0ca27c2cccc6d2",
+      "description": "Post-migration positions with real Jupiter fills, plus ex-ante features (liquidity, buyers, creator history, dev buy, social presence)."
+    },
+    {
+      "file": "grad-early-shadow.jsonl",
+      "rows": 38503,
+      "bytes": 17493740,
+      "sha256": "a9ff8eda69261ac622753d2c908631f78ffeb5cfabc3a5269920f56652f34c24",
+      "description": "Exit-policy grid evaluated on the same positions: each row is one (position, exit configuration) pair with its realised return."
+    },
+    {
+      "file": "liquidity-track.jsonl",
+      "rows": 65861,
+      "bytes": 15139695,
+      "sha256": "dec311664eba48ca4858de55a87ddf1b140257c08af7cb7b75deb1a45e3d0301",
+      "description": "Liquidity, price, FDV and 24h flow series per tracked position."
+    },
+    {
+      "file": "exit-slippage.jsonl",
+      "rows": 922,
+      "bytes": 322185,
+      "sha256": "0a8e72cbb5516da7a189a9667671e12c43182c9191f1edf275af910ccfee6b25",
+      "description": "Real exit slippage, order by order: quoted output vs mark-to-market."
+    },
+    {
+      "file": "entry-exec.jsonl",
+      "rows": 759,
+      "bytes": 287608,
+      "sha256": "c4af05684742c5c933a56916684cfc2f043cdc985afef832eea20b42c7cf3724",
+      "description": "Entry overhead, order by order: fill price vs decision price. Sanitized -- wallet and signature removed.",
+      "sanitized_rows": 759,
+      "fields_removed": [
+        "signature",
+        "wallet"
+      ]
+    },
+    {
+      "file": "survivor-shadow.jsonl",
+      "rows": 597,
+      "bytes": 211847,
+      "sha256": "e7562b418edd0e1dcc0b246493d50ab6820c13e5c363549e02c878019e428ee9",
+      "description": "Independent survivor-strategy evaluations. Joins to the graduation population by mint, enabling the cross-strategy condition."
+    },
+    {
+      "file": "grad-entry-shape.jsonl.gz",
+      "rows": 1602508,
+      "bytes": 21942661,
+      "sha256": "42bf866e99edacc949472f04a135929c56f0a3fa2cf3fce826585357c0e274a7",
+      "description": "Post-migration price trajectories: one row per (mint, seconds since migration, price). The raw shape behind every outcome above."
+    }
+  ],
+  "total_rows": 1746551
+}

README.md

@@ -1,169 +1,249 @@
----
-license: cc-by-4.0
-language:
-  - en
-tags:
-  - solana
-  - finance
-  - market-microstructure
-  - open-data
-  - blockchain
-size_categories:
-  - 10K<n<100K
-pretty_name: "fill-real: execution-grounded Solana trading dataset"
----
-
-# fill-real
-
-**An execution-grounded dataset for evaluating Solana trading strategies — and
-evidence that screen-price backtests are systematically biased.**
-
-[![DOI](https://zenodo.org/badge/DOI/10.5281/zenodo.21830480.svg)](https://doi.org/10.5281/zenodo.21830480)
-
-Almost every publicly shared backtest of Solana token strategies is computed on
-*screen price*: the value an aggregator reports on a polling interval. It is what
-is available, and it looks reasonable.
-
-The price at which an order **actually executes** is different. The difference is
-not symmetric noise that averages out — it is a directional bias, and it is large
-enough to invert conclusions.
-
-## The finding
-
-The same population of tokens, measured both ways:
-
-| Measurement | Screen price | Real fill |
-|---|---:|---:|
-| Migration-speed "ladder" (n≈24k / 21k) | **+36%** | **−69%** |
-| Live entry gate cross-check | −42.8% | **−1.1%** |
-| Live exit policy calibration | −29.8% | **−10.9%** |
-
-**The bias runs in both directions, which is what makes it dangerous.** Screen
-price made a ruinous entry rule look profitable. Separately, it made reactive exit
-policies (stops, trailing stops) look far worse than they are — a snapshot grid
-fires stops on transient dips that a real order would never have paid.
-
-> Screen price penalizes reactive policies and rewards illusory ones.
-
-Two further results from the same data:
-
-**Pool liquidity does not lead price.** Across 150 collapses, the median lead
-between a liquidity-drop threshold and a −25% price drop is **0 seconds**, and at
-thresholds ≥15%, *zero* cases had any warning at all. Price is a function of pool
-reserves — they are the same variable, not two signals. Median single-interval
-gap: **97.2 percentage points**. This closes a whole family of "watch liquidity to
-exit before the rug" designs.
-
-**Real round-trip friction is 11.4%** (8.20% entry overhead, n=134; 3.17% exit
-slippage, n=705), while the median token moves only **+8.3%** in the best
-15-minute window. When friction exceeds the asset's median move, no exit-timing
-policy can help.
-
-## Who this is for
-
-- **Researchers backtesting Solana/memecoin strategies** who need real execution
-  prices instead of screen prices to trust their results.
-- **Quant teams and DeFi tooling builders** evaluating whether screen-price bias
-  affects their own pipeline — the method here is reusable on any dataset.
-- **Anyone citing a Solana backtest** who wants to sanity-check it against paired
-  screen-vs-fill numbers before relying on it.
-
-Not what this is: a trading strategy, a signal, or a multi-chain dataset. It is
-measurement of one execution channel (Jupiter, Solana) — scoped and stated as such.
-
-## Dataset structure
-
-| File | Rows | Contents |
-|---|---:|---|
-| `grad-social-shadow.jsonl` | 23,265 | Post-migration positions with real Jupiter fills |
-| `liquidity-track.jsonl` | 45,826 | Liquidity and price series per position |
-| `exit-slippage.jsonl` | 705 | Real exit slippage, order by order |
-| `entry-exec.jsonl` | 547 | Entry overhead: fill vs. decision price |
-
-Total ~24 MB. Collected 13 June – 6 August 2026 from a live system on Solana
-mainnet. All files are newline-delimited JSON.
-
-### Loading
-
-```python
-import pandas as pd
-
-df = pd.read_json(
-    "hf://datasets/cristiandkzk/fill-real/grad-social-shadow.jsonl",
-    lines=True,
-)
-```
-
-Because the schema varies across the collection period (see limitations),
-`pandas` will fill absent columns with `NaN`. Check for column presence rather
-than assuming a fixed set.
-
-## ⚠️ Limitations — read before using
-
-**1. Price series truncate at ~36 minutes.** Median series length is 36 min, p90
-is 36 min, and **0% reach 60 min**. The hard-stop exit — which accounts for −31 of
-the −36 percentage points lost in the base population — partly lives past that
-cutoff. **Any gate-level figure computed from this data is biased optimistic by an
-amount that is not yet bounded.** Extended-horizon collection is in progress.
-
-**2. The schema changes over time.** Older rows lack `screenMult` and
-`exitImpactPct`; newer rows lack `devBuySol`, `migrateDelayMin` and the
-`adaptive*` fields. Any loader must tolerate missing keys.
-
-**3. Single-operator data.** Execution telemetry comes from one wallet's order
-flow. Fill quality may differ at other order sizes. Order sizes and observed price
-impact are published so transferability can be judged.
-
-**Privacy:** the dataset contains no wallets, no keys and no transaction
-signatures. Token mints and creator addresses are public on-chain data.
-
-**Not investment advice.** Published for research purposes.
-
-## Method
-
-The obvious risk in two months of analysis over the same datasets is **data
-fishing**: test sixty ideas, keep the one that looks good, never correct for the
-fifty-nine you discarded. This was treated as a process problem.
-
-- **Pre-registration.** Every hypothesis is recorded with its prediction and a
-  timestamp *before* the analysis runs. Only data after that mark counts as
-  validation.
-- **Negative results are recorded.** ~60 hypotheses closed or refuted, with their
-  numbers.
-- **Artifacts are recorded.** One calculation produced means of +19,216% before
-  the reference price was found to be misspecified — written down, with cause and
-  correction.
-- **Caveats against each verdict are recorded**, not just supporting evidence.
-
-## Links
-
-- **Code and documentation:** https://github.com/cristiandkzk/fill-real
-- **Archived version with DOI:** https://doi.org/10.5281/zenodo.21830480
-
-## Citation
-
-```bibtex
-@dataset{diaz_2026_fillreal,
-  author    = {Díaz, Cristian Gonzalo},
-  title     = {fill-real: an execution-grounded dataset for
-               evaluating Solana trading strategies},
-  year      = {2026},
-  publisher = {Zenodo},
-  version   = {1.0.0},
-  doi       = {10.5281/zenodo.21830480},
-  url       = {https://doi.org/10.5281/zenodo.21830480}
-}
-```
-
-## License
-
-**CC BY 4.0** — use it freely, credit the source.
-
-## Author
-
-**Cristian Gonzalo Díaz** — [@cristiandkzk](https://github.com/cristiandkzk)
-
-Built and operated the instrumented system this data comes from. The
-methodological discipline is the substance here: this work exists because the
-measurement kept contradicting the analysis, and the contradictions were recorded
-instead of discarded.
+---
+license: cc-by-4.0
+language:
+  - en
+tags:
+  - solana
+  - finance
+  - market-microstructure
+  - open-data
+  - blockchain
+  - negative-results
+  - reproducibility
+size_categories:
+  - 1M<n<10M
+pretty_name: "fill-real: execution-grounded Solana trading dataset"
+---
+
+# fill-real
+
+**An execution-grounded dataset for evaluating Solana trading strategies — and
+evidence that screen-price backtests are systematically biased.**
+
+[![DOI](https://zenodo.org/badge/DOI/10.5281/zenodo.21830479.svg)](https://doi.org/10.5281/zenodo.21830479)
+
+> **v2.0 — August 2026.** 1,746,551 rows, 25× the v1 release. Two new results: an
+> exhaustive condition sweep that returns **zero** positives, and a **paired bound
+> on the horizon-truncation bias** that v1 could only flag as unbounded.
+
+Almost every publicly shared backtest of Solana token strategies is computed on
+*screen price*: the value an aggregator reports on a polling interval. It is what
+is available, and it looks reasonable.
+
+The price at which an order **actually executes** is different. The difference is
+not symmetric noise that averages out — it is a directional bias, and it is large
+enough to invert conclusions.
+
+## The finding
+
+The same population of tokens, measured both ways:
+
+| Measurement | Screen price | Real fill |
+|---|---:|---:|
+| Migration-speed "ladder" (n≈24k / 21k) | **+36%** | **−69%** |
+| Live entry gate cross-check | −42.8% | **−1.1%** |
+| Live exit policy calibration | −29.8% | **−10.9%** |
+
+**The bias runs in both directions, which is what makes it dangerous.** Screen
+price made a ruinous entry rule look profitable. Separately, it made reactive exit
+policies (stops, trailing stops) look far worse than they are — a snapshot grid
+fires stops on transient dips that a real order would never have paid.
+
+> Screen price penalizes reactive policies and rewards illusory ones.
+
+**Pool liquidity does not lead price.** Across 150 collapses, the median lead
+between a liquidity-drop threshold and a −25% price drop is **0 seconds**, and at
+thresholds ≥15%, *zero* cases had any warning at all. Price is a function of pool
+reserves — they are the same variable, not two signals. Median single-interval
+gap: **97.2 percentage points**. This closes a whole family of "watch liquidity to
+exit before the rug" designs.
+
+**Real round-trip friction is 10.7%** (7.79% entry overhead, n=164; 2.91% exit
+slippage, n=922), while the median token moves only **+8.3%** in the best
+15-minute window. When friction exceeds the asset's median move, no exit-timing
+policy can help.
+
+## New in v2
+
+### 1. An exhaustive condition sweep: 0 of 114 have a positive mean
+
+The obvious response to a negative result is *"you just haven't found the right
+filter yet."* This tests that claim exhaustively rather than anecdotally.
+
+Over **36,736 real-fill positions**, every combination of 10 ex-ante features ×
+7 percentile cuts × 2 directions, plus 4 social booleans and one cross-strategy
+condition — **114 distinct conditions** with n ≥ 100 each:
+
+| best conditions | n | median | **mean** | win% | ruin% |
+|---|---:|---:|---:|---:|---:|
+| baseline (all real fills) | 36,736 | −51.19% | **−33.59%** | 24.4 | 24.5 |
+| `preBuyers >= 326` | 207 | −19.82% | **−3.25%** | 34.3 | 1.9 |
+| `liqUsd >= 204,183` | 1,833 | +12.53% | **−7.33%** | 67.1 | 28.8 |
+| `devBuySol < 0.0395` | 2,774 | −12.78% | **−8.14%** | 45.2 | 25.7 |
+
+```
+>>> CONDITIONS WITH POSITIVE MEAN: 0 of 114
+```
+
+**A sweep that returns zero positives requires no multiple-comparison correction,
+because there is nothing to discount.** Only ex-ante features are eligible — a
+condition is a trading rule, so realised hold time, peak multiple and exit reason
+are excluded by construction, because conditioning on outcomes manufactures edge
+that cannot be traded.
+
+**Two sub-results worth more than the headline:**
+
+**Win rate and median are actively misleading here.** Three conditions win *more
+than half* the time and every one of them loses money. `liqUsd >= 204,183` wins
+**67.1%** of the time with a **+12.53% median** — and a **−7.33% mean**. The left
+tail is fat enough that a two-thirds win rate is not enough. Report means.
+
+**Ruin is predictable; profit is not.** `preBuyers >= 326` cuts the ruin rate from
+24.5% to **1.9%** — a genuine, large, reproducible effect. Its mean is still
+−3.25%. The predictable set and the profitable set are disjoint.
+
+The script that reproduces this ships with the release, inside
+`fill-real-v2.0.0.zip` on Zenodo.
+
+### 2. The horizon-truncation bias, now bounded
+
+v1 shipped a warning it could not quantify: price series truncate near 36 minutes,
+so *"any gate-level figure computed from this data is biased optimistic by an
+amount that is not yet bounded."*
+
+v2 ships **1,728 tokens with a full 190-minute horizon**, which bounds it:
+
+| horizon | trimmed mean mult | median | share above 1× |
+|---|---:|---:|---:|
+| 36 min (the v1 cutoff) | 0.9143 | 0.2915 | 34.4% |
+| 190 min | **0.5970** | **0.1017** | 19.3% |
+
+**The same tokens lose a further 31.7 percentage points between minute 36 and
+minute 190.** 66.3% keep falling after the cutoff.
+
+*Read this as a paired estimate, not a universal constant.* The comparison is
+**within-token** — the same 1,728 mints measured at two horizons — so the drift
+cannot be a composition artifact. But this subsample was collected 16–21 Aug, and
+that window is a **worse regime than the full population: −19.5 pp at the shared
+36-minute mark**. The direction is established on paired data; the magnitude is a
+point estimate from one six-day window. Both figures are published so you can
+judge it yourself.
+
+## Dataset structure
+
+| File | Rows | Contents |
+|---|---:|---|
+| `grad-entry-shape.jsonl.gz` | 1,602,508 | **New in v2.** Post-migration price trajectories: one row per (mint, seconds since migration, price) across 40,427 mints |
+| `liquidity-track.jsonl` | 65,861 | Liquidity, price, FDV and 24h flow series per position |
+| `grad-early-shadow.jsonl` | 38,503 | **New in v2.** Exit-policy grid: one row per (position, exit configuration) with its realised return |
+| `grad-social-shadow.jsonl` | 37,401 | Post-migration positions with real Jupiter fills and ex-ante features |
+| `exit-slippage.jsonl` | 922 | Real exit slippage, order by order |
+| `entry-exec.jsonl` | 759 | Entry overhead: fill vs. decision price |
+| `survivor-shadow.jsonl` | 597 | **New in v2.** Independent survivor-strategy evaluations; joins by mint |
+
+**1,746,551 rows total, ~74 MB.** Collected 13 June – 21 August 2026 from a live
+system on Solana mainnet. All files are newline-delimited JSON. Row counts and
+SHA-256 per file are in `MANIFEST.json`.
+
+### Loading
+
+```python
+import pandas as pd
+
+# the sweep population
+df = pd.read_json(
+    "hf://datasets/crdkzk/fill-real/grad-social-shadow.jsonl",
+    lines=True,
+)
+
+# the price trajectories (gzipped)
+shape = pd.read_json(
+    "hf://datasets/crdkzk/fill-real/grad-entry-shape.jsonl.gz",
+    lines=True,
+    compression="gzip",
+)
+```
+
+Because the schema varies across the collection period (see limitations),
+`pandas` will fill absent columns with `NaN`. Check for column presence rather
+than assuming a fixed set.
+
+## ⚠️ Limitations — read before using
+
+**1. Most price series still truncate at ~36 minutes.** v2 bounds this bias (see
+above) but does not remove it: 83.5% of mints truncate near 36 min, only 4.3%
+reach 190 min. Use the 190-minute subsample to correct, not to replace.
+
+**2. The schema changes over time.** Older rows lack `screenMult` and
+`exitImpactPct`; newer rows lack `devBuySol`, `migrateDelayMin` and the
+`adaptive*` fields. Any loader must tolerate missing keys.
+
+**3. Single-operator data.** Execution telemetry comes from one wallet's order
+flow. Fill quality may differ at other order sizes. Order sizes and observed price
+impact are published so transferability can be judged.
+
+**4. `posSol` in `exit-slippage.jsonl` is mark-to-market value at exit, not entry
+size.** It satisfies `slipPct = jupOutSol / posSol − 1`. Grouping returns by it
+measures causation backwards — a position that fell 99% is small *because* it
+lost. Join to `entry-exec.jsonl` (`requestedSol`, `spentReal`) for entry size.
+
+**Privacy:** the dataset contains no wallets, no keys and no transaction
+signatures. The release is produced by a build script that strips those fields,
+re-audits its own output, and fails the build rather than shipping a violation.
+Token mints and creator addresses are public on-chain data.
+
+**Not investment advice.** Published for research purposes.
+
+## Method
+
+The obvious risk in two months of analysis over the same datasets is **data
+fishing**: test sixty ideas, keep the one that looks good, never correct for the
+fifty-nine you discarded. This was treated as a process problem.
+
+- **Pre-registration.** Every hypothesis is recorded with its prediction and a
+  timestamp *before* the analysis runs. Only data after that mark counts as
+  validation.
+- **Negative results are recorded.** ~60 hypotheses closed or refuted, with their
+  numbers.
+- **Artifacts are recorded.** One calculation produced means of +19,216% before
+  the reference price was found to be misspecified — written down, with cause and
+  correction.
+- **Caveats against each verdict are recorded**, not just supporting evidence. The
+  regime caveat on the truncation bound above is an example: it weakens the
+  headline, and it is in the headline.
+
+## Links
+
+- **Code and documentation:** https://github.com/cristiandkzk/fill-real
+- **Archived, citable (concept DOI, always newest):** https://doi.org/10.5281/zenodo.21830479
+
+## Citation
+
+```bibtex
+@dataset{diaz_2026_fillreal,
+  author    = {Díaz, Cristian Gonzalo},
+  title     = {fill-real: an execution-grounded dataset for
+               evaluating Solana trading strategies},
+  year      = {2026},
+  publisher = {Zenodo},
+  version   = {2.0.0},
+  doi       = {10.5281/zenodo.22051123},
+  url       = {https://doi.org/10.5281/zenodo.22051123}
+}
+```
+
+To cite all versions rather than v2 specifically, use the concept DOI
+`10.5281/zenodo.21830479`.
+
+## License
+
+**CC BY 4.0** — use it freely, credit the source.
+
+## Author
+
+**Cristian Gonzalo Díaz** — [@cristiandkzk](https://github.com/cristiandkzk)
+
+Built and operated the instrumented system this data comes from. The
+methodological discipline is the substance here: this work exists because the
+measurement kept contradicting the analysis, and the contradictions were recorded
+instead of discarded.

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