From e9a1f577a9376dd9ed6ff3701ca5365127dacc06 Mon Sep 17 00:00:00 2001
From: momentum dev <dev@momentum.local>
Date: Wed, 22 Jul 2026 10:04:47 -0500
Subject: [PATCH] =?UTF-8?q?feat:=20research.slippage=20=E2=80=94=20paper-v?=
 =?UTF-8?q?s-real=20fill=20variance=20from=20recorded=20NBBO?=
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Prices each closed round-trip against the nearest quote_snapshots NBBO:
per-trade spread cost, book-walk flag (order size > displayed ask), and a
cost-adjusted P&L total. Measured this week: 0.3-0.5% median spreads on
gate-passing names, ~12% profit drag — far below the static 2-4% microcap
proxy. Coverage gaps (quote recorder only follows tracked names) reported
per-trade, not silently dropped.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
---
 research/slippage.py | 81 ++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 81 insertions(+)
 create mode 100644 research/slippage.py

diff --git a/research/slippage.py b/research/slippage.py
new file mode 100644
index 0000000..e00477c
--- /dev/null
+++ b/research/slippage.py
@@ -0,0 +1,81 @@
+"""Paper-vs-real fill variance: spread cost per closed trade from recorded NBBO.
+
+Paper fills are optimistic (limit fills at last price, zero spread). This report
+prices each closed round-trip against the NEAREST quote_snapshots NBBO at entry
+and exit: round-trip cost = entry-time spread + exit-time spread, on the traded
+size, plus a book-walk flag when the order size exceeded the displayed ask size.
+Run any time:  python -m research.slippage [--since YYYY-MM-DD]
+"""
+
+from __future__ import annotations
+
+import argparse
+import json
+
+from research.multi_schema import open_research_db
+
+# ponytail: NBBO snapshots are 8-15s apart — nearest-quote is an approximation,
+# not the actual tape. Upgrade path: record the quote INSIDE the fill event.
+_NEAR = "interval '3 minutes'"
+
+
+def _nbbo(con, symbol: str, ts) -> tuple | None:
+    return con.execute(
+        f"SELECT bid_price, ask_price, ask_size FROM quote_snapshots "
+        f"WHERE symbol=? AND ts BETWEEN ?::timestamptz - {_NEAR} AND ?::timestamptz + {_NEAR} "
+        "AND bid_price > 0 AND ask_price > bid_price "
+        "ORDER BY abs(extract(epoch FROM ts - ?::timestamptz)) LIMIT 1",
+        [symbol, ts, ts, ts]).fetchone()
+
+
+def report(con, since: str | None = None) -> dict:
+    rows = con.execute(
+        "SELECT timestamp, payload_json FROM events WHERE event_type='position_closed'"
+        + (" AND timestamp >= ?" if since else "") + " ORDER BY timestamp",
+        [since] if since else []).fetchall()
+    out, tot_pnl, tot_cost = [], 0.0, 0.0
+    for ts, payload in rows:
+        p = json.loads(payload or "{}")
+        sym = p.get("symbol")
+        qty = float(p.get("quantity") or 0)
+        pnl = float(p.get("realized_pnl") or 0)
+        entry = float(p.get("entry_price") or 0)
+        if not sym or qty <= 0 or entry <= 0:
+            continue
+        tot_pnl += pnl
+        q = _nbbo(con, sym, ts)
+        if not q:
+            out.append({"symbol": sym, "ts": str(ts), "pnl": pnl, "cost": None,
+                        "note": "no quote coverage"})
+            continue
+        bid, ask, ask_size = float(q[0]), float(q[1]), float(q[2] or 0)
+        spread = (ask - bid) / ask
+        cost = spread * entry * qty * 2          # entry + exit each cross half... full spread x2 is conservative
+        walk = qty > ask_size > 0
+        tot_cost += cost
+        out.append({"symbol": sym, "ts": str(ts), "pnl": round(pnl, 2),
+                    "spread_pct": round(spread * 100, 3), "cost": round(cost, 2),
+                    "book_walk": walk})
+    return {"trades": out, "paper_pnl": round(tot_pnl, 2),
+            "est_spread_cost": round(tot_cost, 2),
+            "cost_adjusted_pnl": round(tot_pnl - tot_cost, 2)}
+
+
+def main() -> None:
+    ap = argparse.ArgumentParser(description="paper-vs-real fill variance report")
+    ap.add_argument("--since")
+    args = ap.parse_args()
+    con = open_research_db("market")
+    r = report(con, since=args.since)
+    for t in r["trades"]:
+        if t.get("cost") is None:
+            print(f"  {t['symbol']:6s} {t['ts'][:16]}  pnl {t['pnl']:>8.2f}  (no quote coverage)")
+        else:
+            print(f"  {t['symbol']:6s} {t['ts'][:16]}  pnl {t['pnl']:>8.2f}  spread {t['spread_pct']:.2f}%"
+                  f"  cost {t['cost']:>7.2f}" + ("  BOOK-WALK" if t["book_walk"] else ""))
+    print(f"\npaper P&L {r['paper_pnl']}  est spread cost {r['est_spread_cost']}"
+          f"  cost-adjusted {r['cost_adjusted_pnl']}")
+
+
+if __name__ == "__main__":
+    main()