momentum devandClaude Fable 5 e9a1f577a9 feat: research.slippage — paper-vs-real fill variance from recorded NBBO ...

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>

2026-07-22 10:04:47 -05:00

..

conversion

conversion(009): committed go/no-go signal probe (Step 5 instrument)

2026-07-14 20:32:18 -04:00

experiments

experiments: depth_overhang_v1 — L2 order-book overhang gate (first signal to clear the bar+null)

2026-07-18 11:32:06 -05:00

ingestion

fix: marketable entries price from live last + time-of-day rvol arms fast path

2026-07-20 15:40:15 -05:00

__init__.py

Baseline before Postgres migration (WS0)

2026-06-15 23:39:29 -04:00

attribution.py

fix(attribution): stop KeyError-ing when DATABASE_URL is unset

2026-07-17 20:49:55 -05:00

eod_reconcile.py

money-path: nightly cage-count reconcile (broker vs event store) + schedule it

2026-07-13 22:29:00 -04:00

gapper_history.py

delete: dead DDL (10 tables), dead projections, pinned dead code; README/pyproject prune

2026-07-13 21:09:35 -04:00

labeler.py

fix: backtest starvation — schedule the labeler nightly, make inserts idempotent

2026-07-22 06:51:56 -05:00

multi_schema.py

Remove DuckDB remnants (datastore is Postgres)

2026-06-18 22:43:29 -04:00

premarket_eval.py

dilution(016): unbreak nightly EDGAR refresh + pre-register filing-veto experiment

2026-07-17 09:54:49 -05:00

query.py

Baseline before Postgres migration (WS0)

2026-06-15 23:39:29 -04:00

regime.py

Regime gate: make the live gate actually decide (it shipped inert) + fix breadth_rvol units

2026-07-16 14:00:07 -05:00

schema.py

Local-data cleanup: archive dead DuckDB relics, rotate logs, fix labels

2026-07-04 15:26:40 -04:00

sip_backfill.py

SIP re-backfill: fix the 2-5% IEX volume distortion across the whole dataset

2026-07-02 13:56:01 -04:00

slippage.py

feat: research.slippage — paper-vs-real fill variance from recorded NBBO

2026-07-22 10:04:47 -05:00