52505a4257
Proof: Preserve the completed implementation turn and record its outcome in the tracked archive. Assumptions: The archived files capture the relevant planning state for the completed turn. Still fake: Archiving does not validate the work by itself; external evidence still governs whether the result is trustworthy.
121 lines
7 KiB
Markdown
121 lines
7 KiB
Markdown
# Implementation Proof: settlement-aware strategy and inventory-skew controls
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Status: open
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Opened: 2026-04-10
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## Target outcome
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The strategy should stop behaving like a one-dimensional edge filter and start making inventory-aware choices that are explainable from durable data.
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For each live BTC/EURe quote the operator must be able to answer:
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- whether the quote was attractive on raw reference edge
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- whether trading that side improves or worsens the current inventory skew
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- whether the threshold used for that quote was the base threshold or an inventory-adjusted threshold
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- whether recent settlement outcomes support or weaken confidence in submitting more quotes on that side
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- why the strategy withheld, approved, or size-limited the quote
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## Why this is the next architecture test
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The previous turn made submission, not-fill, and settlement-attributed completion visible. It proved that the repo can now distinguish accepted quote responses from actual asset movement.
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The next false path is strategy behavior that ignores that truth:
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- a quote may clear the raw 1.49% edge but move inventory further away from the preferred BTC/EURe mix
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- the opposite side may be blocked by inventory, stale price, or poor recent fill evidence
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- portfolio-vs-hold movement is still not realized trade PnL and must not be used as if it were
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- simply lowering the edge threshold further would be risk widening without proof
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This turn is successful only if strategy decisions become reproducible from explicit edge, inventory-skew, and settlement-outcome inputs.
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## Scope
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- [I015] Benchmark-aware strategy thresholds and inventory-skewed fees: compare live inventory against deposit-time hold and target BTC/EURe mix before quoting away preferred inventory.
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- Active venue and pair only: NEAR Intents BTC/EURe.
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- Preserve the approved base edge threshold of `1.49%` unless the user explicitly approves a different value.
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- Preserve the current max notional unless the user explicitly approves a different value.
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- Use existing durable portfolio metrics, inventory snapshots, reference prices, decisions, commands, execution results, and quote outcome attributions.
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## Assumptions
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- The current BTC/EURe inventory mix has a preferred target or policy that can be encoded with repo-owned config.
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- The first inventory policy can be simple and explicit, for example target BTC value percentage plus a tolerance band.
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- Quote outcome records are good enough to compute side-level recent submission, not-fill, and completion counts, while remaining honest about heuristic settlement attribution.
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- Benchmark comparisons can guide strategy but are not realized PnL.
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## Turn-shaping rules
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- Do not lower `STRATEGY_GROSS_THRESHOLD_PCT` below `1.49` in this turn without explicit user approval.
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- Do not increase `STRATEGY_MAX_NOTIONAL_EURE` in this turn without explicit user approval.
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- Do not add live funds or move funds.
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- Do not claim inventory-skew benefit as realized profit.
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- Do not hide a base-threshold pass behind a generic rejection; expose the decisive strategy reason.
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- If recent outcome confidence is used, show the window and counts behind it.
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## Non-goals
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- No new venue integration.
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- No new treasury fee ledger.
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- No generalized optimizer or ML strategy.
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- No broad backtesting workbench.
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- No tax, accounting, or realized net PnL claims.
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- No automatic funding, withdrawal, or treasury rebalancing.
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## Required operator behavior
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### Strategy threshold truth
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Every recent strategy decision must expose:
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- base threshold
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- effective threshold
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- inventory adjustment, if any
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- outcome-confidence adjustment, if any
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- final decisive reason
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### Inventory-skew truth
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For every quote decision the dashboard must show:
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- current BTC and EURe spendable value
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- target BTC/EURe value mix or configured policy
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- current skew versus target
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- whether the proposed trade moves inventory toward or away from target
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### Outcome-confidence truth
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If recent quote outcomes influence approval or threshold:
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- submitted-only rows must not count as completed
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- not-filled rows must be separate from strategy rejections and executor blocks
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- heuristic completed rows must be counted as heuristic, not venue-terminal fills
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## Semantic invariants
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The implementation and tests must enforce at least:
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- `submitted` outcome evidence cannot improve fill-confidence as if completed
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- inventory-skew improvement is not realized PnL
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- base edge and effective edge must both be visible when they differ
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- insufficient inventory remains distinct from inventory-skew rejection
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- strategy rejection remains distinct from executor blocking
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- no threshold lower than `1.49%` is deployed without explicit approval
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## Definition of done
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- Strategy decisions include explicit inventory-skew inputs and effective threshold fields.
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- The strategy can approve, reject, or size-limit a quote based on inventory direction with a decisive reason.
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- Dashboard lifecycle or strategy rows show raw edge, effective threshold, skew direction, and decisive reason.
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- Recent outcome counts are available to the strategy or dashboard without treating submission-only rows as fills.
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- Regression tests cover inventory-skew direction, threshold adjustment, and the negative semantic invariants.
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- The result is deployed through the repo workflow and validated against live service state and dashboard bootstrap data.
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## Validation evidence required
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- Automated tests for strategy decisions that pass raw edge but fail inventory-skew policy.
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- Automated tests for strategy decisions where inventory improvement lowers friction or preserves the base threshold without lowering below `1.49%`.
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- Automated tests proving submitted-only outcomes do not improve completion confidence.
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- Live dashboard or `/state` evidence showing strategy decisions with base threshold, effective threshold, inventory skew, and decisive reason.
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- Live evidence that strategy and executor remain armed after deployment if they were armed before rollout.
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## Failure conditions
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- The strategy still emits only `actionable` or `insufficient_inventory` without inventory-policy evidence.
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- The dashboard cannot explain why a raw-edge quote was withheld by inventory policy.
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- A submitted quote is treated as a completed or successful trade in any strategy confidence calculation.
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- Benchmark or inventory-skew deltas are labeled as realized PnL.
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- The deployed threshold is lower than `1.49%` without explicit user approval.
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## Current real before this turn
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- Live quote, decision, command, submission result, and quote outcome attribution records are durable.
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- The dashboard separates submitted, rejected, blocked, not-filled, and completed rows.
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- One historical quote is linked to a heuristic settled inventory delta.
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- Recent submitted-only rows are visible without claiming asset movement.
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- Portfolio-vs-simple-hold comparison is cash-flow adjusted and explicitly not realized PnL.
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## Deliberately not built by this proof
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- Full fee and cost attribution.
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- Venue-native terminal fill ingestion.
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- Automatic inventory rebalancing outside quote-response execution.
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- Broader research/backtest UI.
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