Execution realism
The same signals under three execution assumptions. IDEAL is the original ledger. REALISTIC and CONSERVATIVE add observed detection latency, the observed market price at the simulated fill time, spread/impact, liquidity caps and fees. Pending and unavailable data are counted, never treated as losses. Built 19 Oct 2026 11:53 UTC in 826 s · backlog this run: 4 fetched (0 unavailable, 0 failed).
| IDEAL cfg 20d15dfd | REALISTIC cfg 73f3379e | CONSERVATIVE cfg a06eb988 | |
|---|---|---|---|
| Signals | 61,371 | 61,371 | 61,371 |
| Simulated | 61,371 | 51,899 | 46,919 |
| Pending data (not a result) | 0 | 3 | 3 |
| Unavailable data (not a trading failure) | 0 | 3,512 | 2,019 |
| Invalid | 0 | 18 | 139 |
| Unfilled / expired | 0 | 5,939 | 12,291 |
| Data coverage | 100.0% | 94.3% | 96.7% |
| Fill rate (of decided) | 100.0% | 89.7% | 79.1% |
| Fill rate (of all) | 100.0% | 84.6% | 76.5% |
| Latency observed / estimated | 0 / 0 | 60,288 / 1,080 | 60,288 / 1,080 |
| Median latency (s) | 0 | 95 | 160 |
| Entry slippage avg / median (ticks) | 0.00 / 0.00 | 1.78 / 1.50 | 3.36 / 3.00 |
| Exit slippage avg / median (ticks) | 0.00 / 0.00 | 1.72 / 1.50 | 3.06 / 3.00 |
| Gross P&L | $277,023 | $182,877 | −$43,412 |
| Latency cost | $0 | −$19,067,501 | −$8,396,725 |
| Slippage cost | $0 | $231,689 | $312,696 |
| Fees | $0 | $143,555 | $139,797 |
| Net P&L | $277,023 | $39,323 | −$183,210 |
| Realized / unrealized | $186,049 / $90,973 | −$166,281 / $205,604 | −$224,382 / $41,173 |
| Settled trades | 25,242 | 22,005 | 20,641 |
| Win rate (settled) | 63.4% | 53.3% | 52.6% |
| Avg / median return | 4.5% / 1.1% | 1.2% / 0.0% | -3.6% / -0.3% |
| Max drawdown (realised) | $6,064 | $117,282 | $167,733 |
| Ending realised equity | $186,049 | −$111,583 | −$163,534 |
| P&L ex best 1 / 3 | $184,149 / $181,254 | −$125,763 / −$128,224 | −$175,927 / −$177,863 |
| P&L ex best 5 / 10 | $178,954 / $173,567 | −$130,505 / −$134,960 | −$179,460 / −$183,083 |
| Profit factor | 1.26 | 0.86 | 0.78 |
| Expectancy / trade | $7 | −$5 | −$8 |
| Largest win / loss | $1,900 / −$100 | $14,181 / −$110 | $12,393 / −$110 |
| Fee provenance | NONE: 61371 | ASSUMED: 587 · OBSERVED: 25 · OBSERVED_RATE: 23570 · ASSUMED_UNKNOWN: 26518 · OBSERVED_FEE_FREE: 1199 | ASSUMED: 429 · OBSERVED: 25 · OBSERVED_RATE: 22068 · ASSUMED_UNKNOWN: 23349 · OBSERVED_FEE_FREE: 1048 |
Net P&L by signal type
| Type | IDEAL (simulated · pending · net) | REALISTIC (simulated · pending · net) | CONSERVATIVE (simulated · pending · net) |
|---|---|---|---|
| CONSENSUS | 22,580 · 0 · $93,851 | 19,342 · 1 · $68,986 | 16,418 · 1 · −$14,354 |
| CONVICTION_ADD | 19,700 · 0 · $94,195 | 17,142 · 1 · −$21,194 | 16,138 · 1 · −$106,681 |
| EARLY_ENTRY | 210 · 0 · $2,645 | 207 · 1 · −$4,072 | 202 · 1 · −$4,007 |
| NEW_POSITION | 18,881 · 0 · $86,331 | 15,208 · 0 · −$4,398 | 14,161 · 0 · −$58,168 |
Data quality
Not performance: how complete and how measured the underlying data is.
| Signals | 65,569 |
| Signals with observed latency | 60,291 |
| Signals with estimated latency | 1,080 |
| Price data complete / pending / processing | 120,193 / 6 / 0 |
| Price data unavailable / failed | 3,474 / 0 |
| Positions marked 1h / 6h / 24h | 53,129 / 52,857 / 38,900 |
| Positions resolved / exited / still open | 17,605 / 6,468 / 35,414 |
| Open positions checked by the marker | 35,408 |
| Markets with fee flag / without | 14,137 / 1,226 |
| Signal markets with no metadata yet | 10,015 |
| Tracked wallets by bot class | ACTIVE: 139 · HIGH_FREQUENCY: 19 · INSUFFICIENT_DATA: 21 · BOT_HIGH_FREQUENCY: 1 |
| IDEAL coverage | SIMULATED: 61371 |
| REALISTIC coverage | INVALID: 18 · UNFILLED: 5939 · SIMULATED: 51899 · PENDING_DATA: 3 · UNAVAILABLE_DATA: 3512 |
| CONSERVATIVE coverage | INVALID: 139 · UNFILLED: 12291 · SIMULATED: 46919 · PENDING_DATA: 3 · UNAVAILABLE_DATA: 2019 |
| Worker memory | rss 122.4 MB · heap 44.5/59.8 MB (12:05 UTC) |
Portfolio (finite capital)
One portfolio per execution mode, replayed signal by signal with finite capital and the configured limits. Every figure is as of the last second the runner fully decided (the watermark), not now. Snapshot generated 2026-10-19 11:54 UTC.
The snapshot was generated 2026-10-19 11:54 UTC and has not been refreshed for 1.8 h (the worker refreshes it every 15 minutes when the feature is on).
Portfolio
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| As of | as of 2026-10-19 11:47 UTC | as of 2026-10-19 11:22 UTC | as of 2026-10-19 11:23 UTC |
| Start | 2026-09-27 04:28 UTC | 2026-09-27 04:28 UTC | 2026-09-27 04:28 UTC |
| Last run finished | 2026-10-19 11:53 UTC | 2026-10-19 11:54 UTC | 2026-10-19 11:54 UTC |
| Frontier (first event still waiting for data) | none | 2026-10-19 11:39 UTC | 2026-10-19 11:40 UTC |
| Baseline note | IDEAL is a non-causal baseline: it fills at the source trade's own time, before the signal could have been known (plan B10). It is for comparison only, not a strategy that could have been run. | — | — |
Capital (cost basis)
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| Starting capital | $1,000.00 | $1,000.00 | $1,000.00 |
| Cash | $276.41 | $152.68 | $196.12 |
| Invested at cost | $750.00 | $500.00 | $725.00 |
| Equity at cost | $1,026.41 | $652.68 | $921.12 |
| Utilisation | 73.1% | 76.6% | 78.7% |
| Cash above the reserve | $126.41 | $2.68 | $46.12 |
P&L (cost basis)
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| Realised P&L (net of fees) | $26.41 | −$347.32 | −$78.88 |
| Entry / exit fees | $0.00 / $0.00 | $67.04 / $7.83 | $90.79 / $5.84 |
| Realised before fees | $26.41 | −$272.45 | $17.75 |
| Realised return on starting capital | 2.64% | -34.73% | -7.89% |
Market value (separate basis)
Open lots at their latest 1h/6h/24h mark up to the as-of time. Lots without a mark are valued at cost and counted below.
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| Unrealised at marks | −$58.29 | $6.35 | −$19.87 |
| Equity at marks | $968.12 | $659.03 | $901.25 |
| Open lots without a mark (at cost) | 4 · $100.00 | 0 · $0.00 | 1 · $25.00 |
Risk (cost basis, equity curve)
points older than 7 days are thinned to the last point per hour, so drawdown before thinnedBefore is measured on hourly points
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| Equity points | 35 | 27 | 34 |
| Peak equity | $1,053.82 | $1,000.00 | $1,004.09 |
| Max drawdown ($ / % of running peak) | $191.56 / 18.55% | $347.32 / 34.73% | $135.25 / 13.53% |
| Ending equity | $1,026.41 | $652.68 | $921.12 |
| Hourly points before | 2026-10-12 11:00 UTC | 2026-10-12 11:00 UTC | 2026-10-12 11:00 UTC |
Decisions
Fill rate: fills / decisions, excluding UNKNOWN (no price data) and REJECTED_DUPLICATE_POSITION (same source fill, plan D1).
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| Decisions | 20,456 | 20,453 | 20,453 |
| FILLED | 80 | 72 | 100 |
| PARTIALLY_FILLED | 0 | 0 | 0 |
| UNFILLED | 0 | 5 | 14 |
| EXPIRED | 0 | 0 | 15 |
| INVALID | 0 | 0 | 0 |
| UNKNOWN | 0 | 6 | 12 |
| REJECTED | 20,376 | 20,370 | 20,312 |
| Fill rate | 0.4% | 0.4% | 0.5% |
| Requested / filled | $511,400.00 / $2,000.00 | $511,325.00 / $1,800.00 | $511,325.00 / $2,500.00 |
| Resized to fit a limit | 0 | 0 | 0 |
Rejections by reason
REJECTED_DUPLICATE_POSITION is the same source fill seen by two signals (plan D1), not a risk limit
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| REJECTED_INSUFFICIENT_CASH | 0 | 19,426 | 0 |
| REJECTED_MAX_MARKET_EXPOSURE | 17 | 23 | 35 |
| REJECTED_MAX_OPEN_POSITIONS | 20,055 | 260 | 616 |
| REJECTED_MAX_PORTFOLIO_EXPOSURE | 229 | 438 | 19,250 |
| REJECTED_MAX_WALLET_ALLOCATION | 60 | 212 | 400 |
| REJECTED_DUPLICATE_POSITION (same source fill, shown separately) | 15 | 11 | 11 |
By signal kind
CONSENSUS is under-attributed: when it shares a source fill with NEW_POSITION the lot is credited to NEW_POSITION (plan D1)
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| NEW_POSITION: requests / fills / lots opened | 7,239 / 41 / 41 | 7,239 / 34 / 34 | 7,239 / 40 / 40 |
| NEW_POSITION: open / settled lots | 13 / 28 | 7 / 27 | 8 / 32 |
| NEW_POSITION: realised P&L · fees | $72.15 · $0.00 | −$108.89 · $37.98 | −$28.27 · $42.90 |
| NEW_POSITION: win rate (settled lots) | 53.6% | 44.4% | 53.1% |
| NEW_POSITION: rejections | REJECTED_MAX_MARKET_EXPOSURE: 5 · REJECTED_MAX_OPEN_POSITIONS: 7061 · REJECTED_MAX_PORTFOLIO_EXPOSURE: 103 · REJECTED_MAX_WALLET_ALLOCATION: 29 | REJECTED_INSUFFICIENT_CASH: 6871 · REJECTED_MAX_MARKET_EXPOSURE: 7 · REJECTED_MAX_OPEN_POSITIONS: 96 · REJECTED_MAX_PORTFOLIO_EXPOSURE: 154 · REJECTED_MAX_WALLET_ALLOCATION: 70 | REJECTED_MAX_MARKET_EXPOSURE: 9 · REJECTED_MAX_OPEN_POSITIONS: 261 · REJECTED_MAX_PORTFOLIO_EXPOSURE: 6795 · REJECTED_MAX_WALLET_ALLOCATION: 113 |
| CONSENSUS: requests / fills / lots opened | 4,294 / 8 / 8 | 4,293 / 8 / 8 | 4,293 / 15 / 15 |
| CONSENSUS: open / settled lots | 5 / 3 | 3 / 5 | 8 / 7 |
| CONSENSUS: realised P&L · fees | −$33.52 · $0.00 | −$1.83 · $5.50 | −$23.65 · $11.83 |
| CONSENSUS: win rate (settled lots) | insufficient data (3 settled) | insufficient data (5 settled) | insufficient data (7 settled) |
| CONSENSUS: rejections | REJECTED_DUPLICATE_POSITION: 15 · REJECTED_MAX_MARKET_EXPOSURE: 6 · REJECTED_MAX_OPEN_POSITIONS: 4215 · REJECTED_MAX_PORTFOLIO_EXPOSURE: 37 · REJECTED_MAX_WALLET_ALLOCATION: 13 | REJECTED_DUPLICATE_POSITION: 11 · REJECTED_INSUFFICIENT_CASH: 4024 · REJECTED_MAX_MARKET_EXPOSURE: 6 · REJECTED_MAX_OPEN_POSITIONS: 63 · REJECTED_MAX_PORTFOLIO_EXPOSURE: 95 · REJECTED_MAX_WALLET_ALLOCATION: 86 | REJECTED_DUPLICATE_POSITION: 11 · REJECTED_MAX_MARKET_EXPOSURE: 9 · REJECTED_MAX_OPEN_POSITIONS: 118 · REJECTED_MAX_PORTFOLIO_EXPOSURE: 4019 · REJECTED_MAX_WALLET_ALLOCATION: 116 |
| CONVICTION_ADD: requests / fills / lots opened | 8,739 / 31 / 31 | 8,738 / 30 / 30 | 8,738 / 45 / 45 |
| CONVICTION_ADD: open / settled lots | 12 / 19 | 10 / 20 | 13 / 32 |
| CONVICTION_ADD: realised P&L · fees | −$12.22 · $0.00 | −$236.60 · $31.39 | −$26.96 · $41.91 |
| CONVICTION_ADD: win rate (settled lots) | 63.2% | 40.0% | 59.4% |
| CONVICTION_ADD: rejections | REJECTED_MAX_MARKET_EXPOSURE: 6 · REJECTED_MAX_OPEN_POSITIONS: 8596 · REJECTED_MAX_PORTFOLIO_EXPOSURE: 88 · REJECTED_MAX_WALLET_ALLOCATION: 18 | REJECTED_INSUFFICIENT_CASH: 8353 · REJECTED_MAX_MARKET_EXPOSURE: 10 · REJECTED_MAX_OPEN_POSITIONS: 98 · REJECTED_MAX_PORTFOLIO_EXPOSURE: 187 · REJECTED_MAX_WALLET_ALLOCATION: 56 | REJECTED_MAX_MARKET_EXPOSURE: 17 · REJECTED_MAX_OPEN_POSITIONS: 230 · REJECTED_MAX_PORTFOLIO_EXPOSURE: 8264 · REJECTED_MAX_WALLET_ALLOCATION: 167 |
| EARLY_ENTRY: requests / fills / lots opened | 184 / 0 / 0 | 183 / 0 / 0 | 183 / 0 / 0 |
| EARLY_ENTRY: open / settled lots | 0 / 0 | 0 / 0 | 0 / 0 |
| EARLY_ENTRY: realised P&L · fees | $0.00 · $0.00 | $0.00 · $0.00 | $0.00 · $0.00 |
| EARLY_ENTRY: win rate (settled lots) | insufficient data (0 settled) | insufficient data (0 settled) | insufficient data (0 settled) |
| EARLY_ENTRY: rejections | REJECTED_MAX_OPEN_POSITIONS: 183 · REJECTED_MAX_PORTFOLIO_EXPOSURE: 1 | REJECTED_INSUFFICIENT_CASH: 178 · REJECTED_MAX_OPEN_POSITIONS: 3 · REJECTED_MAX_PORTFOLIO_EXPOSURE: 2 | REJECTED_MAX_OPEN_POSITIONS: 7 · REJECTED_MAX_PORTFOLIO_EXPOSURE: 172 · REJECTED_MAX_WALLET_ALLOCATION: 4 |
Exposure
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| Open lots | 30 | 20 | 29 |
| Invested at cost | $750.00 | $500.00 | $725.00 |
Top markets by cost at risk (market · cost · share of invested · lots)
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| #1 (by cost at risk) | 0x1d261d53c3ef… · $50.00 · 6.7% · 2 lot(s) | 0x4de721382047… · $50.00 · 10.0% · 2 lot(s) | 0x1ba8c5b41450… · $50.00 · 6.9% · 2 lot(s) |
| #2 (by cost at risk) | 0x4de721382047… · $50.00 · 6.7% · 2 lot(s) | 0x694595d0a008… · $50.00 · 10.0% · 2 lot(s) | 0x46ca741da4ab… · $50.00 · 6.9% · 2 lot(s) |
| #3 (by cost at risk) | 0x694595d0a008… · $50.00 · 6.7% · 2 lot(s) | 0xf17a11ec68f1… · $50.00 · 10.0% · 2 lot(s) | 0x4de721382047… · $50.00 · 6.9% · 2 lot(s) |
| #4 (by cost at risk) | 0xe192b7dcc815… · $50.00 · 6.7% · 2 lot(s) | 0x1ba8c5b41450… · $25.00 · 5.0% · 1 lot(s) | 0x694595d0a008… · $50.00 · 6.9% · 2 lot(s) |
| #5 (by cost at risk) | 0x030b0d3c2f07… · $25.00 · 3.3% · 1 lot(s) | 0x1d261d53c3ef… · $25.00 · 5.0% · 1 lot(s) | 0xa33cf18dc8a3… · $50.00 · 6.9% · 2 lot(s) |
| #6 (by cost at risk) | 0x037117484130… · $25.00 · 3.3% · 1 lot(s) | 0x1daed5e41e81… · $25.00 · 5.0% · 1 lot(s) | 0xf17a11ec68f1… · $50.00 · 6.9% · 2 lot(s) |
| #7 (by cost at risk) | 0x03aefac48a2a… · $25.00 · 3.3% · 1 lot(s) | 0x637ff14bf5b7… · $25.00 · 5.0% · 1 lot(s) | 0x56fda0f04440… · $25.00 · 3.4% · 1 lot(s) |
| #8 (by cost at risk) | 0x03c98837ae46… · $25.00 · 3.3% · 1 lot(s) | 0x64c812e9f46c… · $25.00 · 5.0% · 1 lot(s) | 0x57599a84bf50… · $25.00 · 3.4% · 1 lot(s) |
| #9 (by cost at risk) | 0x1ba8c5b41450… · $25.00 · 3.3% · 1 lot(s) | 0x6664de877892… · $25.00 · 5.0% · 1 lot(s) | 0x5c79dfde0555… · $25.00 · 3.4% · 1 lot(s) |
| #10 (by cost at risk) | 0x1daed5e41e81… · $25.00 · 3.3% · 1 lot(s) | 0x7830c4c2881a… · $25.00 · 5.0% · 1 lot(s) | 0x67f3f8d0a0ec… · $25.00 · 3.4% · 1 lot(s) |
Top wallets by cost at risk (wallet · cost · share of invested · lots)
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| #1 (by cost at risk) | 0x1109da04152c… · $100.00 · 13.3% · 4 lot(s) | 0xa3282d3e8825… · $100.00 · 20.0% · 4 lot(s) | 0x83733b87090c… · $100.00 · 13.8% · 4 lot(s) |
| #2 (by cost at risk) | 0xa3282d3e8825… · $100.00 · 13.3% · 4 lot(s) | 0x83733b87090c… · $75.00 · 15.0% · 3 lot(s) | 0xa3282d3e8825… · $100.00 · 13.8% · 4 lot(s) |
| #3 (by cost at risk) | 0x83733b87090c… · $75.00 · 10.0% · 3 lot(s) | 0xc7d02944a76b… · $75.00 · 15.0% · 3 lot(s) | 0xc7d02944a76b… · $100.00 · 13.8% · 4 lot(s) |
| #4 (by cost at risk) | 0x98d04f9eb52d… · $75.00 · 10.0% · 3 lot(s) | 0x55be7aa03ecf… · $50.00 · 10.0% · 2 lot(s) | 0x98d04f9eb52d… · $50.00 · 6.9% · 2 lot(s) |
| #5 (by cost at risk) | 0x0a6d26d31b28… · $50.00 · 6.7% · 2 lot(s) | 0x98d04f9eb52d… · $50.00 · 10.0% · 2 lot(s) | 0xf705fa045201… · $50.00 · 6.9% · 2 lot(s) |
| #6 (by cost at risk) | 0xd1c769317bd1… · $50.00 · 6.7% · 2 lot(s) | 0x1c144e30f405… · $25.00 · 5.0% · 1 lot(s) | 0x0a6d26d31b28… · $25.00 · 3.4% · 1 lot(s) |
| #7 (by cost at risk) | 0xd38b71f3e8ed… · $50.00 · 6.7% · 2 lot(s) | 0x736539924a56… · $25.00 · 5.0% · 1 lot(s) | 0x0cb10c40b077… · $25.00 · 3.4% · 1 lot(s) |
| #8 (by cost at risk) | 0x0cb10c40b077… · $25.00 · 3.3% · 1 lot(s) | 0x7b02b2bac2a3… · $25.00 · 5.0% · 1 lot(s) | 0x1ee9a5fc0966… · $25.00 · 3.4% · 1 lot(s) |
| #9 (by cost at risk) | 0x0ffcad4963e2… · $25.00 · 3.3% · 1 lot(s) | 0xa19cbababc31… · $25.00 · 5.0% · 1 lot(s) | 0x1f9e15f39bbd… · $25.00 · 3.4% · 1 lot(s) |
| #10 (by cost at risk) | 0x55be7aa03ecf… · $25.00 · 3.3% · 1 lot(s) | 0xc8b9a3018424… · $25.00 · 5.0% · 1 lot(s) | 0x55be7aa03ecf… · $25.00 · 3.4% · 1 lot(s) |
Lots
open lots opened 30 days or more before asOf with no resolution; derived here, portfolio_lots.locked_unresolved is not maintained (D11)
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| OPEN | 30 | 20 | 29 |
| PARTIALLY_EXITED | 0 | 0 | 0 |
| EXITED | 8 | 9 | 8 |
| RESOLVED | 42 | 43 | 63 |
| Closed by exit / by resolution | 8 / 42 | 9 / 43 | 8 / 63 |
| Median holding time (settled) | 4.2 h | 4.1 h | 3.2 h |
| Locked unresolved (open 30+ days, no resolution) | 0 · $0.00 | 0 · $0.00 | 0 · $0.00 |
Robustness (settled lots, net of fees)
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| Sample | 50 settled lots | 52 settled lots | 71 settled lots |
| Total | $26.41 | −$335.56 | −$58.92 |
| Total excluding the top 1 / 3 lots by P&L | −$57.28 / −$124.95 | −$364.74 / −$413.32 | −$128.22 / −$201.96 |
| Total excluding the top 5 / 10 lots by P&L | −$179.11 / −$301.20 | −$455.31 / −$542.81 | −$263.04 / −$373.71 |
| Profit factor (gains ÷ losses) | 1.05 | 0.46 | 0.91 |
| Average per lot | $0.53 | −$6.45 | −$0.83 |
| Largest gain / loss | $83.70 / −$25.00 | $29.18 / −$27.42 | $69.30 / −$27.25 |
| Median lot return | 7.11% | -20.09% | 5.45% |
Health
| IDEAL non-causal baseline — not a strategy that could have been run | REALISTIC | CONSERVATIVE | |
|---|---|---|---|
| This cycle | completed | completed | completed |
| Warnings | none | none | none |
| Execution rows after the as-of time (waiting) | 0 | 3 | 3 |
| Rows skipped as stale in the last run | 0 | 0 | 0 |
| Lease | free | free | free |
| Last rewind | none in the last run | none in the last run | none in the last run |
| Rows read in the last run | 3 | 4 | 4 |
| Last run started | 2026-10-19 11:53 UTC | 2026-10-19 11:53 UTC | 2026-10-19 11:54 UTC |
Assumptions
| Assumption | Provenance | Detail |
|---|---|---|
| source trade time | OBSERVED | Block timestamp of the wallet's fill from the Polymarket trade feed. |
| latency label | OBSERVED | Each record carries latency_source = OBSERVED (evaluation time recorded) or ESTIMATED (median/p90 fallback). Estimated latency is never reported as measured. |
| evaluation time | OBSERVED | signals.evaluated_at (new) or paper_ledger.created_at for signals evaluated live; unavailable for the 470 V1 signals back-filled on 18 Sep. |
| assumedDetectionLatencySec | DERIVED | Only when evaluation time is missing. REALISTIC = median (134 s) and CONSERVATIVE = 90th percentile (3,173 s) of observed source→evaluation latency over 36,197 live signals, 18–26 Sep 2026. |
| decision/execution latency | CONFIGURED | Reading the alert and submitting/matching an order. Not observable — no orders were placed. |
| market price at execution | OBSERVED | Last trade at or before the simulated fill time from /v2/prices-history?as_of; only complete buckets ending at or before fill time are used. |
| spreadTicks | APPROXIMATED | Historical order books are not available. Crossing a one-tick spread (REALISTIC) or two ticks (CONSERVATIVE) is assumed. |
| impact | APPROXIMATED | Linear in order notional ÷ source-trade notional. No depth data exists to calibrate it. |
| liquidity / participation | APPROXIMATED | The source wallet's own fill proves at least that notional traded at that time; the follower may take up to 1× (REALISTIC) or 0.5× (CONSERVATIVE) of it. Orders beyond that are partially filled. |
| tick size / min order | OBSERVED | Gamma orderPriceMinTickSize / orderMinSize when present; else 0.01 and 5 shares (Polymarket defaults). Tick drops to 0.001 below 0.04 / above 0.96 (DERIVED from Polymarket tick rules). |
| fees | OBSERVED | Taker fee = shares × feeRate × p × (1 − p) (docs.polymarket.com/trading/fees). Per trade the provenance is recorded: OBSERVED_FEE_FREE (feesEnabled=false), OBSERVED_RATE, ASSUMED_RATE (fees on, rate not provided → 0.05 REALISTIC / 0.07 CONSERVATIVE), ASSUMED_UNKNOWN (no metadata). The flag is read today and applied to past trades: DERIVED, because Polymarket sets fee status per market at deployment ('fees apply only to markets deployed on or after the activation date'); fee_observed_at records when it was read. |
| resolution value | OBSERVED | /v2/resolutions payouts (micro-USDC per share) with resolved_at; settlement is not an execution (no slippage, no fee). |
| marks (1h/6h/24h) | OBSERVED | Observations only. Never used as execution prices. |
Mode parameters
| Parameter | IDEAL | REALISTIC | CONSERVATIVE |
|---|---|---|---|
| assumedDetectionLatencySec | 0 | 134 | 3173 |
| decisionLatencySec | 0 | 5 | 60 |
| executionLatencySec | 0 | 5 | 15 |
| maxQuoteAgeSec | Infinity | 3600 | 900 |
| maxSignalAgeSec | null | null | 3600 |
| spreadTicks | 0 | 1 | 2 |
| impactTicksAtFullParticipation | 0 | 1 | 3 |
| participation | null | 1 | 0.5 |
| feeModel | none | market | market |
| fallbackFeeRate | 0 | 0.05 | 0.07 |
| defaultTickSize | 0.01 | 0.01 | 0.01 |
| defaultMinOrderShares | 0 | 5 | 5 |