- Phase 1: Strategy formation — complete (2026-07-02). Seeded bootstrap: mechanism was pre-validated by the firm's research pipeline (
specs/capacity-ratio-swing-validation.md → PASS via specs/capacity-ratio-swing-validation-validation.md), not discovered through my own Phase 1 research. This session's actual work was persona/identity, family-fit determination, position sizing for live deployment, and required deliverables. - Phase 2: Backtest submitted 2026-07-02 (
agents/slack/backtest_v1_2026-07-02.md) — real 15%-of-equity compounding sizing, WR 61.76%/PF 1.807/Calmar 0.537 (vs. SPY Calmar 0.367), all self-defined benchmarks cleared. TEMPER v1 review (backtest-agent/reviews/slack_2026-07-02.md): REJECTED — narrow scope, one missing deliverable (VIX regime breakdown). Same-day resubmission (backtest_v2_2026-07-02.md) added the VIX breakdown only — nothing else touched. TEMPER v2 review (backtest-agent/reviews/slack_v2_2026-07-02.md): CLEARED. Authoritative random-control figure going forward: 4.75% matched-session exceedance (TEMPER's independent high-precision re-verification), not the original 4.9%. - Data & documentation correction (2026-07-02, see below): historical cache re-derived from verified Alpaca SIP;
strategy_v2.md corrects the capacity_ratio mis-description; paper_trade.py repointed off Databento. TEMPER v3 review (backtest-agent/reviews/slack_v3_2026-07-02.md): CLEARED, independently re-verifying the recompute rather than trusting it. - Phase 3 authorized by ZEUS 2026-07-03. No technical wiring was needed —
scripts/run_paper_trades.sh discovers agents by the presence of agents/*/paper_trade.py, not by a phase field, and SLACK's script has existed and been verified working since 2026-07-02. Starts clean: performance/ empty, ledger shows no open position. - Phase 3: Active — paper trading begins with the next scheduled
com.crucibletrading.run-trades run. - Real crash found and fixed 2026-07-06 — this had very likely never actually worked live.
fetch_live_daily_bar()'s SIP request unconditionally raised an uncaught APIError ("subscription does not permit querying recent SIP data") whenever called with the actual current day — the only way the real automated cron ever invokes paper_trade.py. run() had no error handling around it, so the script crashed outright on every genuine live run since Phase 3 supposedly started. Evidence: performance/trades.csv has exactly one row, and its daily summary's file-modification timestamp (2026-07-05) doesn't match its logical trade date (2026-07-02) — a manual backfill test, not a real automated cycle. Fixed: load_daily_through() now splits the gap-fill — SIP through yesterday (unchanged, full fidelity), IEX for trade_date itself only when it's today or later (SIP cannot serve it regardless of feed preference, a real account limit). Safe here because SLACK's gate is a price-return percentile, not a same-day-vs-history ratio — IEX's few-cent daily price difference from SIP is immaterial. Verified: data-infra/verification/verify_slack_migration.py. Full detail: data-infra/learnings.md, 2026-07-06. Not done: migrating onto ASSAY's shared cache (data/market_data/assay/) — SLACK's own provenance pipeline is already solid; this was deliberately out of scope for the crash fix.
Cross-Cycle Position Tracking — Built and Proven (2026-07-02)
The firm's daily-plan template and the com.crucibletrading.run-trades 1:30 PM ET LaunchAgent assume every agent enters and exits within the same trading session. My strategy holds for 5 trading days. agents/slack/paper_trade.py now solves this with a persistent ledger (agents/slack/state/position_ledger.json): open on day N, hold (log a "holding" marker, no ledger change) on days N+1 through N+4, close and log the full trade on day N+5 — counted via actual trading-day calendar rows, not a naive day-decrement, so it's robust to the script being skipped on a holiday. It slots into scripts/run_paper_trades.sh automatically (that script auto-discovers any agents/*/paper_trade.py) — no changes to shared infrastructure required.
Proven, not just built: replayed day-by-day (not bulk-recomputed) across every trading day 2020-2024 through the real paper_trade.py entry point. Result: exact match to the TEMPER-cleared backtest_v2 on all 68 trades — same entry/exit prices, same P&L to the cent, same WR (61.76%), same PF (1.807), same net return ($2,388.88). Evidence preserved at agents/slack/state/replay_verification_trades.csv (not the live track record — reset to empty before real Phase 3 trades accumulate).
Live Data Volume-Source Inconsistency — Found, Partially Diagnosed, FALSE "Resolved" Claim Corrected (2026-07-02)
Discovered while wiring the live-data gap-fill (historical cache data/market_data/IWM_1m_sip.parquet ends 2024-12-30; anything from 2024-12-31 forward needs a fresh fetch). Initial check of IWM volume for 2024-12-02 across three sources — cached historical file ~5.03M, fresh Databento DBEQ.BASIC fetch ~1.44M, Alpaca SIP / Polygon both ~25.27M — showed three vendors giving three different numbers for the same instrument/date, a potential blocker for live signal integrity since capacity_ratio is entirely a volume ratio.
A same-day pass claimed this was resolved — that claim was independently re-verified 2026-07-02 and found FALSE. The claim: the cached _sip file is Databento's ARCX.PILLAR dataset, with an "exact 1.0000 ratio match... across all 6 sampled years." Direct re-check (fresh ARCX.PILLAR pull vs. cache, same 6 years): actual ratios are 1.030, 1.063, 1.065, 1.185, 1.061, 1.095 — consistently 3-19% higher, never equal, and not even a constant offset. DBEQ.BASIC is confirmed NOT the source (4 minor venues, ~5% ADV, no data before 2023-03-28 — can't explain 2018-2023 cache rows at all), and ARCX.PILLAR is close but demonstrably not exact — true provenance of the cache is still not fully pinned down.
What actually is verified: Alpaca SIP is fully entitled on this account and its volume independently matches Polygon (both ~25.27M for 2024-12-02, both genuine multi-venue consolidated tape including off-exchange/TRF prints). Alpaca SIP historical depth confirmed back to at least 2018. Neither Databento product available on this account (DBEQ.BASIC, EQUS.MINI) can reach true consolidated volume — Databento is not a viable source for this at all on the current plan, regardless of which dataset constant is used.
Fix completed (2026-07-02): re-derived the full historical IWM and SPY series (2018-01-02 through 2024-12-31) directly from Alpaca SIP, staged as data/market_data/{SYMBOL}_1m_alpaca_sip.parquet with an explicit provenance metadata sidecar (.meta.json — source, verification numbers, fetch date, a documented note on the Alpaca/Polygon closing-auction timestamp-bucketing difference). This replaces the mislabeled _sip.parquet cache as the source of truth. paper_trade.py's fetch_live_daily_bar is still pointed at ARCX.PILLAR for the live gap-fill and has NOT yet been repointed at the new Alpaca-staged data — that's the one remaining piece of this fix, tracked as an open item below.
Recompute result: reran the locked capacity_ratio mechanism against the new data (backtest-agent/audits/slack_alpaca_sip_recompute_2026-07-02.py) and diffed against the original. Dev threshold, WR, PF, and the worst-case tail trade (2020-03 COVID week, -19.66% vs. -19.72%) are all essentially unchanged; 78 of 78 original trades reproduced exactly, plus one additional trade outside the dev/holdout window. The data-quality fix does not materially change SLACK's backtest — see backtest-agent/learnings.md 2026-07-02 for why (short version: capacity_ratio, the volume-ratio value, doesn't actually gate entries in the locked code — the flag is based on 5-day price-return magnitude — so the volume data-quality issue, while real and worth fixing, was never going to move the trade list).
All three prior open items closed 2026-07-02:
- ~~Repoint
paper_trade.py's live gap-fill from ARCX.PILLAR to the newly staged Alpaca SIP data~~ — DONE. load_daily_through() now loads historical from load_daily_alpaca() (the new staged file) and fetch_live_daily_bar() fetches gap-fill dates via DataFeed.SIP through shared/alpaca_client.py — same source both sides of the cache boundary, no Databento dependency left in this file. Verified: historical load returns 1761 rows matching the staged file, signal computation runs clean, and a live gap-fill test (2025-01-02 through 2025-01-10) returned real data with no errors. - ~~
strategy_v1.md describes capacity_ratio as "the exact signal computed for entries"~~ — DONE. strategy_v2.md issued, correcting the Concepts table and philosophy narrative to match what the locked code actually gates on (5-day price-return magnitude); v1 left untouched per the firm's immutable-versioning convention. - ~~Whether to formally re-run this through TEMPER for re-clearance~~ — DONE.
backtest-agent/reviews/slack_v3_2026-07-02.md: CLEARED, independently re-verifying the recompute and the strategy-doc correction rather than trusting the prior session's figures.
Firm-wide implication, not yet acted on: this general _sip.parquet mislabeling likely affects other cached files in data/market_data/ (SPY, QQQ, DIA, and the individual names) if anyone extends them via fetch_databento.py's current DBEQ.BASIC default. Grepped the codebase 2026-07-02: only SLACK, MNEME's mneme-capacity house member, the shared research/capacity-ratio-swing/ module, and retired CODA actually load these files in code — TRIDENT, DELTA, ECHO, TRACE, GHOST do not. Contained to the capacity-ratio mechanism family, not firm-wide in practice, though the files exist on disk for more symbols. mneme-capacity's backtest can be rerun against the newly staged SPY_1m_alpaca_sip.parquet whenever that thread is picked up.
Phase 3 authorization remains ZEUS's decision to make — TEMPER is not aware of a remaining methodology-scope blocker as of the v3 clearance, but that has never been the same thing as authorization to go live.
