Every note ships with its dataset, assumptions and reproduction command — including the ones that find nothing.
Verified · live venue data
Lossless capture at venue rate
601 frames captured at 10.1/s against the live book-diff feed. All 601 continuity-checked, zero gaps, chunk hash independently cross-checked.
Verified · live venue snapshot
Snapshot bootstrap with exact skip counts
400-frame capture against a mid-stream depth snapshot: 133 pre-snapshot events skipped — matching an independent count exactly — 267 applied, zero gaps.
Verified · venue-published depth
Top-of-book matches the venue 300/300
Best bid/ask and levels 1–2 match the venue's own published book on all 300 checks. Deeper mismatches trace to the venue's servers disagreeing with each other — stated, not hidden.
Verified · live venue data
Bybit order books on spot and perp
Second venue connected with its own subscribe protocol: 1 snapshot + 316 deltas on spot, 1 snapshot + 374 deltas on perp, zero gaps on both — versions continuity-checked on every market frame, and in-band snapshots bootstrap the book mid-stream.
Probed · auth wall
Coinbase has no public order book
The venue refuses unauthenticated level2 subscriptions outright. Ticker and trades are public but carry no checkable sequence — so no rule is claimed. Evidence over assumptions.
Verified · live venue data
Coinbase trades and top-of-book, live
Third venue connected: 33 genuine matches and 35 tickers captured live. No order book exists publicly, and the shared sequence admits no strict rule — so both report unchecked, honestly.
Verified · live replay
Same capture, same hash, ten times
151 live frames replayed ten times under one seed: ten identical signal hashes. Repetition is the test — passed on real data.
Verified · same-connection books
Full depth, exact — with a complete bootstrap
One connection, two channels, a 1000-level bootstrap: 149 of 150 depth-10 checks exact. Partial bootstraps diverge by rank drift; two connections by server disagreement. Both mechanisms proven, not assumed.
Verified · live replay
Same capture, same hash, different seeds
96 live frames replayed under two seeds: identical signal hashes. Seed-independence was expected — now it is measured.
Measured · synthetic scale
Every reader streams, every byte accounted
300k synthetic frames replay chunk-by-chunk with identical signal hashes to load-all (141 MB → 12 MB on the quiet strategy); 200k normalize at 28 MB (was 256) with identical file layout. Synthetic inputs, real guarantees.
Verified · fixture equivalence
Parquet replays exactly like raw
A mixed 7-frame capture — diffs, bundle trades, topbook, gap, one unparseable frame — emits byte-identical signal hashes through raw and normalized replay. The null row replays as a counted skip in both.
Seeded · bronze corpus
One reproducing run out of the box
benchmark-corpus/ holds a 10-frame capture, a config, and a recorded registry run that verifies reproduced immediately — honestly labeled bronze, with tier graduation rules written down.
Enforced · CI gate
Determinism pinned, not promised
ops/determinism.sh check runs on every push: normalize-twice byte equality plus pinned replay and tree hashes over an 8-frame fixture. Verified green — and verified red on a doctored index.
Procedure defined
Cross-machine reproduction, ready to run
Same capture bytes plus same commit plus same seed must yield equal verdicts, equal Parquet tree hashes, and equal signal hashes. The steps are written down — awaiting a second machine.
Published · research note 003
14,979 prints over 30 minutes: 529 in the busiest second, silence in a fifth of them, 73% sharing a millisecond. Bars average what never existed.
Published · research note 002
14,979 prints over 30 minutes: median $8, top 1% carries 46.4% of volume. Equal-weighted signals let dust outvote size.
Published · research note 001
15,655 live prints over 10 minutes: per-minute buy share swings 12.8%–95.3% by count but sums to 50.6% by volume. The naive signal dies at fees — a first-class negative result.
Published · research note 004
BTC long-spot/short-perp over Q1 2024: $556.74 funding against $20 fees and $12.88 of adverse basis drift — net +$523.85 on $20k. One window, hourly bars, every assumption on the table.
Published · research note 005
Identical hold over Q4 2022: $78.08 funding against the same $20 fees — net +$55.51, inside every unmodeled cost at once. Carry has weather; fees are constant.
Published · research note 006
Enter rich premiums, exit weak ones: drift flips −$53 to +$255 — but 163 round trips cost $3,260 against $455 harvested. Selectivity is real edge before turnover.
Published · research note 007
Five hysteresis widths, one monotonic gradient: turnover dominates at every width. The widest band scrapes +$81 and still trails doing nothing by $300.
Published · research note 008
All of 2023, no chosen windows: unconditional +$746.55 against timed +$241.48. Eleven of twelve months paid; turnover is the only variable that ever decides the sign.
Published · research note 009
One week, ~15M prints, spot vs perp: the US third carries 42–44% on both; spot taker-buy slides 44%→38% while perp sits at 50%; both batch half their prints into shared milliseconds.
Published · research note 010
OI flushed −7.4% the day before the March 2023 spot halt, then the long/short ratio flipped 0.70→0.94 while spot was dark. Halting one venue relocates positioning; it does not freeze it.
Published · research note 011
Hourly taker-buy share predicts the next hour at r=+0.36 — identically in Asia, EU, and US. Direction varies by session; memory does not.
Published · research note 012
Loud hours carry the full +0.32 while quiet ones read +0.03; perp manages +0.12 and forgets. Persistence belongs on spot, sized by conviction.
Published · research note 013
SVB week at 7× flow: r=+0.49, gradient replicates, session split unresolved within error bars. Suggestive strengthening, established persistence.
Published · research note 014
Luna week: r=+0.62 overall, +0.75 in loud hours, sessions uniform throughout. Calm, SVB, Luna order monotonically — memory follows stress.
Published · research note 015
Batched vs streaming fills agree on everything across 4,096 adversarial streams. Intra-millisecond order never changes a v1 conclusion.
Published · research note 016
Short-spot/long-perp in the most negative month: +$17.37 funding vs $20 fees nets −$2.23 at zero borrow. Carry is one-directional at retail size.
In progress
How much quoted spread is capturable?
Cross-exchange spreads measured as fill probability plus cost-adjusted edge — never as P&L. The platform’s calibration benchmark.
Planned
Cost-adjusted funding and basis carry
Can a simple delta-neutral funding strategy survive realistic fees, slippage, basis movement and execution constraints? Asked honestly, answered with data.