From 12151ccf6aaa1fa4d3e213917fbefc300beadfe6 Mon Sep 17 00:00:00 2001
From: jgrusewski <jgrusewski@localhost>
Date: Fri, 15 May 2026 13:26:21 +0200
Subject: [PATCH] feat(alpha): fitted FillModel coefficients from 500K ES.FUT
 snapshots
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Phase E.0 Task 5c. Ran phase_e_fit_fill_model on the ES.FUT 2024-Q1 MBP-10
+ trade tape (5.2M trades, 3.9M MBP-10 events, 500K snapshots accumulated
at snapshot_interval=50 over a ~24-minute window). Total runtime ~80s.

Empirical fill rates within 60s window:
  - bid_l1: 4.97%   (matches L1 maker-side activity in trending market)
  - ask_l1: 71.34%  (high — most 60s windows see an aggressive buy)

Fitted L1 cloglog coefficients (all 5 features):
  BID L1: β_0=-0.213  β_spread=-2.064  β_imbal=-0.099  β_ofi=-0.006  β_logτ=-0.286
  ASK L1: β_0=+0.016  β_spread=-40.336 β_imbal=+0.041  β_ofi=+0.652  β_logτ=-0.055

Sanity (sign checks all pass):
  - β_spread < 0 both sides   (wider spread → fewer fills) ✓
  - bid β_imbal < 0           (more bid stack → harder to get hit by sell) ✓
  - ask β_ofi > 0             (buying pressure correlates with ask fills) ✓
  - β_logτ < 0 both sides     (quieter markets → slower execution) ✓

L1-only limitation: as documented in the binary header, the parser only
populates levels[0]; L2/L3 in the JSON are L1 with β_0 -= ln(L+1) attenuation.

Default --out-path bumped to config/ml/phase_e_fill_coeffs.json so future
re-runs land in the same committed location.
---
 config/ml/phase_e_fill_coeffs.json           | 60 ++++++++++++++++++++
 crates/ml/examples/phase_e_fit_fill_model.rs |  2 +-
 2 files changed, 61 insertions(+), 1 deletion(-)
 create mode 100644 config/ml/phase_e_fill_coeffs.json

diff --git a/config/ml/phase_e_fill_coeffs.json b/config/ml/phase_e_fill_coeffs.json
new file mode 100644
index 000000000..aea5fdf63
--- /dev/null
+++ b/config/ml/phase_e_fill_coeffs.json
@@ -0,0 +1,60 @@
+{
+  "ask_coeffs": [
+    [
+      0.015584787353873253,
+      -40.335906982421875,
+      0.041306495666503906,
+      0.6524077653884888,
+      -0.055438391864299774
+    ],
+    [
+      -0.677562415599823,
+      -40.335906982421875,
+      0.041306495666503906,
+      0.6524077653884888,
+      -0.055438391864299774
+    ],
+    [
+      -1.0830274820327759,
+      -40.335906982421875,
+      0.041306495666503906,
+      0.6524077653884888,
+      -0.055438391864299774
+    ]
+  ],
+  "bid_coeffs": [
+    [
+      -0.21279112994670868,
+      -2.063631057739258,
+      -0.09875621646642685,
+      -0.006330371834337711,
+      -0.28642183542251587
+    ],
+    [
+      -0.9059383273124695,
+      -2.063631057739258,
+      -0.09875621646642685,
+      -0.006330371834337711,
+      -0.28642183542251587
+    ],
+    [
+      -1.3114033937454224,
+      -2.063631057739258,
+      -0.09875621646642685,
+      -0.006330371834337711,
+      -0.28642183542251587
+    ]
+  ],
+  "empirical_ask_l1_rate": 0.713424,
+  "empirical_bid_l1_rate": 0.049668,
+  "fit_iters": 1000,
+  "fit_lr": 0.009999999776482582,
+  "l1_only_limitation": true,
+  "l1_only_limitation_reason": "parse_mbp10_streaming ignores Mbp10Msg.levels[1..10]; L2/L3 coefficients are L1 with attenuated β_0 (-ln(L+1))",
+  "n_degenerate_skipped": 138941,
+  "n_snapshots": 500000,
+  "n_trades": 5198778,
+  "phase": "E.0 Task 5",
+  "snapshot_interval": 50,
+  "window_seconds": 60.0
+}
\ No newline at end of file
diff --git a/crates/ml/examples/phase_e_fit_fill_model.rs b/crates/ml/examples/phase_e_fit_fill_model.rs
index 063028729..96f492d2d 100644
--- a/crates/ml/examples/phase_e_fit_fill_model.rs
+++ b/crates/ml/examples/phase_e_fit_fill_model.rs
@@ -74,7 +74,7 @@ struct Cli {
     #[arg(long, default_value_t = 60.0)]
     window_seconds: f32,
     /// Output JSON path.
-    #[arg(long, default_value = "phase_e_fill_coeffs.json")]
+    #[arg(long, default_value = "config/ml/phase_e_fill_coeffs.json")]
     out_path: PathBuf,
     /// MBP-10 events between snapshot emissions (denser = larger sample).
     #[arg(long, default_value_t = 10)]