jgrusewski
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e6b3fffa6d
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spec: fix 4 critical issues from review — OFI_DIM cascade, deploy atomicity
1. Enumerate all 6+ files with hardcoded OFI_DIM=8 literal
2. Document atomic deploy requirement (code + fxcache together)
3. Rename Depth Renewal Rate → Order Count Flux (MBP-10 approximation)
4. Fix Intra-Bar Momentum to Welford online covariance (O(1), no Vec)
5. Clarify snapshot() is pure read, non-mutating, idempotent
6. Fix precompute time: 8s CPU + 5min I/O = ~5-10min total
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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2026-04-16 23:43:55 +02:00 |
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jgrusewski
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a2587fd087
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spec: Tick-Level Microstructure Intelligence — 12 new features from MBP-10
OFI_DIM: 8→20. IncrementalMicrostructureCalculator: O(1) per tick.
Pearls: OFI trajectory, realized variance, Hawkes trade intensity.
Gems: book pressure gradient, spread dynamics, aggression ratio,
queue depletion, depth renewal rate.
Novels: intra-bar momentum, microstructure regime score, order flow
acceleration, toxicity gradient, speculative H100 inference (N10),
mid-bar regime early warning (N11).
Databento (GLBX.MDP3, mbp-10) for all tick data. IBKR execution only.
fxcache single format, regenerate all files.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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2026-04-16 23:39:36 +02:00 |
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