From 40e2ac1a6f413f1f8a70dc2d6556549324bfec17 Mon Sep 17 00:00:00 2001 From: TradeAC Book Agent Date: Tue, 18 Aug 2026 23:18:29 +0000 Subject: [PATCH] =?UTF-8?q?book:=20ch11=20live=20execution=20&=20reconcili?= =?UTF-8?q?ation=20=E2=80=94=20round=203,=20evidence=20#020?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../11-live-execution-reconciliation.md | 39 +++++++++++++++++++ 1 file changed, 39 insertions(+) create mode 100644 book/chapters/11-live-execution-reconciliation.md diff --git a/book/chapters/11-live-execution-reconciliation.md b/book/chapters/11-live-execution-reconciliation.md new file mode 100644 index 0000000..1cdd1ce --- /dev/null +++ b/book/chapters/11-live-execution-reconciliation.md @@ -0,0 +1,39 @@ +# Chapter 11 — Live Execution and Reconciliation + +Status: drafting. Claim inventory: see `README.md` ch. 11. HITL review gate applies: live performance numbers, cost/slippage figures. + +The book's spine is that claims must be reconcilable (ch. 00). This chapter closes the loop: the live round that executed the proved reference signal, the funnel that held, the realized cost, and what reconciliation says about the backtest's honesty. + +## The round + +Round 3 (target date 2026-08-17) ran the exp-26 n_drop=1 configuration retrained on a rolling 4-year window, Topk10 with risk limits (liquidity floor $5M, size cap 12%, concentration cap 95%, drawdown pause 10%) `(PROVEN → round 3, EVIDENCE#020; trace 27, run 721ef257…, branch exp/27-scheduled-algo-retrain-on-2026-08-17)`. + +## The funnel held + +The execution funnel — targets → intents → decisions → placed → filled — closed at **10 → 10 → 10 → 9** `(PROVEN → round 3 funnel)`: + +- 10 targets from the strategy's target list, +- 10 decided, 10 placed, +- 9 filled, 1 cancelled, and 1 skipped (SLV, `delta_zero` — the pre-skip gate stopped a zero-delta name). + +A 90% fill-to-target ratio with one deliberate skip is a funnel that executed what the research claimed it would — the strategy's intent survived the gates and the broker. The reconciliation (targets vs decisions vs fills, per-symbol residuals) is available from the round's `book_reconcile`. + +## Realized cost + +Invested notional was **$74,202.85** with **realized slippage ≈ 4.54 bps** and estimated cost ≈ **$45**; turnover ≈ 0.74 `(PROVEN → round 3 metrics, EVIDENCE#020)`. The slippage figure is *realized* — taken from fills versus the expected execution price in the round's order trail — not a backtest assumption. This is the number the backtest cost model must be judged against. + +## What reconciliation says about the backtest + +The backtest cost model assumes 5bp open / 15bp close / $5 minimum (ch. 03). Realized slippage of 4.54 bps is inside the model's open-side assumption and well under the close-side assumption — the first live round did **not** reveal a cost-model under-estimate. That is a positive but narrow result: one round, ~$74k notional, mostly buys. The honest statement is the one the book keeps making — **live beats backtest, and one round is one round** `(PROVEN → round 3; generality HYPOTHESIS)`. + +`TODO(evidence-needed: reconcile realized cost against the 5bp/15bp/$5 model over a full position window — the round's buys are still held at writing)` + +`TODO(evidence-needed: a second live round beyond round 3, to confirm slippage and funnel hold under a different market regime)` + +## The trail as ground truth + +Every claim in this chapter traces to the tac-rd-book execution trail — round_id, intents (versioned target portfolios), decisions (placed/skipped with reasons), linked Alpaca orders, fills, and the reconcile roll-up `(PROVEN → tac-rd-book schema and round 3 data)`. This is the honest alternative to quoting a backtest as a promise: the round can be re-opened, per-symbol residuals inspected, and the funnel re-counted by anyone with read access. + +## Practice note + +The funnel and cost figures are the *target* for the next round: the desk expects slippage ≤ ~5 bps and funnel ≥ 9/10 fills under normal conditions; any round that materially breaches either is a reconciliation event, not a rounding error (ch. 10, risk posture). \ No newline at end of file