# 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).