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feat(research): add 15s full-depth repricing horizon - #377

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codex/reprice-horizon-15s-231
Jul 26, 2026
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feat(research): add 15s full-depth repricing horizon#377
proerror77 merged 2 commits into
mainfrom
codex/reprice-horizon-15s-231

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Closes #231

Change contract

Add a side-bound, causal 15-second full-depth token repricing horizon: labels, fillability, slippage/PnL reporting, AutoFactor/MCTS registration, reprice-pilot output, and immutable policy/template identity.

Acceptance evidence

  • 15s labels use the first same-side future observation at or after the causal boundary.
  • Wrong-token, stale-book, and insufficient future-depth cases fail closed; unavailable depth remains unavailable PnL.
  • Both Up and Down sides publish 15s full-depth event/matrix fields and side-bound search artifacts.
  • Full-depth execution artifact schema is explicitly v2; existing 5/10/30 fields remain intact.

Out of scope

Collector/runtime rollout (#326), settlement prediction, new market durations, Paper/Shadow/Live execution, and promotion.

Dependency and merge order

Depends on #230 (merged side-bound Mission v3 execution contract). Independently mergeable after current main.

Focused validation

  • cargo test -p ploy-research --lib (326 passed)
  • cargo check -p ploy-research --features db --bin monday-prediction-evaluator
  • cargo test -p ploy-research --features db --example persist_research_trace alpha_zoo_export_requires_side_only_for_repricing_targets -- --nocapture
  • cargo clippy -p ploy-research --lib --no-deps -- -D warnings
  • cargo fmt --check and git diff --check
  • Two independent code reviews: PASS after follow-up fixes.

Rollout and rollback impact

Research-only additive horizon. Rollback is reverting this PR, restoring the prior v1 full-depth artifact and leaving existing 5/10/30-second targets unchanged.

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Review details
⚙️ Run configuration

Configuration used: defaults

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Run ID: abc22542-aa8b-40c6-87f2-2d0091025c6e

📥 Commits

Reviewing files that changed from the base of the PR and between 3e20732 and 24d4e89.

📒 Files selected for processing (8)
  • rust_hft/prediction-markets/config/autofactor_accounting_catalog.json
  • rust_hft/prediction-markets/config/research_missions/polymarket-btc-5m.example.json
  • rust_hft/prediction-markets/config/research_missions/polymarket-sol-5m.example.json
  • rust_hft/prediction-markets/crates/ploy-research/examples/persist_research_trace.rs
  • rust_hft/prediction-markets/crates/ploy-research/src/alpha_search.rs
  • rust_hft/prediction-markets/crates/ploy-research/src/autofactor.rs
  • rust_hft/prediction-markets/crates/ploy-research/src/bin/monday-prediction-evaluator.rs
  • rust_hft/prediction-markets/crates/ploy-research/src/factors_v2.rs
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🧪 Generate unit tests (beta)
  • Create PR with unit tests
  • Commit unit tests in branch codex/reprice-horizon-15s-231

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💡 Codex Review

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Reviewed commit: 6ee59504a9

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Comment thread rust_hft/prediction-markets/crates/ploy-research/src/factors_v2.rs
@proerror77
proerror77 force-pushed the codex/reprice-horizon-15s-231 branch from 6ee5950 to 32db596 Compare July 26, 2026 10:15
@proerror77
proerror77 merged commit 4c8b2c9 into main Jul 26, 2026
38 checks passed
@proerror77
proerror77 deleted the codex/reprice-horizon-15s-231 branch July 26, 2026 10:37
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Add a 15-second full-depth token repricing horizon

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