feat(research): verify real lifecycle latency evidence by proerror77 · Pull Request #784 · proerror77/monday

proerror77 · 2026-08-09T19:16:18Z

Change contract

Verify signed, pre-snapshot Binance LiveSmall fill lifecycle observations and derive deterministic latency and slippage percentiles for ResearchSnapshot V2.

Issue relationship

Refs #779

Out of scope

Materializer publication and fee, funding, and OI binding remain in the next stacked rollout unit. Paper and Shadow observations are deliberately rejected as non-real costs.

Dependencies and merge order

Depends on #783, which depends on #781. Merge in that order, then retarget each next PR to main.

Focused validation

Linux target library and test compilation passed.
Unit contract accepts one signed LiveSmall lifecycle sample and rejects the same signed sample in Shadow mode.
Log and trusted-key bytes are SHA-256 anchored before parsing; every candidate event is Ed25519 verified.

Rollout and rollback

No runtime mutation and no order authority. Rollback is the single commit.

Scope exception

None.

…ntract-v2 # Conflicts: # agent-worktree.yml

coderabbitai · 2026-08-09T19:16:25Z

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chatgpt-codex-connector

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chatgpt-codex-connector · 2026-08-09T19:22:48Z

+        observations.push((
+            event.observed_at,
+            metric_u64(&event.metrics, "intent_to_private_report_us")?,
+            metric_nonnegative(&event.metrics, "realized_slippage_bps")?,
+        ));


Deduplicate signed events before calculating percentiles

When an anchored JSONL contains the same valid signed event more than once—for example after retrying or concatenating logs—each copy is appended as a separate observation even though event_id identifies one runtime event. This inflates observations and reweights every reported percentile, allowing duplicated evidence to misrepresent the completeness and measured costs; reject conflicting duplicates or count each event ID once.

AGENTS.md reference: AGENTS.md:L65-L66

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chatgpt-codex-connector · 2026-08-09T19:22:48Z

+            || event.kind != AttributionKind::Fill
+            || event.outcome != AttributionOutcome::Healthy
+            || event.deployment_id != deployment_id
+            || event.venue.as_deref() != Some("binance")


Compare the Binance venue case-insensitively

A valid deployment can spell the venue as Binance: deployment validation only requires nonempty text, live activation matches configured venues case-insensitively, and attribution copies the envelope's original casing into the signed event. In that supported case this exact comparison silently discards every otherwise valid lifecycle observation and returns “no observations”; normalize the venue or use the same case-insensitive comparison as live intake.

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chatgpt-codex-connector · 2026-08-09T19:22:48Z

+            mode,
+            outcome: AttributionOutcome::Healthy,
+            kind: AttributionKind::Fill,
+            strategy_id: None,


Provide the required strategy ID in fill fixtures

Both added tests call write_fixture, but this fill event sets strategy_id to None. sign_runtime_attribution_event validates the event first, and the domain contract requires fill events to include strategy, order, account, venue, and symbol scope, so the unwrap() while signing always panics before either verifier assertion runs; populate a valid strategy ID so the focused tests exercise the new code.

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chatgpt-codex-connector · 2026-08-09T19:22:48Z

+            || event.deployment_id != deployment_id
+            || event.venue.as_deref() != Some("binance")


Bind lifecycle evidence to the snapshot market

When building a USDM snapshot, this filter cannot distinguish a BTCUSDT spot fill from a BTCUSDT futures fill because neither the verifier arguments nor the accepted event scope includes an instrument type. CexReplaySnapshotV2 supports both spot and usdm, while the current Binance live execution adapter explicitly rejects futures orders, so passing an existing spot deployment here can incorrectly supply spot latency and slippage as USDM evidence instead of failing for missing real derivatives observations.

AGENTS.md reference: AGENTS.md:L65-L66

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…into codex/lob-pit-trade-features

…to codex/runtime-latency-evidence # Conflicts: # agent-worktree.yml

…eatures # Conflicts: # agent-worktree.yml # rust_hft/research-core/manifest/src/lib.rs

…to codex/runtime-latency-evidence # Conflicts: # agent-worktree.yml

proerror77 · 2026-08-09T20:00:18Z

@codex review exact head 0942036

chatgpt-codex-connector · 2026-08-09T20:04:00Z

Codex Review: Didn't find any major issues. Chef's kiss.

Reviewed commit: 0942036449

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proerror77 · 2026-08-09T20:05:54Z

@codex review exact head 42dcef4

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chatgpt-codex-connector · 2026-08-09T20:13:38Z

+            || event.kind != AttributionKind::Fill
+            || event.outcome != AttributionOutcome::Healthy
+            || event.deployment_id != deployment_id
+            || event.account_id.as_deref() != Some(account_fingerprint)


Do not compare account IDs directly with fee fingerprints

When this verifier consumes real live output, this predicate filters every fill: order_attribution writes ActivationRequest.account_id into event.account_id (apps/live/src/runtime_attribution.rs:752), and configured IDs are human-readable values such as binance_main, whereas binance-fee-snapshot derives account_fingerprint as SHA-256 of the API key (tools/collector/src/bin/binance-fee-snapshot.rs:65). These are distinct identity domains, so valid evidence ends with “no observations”; pass the expected runtime account ID separately and bind it to the credential fingerprint at the credential/configuration boundary instead of equating the two.

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chatgpt-codex-connector · 2026-08-09T20:13:38Z

+                .symbol
+                .as_deref()
+                .is_some_and(|value| value.eq_ignore_ascii_case(symbol))
+            || event.observed_at > available_before


Gate latency evidence on its availability time

When a private fill report is delayed or replayed across the snapshot cutoff, the event is created and signed after the cutoff but carries the earlier venue fill timestamp because runtime_attribution.rs:462 assigns observed_at from Fill.timestamp; the lifecycle timing event's local receipt time is not retained in the signed fill. Comparing available_before only with this venue timestamp therefore admits latency and slippage that were not knowable at snapshot time, introducing lookahead into PIT research; preserve and verify a local evidence-availability or publication timestamp and gate on that instead.

AGENTS.md reference: AGENTS.md:L65-L66

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…to codex/runtime-latency-evidence

proerror77 · 2026-08-09T20:20:25Z

@codex review exact head 79a1620

chatgpt-codex-connector · 2026-08-09T20:23:55Z

Codex Review: Didn't find any major issues. Bravo.

Reviewed commit: 79a162086e

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…to codex/runtime-latency-evidence

proerror77 · 2026-08-09T20:26:39Z

@codex review exact head 351296f

chatgpt-codex-connector · 2026-08-09T20:30:30Z

Codex Review: Didn't find any major issues. Delightful!

Reviewed commit: 351296f144

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proerror77 · 2026-08-09T20:42:28Z

@codex review exact head 8110684: verify arrival-price cost, signed availability cutoff, duplicate handling, Spot market scope, and logical account matching.

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chatgpt-codex-connector · 2026-08-09T20:51:56Z

+                    let arrival_price = matches!(envelope.intent.order_type, OrderType::Market)
+                        .then_some(envelope.intent.price)
+                        .flatten();


Capture arrival prices for live IOC limit orders

Capture the executable arrival quote for marketable limit orders too, rather than only for OrderType::Market. Both currently activatable live strategies submit Binance orders as IOC limits (strategies/formula/src/lib.rs:163-169 and strategy-dl/src/onnx_lob_strategy.rs:618-625), so their OrderNew events carry arrival_price: None; every resulting fill then lacks arrival_slippage_bps, and the verifier fails at runtime_latency_evidence.rs:117 instead of producing any real lifecycle observations. The added test masks this production path by directly constructing an event with an arrival price.

AGENTS.md reference: AGENTS.md:L65-L66

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chatgpt-codex-connector · 2026-08-09T20:51:56Z

+    trusted_keys_path: &Path,
+    trusted_keys_sha256: &str,
+    deployment_id: &str,
+    market: &str,


Bind the logical account to the fee credential fingerprint

Require and verify a trusted mapping between account_id and the fee snapshot's credential fingerprint. At exact head 8110684, the fresh interface change now matches the signed event against the logical ID but removes the fingerprint entirely, and VerifiedRuntimeLatencyEvidence does not return either identity; a caller can therefore verify fills from Binance account A and attach them to the fee schedule from account B even though CexReplaySnapshotV2::validate treats the latency-cost fingerprint as the fee account identity (research-core/manifest/src/lib.rs:273-277). This is the unresolved half of the earlier account-domain comment, now evidenced by the fingerprint-free verifier API.

AGENTS.md reference: AGENTS.md:L67-L68

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chatgpt-codex-connector · 2026-08-09T20:51:56Z

+        let digest = Sha256::digest(line).to_vec();
+        if let Some(previous) = event_digests.insert(event.event_id.clone(), digest.clone()) {
+            if previous != digest {
+                bail!("runtime feedback contains conflicting duplicate event IDs");


Compare duplicate signed records by canonical identity

Deduplicate using the verified signed content rather than the raw JSONL bytes. At exact head 8110684, the new raw-line digest treats two valid serializations of the same SignedRuntimeAttributionEvent—for example compact versus pretty-printed JSON with the identical signed event, content_hash, key, and signature—as conflicting and aborts verification; the new test only concatenates byte-identical lines, so it does not cover this ordinary reserialization case. This is fresh evidence beyond the earlier duplicate-weighting comment: duplicates are no longer reweighted, but logically identical signed duplicates can now make an anchored log unusable.

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chatgpt-codex-connector · 2026-08-09T20:51:56Z

+  - rust_hft/tools/collector/src/runtime_latency_evidence.rs
+  - rust_hft/apps/live/src/runtime_attribution.rs
+  - rust_hft/execution-gateway/adapters/adapter-backpack/src/lib.rs
+  - rust_hft/market-core/engine/src/execution_worker.rs


Split runtime instrumentation from research verification

Split this contract into independently testable and rollbackable runtime-instrumentation and research-verification changes. The declared scope combines the collector verifier with live attribution, execution-adapter, and engine event changes, so rolling back a faulty research percentile or duplicate policy also rolls back runtime event production, while deploying the runtime schema cannot be reviewed or released independently of its research consumer; this directly mixes the repository's Research and Runtime authority boundaries in one change.

AGENTS.md reference: AGENTS.md:L62-L64

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…-evidence # Conflicts: # agent-worktree.yml

proerror77 · 2026-08-09T21:00:29Z

@codex review exact head d38c7a4 after main integration

…ation' into codex/runtime-latency-evidence # Conflicts: # agent-worktree.yml # rust_hft/market-core/engine/src/execution_worker.rs # rust_hft/market-core/ports/src/events.rs

chatgpt-codex-connector · 2026-08-09T21:08:16Z

💡 Codex Review

monday/rust_hft/apps/live/src/runtime_attribution.rs

Lines 473 to 474 in d38c7a4

    
           if metadata.venue.eq_ignore_ascii_case("binance") { 
        
               metrics.insert("instrument_market_spot".to_string(), 1.0);

Emit the actual instrument market instead of hard-coding spot

When market == "usdm", this producer can never create a matching record: every Binance fill is labeled instrument_market_spot, while the verifier requires instrument_market_usdm (runtime_latency_evidence.rs:95-99), and execution_worker.rs:783-789 still rejects every non-Spot intent. The fresh evidence at d38c7a4 is that the verifier now explicitly accepts usdm, so every real USDM verification ends with “no observations”; either keep the API spot-only or carry the authenticated product type into the signed event and emit the corresponding market.

AGENTS.md reference: AGENTS.md:L35-L36

monday/rust_hft/tools/collector/src/runtime_latency_evidence.rs

Lines 90 to 92 in d38c7a4

    
           if event.mode != AttributionMode::LiveSmall 
        
               || event.kind != AttributionKind::Fill 
        
               || event.outcome != AttributionOutcome::Healthy

Reject evidence from deployments with a stream gap

When the attribution receiver lags before the snapshot cutoff, stream_gap_attribution clears tracked orders and permanently invalidates the deployment (runtime_attribution.rs:737-760), but this kind filter silently skips that signed failure and continues accepting later fills. A log containing valid fills around a gap can therefore report percentiles and an observation count from a known-incomplete event stream, while signed_events also omits the gap that proves incompleteness; treat a matching pre-cutoff StreamGap as a terminal verification failure.

AGENTS.md reference: AGENTS.md:L65-L66

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This reverts commit 26890d6.

* feat(runtime): emit signed arrival-cost evidence * feat(research): verify real lifecycle latency evidence (#784) * feat(research): define CEX replay snapshot V2 * fix(research): bind V2 snapshot evidence timelines * fix(research): keep V1 writer until consumers migrate * fix(research): harden V2 PIT evidence bounds * fix(research): bind complete PIT evidence sets * fix(research): close V2 evidence coverage gaps * fix(research): bind fee evidence to account * feat(research): materialize aggregate trade flow * feat(research): verify real lifecycle latency evidence * fix(research): bind V2 series identity * chore: refresh trade feature stack base * chore: refresh trade feature stack base * fix(research): bind latency evidence to fee account * refactor(research): pass prebuilt source lineage * chore: refresh latency evidence stack base * test(research): keep aggregate trade ids contiguous * chore: refresh latency evidence stack base * fix(research): bind real arrival latency evidence * fix(research): authenticate runtime instrument market --------- Co-authored-by: Sonic Shih <sonic.shih@mandonothing.com> * Revert "feat(research): verify real lifecycle latency evidence (#784)" This reverts commit 26890d6. * feat: identify Binance futures fill evidence * fix(runtime): preserve genuine arrival evidence * fix(runtime): satisfy strict arrival lint * fix(runtime): bind arrival evidence to engine quotes * fix(engine): preserve non-market lifecycle evidence * fix(runtime): tombstone conflicting order identities * test(runtime): cover conflicting arrival tombstones * fix(runtime): bind executable arrival quotes * fix(runtime): require current arrival quotes --------- Co-authored-by: Sonic Shih <sonic.shih@mandonothing.com>

* feat(research): define CEX replay snapshot V2 * fix(research): bind V2 snapshot evidence timelines * fix(research): keep V1 writer until consumers migrate * fix(research): harden V2 PIT evidence bounds * fix(research): bind complete PIT evidence sets * fix(research): close V2 evidence coverage gaps * fix(research): bind fee evidence to account * feat(research): materialize aggregate trade flow * feat(research): verify real lifecycle latency evidence * fix(research): bind V2 series identity * chore: refresh trade feature stack base * chore: refresh trade feature stack base * fix(research): bind latency evidence to fee account * refactor(research): pass prebuilt source lineage * chore: refresh latency evidence stack base * test(research): keep aggregate trade ids contiguous * chore: refresh latency evidence stack base * fix(research): bind real arrival latency evidence * fix(research): authenticate runtime instrument market * feat(runtime): emit signed arrival-cost evidence * feat(research): verify real lifecycle latency evidence (#784) * feat(research): define CEX replay snapshot V2 * fix(research): bind V2 snapshot evidence timelines * fix(research): keep V1 writer until consumers migrate * fix(research): harden V2 PIT evidence bounds * fix(research): bind complete PIT evidence sets * fix(research): close V2 evidence coverage gaps * fix(research): bind fee evidence to account * feat(research): materialize aggregate trade flow * feat(research): verify real lifecycle latency evidence * fix(research): bind V2 series identity * chore: refresh trade feature stack base * chore: refresh trade feature stack base * fix(research): bind latency evidence to fee account * refactor(research): pass prebuilt source lineage * chore: refresh latency evidence stack base * test(research): keep aggregate trade ids contiguous * chore: refresh latency evidence stack base * fix(research): bind real arrival latency evidence * fix(research): authenticate runtime instrument market --------- Co-authored-by: Sonic Shih <sonic.shih@mandonothing.com> * fix(research): canonicalize latency evidence selection * Revert "feat(research): verify real lifecycle latency evidence (#784)" This reverts commit 26890d6. * fix(research): retain verified runtime account identity * feat: identify Binance futures fill evidence * fix: enforce runtime evidence time bounds * fix: admit canonical Binance market venues * fix: stream bounded runtime evidence * fix(runtime): preserve genuine arrival evidence * fix(research): bound selected latency evidence * fix(runtime): satisfy strict arrival lint * fix(runtime): bind arrival evidence to engine quotes * fix(engine): preserve non-market lifecycle evidence * fix(runtime): tombstone conflicting order identities * test(runtime): cover conflicting arrival tombstones * fix(runtime): bind executable arrival quotes * fix(research): reject unavailable USDM latency evidence * fix(runtime): require current arrival quotes * fix(research): harden runtime latency verification * refactor(research): bind latency trust source --------- Co-authored-by: Sonic Shih <sonic.shih@mandonothing.com>

Sonic Shih added 10 commits August 10, 2026 02:31

feat(research): define CEX replay snapshot V2

6596aa6

fix(research): bind V2 snapshot evidence timelines

033d21c

fix(research): keep V1 writer until consumers migrate

bb5e572

Merge remote-tracking branch 'origin/main' into codex/cex-research-co…

b475ab2

…ntract-v2 # Conflicts: # agent-worktree.yml

fix(research): harden V2 PIT evidence bounds

e5f335e

fix(research): bind complete PIT evidence sets

ddf26da

fix(research): close V2 evidence coverage gaps

c061457

fix(research): bind fee evidence to account

e85ad31

feat(research): materialize aggregate trade flow

a9b9184

feat(research): verify real lifecycle latency evidence

d748efc

chatgpt-codex-connector Bot reviewed Aug 9, 2026

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Sonic Shih added 7 commits August 10, 2026 03:23

fix(research): bind V2 series identity

2b6f560

Merge remote-tracking branch 'origin/codex/cex-research-contract-v2' …

077575b

…into codex/lob-pit-trade-features

chore: refresh trade feature stack base

6eb4516

Merge remote-tracking branch 'origin/codex/lob-pit-trade-features' in…

42731ca

…to codex/runtime-latency-evidence # Conflicts: # agent-worktree.yml

chore: refresh trade feature stack base

5f90526

Merge remote-tracking branch 'origin/main' into codex/lob-pit-trade-f…

73e4ae4

…eatures # Conflicts: # agent-worktree.yml # rust_hft/research-core/manifest/src/lib.rs

Merge remote-tracking branch 'origin/codex/lob-pit-trade-features' in…

0942036

…to codex/runtime-latency-evidence # Conflicts: # agent-worktree.yml

fix(research): bind latency evidence to fee account

42dcef4

proerror77 mentioned this pull request Aug 9, 2026

feat(research): publish verified CEX ResearchSnapshot V2 #786

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proerror77 mentioned this pull request Aug 9, 2026

Deploy Binance USD-M Reference V3 on existing ECS host #779

Closed

Sonic Shih added 3 commits August 10, 2026 04:18

refactor(research): pass prebuilt source lineage

547d4f0

Merge remote-tracking branch 'origin/codex/lob-pit-trade-features' in…

625ac1f

…to codex/runtime-latency-evidence

chore: refresh latency evidence stack base

79a1620

Sonic Shih added 3 commits August 10, 2026 04:24

test(research): keep aggregate trade ids contiguous

aa0aa8d

Merge remote-tracking branch 'origin/codex/lob-pit-trade-features' in…

fce7bf3

…to codex/runtime-latency-evidence

chore: refresh latency evidence stack base

351296f

fix(research): bind real arrival latency evidence

8110684

fix(research): authenticate runtime instrument market

4bb1428

chatgpt-codex-connector Bot reviewed Aug 9, 2026

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Base automatically changed from codex/lob-pit-trade-features to main August 9, 2026 20:53

Merge remote-tracking branch 'origin/main' into codex/runtime-latency…

d38c7a4

…-evidence # Conflicts: # agent-worktree.yml

proerror77 enabled auto-merge (squash) August 9, 2026 20:59

Merge remote-tracking branch 'origin/codex/runtime-arrival-instrument…

fd82db9

…ation' into codex/runtime-latency-evidence # Conflicts: # agent-worktree.yml # rust_hft/market-core/engine/src/execution_worker.rs # rust_hft/market-core/ports/src/events.rs

proerror77 changed the base branch from main to codex/runtime-arrival-instrumentation August 9, 2026 21:06

proerror77 merged commit 26890d6 into codex/runtime-arrival-instrumentation Aug 9, 2026
6 of 10 checks passed

proerror77 deleted the codex/runtime-latency-evidence branch August 9, 2026 21:06

proerror77 pushed a commit that referenced this pull request Aug 9, 2026

Revert "feat(research): verify real lifecycle latency evidence (#784)"

9ea37ed

This reverts commit 26890d6.

		\|\| event.deployment_id != deployment_id
		\|\| event.venue.as_deref() != Some("binance")

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