a mje@sdZddlZddlZddlmZejddejddddlZddl m Z ddl m Z dZ gd Zgd Zd d Zd ZddZddZddZedkredS)aLBacktest the GROSS-MARGIN GATE: skip a book entirely unless the market's own asks already sum to enough to survive a completion. WHY. Live completions on 2026-07-30/31 showed the mechanism directly: every completion that collected under ~101c of the payout LOST money once the ~1.3- 1.7c taker fee came off; every one that cleared it WON. "Asks sum above 100c" is necessary but not sufficient -- a book only pays off if it completes near its QUOTED price, and most of the time one leg has to be crossed into the BID instead, giving up the spread on top of the fee. So the gate is applied at POST TIME, using only information we already have before pricing a single leg: gross = sum(market asks) - 100c. Skip the whole book below the threshold. THIS RUNS THE ACTUAL LIVE POLICY (decaying arm + concede at T-60 + complete at 2/3 + flatten at 1/3), scored with the QUEUE-AWARE fill model (research/queue_aware_fill.py, research/decay_backtest.py): a fill requires cumulative volume at or above our price, SINCE WE LAST (RE)POSTED, to exceed the depth resting there when we posted. Reprices reset queue position, matching the live cancel-replace mechanics. This is a deliberate LOWER bound (assumes nobody ahead of us ever cancels); see decay_backtest.py for why the optimistic model (counts any print at our price as a fill) was rejected -- it disagreed with queue-aware not just in magnitude but in DIRECTION on 2026-07-29's data. Sweeps GROSS_GATE_C over several days and reports, per threshold: how many books would have been posted, how many would have completed/flattened/gone empty, and total P&L -- so the live constant (currently 2.5c) can be checked against whatever the data actually supports rather than left at a guess. Usage: python research\gross_gate_backtest.py [day ...] (defaults to every day with queue-depth logging: 07-28, 07-29, 07-30) N) defaultdictzE:\soccer\mainzE:\soccer\research)simulate) trades_sizedz&E:\soccer\research\mm_paper_quotes.csv)z 2026-07-28z 2026-07-29z 2026-07-30)g?g?g@g@g@g@cs>tt}ttddd}t|D]H}|ddd|kr |dr |dr |dr ||d|q Wdn1s~0Ytt}| D]8\}}|j d d d ||f||d d |d d<qdd| D}i}| D]D\}}t |d dfddt |t |d dD||<q||fS)Nzutf-8)encodingts Zour_askk_askZpin_fairZ leg_tickercSs|dS)Nr)xr r )E:\soccer\research\gross_gate_backtest.py7zload_day..)keyrZeventZsidecSs"i|]\}}t|dkr||qS)len.0Zevlegsr r r 9rzload_day..Zkickoffcs$g|]\}}}|kr|||fqSr r )rtpcZkor r >szload_day..)rlistopenQUOTEScsvZ DictReadergetappenddictitemssortSZ_ptr)dayZrowsZfhrbyZtkrstradesr rr load_day.s&(2"  r+g.@cCstdd|DddS)zJsum(market ask at FIRST snapshot) - 100c. What the gate sees at post time.css"|]\}}t|ddVqdSrr Nfloatr_r)r r r Hrz gross_at_post..d)sumvalues)rr r r gross_at_postFsr5cCs@tdd|Dd}tdd|Dd}||tkS)aMirrors the live LIQUIDITY CHECK: reject only absurdly wide books, the signature of one nobody has quoted. "Botafogo" summed to 10c of bids against 243c of asks -- a fake +143c overround from pure illiquidity. Do NOT also require sum(bids) < 100c. That was the first version and it was backwards: sum(bids) >= 100c means all three legs could be sold into the bids for more than the payout -- an arbitrage, and empirically our best books. Including it removed every book that cleared a 2.5c gate.css"|]\}}t|ddVqdS)rZk_bidNr-r/r r r r1Trz#coherent_at_post..r2css"|]\}}t|ddVqdSr,r-r/r r r r1Ur)r3r4 MAX_SPREAD_C)rZbid_sumZask_sumr r r coherent_at_postKs r7cstjddpt}i}|D]4}t|\}}||f||<t|dt|dqttdddddd dd d dd ddd ddddddddddtD]d}}}}} d} |D]l\}\}}fdd|D} |t| 7}t| |d\} } }}}|| 7}|| 7}||7}| |7} | |7} q|rB| |nt d}tddd|dd|dd|dd|dd| dd| dd|d d!qtd"t d#d$| Dd%t|d&td'dS)(Nz: z three-leg books loadedz gatez>5s Zbooksz>6snatz>4sZcmplflatnonez zP&Lz>8sz$/bookz>7srrcs*i|]"\}}t|rt|kr||qSr )r7r5rr9r r rhs zmain..Z decay_concedenanz5.1fZ6dZ4dZ5dz+8.2fz$ z+7.3f$z (css|]\}}t|VqdS)Nr)rbr0r r r r1rrzmain..z total books available across z days before gating)zD Live gate is set to 2.5c. Compare its row above against the sweep.) sysargv DEFAULT_DAYSr+printr THRESHOLDSr#rr.r3r4)ZdaysZby_dayr&r(r*Ztot_nZtot_natZtot_cZtot_fZtot_zZtot_pnlZgatedr;Zcompr<r=ZpnlZper_bookr r>r mainYsF  ,   ,  rG__main__)__doc__rrB collectionsrpathinsertZ mm_settler%Zdecay_backtestrZqueue_aware_fillrrrDrFr+r6r5r7rG__name__r r r r s$