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Research and Roadmap
kgorlov edited this page May 13, 2026
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This project is driven by empirical validation. A signal should move from idea to replay, paper, demo, and only much later to any live-ready review.
- Base Python project and typed domain modules.
- Binance USD-M and MEXC contract public WebSocket paths.
- Replay JSONL read/write.
- Parquet export for replay market data.
- Residual z-score signal.
- Event-driven impulse transfer signal.
- Trade aggression and order-book imbalance confirmations.
- Online lag calibration.
- Rolling feature store.
- Risk gates and feed-health metadata.
- Paper fill models: touch, trade-through, queue-aware.
- Replay-paper position lifecycle, costs, PnL, stale exits, reversal exits, and take-profit exits.
- MetaScalp discovery, guarded demo order/cancel CLIs, private update capture, and offline reconciliation.
- DuckDB execution/research storage.
- Health reports, alerts, daily summary, and read-only dashboard.
- MEXC spot WebSocket protobuf parser.
- Top-N live universe rotation without exceeding exchange limits.
- More complete z-score exit handling for mean reversion and adverse moves.
- Reduce-only futures exits where supported through the execution path.
- Full saved-day replay from Parquet and DuckDB.
- Compare replay PnL with paper PnL over a meaningful sample.
- Historical dashboard charts for feed gaps, intents, fills, PnL, and health state.
- Which symbols have stable Binance leadership across rolling windows?
- What is the catch-up time distribution for each candidate symbol?
- How often do impulse signals become false positives?
- How much slippage appears by time of day and volatility regime?
- Which fill model best matches MetaScalp demo fills?
- How much expected edge remains after fees, spread, slippage, and latency?
- Collect public market data.
- Replay the same market day deterministically.
- Run signal and risk logic in paper mode.
- Compare paper fill models.
- Run bounded public WebSocket paper.
- Run MetaScalp demo dry-run.
- Submit at most explicitly confirmed MetaScalp demo orders.
- Reconcile private updates.
- Review latency, fee, slippage, fill, and PnL reports.
Live trading is not on this path until a separate live-mode design is written and approved.