Skip to content

Session Log — Thursday, April 9 2026

What We Worked On

  • NEO Trading Engine — Phase 3C through Phase 4A alignment, results interpretation, and experiment sequencing
  • Phase 3D (directional protection) — diagnosed behavioral gap (stale resting buy not cancelled), confirmed fix, closed phase as ineffective
  • Phase 3E (anchor-relative protection) — discovered anchor is fully pinned at cap, signal non-selective, phase closed
  • Phase 3F (anchor cap reduction 15→10) — anchor remains pinned but execution quality improved materially; established first strong paper-trading baseline
  • Phase 4A (post-fill participation filter) — implemented, validated, threshold-tuned (-3.0 and -2.5 both produced identical results), confirmed as stable
  • Phase 4B (volatility audit) — ran audit, clob_mid_price was constant across all ticks, signal non-informative; source-path audit proposed as next step

What Was Built or Changed

  • Created 02 Projects/NEO Trading Engine/NEO Trading Engine Overview.md — project goals, why, outcomes, open problems
  • Created 02 Projects/NEO Trading Engine/[C] Experiment Log.md — full persistent record of Phases 3C–4B including configs, metrics, conclusions, open questions, and closed dimensions
  • Updated CLAUDE.md — added NEO Trading Engine to Active Projects and Folder Structure

Still Open

  • CLOB mid-price source-path audit: clob_mid_price was constant (0.0 bps volatility) across 210 ticks in Phase 4B run — need to confirm whether this is a paper environment limitation or a stale snapshot bug before any volatility/spread-based filter can be designed

Start Here Tomorrow

Run the clob_mid_price source-path audit and report the result — that determines whether Phase 4B (market-state participation gate) is viable or needs a different signal.