research(wave-0822): VOL-SIZE e' un LEAD — e un overlay giornaliero su equity a gradino e' look-ahead che nessun causality check vede

2026-08-22 17:23:22 +00:00
parent aa72e0c9ed
commit e8bbb92f8a
3 changed files with 131 additions and 67 deletions
@@ -52,7 +52,8 @@ MIN_ORDER_ASSUNTO = 5.0      # [D] pavimento DERIBIT usato da eval_weights_small
 MIN_ORDER_HL = 10.0          # [C] "Order must have minimum value of $10." (docs/error-responses)
 FEE_LEG_MODELLO = 0.0005     # [D] 0.05%/gamba, config CONGELATA di XSR01
 XSR_SOGLIA_HAIRCUT = 0.40    # [D] soglia pre-registrata del gate 2026-10-23
-CAPITALI = (600.0, 1000.0, 2000.0, 3000.0, 5000.0, 10000.0, 20000.0, 50000.0)
+CAPITALI = (600.0, 1000.0, 1500.0, 2000.0, 3000.0, 4000.0, 5000.0, 7500.0,
+            10000.0, 20000.0, 50000.0)
 TICKETS = (50.0, 100.0, 300.0)
 ANN = np.sqrt(365.0)

@@ -273,9 +274,10 @@ def sim_libro(Weff: np.ndarray, R: np.ndarray, r_hedge: np.ndarray | None, cap0:
                zero = move & (lots < 1)
                n_lot0 += int(zero.sum())
                move = move & (lots >= 1)
+            need = np.abs(w_t - w) > 1e-12          # una gamba gia' a posto NON e' un ordine saltato
            w_new = np.where(move, w_t, w)
-            n_fill += int(move.sum())
-            n_skip += int((~move).sum())
+            n_fill += int((move & need).sum())
+            n_skip += int(((~move) & need).sum())
        d = np.abs(w_new - w)
        c = float((d * fee).sum()) if fee is not None else float(fee_leg) * float(d.sum())
        if r_hedge is not None:                       # la gamba di copertura paga anch'essa