Add AUDIT.md: live trading bias and execution fidelity audit#2
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Agent-Logs-Url: https://github.com/nxd914/kinzie/sessions/22dc0867-2211-48fe-8ff5-df648624a3b2 Co-authored-by: nxd914 <214264706+nxd914@users.noreply.github.com>
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April 22, 2026 22:58
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Pull request overview
Adds an AUDIT.md document that audits the gap between paper-trading results and expected live-trading performance, focusing on execution fidelity, calibration, and evaluation methodology before enabling EXECUTION_MODE=live.
Changes:
- Introduces
AUDIT.mdwith 8 ranked concerns about paper vs live divergence, each with code references and suggested fixes. - Summarizes expected live degradation drivers (slippage, latency gating, resolution heuristics, liquidity sizing).
- Provides decision criteria / gating recommendations for when to consider live trading.
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| These price-level heuristics run *before* the authoritative `status == "settled" and result` path and fire on every polling cycle. A crypto-volatile market can briefly spike to `yes_bid=0.99` without having settled. If such a tick triggers a premature YES resolution on a winning position, the trade is booked as a win — and if it eventually settles NO, the position is already gone from the DB. | ||
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| **What to fix:** Require `status == "settled"` before applying any price-level heuristic. The heuristics should only run as a fallback for confirmed-settled markets where the `result` field is missing, not as a primary path. |
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| **File:** `agents/execution_agent.py` lines 69–72 | ||
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Documents the gap between paper trading results (57 fills, 96.4% win rate, +$64k) and expected live performance, cataloguing execution, calibration, and statistical concerns that need to be addressed before
EXECUTION_MODE=live.Contents
BRACKET_CALIBRATION=0.55was fit post-hoc to one loss event; not yet validated on 50+ bracket fillsreplay_backtestis a calibration consistency check, not a walk-forward test — no train/test split existsmax_signal_age_seconds=2.0) is effectively bypassed in paper mode due to synchronous asyncio executionmarket.liquidity— large fills will walk the book in live