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Slot Logs That Can Explain a Bad Week

GitHub: https://github.com/abrownfox0/abrownfox001-twap60-prediction-trigger-system

YouTube walkthrough: https://www.youtube.com/watch?v=XzhugRL6BV4

Live profile: https://polymarket.com/@abrownfox001

Part 1 defined the production contract.

Part 2 is the audit trail. If a 5-minute bot cannot explain a losing week after TWAP60 and the 150ms taker delay, it is not in production. It is guessing.

1. The Question a Log Has to Answer

After a bad day, there are only a few honest causes:

  1. Official series was stale or mixed
  2. Signal was wrong
  3. Entry paid too much
  4. Delay / fill quality ate the idea
  5. Scratch was too fast, too slow, or impossible
  6. Rate limits blocked the loop

If your log cannot separate those six, you will “retune the model” when the real bug was a 30s open pin or a thin 50¢ book.

2. The Minimum Slot Row

One row per btc-updown-5m-* slot. Not a screenshot. Not a vibe.

slot_id
slot_open_ts
slot_end_ts
twap_window_s          # must be 60 on live 5m
twap_open
twap_now
twap_obs_ts            # observation time, not socket heartbeat
t_left
p_up                   # internal
ask_at_signal
fill_price
clip_usd
signal_ts
submit_ts
fill_ts
delay_ms_assumed       # 150 on current crypto taker flow
rate_limit_hits
stale_official         # true/false
action                 # wait | buy | scratch | hold | skip
exit                   # scratch | redeem | flat_none
resolution_src         # rtds_twap | gamma | missing
resolved_up
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If twap_obs_ts is missing, you cannot prove freshness.

If signal_ts / submit_ts / fill_ts are collapsed into one clock, you cannot measure the 150ms gate.

3. Timestamps Are the Point

Post-September execution is a three-clock problem:

Clock What it captures
signal_ts When P(up) cleared the gate
submit_ts When the order left your process
fill_ts When the book actually gave you size

Useful diffs:

submit - signal   = local decision lag
fill - submit     = venue + delay + queue
fill - signal     = the number that ate July stats
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A “good signal, bad fill” week and a “dead signal” week look the same in PnL. They do not look the same in these diffs.

4. Freshness Fields Beat Heartbeats

RTDS being connected is not the same as TWAP being current.

Hard rules I want in the logger:

  • store official value and observation timestamp
  • mark stale_official = true if the observation is too old
  • skip the slot instead of substituting Binance last
  • write resolution_src after the market settles

The mixed-window bug also shows up here. If twap_window_s is 30 on a market whose rules say 60, the rest of the row is contaminated research.

5. Separate Activity From Settlement

Keep two ledgers in the same log stream:

  • Activity rows: every buy / scratch
  • Settlement rows: what was still open at resolution

That is how you avoid lying to yourself with the 60.7% sample.

The resolved book is the filtered book. Scratches belong in the activity ledger.

If you only log redeem events, you will think the engine never changes its mind.

6. Rate-Limit and Skip Rows Count

A slot with action = skip is still a result.

Log why:

  • no edge
  • ask outside 45–55¢
  • stale TWAP
  • 429 / Retry-After
  • depth too thin to scratch later
  • per-slot cap already used

Skipped slots tell you whether the bot is selective or frozen. After volume-tier limits, frozen looks a lot like “disciplined.”

7. What I Compare After a Bad Week

Query the log before touching weights:

  1. How many slots had stale_official = true?
  2. Did fill - signal jump after Sept 4?
  3. Did scratch spreads stop being ~0?
  4. Did buys cluster back into 0–5s or 270–300s?
  5. Did resolution_src ever show missing?

If (1) or (5) is high, do not retune P(up). Fix the feed.

If (2) or (3) is high, retune execution, not the whole model.

If (4) shifted, the lifecycle drifted.

8. What Part 3 Covers

Logs tell you which class of failure happened.

Next post names the failures that still kill mid-band 5m engines after TWAP60: stale pins, delay-taxed fills, thin-book scratches, quota storms, and silent 30s leftovers.

Links

Not financial advice. If you cannot audit a slot, you cannot improve it.

If you have more questions, please feel free to contact me at any time: https://t.me/abrownfox001

My Polymarket Activity: https://polymarket.com/@abrownfox001?tab=activity

#Polymarket #TWAP #TradingBot #BTC #AlgoTrading #Observability #PredictionMarkets
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