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eaitbrahim merged 2 commits into from
Sep 3, 2026
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feat(research): measure what a round trip costs on a commission-free … #697

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feat(research): measure what a round trip costs on a commission-free …
eaitbrahim Sep 2, 2026
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fix(research): review findings on the cost-fidelity measurement (#371)
eaitbrahim Sep 3, 2026
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29 changes: 29 additions & 0 deletions docs/experiments/2026-09-02-equities-cost-fidelity.jsonl
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{"product_id": "MSFT-USD", "asset_class": "equities", "bars": 1253, "pairs": 1252, "negative_pair_share": "0.4984", "gap_adjusted_pairs": 147, "spread_bp": "1.94", "naive_spread_bp": "41.82", "raw_spread_bp": "-32.21", "blocks": 60, "half_spread_bp": "0.97", "median_daily_quote_volume": "186462740", "modelled_slippage_bp": "8.19", "modelled_roundtrip_bp": "16.38", "regulatory_bp": "0.2323", "sec_section_31_usd": "0.022900", "taf_usd": "0.000333", "commission_bp": "0.00", "measured_roundtrip_bp": "2.17"}
{"product_id": "AAPL-USD", "asset_class": "equities", "bars": 1253, "pairs": 1252, "negative_pair_share": "0.4952", "gap_adjusted_pairs": 141, "spread_bp": "2.83", "naive_spread_bp": "43.55", "raw_spread_bp": "-32.96", "blocks": 60, "half_spread_bp": "1.42", "median_daily_quote_volume": "216061742", "modelled_slippage_bp": "7.61", "modelled_roundtrip_bp": "15.21", "regulatory_bp": "0.2341", "sec_section_31_usd": "0.022900", "taf_usd": "0.000511", "commission_bp": "0.00", "measured_roundtrip_bp": "3.06"}
{"product_id": "GOOGL-USD", "asset_class": "equities", "bars": 1253, "pairs": 1252, "negative_pair_share": "0.5296", "gap_adjusted_pairs": 152, "spread_bp": "1.29", "naive_spread_bp": "44.83", "raw_spread_bp": "-44.21", "blocks": 60, "half_spread_bp": "0.64", "median_daily_quote_volume": "146760641", "modelled_slippage_bp": "9.23", "modelled_roundtrip_bp": "18.46", "regulatory_bp": "0.2339", "sec_section_31_usd": "0.022900", "taf_usd": "0.000494", "commission_bp": "0.00", "measured_roundtrip_bp": "1.52"}
{"product_id": "NVDA-USD", "asset_class": "equities", "bars": 1253, "pairs": 1252, "negative_pair_share": "0.4952", "gap_adjusted_pairs": 164, "spread_bp": "4.50", "naive_spread_bp": "77.48", "raw_spread_bp": "-63.29", "blocks": 60, "half_spread_bp": "2.25", "median_daily_quote_volume": "300409740", "modelled_slippage_bp": "6.45", "modelled_roundtrip_bp": "12.90", "regulatory_bp": "0.2364", "sec_section_31_usd": "0.022900", "taf_usd": "0.000739", "commission_bp": "0.00", "measured_roundtrip_bp": "4.74"}
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{"product_id": "BTC-USD", "asset_class": "crypto", "bars": 1871, "pairs": 1870, "negative_pair_share": "0.3289", "gap_adjusted_pairs": 3, "spread_bp": "44.67", "naive_spread_bp": "100.10", "raw_spread_bp": "38.70", "blocks": 90, "half_spread_bp": "22.33", "median_daily_quote_volume": "568492017", "modelled_slippage_bp": "5.00", "modelled_roundtrip_bp": "250.00", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "284.67"}
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{"product_id": "SOL-USD", "asset_class": "crypto", "bars": 1865, "pairs": 1864, "negative_pair_share": "0.3718", "gap_adjusted_pairs": 1, "spread_bp": "69.76", "naive_spread_bp": "192.37", "raw_spread_bp": "62.52", "blocks": 89, "half_spread_bp": "34.88", "median_daily_quote_volume": "107673223", "modelled_slippage_bp": "10.77", "modelled_roundtrip_bp": "261.55", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "309.76"}
{"product_id": "XLM-USD", "asset_class": "crypto", "bars": 1865, "pairs": 1864, "negative_pair_share": "0.3718", "gap_adjusted_pairs": 0, "spread_bp": "57.44", "naive_spread_bp": "148.24", "raw_spread_bp": "43.95", "blocks": 89, "half_spread_bp": "28.72", "median_daily_quote_volume": "10004921", "modelled_slippage_bp": "35.35", "modelled_roundtrip_bp": "310.69", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "297.44"}
{"product_id": "PAXG-USDT", "asset_class": "crypto", "bars": 1826, "pairs": 1825, "negative_pair_share": "0.2833", "gap_adjusted_pairs": 0, "spread_bp": "21.16", "naive_spread_bp": "39.80", "raw_spread_bp": "20.30", "blocks": 87, "half_spread_bp": "10.58", "median_daily_quote_volume": "3381426", "modelled_slippage_bp": "60.80", "modelled_roundtrip_bp": "361.60", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "261.16"}
{"product_id": "BCH-USD", "asset_class": "crypto", "bars": 1859, "pairs": 1858, "negative_pair_share": "0.3369", "gap_adjusted_pairs": 1, "spread_bp": "70.20", "naive_spread_bp": "158.66", "raw_spread_bp": "63.15", "blocks": 89, "half_spread_bp": "35.10", "median_daily_quote_volume": "5497843", "modelled_slippage_bp": "47.68", "modelled_roundtrip_bp": "335.36", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "310.20"}
{"product_id": "AAVE-USD", "asset_class": "crypto", "bars": 1819, "pairs": 1818, "negative_pair_share": "0.3614", "gap_adjusted_pairs": 2, "spread_bp": "67.51", "naive_spread_bp": "195.25", "raw_spread_bp": "55.45", "blocks": 87, "half_spread_bp": "33.76", "median_daily_quote_volume": "6365686", "modelled_slippage_bp": "44.31", "modelled_roundtrip_bp": "328.63", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "307.51"}
{"product_id": "DOGE-USD", "asset_class": "crypto", "bars": 1840, "pairs": 1839, "negative_pair_share": "0.3556", "gap_adjusted_pairs": 2, "spread_bp": "65.98", "naive_spread_bp": "173.97", "raw_spread_bp": "58.47", "blocks": 88, "half_spread_bp": "32.99", "median_daily_quote_volume": "29636691", "modelled_slippage_bp": "20.54", "modelled_roundtrip_bp": "281.07", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "305.98"}
{"product_id": "DOT-USD", "asset_class": "crypto", "bars": 1840, "pairs": 1839, "negative_pair_share": "0.3638", "gap_adjusted_pairs": 2, "spread_bp": "66.16", "naive_spread_bp": "174.75", "raw_spread_bp": "58.49", "blocks": 88, "half_spread_bp": "33.08", "median_daily_quote_volume": "6286489", "modelled_slippage_bp": "44.59", "modelled_roundtrip_bp": "329.18", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "306.16"}
{"product_id": "UNI-USD", "asset_class": "crypto", "bars": 1840, "pairs": 1839, "negative_pair_share": "0.3529", "gap_adjusted_pairs": 1, "spread_bp": "74.46", "naive_spread_bp": "192.42", "raw_spread_bp": "66.66", "blocks": 88, "half_spread_bp": "37.23", "median_daily_quote_volume": "4917765", "modelled_slippage_bp": "50.42", "modelled_roundtrip_bp": "340.83", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "314.46"}
{"product_id": "ZEC-USD", "asset_class": "crypto", "bars": 1859, "pairs": 1858, "negative_pair_share": "0.3455", "gap_adjusted_pairs": 2, "spread_bp": "88.94", "naive_spread_bp": "216.30", "raw_spread_bp": "73.56", "blocks": 89, "half_spread_bp": "44.47", "median_daily_quote_volume": "1278710", "modelled_slippage_bp": "98.87", "modelled_roundtrip_bp": "437.74", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "328.94"}
{"product_id": "ALGO-USD", "asset_class": "crypto", "bars": 1840, "pairs": 1839, "negative_pair_share": "0.3660", "gap_adjusted_pairs": 1, "spread_bp": "66.45", "naive_spread_bp": "191.71", "raw_spread_bp": "55.93", "blocks": 88, "half_spread_bp": "33.23", "median_daily_quote_volume": "3699580", "modelled_slippage_bp": "58.13", "modelled_roundtrip_bp": "356.25", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "306.45"}
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{"product_id": "CRV-USD", "asset_class": "crypto", "bars": 1840, "pairs": 1839, "negative_pair_share": "0.3399", "gap_adjusted_pairs": 1, "spread_bp": "97.98", "naive_spread_bp": "227.64", "raw_spread_bp": "87.52", "blocks": 88, "half_spread_bp": "48.99", "median_daily_quote_volume": "3322338", "modelled_slippage_bp": "61.34", "modelled_roundtrip_bp": "362.68", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "337.98"}
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{"product_id": "NEAR-USD", "asset_class": "crypto", "bars": 1458, "pairs": 1457, "negative_pair_share": "0.3789", "gap_adjusted_pairs": 1, "spread_bp": "68.40", "naive_spread_bp": "193.36", "raw_spread_bp": "55.23", "blocks": 70, "half_spread_bp": "34.20", "median_daily_quote_volume": "3641518", "modelled_slippage_bp": "58.59", "modelled_roundtrip_bp": "357.18", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "308.40"}
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{"product_id": "TON-USD", "asset_class": "crypto", "bars": 248, "pairs": 247, "negative_pair_share": "0.3522", "gap_adjusted_pairs": 0, "spread_bp": "48.29", "naive_spread_bp": "164.68", "raw_spread_bp": "31.74", "blocks": 12, "half_spread_bp": "24.15", "median_daily_quote_volume": "366376", "modelled_slippage_bp": "183.80", "modelled_roundtrip_bp": "607.60", "regulatory_bp": "0.0000", "sec_section_31_usd": "0.000000", "taf_usd": "0.000000", "commission_bp": "240.00", "measured_roundtrip_bp": "288.29"}
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