{ "version": 1, "updatedAt": "2026-04-15T23:56:33.771Z", "entries": { "memory:memory/2026-02-26.md:136:158": { "key": "memory:memory/2026-02-26.md:136:158", "path": "memory/2026-02-26.md", "startLine": 136, "endLine": 158, "source": "memory", "snippet": "- Also confirmed GEX intraday backtest is complete (95/95 dates) — marked todo as done - Commit: a019ce1 ## Autonomous Work — 8:02 PM **Wired All Signals into Morning Brief:** - Added Section 12: Unified Signal Composite — reads `signal-composite.json`, reports composite score/regime/confidence, individual signal breakdown, GEX context - Added Section 14: COT Positioning — reads `cot-analysis.json`, reports leveraged fund + asset manager z-scores with caveats about IS/OOS disconnect - Added Section 15: Top Trade Ideas — reads `trade-ideas.json`, shows top 3 ideas by score with strategy/ticker/metrics - Morning brief now covers all 15 sections end-to-end: macro regime, overnight, econ cal, e", "recallCount": 4, "dailyCount": 0, "groundedCount": 0, "totalScore": 3.475637455220018, "maxScore": 0.8704317476293347, "firstRecalledAt": "2026-04-07T13:01:11.912Z", "lastRecalledAt": "2026-04-14T12:24:49.930Z", "queryHashes": [ "51c9d530dfe7", "498cf18a78fb" ], "recallDays": [ "2026-04-07", "2026-04-08", "2026-04-09", "2026-04-14" ], "conceptTags": [ "95/95", "signal-composite.json", "score/regime/confidence", "cot-analysis.json", "z-scores", "is/oos", "trade-ideas.json", "strategy/ticker/metrics" ] }, "memory:memory/2026-03-11.md:190:214": { "key": "memory:memory/2026-03-11.md:190:214", "path": "memory/2026-03-11.md", "startLine": 190, "endLine": 214, "source": "memory", "snippet": "- Outputs: `memory/trace-retail-tod-thresholds.json`, `data/trace_retail_tod_backtest.json`, `data/trace_retail_tod_backtest.md` - Method: TOD percentile ratings from IS, tested OOS on ES 30m/1h/2h returns. - Key result: directional edge weak/mixed; **volatility utility strong** (OOS IC of |retail flow| vs |future return| positive and significant across 30m/1h/2h). - Commit: `607fe26`. - Infrastructure issue diagnosed for options scanner: - Scanner failed with 0 scanned due to **Theta Terminal unavailable on localhost:25503**. - Attempted start showed **Java runtime missing** (\"Unable to locate a Java Runtime\"), so Theta terminal could not launch. - Bookmap/API research outcome", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7915464413871298, "maxScore": 0.8983472678527291, "firstRecalledAt": "2026-04-08T13:16:12.059Z", "lastRecalledAt": "2026-04-13T13:26:16.593Z", "queryHashes": [ "c4de80819112", "1557f38ed36d" ], "recallDays": [ "2026-04-08", "2026-04-13" ], "conceptTags": [ "30m/1h/2h", "weak/mixed", "bookmap/api", "outputs", "trace", "retail", "tod", "thresholds.json" ] }, "memory:memory/2026-03-11.md:209:232": { "key": "memory:memory/2026-03-11.md:209:232", "path": "memory/2026-03-11.md", "startLine": 209, "endLine": 232, "source": "memory", "snippet": "- Daniel shared Bookmap password in chat; advised immediate password reset and no plaintext credential sharing in chat going forward. - Operational heartbeat actions performed: - Detected `live_gex_service.py` not running at market open; restarted successfully. - Sent Telegram alert for gap-up + negative GEX risk setup. ## GEX pattern validate cron — 2026-03-11 13:45 PT - Command: `python3 scripts/gex_pattern_tracker.py validate && python3 scripts/gex_pattern_tracker.py stats` - Validated: 1 prediction (`gamma_positioning` for 2026-03-10) → materialized ✅ - Pattern stats: deep_positive_gamma 3/3 (100%), gamma_positioning 4/5 (80%), gamma_transition 0/3 (0%, pruned/low performer), zer", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7870879468493779, "maxScore": 0.8961788073592476, "firstRecalledAt": "2026-04-08T13:16:12.059Z", "lastRecalledAt": "2026-04-13T13:26:16.593Z", "queryHashes": [ "c4de80819112", "1557f38ed36d" ], "recallDays": [ "2026-04-08", "2026-04-13" ], "conceptTags": [ "live-gex-service.py", "gap-up", "scripts/gex-pattern-tracker.py", "gamma-positioning", "deep-positive-gamma", "3/3", "4/5", "gamma-transition" ] }, "memory:memory/2026-03-12.md:342:361": { "key": "memory:memory/2026-03-12.md:342:361", "path": "memory/2026-03-12.md", "startLine": 342, "endLine": 361, "source": "memory", "snippet": "- Updated morning brief instructions (`prompts/morning-brief.md`) to prefer this structured highlights file and regenerate it automatically when missing/stale. - Updated `memory/todo.md`: - Marked **SpotGamma Automation** complete with Founder's Note subtask recorded. - Ran the script once to validate output; current parsed bias: **BEARISH (sell rips / avoid dip-buying)**. - No external messaging/actions taken. ## 20:24 PT — Pre-compaction durable notes (chat) - Daniel asked for deeper summaries of key order-book microstructure papers and how to map them into a Bookmap indicator design. - Practical synthesis shared: - Main robust microstructure takeaway: short-horizon edge comes from OF", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8621124903605096, "maxScore": 0.8621124903605096, "firstRecalledAt": "2026-04-08T13:16:12.059Z", "lastRecalledAt": "2026-04-08T13:16:12.059Z", "queryHashes": [ "c4de80819112" ], "recallDays": [ "2026-04-08" ], "conceptTags": [ "prompts/morning-brief.md", "missing/stale", "memory/todo.md", "dip-buying", "messaging/actions", "pre-compaction", "order-book", "short-horizon" ] }, "memory:memory/2026-04-08.md:66:92": { "key": "memory:memory/2026-04-08.md:66:92", "path": "memory/2026-04-08.md", "startLine": 66, "endLine": 92, "source": "memory", "snippet": "- When filtering ATM ±25pt around SPX, zero ES strikes match → zero aggressor data - The IC=0.317 result was computed on ES option aggressor flow, not SPXW ### Bug 2: Databento batch CSV strips aggressor flags - Batch jobs requested with `encoding='csv'` → `side=N` for all trades - OPRA exchanges don't report aggressor side in raw trade records - Need `tcbbo` schema (Trade + Consolidated BBO) to get/derive aggressor classification - `tbbo` doesn't exist for OPRA.PILLAR — only `tcbbo` ### Fix Applied - Submitted 40 batch jobs with `schema='tcbbo'`, `encoding='dbn'`, `compression='zstd'` - All $0 cost (included in subscription) - TCBBO gives: trade + prevailing bid/ask → can derive aggressor", "recallCount": 3, "dailyCount": 0, "groundedCount": 0, "totalScore": 2.655452769480893, "maxScore": 0.8851509231602978, "firstRecalledAt": "2026-04-09T13:33:00.966Z", "lastRecalledAt": "2026-04-09T16:13:20.675Z", "queryHashes": [ "4704a73e4665", "9b2283f0c0a8", "057a142a31c3" ], "recallDays": [ "2026-04-09" ], "conceptTags": [ "0.317", "get/derive", "opra.pillar", "bid/ask", "when", "filtering", "atm", "25pt" ] }, "memory:memory/2026-04-08.md:1:29": { "key": "memory:memory/2026-04-08.md:1:29", "path": "memory/2026-04-08.md", "startLine": 1, "endLine": 29, "source": "memory", "snippet": "# 2026-04-08 — Daily Notes ## Spike + Aggressor Trades Study (Evening Session) ### Background Daniel asked me to scrutinize a Haiku result claiming 92% win rate on \"CALL_HEAVY spike + aggressive call buying = up.\" I found it was garbage — only 5 dates, base rate artifact from bullish March days. Both call and put aggressors showed 92% up, meaning aggressor direction had zero predictive value. ### Study Design (8 Studies) Built and ran comprehensive spike + aggressor study: 1. Base rate by tier (HIGH/MEDIUM) 2. During-spike volume imbalance → direction 3. Post-spike aggressor net delta → direction (30s/60s/120s/180s/300s windows) 4. Confirmed vs opposed (spike direction + aggressor alignme", "recallCount": 3, "dailyCount": 0, "groundedCount": 0, "totalScore": 2.649707038875951, "maxScore": 0.883235679625317, "firstRecalledAt": "2026-04-09T13:33:00.966Z", "lastRecalledAt": "2026-04-09T16:13:20.675Z", "queryHashes": [ "4704a73e4665", "9b2283f0c0a8", "057a142a31c3" ], "recallDays": [ "2026-04-09" ], "conceptTags": [ "call-heavy", "high/medium", "during-spike", "post-spike", "30s/60s/120s/180s/300s", "spike", "aggressor", "trades" ] }, "memory:memory/2026-03-13.md:419:439": { "key": "memory:memory/2026-03-13.md:419:439", "path": "memory/2026-03-13.md", "startLine": 419, "endLine": 439, "source": "memory", "snippet": "- Previous backtest: 60s hold = 65%, 30-min hold collapsed to 18% - Research question: can stacking GEX + absorption + VIX + level type push 30-min holds to 55%+? - Also requested gamma shift cheat sheet - Sub-agent spawned (`bookmap-30min-design`) — reviewing all existing data and designing: 1. 30-min hold indicator spec 2. Gamma shift cheat sheet 3. Feasibility assessment - **Status: pending completion** ## Gamma Shift Cheat Sheet Request — 10:40 PM - Daniel asked about gamma shift: what levels are significant, high WR thresholds - Reviewed existing data from MEMORY.md and result files: - Gamma Shift v4.2: Tilt works as THRESHOLD (>75% = 60-65% WR), dead as continuous predictor", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8564350720581134, "maxScore": 0.8564350720581134, "firstRecalledAt": "2026-04-09T15:08:56.375Z", "lastRecalledAt": "2026-04-09T15:08:56.375Z", "queryHashes": [ "0ddfa4d4c3e0" ], "recallDays": [ "2026-04-09" ], "conceptTags": [ "30-min", "sub-agent", "bookmap-30min-design", "memory.md", "v4.2", "60-65", "previous", "backtest" ] }, "memory:memory/2026-04-08.md:24:49": { "key": "memory:memory/2026-04-08.md:24:49", "path": "memory/2026-04-08.md", "startLine": 24, "endLine": 49, "source": "memory", "snippet": "- **Daniel caught overlap issue:** f60 measured from spike time, first 3 min overlaps with measurement window - **Lag test passed:** T+3→T+60 IC=+0.317, T+5→T+60 IC=+0.308 — NOT just measuring concurrent move - But only 13 dates (all March 2026) — could be regime artifact ### Methodological Issues Found - Did NOT filter to 0DTE ATM ±25pt — all SPXW strikes mixed in - Did NOT separate during-spike volume from post-spike flow as two-part signal - Effective sample size ~13 (dates) not 95 (events) due to clustering ### Data Status - **Signed OPRA trades:** All 40 CBBO dates now have signed trades downloaded ($0 cost via batch API) - Downloaded 25 new dates via Databento batch jobs (free, OPRA.", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7041624176656418, "maxScore": 0.8520812088328209, "firstRecalledAt": "2026-04-09T15:08:56.375Z", "lastRecalledAt": "2026-04-11T03:37:10.367Z", "queryHashes": [ "0ddfa4d4c3e0", "d3165f10ff6c" ], "recallDays": [ "2026-04-09", "2026-04-10" ], "conceptTags": [ "0.317", "0.308", "during-spike", "post-spike", "two-part", "daniel", "caught", "overlap" ] }, "memory:memory/2026-02-26.md:154:162": { "key": "memory:memory/2026-02-26.md:154:162", "path": "memory/2026-02-26.md", "startLine": 154, "endLine": 162, "source": "memory", "snippet": "- Better approach: compute Greeks ourselves from EOD prices using Black-Scholes (we have close, strike, expiry, underlying price) - EOD download complete: 540/578 expirations (remaining 38 are future dates), 5.1M rows ## Thetadata Download Complete — 10:11 PM - **EOD**: 5,125,402 rows, 540/578 expirations (remaining 38 are future dates) - **Greeks**: 2,369,107 rows, 540/578 expirations - **Total**: 1.6 GB, Jan 2024 – Feb 2026 - Coverage: all SPXW 0DTE/weekly expirations", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.738506597961662, "maxScore": 0.8978046735715846, "firstRecalledAt": "2026-04-09T15:08:56.375Z", "lastRecalledAt": "2026-04-14T12:24:49.930Z", "queryHashes": [ "0ddfa4d4c3e0", "498cf18a78fb" ], "recallDays": [ "2026-04-09", "2026-04-14" ], "conceptTags": [ "black-scholes", "540/578", "5.1m", "1.6", "0dte/weekly", "better", "approach", "compute" ] }, "memory:memory/2026-04-05.md:46:71": { "key": "memory:memory/2026-04-05.md:46:71", "path": "memory/2026-04-05.md", "startLine": 46, "endLine": 71, "source": "memory", "snippet": "- Study 7 (morning spikes): SIGNAL — 60% larger moves, magnitude IC=0.22 morning vs 0.02 afternoon - Study 8 (strike concentration): SIGNAL — IC=-0.51 for move SIZE, but directional interaction weak - Study 5 (HIRO f60): IC=0.33 (p=0.005) but only 8 dates - Studies 4, 6: NOISE ## HIRO + Spike Deep Dive — 4 Dates (17:30 PT) - HIRO did NOT predict day direction 3/4 times - Spike imbalances match HIRO flow 78% of the time (Daniel's theory confirmed) - Disagreement spikes had BIGGER moves (7.4pt vs 1.5pt at f10) — only N=9 - 3/4 days show AM bullish → PM bearish flow shift ## 12-Study Plan Designed (waiting on CBBO downloads) Studies A-H (HIRO × spike directional): imbalance side × HIRO flow,", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.8057063633873809, "maxScore": 0.9683703411044173, "firstRecalledAt": "2026-04-09T15:08:56.375Z", "lastRecalledAt": "2026-04-11T23:05:13.848Z", "queryHashes": [ "0ddfa4d4c3e0", "f790d8bb881d" ], "recallDays": [ "2026-04-09", "2026-04-11" ], "conceptTags": [ "0.22", "0.02", "0.51", "0.33", "0.005", "3/4", "7.4pt", "1.5pt" ] }, "memory:memory/2026-03-12.md:194:218": { "key": "memory:memory/2026-03-12.md:194:218", "path": "memory/2026-03-12.md", "startLine": 194, "endLine": 218, "source": "memory", "snippet": "- Root cause observed: intermittent/repeated SpotGamma API read timeouts (manual pulls and service pulls both timing out), suggesting upstream/provider or route instability rather than local signal logic. - Changes made: - `scripts/hiro_live_indicator.py` - Added `_recent_live_output_exists()` guard. - On timeout errors, keep last-good snapshot if recent (10 min) instead of force-staling immediately. - Added clearer stale reason path (`provider_timeout`) in code. - Commit: `9f8aef6` (transient timeout handling) - Commit: `675e034` (rename stale reason label) - `memory/signal_overview.html` - Added friendly stale text mapping: - `provider_timeout` or `runtime", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.739714111200035, "maxScore": 0.8944127742308832, "firstRecalledAt": "2026-04-11T03:25:02.968Z", "lastRecalledAt": "2026-04-13T13:54:23.696Z", "queryHashes": [ "4eecf427c541", "5c1e3215246c" ], "recallDays": [ "2026-04-10", "2026-04-13" ], "conceptTags": [ "intermittent/repeated", "upstream/provider", "scripts/hiro-live-indicator.py", "recent-live-output-exists", "last-good", "force-staling", "provider-timeout", "memory/signal-overview.html" ] }, "memory:memory/2026-03-13.md:213:233": { "key": "memory:memory/2026-03-13.md:213:233", "path": "memory/2026-03-13.md", "startLine": 213, "endLine": 233, "source": "memory", "snippet": "3. `gex-pattern-detect` — 4 consecutive \"Message failed\" errors. Root cause: `delivery.channel: \"last\"` doesn't resolve in isolated cron sessions. **Fixed: set delivery.mode to \"none\"** (script handles its own alerting). 4. `openclaw-auto-update` — 4 consecutive \"Message failed\". Same root cause. **Fixed: explicit telegram delivery channel**. - **Also failing (not fixable now):** - `options-scanner-premarket`, `options-scanner-am`, `options-scanner-close` — all timing out at 600s. Root cause: Theta Data terminal (localhost:25503) v3 endpoint returns 404 (v2 works but scanner may be hitting wrong API). These need scanner code investigation, not timeout bumps. - **Built:** `scripts/cro", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.74422757053434, "maxScore": 0.8830102745561621, "firstRecalledAt": "2026-04-11T03:25:02.968Z", "lastRecalledAt": "2026-04-11T03:37:10.367Z", "queryHashes": [ "4eecf427c541", "d3165f10ff6c" ], "recallDays": [ "2026-04-10" ], "conceptTags": [ "gex-pattern-detect", "delivery.channel", "delivery.mode", "openclaw-auto-update", "options-scanner-premarket", "options-scanner-am", "options-scanner-close", "scripts/cro" ] }, "memory:memory/2026-03-12.md:176:199": { "key": "memory:memory/2026-03-12.md:176:199", "path": "memory/2026-03-12.md", "startLine": 176, "endLine": 199, "source": "memory", "snippet": "**Institutional execution research memo completed (local-only)** - Picked highest-value open unblocked task from `memory/todo.md`: research how large institutions (banks, mutual funds, pensions, SWFs) actually execute and how that maps to observable ES signals. - Completed focused research synthesis and wrote: - `data/institutional_execution_research_2026-03-12.md` - Memo covers: - Execution styles used by large participants (VWAP/TWAP/POV/arrival-price) - Hidden-liquidity tactics (dark/ATS + iceberg/reserve behavior) - Block workflow implications and why directional inference is noisy - Practical implications for Daniel’s ES stack (use as context/risk modifiers vs standalone dire", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8772373901378006, "maxScore": 0.8772373901378006, "firstRecalledAt": "2026-04-11T03:25:02.968Z", "lastRecalledAt": "2026-04-11T03:25:02.968Z", "queryHashes": [ "4eecf427c541" ], "recallDays": [ "2026-04-10" ], "conceptTags": [ "local-only", "highest-value", "memory/todo.md", "vwap/twap/pov/arrival-price", "hidden-liquidity", "dark/ats", "iceberg/reserve", "context/risk" ] }, "memory:memory/2026-03-19.md:291:308": { "key": "memory:memory/2026-03-19.md:291:308", "path": "memory/2026-03-19.md", "startLine": 291, "endLine": 308, "source": "memory", "snippet": "- **Best conditions**: mild POS GEX (Q3) → 70.1% WR, normal RVOL (Q2) → 69.4% WR - **MBP-10 depth**: positive bid imbalance at zone = 96.4% WR (+5%), but N=118 - **GEX magnitude**: IC -0.22 (higher GEX = smaller bounces, dampening is real) - **Divergence zone = scalp trade**, not a swing/ORB signal ### Research Scanner - Built scripts/research_paper_scanner.py — 7 sources, twice weekly (Tue/Fri 8 PM PT) - First scan: 188 papers, 13 relevant, 0 HIGH priority - Excel sheet updated: 186 papers with scores, dates, URLs - Cron jobs: research-paper-scanner-tuesday, research-paper-scanner-friday ### Key Architectural Lessons - **POS GEX is the universal enabler** — VPOC MR, divergence zones, gamm", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8521003650701815, "maxScore": 0.8521003650701815, "firstRecalledAt": "2026-04-11T03:37:10.367Z", "lastRecalledAt": "2026-04-11T03:37:10.367Z", "queryHashes": [ "d3165f10ff6c" ], "recallDays": [ "2026-04-10" ], "conceptTags": [ "70.1", "69.4", "mbp-10", "96.4", "0.22", "swing/orb", "tue/fri", "research-paper-scanner-tuesday" ] }, "memory:memory/2026-04-06.md:29:61": { "key": "memory:memory/2026-04-06.md:29:61", "path": "memory/2026-04-06.md", "startLine": 29, "endLine": 61, "source": "memory", "snippet": "## Important Follow-up / Integrity Notes - Runner script currently contains **placeholder study execution/log lines** (not full production 12-study implementation yet). - Cron installation/verification step needs explicit confirmation in next active session. - Avoid claiming overnight fully automated end-to-end completion until: 1) cron entry is confirmed installed, 2) runner is wired to real 12-study compute pipeline, 3) output artifacts are verified. ## Study 3 v2 — Completed 7:46 PM PT - **Study 3 v2 (Sustained Widening):** 58.6 min runtime - **Result: 0 events across 21 dates — NULL** - No sustained widening events found matching the criteria - Signal does not exist in the data at", "recallCount": 3, "dailyCount": 0, "groundedCount": 0, "totalScore": 2.6245705373497543, "maxScore": 0.8798912579129976, "firstRecalledAt": "2026-04-11T23:03:55.677Z", "lastRecalledAt": "2026-04-12T20:38:10.917Z", "queryHashes": [ "200ab27c223c", "4c76c78d40f7", "11d9a71724ba" ], "recallDays": [ "2026-04-11", "2026-04-12" ], "conceptTags": [ "follow-up", "execution/log", "12-study", "installation/verification", "end-to-end", "58.6", "important", "follow" ] }, "memory:memory/2026-03-07.md:277:302": { "key": "memory:memory/2026-03-07.md:277:302", "path": "memory/2026-03-07.md", "startLine": 277, "endLine": 302, "source": "memory", "snippet": "- **Interpretation:** When customers cluster 0DTE gamma ABOVE spot → bearish day. Fade retail 0DTE positioning. - Quintile analysis: MONOTONIC in OOS (Q1=+0.37% → Q3=-0.28%) - Walk-forward: 87-100% same-sign across 8 windows **MM 0DTE Asymmetry → Same-Day Returns: DIRECTIONAL** - Morning: OOS IC = **+0.430** (p<0.001), Sharpe 10.14 - Midday: OOS IC = **+0.497** (p<0.001), Sharpe 9.93 - Full day: OOS IC = **+0.339** (p=0.005), Sharpe 9.46 - **Interpretation:** When MMs position 0DTE gamma ABOVE spot → bullish day. Follow dealer positioning. - Quintile analysis: MONOTONIC in OOS - Walk-forward: 75-100% same-sign ### Vol Prediction from 0DTE Participation | Signal | OOS ρ (same-day range) | D", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8541977669366868, "maxScore": 0.8541977669366868, "firstRecalledAt": "2026-04-11T23:03:55.677Z", "lastRecalledAt": "2026-04-11T23:03:55.677Z", "queryHashes": [ "200ab27c223c" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "0.37", "0.28", "walk-forward", "87-100", "same-sign", "same-day", "0.430", "0.001" ] }, "memory:memory/2026-03-12.md:127:156": { "key": "memory:memory/2026-03-12.md:127:156", "path": "memory/2026-03-12.md", "startLine": 127, "endLine": 156, "source": "memory", "snippet": "**Gap Day Analysis Service Run (`python3 scripts/gap_day_service.py`)** - Output updated: `memory/gap-day-analysis.json` - Gap-day activation: **ACTIVE** - Gap: **-1.185%** (**LARGE**) | Direction: **DOWN** - Prices: open 6726.75, current 6710.5, prior close 6791.0 - VIX context: 26.2 (>25 bucket) → reversal 25.0% / continuation 75.0% - Morning assessment: **PENDING** (waiting for 10:00 ET checkpoint) - Notable conditioning: - Setup: **GAP_DOWN_NEG_GEX** - HIGH-confidence rule flagged: **\"VIX 26 (>25) + gap >1% → 75% CONTINUATION. Don't fight it.\"** - HIGH-confidence rule flagged: **\"Negative GEX + VIX>25 → only 33% fade. STAY OUT.\"** No alerts sent (per instruction); data fi", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8530526233245699, "maxScore": 0.8530526233245699, "firstRecalledAt": "2026-04-11T23:03:55.677Z", "lastRecalledAt": "2026-04-11T23:03:55.677Z", "queryHashes": [ "200ab27c223c" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "scripts/gap-day-service.py", "memory/gap-day-analysis.json", "gap-day", "1.185", "6726.75", "6710.5", "6791.0", "26.2" ] }, "memory:memory/2026-03-12.md:151:180": { "key": "memory:memory/2026-03-12.md:151:180", "path": "memory/2026-03-12.md", "startLine": 151, "endLine": 180, "source": "memory", "snippet": "- Notable conditioning: - Setup: **GAP_DOWN_NEG_GEX** - HIGH-confidence rule flagged: **\"Morning CONTINUING DOWN — DO NOT BUY (83.3% continuation)\"** - HIGH-confidence rule flagged: **\"VIX 26 (>25) + gap >1% → 75% CONTINUATION. Don't fight it.\"** - HIGH-confidence rule flagged: **\"Negative GEX + VIX>25 → only 33% fade. STAY OUT.\"** No alerts sent (per instruction); data file updated and logged only. ## Autonomous Work — 7:45 AM (cron) **Gap Day Analysis Service Run (`python3 scripts/gap_day_service.py`)** - Output updated: `memory/gap-day-analysis.json` - Gap-day activation: **ACTIVE** - Gap: **-1.156%** (**LARGE**) | Direction: **DOWN** - Prices: open 6726.75, current 6712.5,", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8524509356590244, "maxScore": 0.8524509356590244, "firstRecalledAt": "2026-04-11T23:03:55.677Z", "lastRecalledAt": "2026-04-11T23:03:55.677Z", "queryHashes": [ "200ab27c223c" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "gap-down-neg-gex", "high-confidence", "83.3", "scripts/gap-day-service.py", "memory/gap-day-analysis.json", "gap-day", "1.156", "6726.75" ] }, "memory:memory/2026-03-22.md:100:127": { "key": "memory:memory/2026-03-22.md:100:127", "path": "memory/2026-03-22.md", "startLine": 100, "endLine": 127, "source": "memory", "snippet": "- Q1 at 30min: consistent 3/4 years bearish (but p=0.025, borderline) ### Flow-Price Divergence (Daniel's idea) - Q4 absorbed (mild buying + price dips): **58.1% UP**, p=0.004, median +2.75pts — BEST intraday signal - Q5 absorbed (strong buying + price drops): 57% DOWN — seller wins (p=0.11, hypothesis) - Q1 absorbed (sellers + price holds up): 56% UP (p=0.056, borderline) - Rolling divergence does NOT work throughout day — only 10AM daily version showed 76% (N=50, not proven) - The ABSORBER wins: whoever's flow gets absorbed loses ### Data Factors on Intraday Quintiles - Q4 confirmed enhanced by: Friday (62.4%, p=0.001), Low RVOL (60.5%, p<0.001) - Q4 absorbed enhanced by: MM Tilt neutral", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8986390168117588, "maxScore": 0.8986390168117588, "firstRecalledAt": "2026-04-11T23:04:06.132Z", "lastRecalledAt": "2026-04-11T23:04:06.132Z", "queryHashes": [ "4c76c78d40f7" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "3/4", "0.025", "flow-price", "58.1", "0.004", "2.75pts", "0.11", "0.056" ] }, "memory:memory/2026-03-22.md:145:173": { "key": "memory:memory/2026-03-22.md:145:173", "path": "memory/2026-03-22.md", "startLine": 145, "endLine": 173, "source": "memory", "snippet": "- **Q1 bearish is 100% consistent across years at 30min** but Q1 at 45min loses consistency - **Year-by-year: buy_pct signal only started working for bulls in 2025** — was inverted 2023-2024 at 30min ### Flow-Price Divergence (Daniel's idea) - **Q4 absorbed (mild buy + price drops) = 58.1% up, p=0.004** — best intraday signal - **Q5 absorbed = 57% DOWN (bearish)** — extreme buying absorbed = seller winning - **Absorption principle: whoever gets absorbed LOSES** - Q4 absorbed median return = +2.75pts (better than mean of +1.21) - Rolling divergence does NOT work — only the quintile + price reaction matters - Q1/Q2 median returns are FLAT (+0.25) — negative means were outlier-driven ### Gamm", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8920058344088817, "maxScore": 0.8920058344088817, "firstRecalledAt": "2026-04-11T23:04:06.132Z", "lastRecalledAt": "2026-04-11T23:04:06.132Z", "queryHashes": [ "4c76c78d40f7" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "year-by-year", "buy-pct", "2023-2024", "flow-price", "58.1", "0.004", "2.75pts", "1.21" ] }, "memory:memory/2026-03-22.md:75:105": { "key": "memory:memory/2026-03-22.md:75:105", "path": "memory/2026-03-22.md", "startLine": 75, "endLine": 105, "source": "memory", "snippet": "- Need to test: \"when clusters of positive dealer gamma exist below spot (even in net-neg environment), does price get pulled toward those clusters?\" ## Backtest Rules Finalized (22 rules) Full checklist at BACKTEST_CHECKLIST.md. Key additions from tonight: - Gate 0A: Null test FIRST - Gate 0B: ≥7pt thresholds for ES - Gate 0H: Never state assumptions as facts - Rule 20: WR% must define what it measures - Rule 21: Proactively look for edge 3x per session - Rule 22 (Daniel's data factors): Run signals through all 10 data factors ## Quant Research Saved to memory/quant_backtesting_research.md Missing from our process: walk-forward validation, multiple hypothesis correction, deflated Sharpe r", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.878227424265387, "maxScore": 0.878227424265387, "firstRecalledAt": "2026-04-11T23:04:06.132Z", "lastRecalledAt": "2026-04-11T23:04:06.132Z", "queryHashes": [ "4c76c78d40f7" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "net-neg", "backtest-checklist.md", "walk-forward", "need", "test", "when", "clusters", "positive" ] }, "memory:memory/2026-04-05.md:155:182": { "key": "memory:memory/2026-04-05.md:155:182", "path": "memory/2026-04-05.md", "startLine": 155, "endLine": 182, "source": "memory", "snippet": "- **Verdict: PUT_HEAVY imbalances skew much more bullish than CALL_HEAVY.** **Firing Rate:** - 63 HIGH clusters total across 24 days = median 1 HIGH/day, mean 2.63/day, range 0-12 HIGH in one day ## Dashboard Updates (22:41 PT) - Added persistent HIGH/MEDIUM spike log: `memory/spread-spike-log.json` + `data/spread_spike_high_medium_log.csv` - Moved to Tier 3 and reordered: **Spike Pulse, Gamma Tilt, Gamma Cluster Radar** now render above HIRO/VIX/RORO - Killed MM Shift v2: removed panel, removed update hooks, killed scripts ## CBBO Download Status (22:41 PT) - **16 / 21** regular HIRO trading dates now have CBBO 1-second data - **5 remaining**: 2026-03-23, 2026-03-24, 2026-03-25, 2026-03-", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.877779621396758, "maxScore": 0.877779621396758, "firstRecalledAt": "2026-04-11T23:04:06.132Z", "lastRecalledAt": "2026-04-11T23:04:06.132Z", "queryHashes": [ "4c76c78d40f7" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "put-heavy", "call-heavy", "high/day", "2.63/day", "0-12", "high/medium", "memory/spread-spike-log.json", "hiro/vix/roro" ] }, "memory:memory/2026-04-05.md:111:140": { "key": "memory:memory/2026-04-05.md:111:140", "path": "memory/2026-04-05.md", "startLine": 111, "endLine": 140, "source": "memory", "snippet": "- Daniel wants this kept handy for a future Spike Pulse indicator version, but **not built yet**. ## Spike Pulse v2 — BUILT (18:56 PT) - Reframed: volatility/movement alert, NOT bull signal - Spike magnitude now primary factor (0-40 pts) - Time-of-day gate: morning ×1.0, midday ×0.7, afternoon ×0.5 (capped at MEDIUM) - Added imbalance magnitude scoring (0-15 pts) - Added strike dispersion HHI (-10 to +15 pts) - Cluster de-dupe: one alert per cluster, upgrades only - **Telegram alerts: HIGH tier ONLY** — no stage 1, no MEDIUM, no iMessage - PAPER_TRADE_MODE = False (live) - Thresholds: HIGH >= 70, MEDIUM >= 50 - Script: scripts/spread_spike_detector.py - LaunchAgent: com.openclaw.spread-spik", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.9673808897553666, "maxScore": 0.9673808897553666, "firstRecalledAt": "2026-04-11T23:05:13.848Z", "lastRecalledAt": "2026-04-11T23:05:13.848Z", "queryHashes": [ "f790d8bb881d" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "volatility/movement", "0-40", "time-of-day", "1.0", "0.7", "0.5", "0-15", "de-dupe" ] }, "memory:memory/2026-04-07.md:25:51": { "key": "memory:memory/2026-04-07.md:25:51", "path": "memory/2026-04-07.md", "startLine": 25, "endLine": 51, "source": "memory", "snippet": "**Fixed:** added grade upgrade detection. Now alerts fire when a cluster **first reaches A or B regardless of age**. Message includes \"upgraded from [previous grade] after N snapshots\" for context. ## Cloudflare Access Blocking JSON Data Files All `.json` file fetches returning 302 redirect to CF Access login. Fixed by creating bypass rule: `/.json` files publicly accessible, dashboard HTML still behind auth. ## Dashboard Caching Issues Added `Cache-Control: no-cache, no-store, must-revalidate` headers to all dashboard HTML. Added cache-busters to fetch calls in spread_pulse_dashboard.html. ## OPRA CBBO Lag Investigation Morning vol wasn't actually heavy but CBBO quotes were stale/stuc", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8555369626663814, "maxScore": 0.8555369626663814, "firstRecalledAt": "2026-04-12T00:44:36.735Z", "lastRecalledAt": "2026-04-12T00:44:36.735Z", "queryHashes": [ "8f40a34c3ce2" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "cache-control", "no-cache", "no-store", "must-revalidate", "cache-busters", "spread-pulse-dashboard.html", "stale/stuc", "fixed" ] }, "memory:memory/2026-03-10.md:277:312": { "key": "memory:memory/2026-03-10.md:277:312", "path": "memory/2026-03-10.md", "startLine": 277, "endLine": 312, "source": "memory", "snippet": "**Large Option Prints (≥$1M) — Directional vs Hedge Classifier** Picked highest-value unchecked item from `memory/todo.md` under Institutional Flow Detection: classify large options prints as likely directional bets vs likely hedges. ### What I built - New script: `scripts/large_prints_directional_vs_hedge.py` - Scans `data/signed_opra_trades/trades-YYYY-MM-DD.csv` - Filters to full capture days only (>10MB files) - Isolates **>= $1M premium** SPY/SPX/SPXW prints - Computes moneyness vs ES-open proxy (SPY scaled by /10) - Heuristic bucketing: - `likely_directional` (near-ATM / early-session style prints) - `likely_hedge` (far OTM put protection, overwrite-style call selli", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8319246386084062, "maxScore": 0.8319246386084062, "firstRecalledAt": "2026-04-12T00:44:42.993Z", "lastRecalledAt": "2026-04-12T00:44:42.993Z", "queryHashes": [ "90f95dbcdacb" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "highest-value", "memory/todo.md", "spy/spx/spxw", "es-open", "likely-directional", "near-atm", "early-session", "likely-hedge" ] }, "memory:memory/2026-03-30.md:120:151": { "key": "memory:memory/2026-03-30.md:120:151", "path": "memory/2026-03-30.md", "startLine": 120, "endLine": 151, "source": "memory", "snippet": "- ❌ Signal 2: Spread at touch — DEAD (0.1% difference, p=0.36) - ❌ Signal 3: ORB Range × Spread — just restates Signal 1 - ❌ Signal 4: Direction bias — DEAD (p=0.50) **Spread predicts MAGNITUDE only, not direction. rho=+0.39 (30-min ORB). Adds to GEX.** ### GEX vs ORB Spread Partial Correlation - Spread alone: R²=37.8% | GEX alone: R²=22.7% - Even with moderate correlation (r_sg=-0.5), partial r(spread|GEX) ≈ +0.50 - Spread carries independent information — confirms/overrides GEX morning read - Complementary: GEX (midnight) + spread (9:45 AM) = better combined estimate ### Sector Leadership Study — COMPLETE (1,819 days, 2019-2026) **2 of 5 studies had real signals:** - ✅ Study 3: Sector br", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7016116290968686, "maxScore": 0.8724299932280544, "firstRecalledAt": "2026-04-12T03:06:48.965Z", "lastRecalledAt": "2026-04-12T18:20:44.062Z", "queryHashes": [ "cf148b3e8ee7", "0cccea4fc876" ], "recallDays": [ "2026-04-11", "2026-04-12" ], "conceptTags": [ "0.1", "0.36", "0.50", "0.39", "30-min", "37.8", "22.7", "r-sg" ] }, "memory:memory/2026-03-29.md:26:64": { "key": "memory:memory/2026-03-29.md:26:64", "path": "memory/2026-03-29.md", "startLine": 26, "endLine": 64, "source": "memory", "snippet": "### Signal Overview — Updated - Added Total Options RVOL banner at top (reads options-rvol.json) - Color-coded: GREEN=HIGH, YELLOW=MID, RED=LOW - Shows cluster reach context ### 🔴 SPX vs ES — CAUGHT AGAIN - Ran cluster radar backtest with ES prices instead of SPX prices (AGAIN) - Daniel caught it. All cluster results had to be rerun with SPX - Results changed significantly when using correct prices - This is at least the 5th time this mistake was made ### Large Order Studies — All 8 Complete **Winners:** - Study 1: Mean size asymmetry works at 5-min window (rho=0.122, p<0.001) - Study 7: Exhaustion signal — 5+ min one-sided big order streaks predict reversal **Dead:** - Study 2: Big-orde", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8289541930992284, "maxScore": 0.8289541930992284, "firstRecalledAt": "2026-04-12T03:06:48.965Z", "lastRecalledAt": "2026-04-12T03:06:48.965Z", "queryHashes": [ "cf148b3e8ee7" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "options-rvol.json", "color-coded", "5-min", "0.122", "0.001", "one-sided", "big-orde", "signal" ] }, "memory:memory/2026-03-30.md:1:34": { "key": "memory:memory/2026-03-30.md:1:34", "path": "memory/2026-03-30.md", "startLine": 1, "endLine": 34, "source": "memory", "snippet": "# 2026-03-30 — Daily Notes ## Session: ORB Breakout × Options Spread Study ### Context - Daniel asked to analyze 12-month options spread data for ORB breakout patterns - Previous 11 spread studies completed earlier today (ran overnight from 3/29) - Results: Study 1 (ORB spread → range, rho=+0.615) and Study 7 (0DTE ratio, rho=-0.531) were winners ### ORB Breakout Study — LAUNCHED - Script: `scripts/orb_breakout_spread_study.py` - Data: 12-month SPXW cbbo-1m (36GB), ES 1-min bars - Output: `data/orb_breakout_spread_study.json` - Log: `/tmp/orb_breakout_study.log` - PID: 60978, session: crisp-slug **ORB Definitions:** - Fixed windows: 15, 30, 45, 60 min from 9:30 ET - Adaptive: ORB \"sets\"", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8271084568985301, "maxScore": 0.8271084568985301, "firstRecalledAt": "2026-04-12T03:06:48.965Z", "lastRecalledAt": "2026-04-12T03:06:48.965Z", "queryHashes": [ "cf148b3e8ee7" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "12-month", "3/29", "0.615", "0.531", "cbbo-1m", "1-min", "tmp/orb-breakout-study.log", "crisp-slug" ] }, "memory:memory/2026-04-05.md:100:116": { "key": "memory:memory/2026-04-05.md:100:116", "path": "memory/2026-04-05.md", "startLine": 100, "endLine": 116, "source": "memory", "snippet": "- **2026-04-05 11:09 PT — spread-pulse-spike-magnitude-followup** - Task: extend the extreme-imbalance work by testing whether spread-spike magnitude itself is a key missing factor, alone and in combination with imbalance magnitude and post-spike volume - Data target: same 25-day clustered Spread Pulse universe and per-alert feature set - Constraints: null test, test spike magnitude definitions (max_ratio, combined ratio, persistence/duration, cluster size or best available proxy), measure move and direction at 10m/30m/60m, and report whether the best setups are driven by spike magnitude, imbalance, volume, or the combination - Expected output: focused addendum or report with spread-", "recallCount": 3, "dailyCount": 0, "groundedCount": 0, "totalScore": 2.565728287742358, "maxScore": 0.8695928160776191, "firstRecalledAt": "2026-04-12T03:06:48.965Z", "lastRecalledAt": "2026-04-12T22:04:18.055Z", "queryHashes": [ "cf148b3e8ee7", "11d9a71724ba", "562149f9a26c" ], "recallDays": [ "2026-04-11", "2026-04-12" ], "conceptTags": [ "extreme-imbalance", "spread-spike", "post-spike", "25-day", "per-alert", "max-ratio", "persistence/duration", "10m/30m/60m" ] }, "memory:memory/2026-03-25.md:68:91": { "key": "memory:memory/2026-03-25.md:68:91", "path": "memory/2026-03-25.md", "startLine": 68, "endLine": 91, "source": "memory", "snippet": "## Pre-Market TRACE Study (completed before bug discovery — results on inflated data) ### Phase 1: Gamma landscape stable overnight - Tilt ~57% across all windows (midnight through RTH) - 0DTE share flat at ~28% pre-market, jumps to 32% at RTH open - Net GEX drifts down slightly midnight → 7AM ### Phases 2-4: Pre-market → RTH prediction - GEX magnitude → RTH range: r≈-0.60 (confirmed with corrected data too) - Tilt, participant positioning, clusters: NO directional predictive value - Pre-market clusters NOT magnets overnight (30% vs 56% null) - **Only the GEX→range signal survived all corrections** ## Infrastructure / Cron Fixes - HIRO nightly pull: rescheduled 1:30 PM ET → **4:15 PM ET**", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8254273695969704, "maxScore": 0.8254273695969704, "firstRecalledAt": "2026-04-12T03:06:48.965Z", "lastRecalledAt": "2026-04-12T03:06:48.965Z", "queryHashes": [ "cf148b3e8ee7" ], "recallDays": [ "2026-04-11" ], "conceptTags": [ "pre-market", "2-4", "0.60", "pre", "market", "trace", "study", "completed" ] }, "memory:memory/2026-04-02.md:326:357": { "key": "memory:memory/2026-04-02.md:326:357", "path": "memory/2026-04-02.md", "startLine": 326, "endLine": 357, "source": "memory", "snippet": "- Studies 2-5, 8: dead. Spread predicts magnitude, never direction. # 2026-04-02 — Daily Notes ## Major Work: Spread Cache + Charm Discovery ### CBBO Spread Cache — COMPLETED - Processed all 12 months of SPXW CBBO 1-min data → parquet cache - 97,947 rows, 252 days (Apr 2025–Apr 2026), including gap fill for Mar 27-Apr 1 - Gap fill from Databento: $0.00 (free with subscription) - SPX polygon updated through today (306,269 rows) - Files: `data/cbbo_spread_cache/spread_allexp.parquet`, `spread_0dte.parquet`, `spread_full_detail.parquet` ### Price Source Guard — DEPLOYED - `scripts/price_source_guard.py` — blocks ES prices for SPX studies - SPXW/SPX studies MUST use SPX prices, not ES (6th+ t", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8576758182949547, "maxScore": 0.8576758182949547, "firstRecalledAt": "2026-04-12T18:15:45.470Z", "lastRecalledAt": "2026-04-12T18:15:45.470Z", "queryHashes": [ "895fe7a088bc" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "2-5", "1-min", "27-apr", "0.00", "spread-0dte.parquet", "spread-full-detail.parquet", "scripts/price-source-guard.py", "spxw/spx" ] }, "memory:memory/2026-04-02.md:303:334": { "key": "memory:memory/2026-04-02.md:303:334", "path": "memory/2026-04-02.md", "startLine": 303, "endLine": 334, "source": "memory", "snippet": "- [ ] Monitor range indicator with charm — first live day - [ ] Test Adams reversal/momentum claim at longer horizons (30-60 min) - [ ] Consider: is the 10% genuinely predictive gamma asymmetry worth building into indicator? - [ ] SpotGamma JWT refreshed — good until Apr 5 # 2026-04-02 — Daily Notes ## Major Work: Spread Cache + Charm Discovery ### CBBO Spread Cache — COMPLETED - Processed all 12 months of SPXW CBBO 1-min data → parquet cache - 97,947 rows, 252 days (Apr 2025–Apr 2026), including gap fill for Mar 27-Apr 1 - Gap fill from Databento: $0.00 (free with subscription) - SPX polygon updated through today (306,269 rows) - Files: `data/cbbo_spread_cache/spread_allexp.parquet`, `spr", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8525677437240996, "maxScore": 0.8525677437240996, "firstRecalledAt": "2026-04-12T18:15:45.470Z", "lastRecalledAt": "2026-04-12T18:15:45.470Z", "queryHashes": [ "895fe7a088bc" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "reversal/momentum", "30-60", "1-min", "27-apr", "0.00", "monitor", "range", "indicator" ] }, "memory:memory/2026-03-10.md:330:369": { "key": "memory:memory/2026-03-10.md:330:369", "path": "memory/2026-03-10.md", "startLine": 330, "endLine": 369, "source": "memory", "snippet": "- **Preference reinforced:** Daniel wants plain, calm explanations when discussing signal stats. ### Sector Rotation + RORO 2.0 work completed Daniel said \"let's do both\" for: 1) Intraday sector-feature backtest 2) Sector-aware RORO overlay backtest Sub-agent delivered full implementation and committed: - `scripts/sector_rotation_intraday_backtest.py` - `scripts/roro_v2_overlay_backtest.py` - `data/sector_rotation_intraday_report.md` - `data/roro_v2_overlay_report.md` - JSON result files - **Commit:** `037e441` Reported outcomes: - Intraday sector features showed best lift at **2h horizon** - RORO 2.0 overlay improved OOS IC/WR/Sharpe vs baseline across tested horizons (strongest IC lift", "recallCount": 10, "dailyCount": 0, "groundedCount": 0, "totalScore": 8.8417280573099, "maxScore": 1, "firstRecalledAt": "2026-04-12T18:15:48.805Z", "lastRecalledAt": "2026-04-15T23:56:33.771Z", "queryHashes": [ "0fbf92a7b3dd", "850c070b1416", "11d9a71724ba", "73da74368388", "2fac56e1b21c", "562149f9a26c", "3349ffa30a34", "a169c3bf46c0", "153d4631a4e9", "e081c0570db8" ], "recallDays": [ "2026-04-12", "2026-04-15" ], "conceptTags": [ "2.0", "sector-feature", "sector-aware", "sub-agent", "data/roro-v2-overlay-report.md", "ic/wr/sharpe", "preference", "reinforced" ] }, "memory:memory/2026-03-10.md:87:111": { "key": "memory:memory/2026-03-10.md:87:111", "path": "memory/2026-03-10.md", "startLine": 87, "endLine": 111, "source": "memory", "snippet": "Built `scripts/sector_rotation_backtest.py` — tested 53 cross-asset signals using Polygon 5-min ETF data (10 ETFs, 852 trading days, Jan 2023 → Feb 2026). **ETFs tested:** SPY, QQQ, IWM, XLF, XLE, XLK, TLT, GLD, HYG, DIA **Signal categories:** sector relative strength, risk-appetite composites (HYG-TLT), sector dispersion, correlation regime shifts, cross-sector momentum divergence, credit-equity divergence **Top 10 IS/OOS consistent signals (|OOS IC| ≥ 0.08):** - `prior_day_RS_XLK`: OOS IC **-0.125** (p=0.022), WF 75% — tech overextension reverses next day - `prior_day_RS_XLE`: OOS IC **+0.124** (p=0.023), WF 77% — energy strength = risk-on momentum - `corr_IWM_SPY_20d`: OOS IC **+0.121*", "recallCount": 3, "dailyCount": 0, "groundedCount": 0, "totalScore": 2.6016880217316025, "maxScore": 0.8846099235011521, "firstRecalledAt": "2026-04-12T18:15:48.805Z", "lastRecalledAt": "2026-04-12T22:18:46.362Z", "queryHashes": [ "0fbf92a7b3dd", "2fac56e1b21c", "8480d51ea8a8" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "cross-asset", "5-min", "risk-appetite", "hyg-tlt", "cross-sector", "credit-equity", "is/oos", "0.08" ] }, "memory:memory/2026-03-06.md:916:936": { "key": "memory:memory/2026-03-06.md:916:936", "path": "memory/2026-03-06.md", "startLine": 916, "endLine": 936, "source": "memory", "snippet": "The \"max OI as price magnet\" theory does not survive statistical testing. Price reaches the max OI strike at exactly the same rate as a random strike at the same distance. The only mildly interesting finding is that *sticky* max OI strikes (same strike 3+ days) have higher touch rates, but n=17 makes this unreliable. **Script:** `scripts/max_oi_magnet_backtest.py` **Results:** `data/max_oi_magnet_results.json` --- ## Positive GEX (Gamma) Magnet Backtest **Task:** Test whether strikes with high positive gamma from TRACE data act as intraday ES price magnets. **Data:** 173 valid days (2025-06-26 to 2026-02-27), IS=121, OOS=52 **Script:** `scripts/positive_gex_magnet_backtest.py` **Results:", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8570362223834221, "maxScore": 0.8570362223834221, "firstRecalledAt": "2026-04-12T18:15:56.210Z", "lastRecalledAt": "2026-04-12T18:15:56.210Z", "queryHashes": [ "68474cb75f09" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "data/max-oi-magnet-results.json", "the", "max", "price", "magnet", "theory", "does", "not" ] }, "memory:memory/2026-03-06.md:753:776": { "key": "memory:memory/2026-03-06.md:753:776", "path": "memory/2026-03-06.md", "startLine": 753, "endLine": 776, "source": "memory", "snippet": "- The Broker-Dealer sign flip is suspicious and suggests OOS may be noisy - Script: `scripts/participant_vol_prediction_backtest.py` - Results: `data/participant_vol_prediction_results.json` --- ## GEX Level Magnet Backtest (22:25 PST) **Question:** Do GEX levels (gamma wall, max neg strike, gamma flip) act as price magnets for ES futures? **Bottom line: No meaningful magnet effect. These levels are not price attractors in any tradeable way.** ### Key Findings: **Q1 - Magnet Effect:** Gamma wall shows 51.7% \"toward\" rate (barely above coin flip). Max neg strike is actually ANTI-magnet at 43.2% — price moves AWAY from it. Gamma flip: 52.3%. None are statistically significant magnets. *", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8519046073285029, "maxScore": 0.8519046073285029, "firstRecalledAt": "2026-04-12T18:15:56.210Z", "lastRecalledAt": "2026-04-12T18:15:56.210Z", "queryHashes": [ "68474cb75f09" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "broker-dealer", "51.7", "anti-magnet", "43.2", "52.3", "the", "broker", "dealer" ] }, "memory:memory/2026-03-06.md:852:878": { "key": "memory:memory/2026-03-06.md:852:878", "path": "memory/2026-03-06.md", "startLine": 852, "endLine": 878, "source": "memory", "snippet": "- **Verdict: REJECT. GEX level spacing doesn't predict intraday range.** ### Test 8: RVOL + Proximity — NO SIGNAL - Near level + low RVOL: 55.8% approach rate IS → 32.7% OOS (inverts!) - No significant difference between low and high RVOL near levels (p=0.17 IS, p=0.96 OOS) - **Verdict: REJECT. RVOL doesn't amplify any magnet effect.** --- ### Actionable Summary: 1. **Gamma flip crossover → momentum continuation (+5.4 bps/15min OOS)** — only actionable signal. When price crosses gamma flip, it tends to keep going in that direction. Could be a confirmation signal for other entries. 2. **GEX levels as support/resistance bounce zones** — 85-90% bounce rate at 15min is interesting but needs m", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8489583400537687, "maxScore": 0.8489583400537687, "firstRecalledAt": "2026-04-12T18:15:56.210Z", "lastRecalledAt": "2026-04-12T18:15:56.210Z", "queryHashes": [ "68474cb75f09" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "55.8", "32.7", "0.17", "0.96", "5.4", "bps/15min", "support/resistance", "85-90" ] }, "memory:memory/2026-03-06.md:785:809": { "key": "memory:memory/2026-03-06.md:785:809", "path": "memory/2026-03-06.md", "startLine": 785, "endLine": 809, "source": "memory", "snippet": "**Q10 - Combo Signal:** All composite signals (dist × GEX_sign × magnitude) are pure noise. ICs near zero, p-values all >0.5. Quintile spread shows no monotonicity. ### Data Quality Notes: - gamma_flip data is noisy: 28% of values were equal to spot (fallback/default), merged with v2 file to improve coverage to 74.7% - gamma_flip values sometimes clearly wrong (e.g., 700-800 when spot is 4000+) - gamma_wall and max_neg_strike data appears clean ### Verdict: **REJECT all signals.** GEX levels from this dataset do not act as price magnets. The levels are typically too far from price to be relevant for intraday trading. The slight above-50% \"toward\" rates for gamma wall are within noise and d", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8476514063884526, "maxScore": 0.8476514063884526, "firstRecalledAt": "2026-04-12T18:15:56.210Z", "lastRecalledAt": "2026-04-12T18:15:56.210Z", "queryHashes": [ "68474cb75f09" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "gex-sign", "p-values", "0.5", "gamma-flip", "fallback/default", "74.7", "e.g", "700-800" ] }, "memory:memory/2026-04-01.md:22:50": { "key": "memory:memory/2026-04-01.md:22:50", "path": "memory/2026-04-01.md", "startLine": 22, "endLine": 50, "source": "memory", "snippet": "- **Study 3 (sector breadth): STRONG** — breadth at 10:30 AM rho=+0.342 (p=3e-47), WF OOS rho=0.194 ✅ - Q5 breadth (>87% green): 75% WR up close - Q1 breadth (<16% green): 67.5% WR down close - Divergence does NOT predict reversals — momentum wins - **Study 4 (rotation speed): DEAD** — rho=-0.030 - **Study 5 (Growth vs Cyclical): MODERATE** — Growth morning return rho=+0.339, WF improves OOS (0.198) ✅ - Growth = XLK+XLC (~39% weight), Cyclical = XLF+XLE+XLI (~26%) - When they disagree, Growth wins (56%) ### Growth Signal 13 Data Factors — DONE - Baseline: rho=0.321, WR=64.5%, N=1,688 days - **#1 Options RVOL MID (0.9-1.1)**: rho=0.442 (+12pp), WF confirmed, null p=0.026 ✅ - **#2 I", "recallCount": 3, "dailyCount": 0, "groundedCount": 0, "totalScore": 2.6428202695780687, "maxScore": 0.8809831269664146, "firstRecalledAt": "2026-04-12T18:20:44.062Z", "lastRecalledAt": "2026-04-12T20:39:52.951Z", "queryHashes": [ "0cccea4fc876", "92b2af106f5f", "73da74368388" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "0.342", "3e-47", "0.194", "67.5", "0.030", "0.339", "0.198", "0.321" ] }, "memory:memory/2026-03-24.md:117:152": { "key": "memory:memory/2026-03-24.md:117:152", "path": "memory/2026-03-24.md", "startLine": 117, "endLine": 152, "source": "memory", "snippet": "| RVOL | +0.101 | High RVOL = better (opposite of tilt!) | | Gamma change | +0.021 | NOT significant — OI is what matters | ### v4 Cluster Radar Backtest Results - v3 Spearman (score→reach60): +0.212 | v4: +0.230 (improvement) - OOS: v3 +0.225 | v4 +0.243 (holds out of sample) - Null z-score: v3 19.1 | v4 20.5 (both highly significant) - v4 A-grade OOS: 42.5% reach 60min, 65.8% EOD (N=146) - Rescued 354 clusters from F/D → C/B/A (+11.4% edge over remaining F/D) ### Scoring: Contra-Build Component (added to v3 landscape score) - 0 builds: +0pts - 1 build: +5pts - 2 builds: +15pts - 3+ builds: +25pts (base) - 3+ builds + NEG GEX: +35pts - 3+ builds + NEG GEX + high OI: +40pts ### Early Star", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8629822682042187, "maxScore": 0.8629822682042187, "firstRecalledAt": "2026-04-12T18:20:44.062Z", "lastRecalledAt": "2026-04-12T18:20:44.062Z", "queryHashes": [ "0cccea4fc876" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "0.101", "0.021", "0.212", "0.230", "0.225", "0.243", "z-score", "19.1" ] }, "memory:memory/2026-03-06.md:839:861": { "key": "memory:memory/2026-03-06.md:839:861", "path": "memory/2026-03-06.md", "startLine": 839, "endLine": 861, "source": "memory", "snippet": "- **Verdict: Real reversal signal, especially at gamma wall and gamma flip. Strongest under positive GEX. But need to test if raw distance from any arbitrary level gives similar bounce rates (potential methodology artifact).** ### Test 6: Gamma Flip Pivot — ⭐ REAL SIGNAL ⭐ - Post-cross 15min move: +5.9 bps in direction of cross (t=11.37, p<0.0001 IS) - **OOS confirms: +5.4 bps, t=4.87, p<0.0001** - More crosses = more chop: r=0.354 IS (p<0.0001), r=0.182 OOS (p=0.048) - Mean 4.0 crosses/day when gamma flip is nearby (<3% from open) - **Verdict: REAL — crossing gamma flip leads to continuation, not reversal. This is consistent with dealer hedging theory (crossing gamma flip changes dealer he", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.6730974221688655, "maxScore": 0.8365487110844327, "firstRecalledAt": "2026-04-12T18:27:17.128Z", "lastRecalledAt": "2026-04-12T18:27:21.059Z", "queryHashes": [ "b92b3865e962", "b69221241d12" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "post-cross", "5.9", "11.37", "0.0001", "5.4", "4.87", "0.354", "0.182" ] }, "memory:memory/2026-04-07.md:1:32": { "key": "memory:memory/2026-04-07.md:1:32", "path": "memory/2026-04-07.md", "startLine": 1, "endLine": 32, "source": "memory", "snippet": "# 2026-04-07 — Daily Notes ## Morning Health Check (6:15 AM PT) **Services down:** - com.openclaw.gamma-shift-v5 (not loaded) - com.openclaw.cluster-radar (not loaded) - com.openclaw.vix-decomposition (crashed, exit code 1) - SpotGamma JWT expired (HTTP 404) **Fixed:** added launchctl bootstraps and kickstart for crashed service. SpotGamma needs re-auth. ## Spike Pulse Frozen Since 2:40 AM Process alive but connection dead. Restarted with `launchctl kickstart`. Added spike pulse to morning health check script so it auto-kicks if stuck >2h. ## GEX Regime Stale Data Signal overview dashboard showing stale GEX from March 17 (SpotGamma JWT dead). Switched to live `spx-combined-gex.json` f", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.689870689650404, "maxScore": 0.8604043808233022, "firstRecalledAt": "2026-04-12T18:27:17.128Z", "lastRecalledAt": "2026-04-14T12:01:43.461Z", "queryHashes": [ "b92b3865e962", "d85ff8bca1bc" ], "recallDays": [ "2026-04-12", "2026-04-14" ], "conceptTags": [ "com.openclaw.gamma-shift-v5", "com.openclaw.cluster-radar", "com.openclaw.vix-decomposition", "re-auth", "auto-kicks", "spx-combined-gex.json", "morning", "health" ] }, "memory:memory/2026-03-02.md:563:587": { "key": "memory:memory/2026-03-02.md:563:587", "path": "memory/2026-03-02.md", "startLine": 563, "endLine": 587, "source": "memory", "snippet": "- Summary bar chart (like paper's Exhibit 17) showing cumulative decomposition - Build historical database for backtesting the 6 factors - **Architecture proposed**: - Snapshot full SPX/SPXW chain every 5 min during RTH - Interpolate 30-day skew (front + back month, variance-weighted) - Compute 6 factors vs prior snapshot or vs open - Store snapshots to database (CSV/JSON per day) - **Data source question**: Need full IV surface (quotes, not just trades) - Theta Data on localhost:25503 is best option (already have Standard plan) - Databento OPRA snapshots possible but may cost more - Yahoo too slow/unreliable for wings - Waiting for Daniel to confirm data source before spawning", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8397056738088773, "maxScore": 0.8397056738088773, "firstRecalledAt": "2026-04-12T18:27:21.059Z", "lastRecalledAt": "2026-04-12T18:27:21.059Z", "queryHashes": [ "b69221241d12" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "spx/spxw", "30-day", "variance-weighted", "csv/json", "slow/unreliable", "summary", "bar", "chart" ] }, "memory:memory/2026-04-04.md:91:105": { "key": "memory:memory/2026-04-04.md:91:105", "path": "memory/2026-04-04.md", "startLine": 91, "endLine": 105, "source": "memory", "snippet": "3. Retest cluster thresholds for new scale 4. Test Spread Pulse on new downloaded days 5. Validate GEX gate on bear signal with neg GEX + down days 6. Run Spread Pulse live Monday (paper trade mode) ## Sub-Agent Tracking - **2026-04-04 19:44 PT — spread-pulse-volume-baseline** - Task: run the approved Spread Pulse follow-up study on existing data only - Scope: calibrate live options-volume baseline (muted / picking up / surging), test cluster independence, test ES confirmation after BOTH spike, and test post-spike call-vs-put order composition against 10m/30m/60m SPX path - Data target: canonical 13 CBBO 1s days plus evaluate whether 6 additional raw CBBO full-day files (2025-08-19, 2", "recallCount": 5, "dailyCount": 0, "groundedCount": 0, "totalScore": 4.365027549163695, "maxScore": 0.8730354454371361, "firstRecalledAt": "2026-04-12T20:27:50.020Z", "lastRecalledAt": "2026-04-12T22:04:18.055Z", "queryHashes": [ "850c070b1416", "11d9a71724ba", "73da74368388", "2fac56e1b21c", "562149f9a26c" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "sub-agent", "spread-pulse-volume-baseline", "follow-up", "options-volume", "post-spike", "call-vs-put", "10m/30m/60m", "full-day" ] }, "memory:memory/2026-04-05.md:68:89": { "key": "memory:memory/2026-04-05.md:68:89", "path": "memory/2026-04-05.md", "startLine": 68, "endLine": 89, "source": "memory", "snippet": "- Added **Spike Pulse v2 panel** to `memory/signal_overview.html` - Added dedicated alias page: `memory/spike_pulse_dashboard.html` → redirects to `spread_pulse_dashboard.html` - Updated `spread_pulse_dashboard.html` title/labels for v2 wording - Live alert routing confirmed in detector code: **Telegram HIGH-only**, no iMessage, no stage1/medium sends - Added persistent HIGH/MEDIUM review log: - `memory/spread-spike-log.json` (dashboard-readable history) - `data/spread_spike_high_medium_log.csv` (durable CSV log) - Dashboard table now loads persistent HIGH/MEDIUM history for later review ## MM Shift v2 Removed (22:33 PT) - Removed MM Shift v2 panel from `memory/signal_overview.html` -", "recallCount": 4, "dailyCount": 0, "groundedCount": 0, "totalScore": 3.4892450142691316, "maxScore": 0.8723488547756141, "firstRecalledAt": "2026-04-12T20:27:50.020Z", "lastRecalledAt": "2026-04-12T22:04:18.055Z", "queryHashes": [ "850c070b1416", "11d9a71724ba", "2fac56e1b21c", "562149f9a26c" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "memory/signal-overview.html", "spread-pulse-dashboard.html", "title/labels", "high-only", "stage1/medium", "high/medium", "memory/spread-spike-log.json", "dashboard-readable" ] }, "memory:memory/2026-03-13.md:56:83": { "key": "memory:memory/2026-03-13.md:56:83", "path": "memory/2026-03-13.md", "startLine": 56, "endLine": 83, "source": "memory", "snippet": "- Mon-Wed: ~68% hold - Thu-Fri: ~59% hold (weaker) 8. **Excursion targets:** - HOLD outcomes: median 10-14 tick favorable, median 0 adverse - BREAK outcomes: median 4.5-5.5 tick favorable, median 4.5 adverse - Commit: 961cba2 ## Autonomous Work — 4:02 AM (cron) **Bookmap Scoring Module + Level Strength Integration** - Picked task: integrate Bookmap playbook findings into live level_strength_service for calibrated hold/break predictions - Built `scripts/bookmap_scoring.py` — standalone scoring module with: - Calibrated hold probabilities from 35K-event 14-month OOS playbook (IC 0.253) - Level type × time-of-day combo lookup (e.g., session_high + lunch = 86.5% hold) - Day", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7286388579369913, "maxScore": 0.8767491240674865, "firstRecalledAt": "2026-04-12T20:38:10.917Z", "lastRecalledAt": "2026-04-12T22:00:12.534Z", "queryHashes": [ "11d9a71724ba", "7f58d99e9de9" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "mon-wed", "thu-fri", "10-14", "4.5-5.5", "4.5", "level-strength-service", "hold/break", "scripts/bookmap-scoring.py" ] }, "memory:memory/2026-04-05.md:94:102": { "key": "memory:memory/2026-04-05.md:94:102", "path": "memory/2026-04-05.md", "startLine": 94, "endLine": 102, "source": "memory", "snippet": "- Expected output: movement-vs-direction report, per-date tables, and verdict on whether options flow / ES delta / ES volume help confirm direction - **2026-04-05 10:53 PT — spread-pulse-extreme-imbalance-study** - Task: test whether extreme post-spike call/put volume imbalance magnitude after Spread Pulse alerts predicts a big move over the next 10m/30m/60m across all 25 available days - Data target: all 25 clustered Spread Pulse days with matching SPXW trade files; use SPX for forward returns and absolute-move/travel metrics - Constraints: null test first, use full practical Mac Studio capacity, test thresholds including 150x / 200x / 300x+ imbalance plus other sensible buckets if", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.742190394024212, "maxScore": 0.871095197012106, "firstRecalledAt": "2026-04-12T20:38:10.917Z", "lastRecalledAt": "2026-04-12T22:04:18.055Z", "queryHashes": [ "11d9a71724ba", "562149f9a26c" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "movement-vs-direction", "per-date", "post-spike", "call/put", "10m/30m/60m", "absolute-move/travel", "expected", "output" ] }, "memory:memory/2026-04-04.md:70:98": { "key": "memory:memory/2026-04-04.md:70:98", "path": "memory/2026-04-04.md", "startLine": 70, "endLine": 98, "source": "memory", "snippet": "## Paper Read: \"Risky Intraday Order Flow and Option Liquidity\" (DPS May 2025) - MMs manage inventory via trade matching > delta-hedging - Order flow VOLATILITY (#1 driver of spreads, not direction) - Effect strongest for 0DTE - Not informed trading — drops on earnings, spikes on opex/month-end - Validates Spread Pulse signal theory ## Infrastructure - Killed stale gateway (PID 44714 from Wednesday) causing Telegram \"Something went wrong\" errors - Research paper scanner dedup works fine — I was re-presenting old results (my fault) - Comprehensive study (spike_comprehensive_study.py) got stuck on null tests after 4.5hrs — killed it, had all results already ## Mistakes Made Today - Didn't fa", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.738231743946178, "maxScore": 0.869115871973089, "firstRecalledAt": "2026-04-12T20:38:10.917Z", "lastRecalledAt": "2026-04-12T22:04:18.055Z", "queryHashes": [ "11d9a71724ba", "562149f9a26c" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "gateway", "delta-hedging", "opex/month-end", "re-presenting", "spike-comprehensive-study.py", "4.5hrs", "paper", "read" ] }, "memory:memory/2026-03-10.md:68:92": { "key": "memory:memory/2026-03-10.md:68:92", "path": "memory/2026-03-10.md", "startLine": 68, "endLine": 92, "source": "memory", "snippet": "### 1. Gap Day Analysis Service — Live Rules + Dashboard Panel Built `scripts/gap_day_service.py` — takes the 740-day SPX gap study findings and makes them actionable in real-time. When market opens with a significant gap (>0.3%), the decision tree dashboard activates a \"Gap Day Mode\" panel showing: - Gap classification (SMALL → EXTREME) with fill probability - VIX-conditioned reversal/continuation probabilities (VIX 20-25 + gap >1%: 71% reversal, VIX >25: 75% continuation) - Morning stabilization checkpoints (30 min: 71-79% reversal if holds; 82-88% continuation if drops further) - Directional confidence tracker (by 11:30 AM, r=0.62 with close) - Extreme gap entry timing (>1.5%: late 1-2 PM", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8780894574566334, "maxScore": 0.8780894574566334, "firstRecalledAt": "2026-04-12T21:28:29.446Z", "lastRecalledAt": "2026-04-12T21:28:29.446Z", "queryHashes": [ "2fac56e1b21c" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "scripts/gap-day-service.py", "740-day", "real-time", "0.3", "vix-conditioned", "reversal/continuation", "20-25", "71-79" ] }, "memory:memory/2026-03-10.md:303:339": { "key": "memory:memory/2026-03-10.md:303:339", "path": "memory/2026-03-10.md", "startLine": 303, "endLine": 339, "source": "memory", "snippet": "- likely_directional: 2,344 - likely_hedge: 1,258 - unclear: 1,098 - Premium concentration: - likely_hedge: **$10.55B** - unclear: **$10.15B** - likely_directional: **$6.01B** - Directional net premium was **bearish on all 3 days** (−$667M, −$404M, −$691M), matching ES down closes on those sessions. ### Interpretation - This completes the pending “large option prints directional vs hedge” task as infrastructure + first pass. - Sample is still too small for any promoted signal (n=3 days with ES alignment), but the pipeline is now in place and can accumulate daily automatically. --- ## Night Session — ~8:35-9:20 PM ### ORB Decision Tree check-in (Mar 10 session) Daniel asked h", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7621103575971326, "maxScore": 0.8870308073113338, "firstRecalledAt": "2026-04-12T21:28:29.446Z", "lastRecalledAt": "2026-04-12T21:41:12.187Z", "queryHashes": [ "2fac56e1b21c", "ade1a82d866e" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "likely-directional", "likely-hedge", "10.55b", "10.15b", "6.01b", "35-9", "check-in", "2,344" ] }, "memory:memory/2026-04-04.md:144:179": { "key": "memory:memory/2026-04-04.md:144:179", "path": "memory/2026-04-04.md", "startLine": 144, "endLine": 179, "source": "memory", "snippet": "- Signal 1: Weighted sector breadth at 10:30 AM ET (rho=0.342, OOS=0.194) - Signal 2: Growth leadership + HYG/IWM/VIX confirmations (72-79% WR) - Signal killer: Options RVOL > 1.1 - WR = probability SPX closes higher than 10:30 AM price - LaunchAgent installed: runs 7:30 AM PT M-F - Output: `memory/eod-sector-indicator.json` ### MM Movement 11:30 ET — WEAKENED ON RETEST - Retested on 444 days unified billions TRACE archive - Original: IC=+0.109, Q5=70% WR - **Retest: IC=+0.063 (p=0.185), NOT significant. Permutation p=0.179.** - Q5=64% on POS GEX only (IC=0.089, p=0.087 — borderline) - NEG GEX: signal INVERTS (IC=-0.091). Avoid on neg GEX days. - **Downgraded from confirmed to borderline.**", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.872827925881514, "maxScore": 0.872827925881514, "firstRecalledAt": "2026-04-12T21:28:29.446Z", "lastRecalledAt": "2026-04-12T21:28:29.446Z", "queryHashes": [ "2fac56e1b21c" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "0.342", "0.194", "hyg/iwm/vix", "72-79", "1.1", "m-f", "memory/eod-sector-indicator.json", "0.109" ] }, "memory:memory/2026-03-17.md:44:68": { "key": "memory:memory/2026-03-17.md:44:68", "path": "memory/2026-03-17.md", "startLine": 44, "endLine": 68, "source": "memory", "snippet": "- Alerts were queueing up and blocking main session — caused ~20 min unresponsiveness - **Files**: `scripts/gex_pattern_detector.py`, `scripts/spx_combined_gex_service.py` ### TRACE Offline False Alarm on Signal Overview - GEX Rank showed \"TRACE offline — rank unavailable\" because `trace-participant-signals.json` lacked `mm_gamma` fields - Fix: falls back to `trace-live-summary.json` for TRACE GEX ranking - **File**: `memory/signal_overview.html` `updateGEX()` ## Dashboard Changes - **Signal Overview**: Added total +γ tilt alongside weighted tilt in gamma shift panel, with raw gamma breakdown (above/below spot, dominant strike, gravity center) - **Signal Overview**: Moved VIX Ratio + Gap A", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7636336650929647, "maxScore": 0.8871798154399476, "firstRecalledAt": "2026-04-12T21:41:12.187Z", "lastRecalledAt": "2026-04-12T22:04:18.055Z", "queryHashes": [ "ade1a82d866e", "562149f9a26c" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "scripts/gex-pattern-detector.py", "trace-participant-signals.json", "mm-gamma", "trace-live-summary.json", "memory/signal-overview.html", "above/below", "alerts", "queueing" ] }, "memory:memory/2026-03-15.md:47:74": { "key": "memory:memory/2026-03-15.md:47:74", "path": "memory/2026-03-15.md", "startLine": 47, "endLine": 74, "source": "memory", "snippet": "- Pre-Feb-18: mm_gamma max values in billions (e.g., 5.87e+09) - Post-Feb-18: mm_gamma max values in tens of millions (e.g., 4.32e+07) - The `intradayStrikeGEX` parquet endpoint now returns differently-scaled values - The `intradayStats` JSON endpoint is **completely broken** — returns stale data regardless of date param - The `running_hiro` endpoint also returns stale data - Strike count also dropped from ~140 to ~120 (narrower range) - Full diagnosis: `data/trace_data_diagnosis.md` ### Possible Explanation - SpotGamma may have removed the 100x contract multiplier from their gamma calculation - Early TRACE data (2024) had similar million-scale values → they may have reverted to original sc", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8516847976035492, "maxScore": 0.8516847976035492, "firstRecalledAt": "2026-04-12T21:41:12.187Z", "lastRecalledAt": "2026-04-12T21:41:12.187Z", "queryHashes": [ "ade1a82d866e" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "pre-feb-18", "mm-gamma", "e.g", "5.87e", "post-feb-18", "4.32e", "differently-scaled", "running-hiro" ] }, "memory:memory/2026-03-07.md:422:450": { "key": "memory:memory/2026-03-07.md:422:450", "path": "memory/2026-03-07.md", "startLine": 422, "endLine": 450, "source": "memory", "snippet": "- This is real — likely 0DTE buildup and dealer repositioning throughout the day - Number of clusters stays stable (~2), but existing clusters get STRONGER **2. Pinning at clusters is an IS mirage** ❌ - IS: vol ratio 0.92 at 5min, 0.93 at 15min/30min (all significant p<0.01) - OOS: vol ratio 0.96-0.99, ALL insignificant (p>0.6) - The \"pinning theory\" does NOT hold up out-of-sample - Possible explanation: the vol reduction IS is capturing is just lower vol near round strikes (a known micro effect) that's regime-dependent **3. Cluster dissolution → acceleration is REAL** ⭐ - When a cluster dissolves (gamma drops/goes negative), forward 15-min abs returns are 21-24% higher than baseline - IS:", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8506012144304153, "maxScore": 0.8506012144304153, "firstRecalledAt": "2026-04-12T21:41:12.187Z", "lastRecalledAt": "2026-04-12T21:41:12.187Z", "queryHashes": [ "ade1a82d866e" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "0.92", "0.93", "15min/30min", "0.01", "0.96-0.99", "0.6", "out-of-sample", "regime-dependent" ] }, "memory:memory/2026-03-07.md:28:62": { "key": "memory:memory/2026-03-07.md:28:62", "path": "memory/2026-03-07.md", "startLine": 28, "endLine": 62, "source": "memory", "snippet": "### Todo Item Status - [x] Visualize: overlay neg gamma center distance on intraday price chart (TRACE chart style) --- ## Autonomous Work — 4:02 PM (cron) **Two tasks completed: gamma shift bias fix + conditioning backtest** ### 1. Fixed Broken Gamma Shift Signal in Intraday Bias Service ⭐ CRITICAL BUG FIX **Commit: 5d02609** `read_gamma_shift_signal()` in `intraday_bias_service.py` was reading fields that don't exist in the output of `compute_gamma_shift_signal()`: - Old reader expected: `signal.value` (numeric), `data.shifts`, `data.strength` - New writer outputs: `signal.direction/strength/conviction`, `components.dte0_neg_shift`, etc. - Result: `signal_val = safe_float(sig.get(\"valu", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8502995914827044, "maxScore": 0.8502995914827044, "firstRecalledAt": "2026-04-12T22:00:12.534Z", "lastRecalledAt": "2026-04-12T22:00:12.534Z", "queryHashes": [ "7f58d99e9de9" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "read-gamma-shift-signal", "intraday-bias-service.py", "compute-gamma-shift-signal", "signal.value", "data.shifts", "data.strength", "components.dte0-neg-shift", "signal-val" ] }, "memory:memory/2026-03-27.md:76:105": { "key": "memory:memory/2026-03-27.md:76:105", "path": "memory/2026-03-27.md", "startLine": 76, "endLine": 105, "source": "memory", "snippet": "- Paper #3: \"Risky Intraday Order Flow and Option Liquidity\" — MMs match trades, don't just delta-hedge - Paper #4: \"Stock Pinning\" (Avellaneda & Lipkin 2003) — pinning force β = nE/(√2π σ²T) - Daniel sent PDF, confirmed formula. β_proxy = OI/(σ²×T) for ranking strikes. - Full notes: memory/research_deep_read_2026-03-27.md ### Scripts Created Today - `scripts/hiro_correlation_regime_test.py` — initial regime test - `scripts/hiro_corr_regime_null_test.py` — 5 null tests - `scripts/hiro_flow_onesidedness_test.py` — one-sided flow test - `scripts/hiro_flow_onesided_allflow.py` — retail vs all flow - `scripts/hiro_combined_regime_backtest.py` — Phase 1 combined + OOS - `scripts/hiro_hneg_hpos_e", "recallCount": 3, "dailyCount": 0, "groundedCount": 0, "totalScore": 2.556122158352531, "maxScore": 0.8625877175508795, "firstRecalledAt": "2026-04-12T22:00:12.534Z", "lastRecalledAt": "2026-04-14T12:36:59.695Z", "queryHashes": [ "7f58d99e9de9", "33f5cbedc18a", "ac270834aa2d" ], "recallDays": [ "2026-04-12", "2026-04-14" ], "conceptTags": [ "delta-hedge", "β-proxy", "one-sided", "scripts/hiro-hneg-hpos-e", "paper", "risky", "intraday", "order" ] }, "memory:memory/2026-03-23.md:29:61": { "key": "memory:memory/2026-03-23.md:29:61", "path": "memory/2026-03-23.md", "startLine": 29, "endLine": 61, "source": "memory", "snippet": "- Natural knees at ~0.04 and ~1.15 - Works for one-sided. Two-sided: path ratio irrelevant (dead regardless) ### Grade system proposed - A (80-100): 95.2% reach, 4% frequency - B (65-80): 85.0%, 32% - C (50-65): 72.7%, 17% - D (35-50): 61.4%, 12% - F (0-35): 40.9%, 35% ### Next steps — COMPLETED - ✅ Scoring formula v3 built and validated - ✅ Walk-forward OOS validation: rho 0.522 IS → 0.519 OOS (0.6% degradation, NOT overfit) - ✅ Data factors test: customer/procust gamma, VIX, RVOL add value. Buy_pct and gap are dead. - ✅ Live indicator service: `scripts/cluster_radar_live.py` → `memory/cluster-radar.json` - ✅ Launchd service: `com.openclaw.cluster-radar` (running) - ✅ Dashboard: `memory/g", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8788898061589355, "maxScore": 0.8788898061589355, "firstRecalledAt": "2026-04-12T22:04:18.055Z", "lastRecalledAt": "2026-04-12T22:04:18.055Z", "queryHashes": [ "562149f9a26c" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "0.04", "1.15", "one-sided", "two-sided", "80-100", "95.2", "65-80", "85.0" ] }, "memory:memory/2026-04-05.md:1:14": { "key": "memory:memory/2026-04-05.md:1:14", "path": "memory/2026-04-05.md", "startLine": 1, "endLine": 14, "source": "memory", "snippet": "# Daily Notes — Sunday, April 5, 2026 ## Sub-Agent Tracking - **2026-04-05 00:05 PT — spread-pulse-oos-new6-retest** - Task: rerun Spread Pulse OOS evaluation on newly downloaded 6 CBBO days, including base and graded (HIGH/MEDIUM) performance, travel distance, and null tests - Data target: 2025-06-04, 2025-09-22, 2026-02-23, 2026-02-24, 2025-04-17, 2026-03-03 - Constraints: full practical Mac Studio capacity, per-day intermediates first, SPX alignment check, null testing, and commit outputs before finish - Expected output: WR/avg/median/travel and p-values for base vs HIGH/MEDIUM with verdict on whether filtered grades hold up - **2026-04-05 09:16 PT — spread-pulse-25day-move-direc", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.8685714332206342, "maxScore": 1, "firstRecalledAt": "2026-04-12T22:04:18.055Z", "lastRecalledAt": "2026-04-15T13:27:47.313Z", "queryHashes": [ "562149f9a26c", "d874203bf1d6" ], "recallDays": [ "2026-04-12", "2026-04-15" ], "conceptTags": [ "sub-agent", "spread-pulse-oos-new6-retest", "high/medium", "per-day", "wr/avg/median/travel", "p-values", "spread-pulse-25day-move-direc", "sunday" ] }, "memory:memory/2026-04-04.md:120:151": { "key": "memory:memory/2026-04-04.md:120:151", "path": "memory/2026-04-04.md", "startLine": 120, "endLine": 151, "source": "memory", "snippet": "## Late Morning Session — Signal Retesting & New Indicators ### ES Spread/Volume/Delta Deep Dive - ES spread widening alone: NOISE (4,665 events, 50/50, 99% last <2 seconds) - ES volume surge + delta direction: looked like 76% WR but CIRCULAR (p=0.752 on remaining move) - ES volume + delta as standalone signal: DOA (p=0.94 on remaining move from entry point) - ES order book (MBP-10) after volume surge: ZERO predictive signal (N=249) - **Verdict: ES microstructure is too efficient. Options spread spike is the only real signal.** ### ES RVOL Added to Spread Pulse - ES volume RVOL (vs 5-min rolling baseline) added to confidence scoring - ES RVOL ≥2.0x: +15 points, ≥1.5x: +5 points - No fixed", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8683674445020111, "maxScore": 0.8683674445020111, "firstRecalledAt": "2026-04-12T22:04:18.055Z", "lastRecalledAt": "2026-04-12T22:04:18.055Z", "queryHashes": [ "562149f9a26c" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "spread/volume/delta", "50/50", "0.752", "0.94", "mbp-10", "5-min", "2.0x", "1.5x" ] }, "memory:memory/2026-04-02.md:377:410": { "key": "memory:memory/2026-04-02.md:377:410", "path": "memory/2026-04-02.md", "startLine": 377, "endLine": 410, "source": "memory", "snippet": "- v3 (365 days, proper zone definitions): - **ATM fraction → remaining range: rho=-0.682 raw, -0.554 after spread control** ✅ - Charm direction → price: FAKE (lag test kills it, rho=0.014 at T-10min) - 3×3 matrix: Low ATM + Wide spread = 64pt. High ATM + Tight spread = 16pt. 4x. - Walk-forward OOS: holds at every hour ### Range Indicator Backtest — 3 Models - A) GEX only: MAE=13.9pt, rho=0.616 - B) GEX + Spread (current): MAE=16.6pt, rho=0.510 - C) GEX + Spread + Charm: MAE=15.6pt, rho=0.585 - **D) GEX + Charm (no spread): MAE=16.2pt, rho=0.696 ← best ranking** - Spread may be adding noise — GEX + Charm is the optimal combo for ranking ### 7 Charm Deep Dive Tests — RUNNING - 0DTE", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8466178413974659, "maxScore": 0.8466178413974659, "firstRecalledAt": "2026-04-12T22:10:08.746Z", "lastRecalledAt": "2026-04-12T22:10:08.746Z", "queryHashes": [ "33f5cbedc18a" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "0.682", "0.554", "0.014", "t-10min", "walk-forward", "13.9pt", "0.616", "16.6pt" ] }, "memory:memory/2026-04-02.md:52:84": { "key": "memory:memory/2026-04-02.md:52:84", "path": "memory/2026-04-02.md", "startLine": 52, "endLine": 84, "source": "memory", "snippet": "- **ATM fraction → remaining range: rho=-0.682 raw, -0.554 after spread control** ✅ - Charm direction → price: FAKE (lag test kills it, rho=0.014 at T-10min) - 3×3 matrix: Low ATM + Wide spread = 64pt. High ATM + Tight spread = 16pt. 4x. - Walk-forward OOS: holds at every hour ### Range Indicator Backtest — 3 Models - A) GEX only: MAE=13.9pt, rho=0.616 - B) GEX + Spread (current): MAE=16.6pt, rho=0.510 - C) GEX + Spread + Charm: MAE=15.6pt, rho=0.585 - **D) GEX + Charm (no spread): MAE=16.2pt, rho=0.696 ← best ranking** - Spread may be adding noise — GEX + Charm is the optimal combo for ranking ### 7 Charm Deep Dive Tests — RUNNING - 0DTE vs all-exp, ATM windows, participant, GEX c", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8445320556556967, "maxScore": 0.8445320556556967, "firstRecalledAt": "2026-04-12T22:10:08.746Z", "lastRecalledAt": "2026-04-12T22:10:08.746Z", "queryHashes": [ "33f5cbedc18a" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "0.682", "0.554", "0.014", "t-10min", "walk-forward", "13.9pt", "0.616", "16.6pt" ] }, "memory:memory/2026-03-16.md:104:132": { "key": "memory:memory/2026-03-16.md:104:132", "path": "memory/2026-03-16.md", "startLine": 104, "endLine": 132, "source": "memory", "snippet": "- VWAP+2σ: 89% accuracy — best calibrated level type - Session high: 82% accuracy — also well calibrated - **Action needed**: Recalibrate model weights using this live data. The 2pt hold / 4pt break thresholds may also be too tight. ## FOMC Tomorrow - Rate decision Tue Mar 17 + Wed Mar 18 at 2 PM ET - Core PCE Mar 27 ## Level Tracker EOD Results (First Day) - 2,197 events tracked, all resolved - **Accuracy: 46%** — terrible. Model is massively underconfident - **Hold rate: 85.4%** — levels held far more often than predicted - Calibration completely inverted: - Predicted 20-30% hold → actual 88% hold - Predicted 90-100% hold → actual 64% hold (ONLY bucket below 80%) - **Root cause**: Ne", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8392753497812286, "maxScore": 0.8392753497812286, "firstRecalledAt": "2026-04-12T22:10:08.746Z", "lastRecalledAt": "2026-04-12T22:10:08.746Z", "queryHashes": [ "33f5cbedc18a" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "85.4", "20-30", "90-100", "vwap", "accuracy", "best", "calibrated", "level" ] }, "memory:memory/2026-03-09.md:223:250": { "key": "memory:memory/2026-03-09.md:223:250", "path": "memory/2026-03-09.md", "startLine": 223, "endLine": 250, "source": "memory", "snippet": "- `data/microstructure_signals_report.md` — Full results - `data/microstructure_signals_results.json` — Structured output - `data/microstructure_signals_daily.csv` — 773-day daily feature set ### CRITICAL Data Quality Finding - **10 days** had roll contamination (back-month ES trades with open ~31-65 vs front-month ~5000). - This contamination COMPLETELY REVERSED the OFI directional result: before cleanup OOS IC -0.144 (p=0.004), after cleanup OOS IC +0.056 (p=0.28). - **Lesson: ALWAYS filter ES for open > 3000 and |ret| < 10% to exclude roll contamination.** ### Key Findings (Cleaned, 763 Days) **Kyle's Lambda → FAILS for ES** - All directional ICs near zero OOS. λ doesn't predict next-", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7753641593405916, "maxScore": 0.8877277728908176, "firstRecalledAt": "2026-04-12T22:18:46.362Z", "lastRecalledAt": "2026-04-13T13:02:34.717Z", "queryHashes": [ "8480d51ea8a8", "9d5ca3f8c401" ], "recallDays": [ "2026-04-12", "2026-04-13" ], "conceptTags": [ "773-day", "back-month", "31-65", "front-month", "0.144", "0.004", "0.056", "0.28" ] }, "memory:memory/2026-03-15.md:133:166": { "key": "memory:memory/2026-03-15.md:133:166", "path": "memory/2026-03-15.md", "startLine": 133, "endLine": 166, "source": "memory", "snippet": "- ✅ **Confirmed (4):** Signal 1 (GEX→Range, ρ=-0.568 vs orig -0.534), Signal 2 (MM Gamma→Vol, ρ=-0.585 vs -0.363 — STRONGER), Signal 3 (Agg GEX Vol, ρ=-0.315), Signal 9 (Level Hold Tiers) - ⚠️ **Weakened (7):** Signals 4,5,6,7,8,11,12 — all same direction but much weaker magnitude - ❌ **Broken (1):** Signal 10 (3H Bias Contrarian, IC=0.005 vs orig -0.088 — sign flip, no signal) ### Key Takeaways: 1. **Vol suppression signals are REAL** — Signals 1 & 2 actually got stronger on clean data 2. **ProCust HHI (Signal 4) was likely inflated by corruption** — went from ρ=-0.681 to ρ=-0.142 3. **Directional signals (5,8,11,12) all weakened significantly** — corruption was creating artificial pattern", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8562941331318501, "maxScore": 0.8562941331318501, "firstRecalledAt": "2026-04-12T22:18:46.362Z", "lastRecalledAt": "2026-04-12T22:18:46.362Z", "queryHashes": [ "8480d51ea8a8" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "0.568", "0.534", "0.585", "0.363", "0.315", "0.005", "0.088", "0.681" ] }, "memory:memory/2026-03-02.md:658:681": { "key": "memory:memory/2026-03-02.md:658:681", "path": "memory/2026-03-02.md", "startLine": 658, "endLine": 681, "source": "memory", "snippet": "- Used fpdf2 library (installed), with unicode->ASCII cleanup for latin-1 encoding ## VIX Decomp Builder Results — 10:10 PM - Sub-agent timed out after 15min but produced significant output: - scripts/vix_decomposition_historical.py (23KB) ✅ - scripts/vix_decomposition_live.py (18KB) ✅ - data/vix_decomposition_history.csv (daily summary) ✅ - data/vix_decomposition_intraday/ — 34 days of 5-min intraday data (Jan 2-Feb 18, 2025) - Each day has ~80 rows of 5-min decomposition snapshots - Timed out at Feb 18, 2025 — needs to continue pulling through Mar 2026 - Historical pipeline IS working, just needs more time to complete - Live service script created but not deployed to launchd yet", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8547076304496236, "maxScore": 0.8547076304496236, "firstRecalledAt": "2026-04-12T22:18:46.362Z", "lastRecalledAt": "2026-04-12T22:18:46.362Z", "queryHashes": [ "8480d51ea8a8" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "latin-1", "sub-agent", "data/vix-decomposition-intraday", "5-min", "2-feb", "used", "fpdf2", "library" ] }, "memory:memory/2026-03-02.md:634:664": { "key": "memory:memory/2026-03-02.md:634:664", "path": "memory/2026-03-02.md", "startLine": 634, "endLine": 664, "source": "memory", "snippet": "- Sub-agent (vix-decomp-builder) still running on historical pipeline + live service ## End of Night Summary Key accomplishments today: - Clean Core aggregator results explained to Daniel - FactorMiner F080 validated (OOS Sharpe 2.12) — ready for aggregator - Live delta streaming added to trading data service - SPX trade logging bug found and fixed (logging was inside position-match check) - VIX Decomposition paper analyzed, dashboard built, historical pipeline started - Research scanner expanded with CBOE + CME sources - Theta Data v3 API fully mapped for Standard plan TODO for tomorrow morning: 1. Verify SPX/SPXW trades logging after OPRA opens (6:30 AM PT) 2. Check vix-decomp-builder su", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8544954522518768, "maxScore": 0.8544954522518768, "firstRecalledAt": "2026-04-12T22:18:46.362Z", "lastRecalledAt": "2026-04-12T22:18:46.362Z", "queryHashes": [ "8480d51ea8a8" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "sub-agent", "vix-decomp-builder", "2.12", "position-match", "spx/spxw", "sub", "vix", "decomp" ] }, "memory:memory/2026-03-10.md:104:134": { "key": "memory:memory/2026-03-10.md:104:134", "path": "memory/2026-03-10.md", "startLine": 104, "endLine": 134, "source": "memory", "snippet": "**Key insight:** Sector ETFs largely co-move with SPY at daily frequency. The strongest signals are: 1. Prior-day sector RS (contrarian for tech, momentum for energy) 2. Correlation stability (broad participation = healthy) 3. Credit spread z-score (extreme risk-on = mean reversion) **Commit: a841a58** ### 3. Todo Cleanup Marked 3 dead overnight TRACE signal items (failed reproduction on Mar 9, IC ≈ 0). Cron backtest had data leak bug — independent verification caught it. --- ## Autonomous Work — 6:37 AM (cron) **Amihud PM Live Calculator + Position Sizer Integration** Picked highest-value independent task: integrate Amihud PM illiquidity into live position sizer. This was the #1 recomm", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7379630730703952, "maxScore": 0.8855836231687182, "firstRecalledAt": "2026-04-12T22:18:46.362Z", "lastRecalledAt": "2026-04-14T12:37:21.775Z", "queryHashes": [ "8480d51ea8a8", "da7ef3a9cdcc" ], "recallDays": [ "2026-04-12", "2026-04-14" ], "conceptTags": [ "co-move", "prior-day", "z-score", "risk-on", "highest-value", "key", "insight", "sector" ] }, "memory:memory/2026-03-05.md:406:428": { "key": "memory:memory/2026-03-05.md:406:428", "path": "memory/2026-03-05.md", "startLine": 406, "endLine": 428, "source": "memory", "snippet": "4. **Zero gamma has a software bug** — On positive gamma days, `gamma_flip` returns the far-upside crossover (7500-8400) instead of the near-spot level. When it works correctly (8/14 days), MAE is only 48.5pts — very close to SpotGamma. ### Action Items - [ ] Fix `gamma_flip` to constrain search within ±300pts of spot - [ ] Investigate why historical put wall is stuck at 6600 (live model shows 6820 for 3/5 — much more reasonable) - [ ] Consider calibration offsets: call wall -100, put wall +200 for historical data - [ ] The live `spx-combined-gex.json` model appears MORE ACCURATE than the historical CSV models — current snapshot is within 80-120pts on walls ### Bottom Line **Our GEX is pro", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8492819214783696, "maxScore": 0.8492819214783696, "firstRecalledAt": "2026-04-12T22:18:46.362Z", "lastRecalledAt": "2026-04-12T22:18:46.362Z", "queryHashes": [ "8480d51ea8a8" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "gamma-flip", "far-upside", "7500-8400", "near-spot", "8/14", "48.5pts", "3/5", "spx-combined-gex.json" ] }, "memory:memory/2026-03-08.md:384:412": { "key": "memory:memory/2026-03-08.md:384:412", "path": "memory/2026-03-08.md", "startLine": 384, "endLine": 412, "source": "memory", "snippet": "**VIX_TS has BY FAR the highest marginal contribution.** Adding VIX_TS to the other 3 improves composite IC by +0.058 (from +0.080 to +0.138). DeltaDiv adds almost nothing incrementally (+0.002). DOW actually slightly hurts (-0.015) when added to the others. ### Optimal Weights vs Proposals | Signal | Markowitz Optimal | v6 Proposed | v4 Current | Equal | |--------|------------------|-------------|------------|-------| | VIX_TS | **43%** | 35% | 15% | 25% | | DOW | 20% | 10% | 25% | 25% | | DeltaDiv | 19% | 15% | 30% | 25% | | VIXDecomp | 18% | 30% | 25% | 25% | **Composite IC:** Optimal 0.164, v6 **0.162**, equal 0.138, v4 0.118 v6 essentially matches the Markowitz optimal (0.162 vs 0.16", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8979276547870931, "maxScore": 0.8979276547870931, "firstRecalledAt": "2026-04-12T22:21:33.742Z", "lastRecalledAt": "2026-04-12T22:21:33.742Z", "queryHashes": [ "4eba2361bdab" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "vix-ts", "0.058", "0.080", "0.138", "0.002", "0.015", "0.164", "0.162" ] }, "memory:memory/2026-03-08.md:405:431": { "key": "memory:memory/2026-03-08.md:405:431", "path": "memory/2026-03-08.md", "startLine": 405, "endLine": 431, "source": "memory", "snippet": "**v6 dominates in EVERY random OOS split.** Mean IC is 57% higher than v4 (+0.188 vs +0.120). The 5th percentile of v6 (+0.155) exceeds the mean of v4 (+0.120). ### Regime Stability | Signal | LOW VIX IC | HIGH VIX IC | UPTREND IC | DOWNTREND IC | |--------|-----------|-------------|------------|-------------| | VIX_TS | **+0.158** ⭐ | +0.099 | **+0.127** ⭐ | +0.151 | | DeltaDiv | +0.023 | **+0.133** ⭐ | +0.077 | +0.082 | | DOW | **+0.135** ⭐ | +0.001 | +0.074 | +0.024 | | VIXDecomp | +0.011 | +0.072 | +0.026 | +0.080 | **VIX_TS works in ALL regimes** (only signal significant in both VIX regimes and both trend regimes). DeltaDiv and DOW are regime-specific: DeltaDiv works in HIGH VIX only,", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8969772965007349, "maxScore": 0.8969772965007349, "firstRecalledAt": "2026-04-12T22:21:33.742Z", "lastRecalledAt": "2026-04-12T22:21:33.742Z", "queryHashes": [ "4eba2361bdab" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "0.188", "0.120", "0.155", "vix-ts", "0.158", "0.099", "0.127", "0.151" ] }, "memory:memory/2026-03-08.md:95:128": { "key": "memory:memory/2026-03-08.md:95:128", "path": "memory/2026-03-08.md", "startLine": 95, "endLine": 128, "source": "memory", "snippet": "### Signal Evidence Ranking (from full-sample analysis) | Signal | Full IC | p-value | IS IC | OOS IC | WF% | Current Wt | |--------|---------|---------|-------|--------|-----|------------| | VIX_TS | +0.130 | **0.004** | +0.107 | +0.151 | **75%** | 15% ← UNDERWEIGHTED | | VIXDecomp | +0.131 | **0.026** | +0.122 | +0.137 | — | 25% ← about right | | DeltaDiv | +0.078 | 0.084 | +0.069 | +0.098 | 50% | **30%** ← OVERWEIGHTED | | PC_OI | +0.068 | 0.132 | +0.033 | +0.124 | — | 5% | | DOW | +0.057 | 0.199 | +0.061 | +0.043 | 50% | **25%** ← OVERWEIGHTED | ### Key Finding VIX_TS is the only signal that's statistically significant at p<0.01 across 500+ days, with 75% walk-forward consistency — yet", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8903854011503523, "maxScore": 0.8903854011503523, "firstRecalledAt": "2026-04-12T22:21:33.742Z", "lastRecalledAt": "2026-04-12T22:21:33.742Z", "queryHashes": [ "4eba2361bdab" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "full-sample", "p-value", "vix-ts", "0.130", "0.004", "0.107", "0.151", "0.131" ] }, "memory:memory/2026-03-08.md:503:533": { "key": "memory:memory/2026-03-08.md:503:533", "path": "memory/2026-03-08.md", "startLine": 503, "endLine": 533, "source": "memory", "snippet": "- SqueezeMetrics \"Short is Long\" thesis: no daily predictive power for ES - Only marginally interesting: daily ratio change → 1d ES (OOS IC +0.135, p=0.058) - Commit: 62bb190 ## Signal Cross-Correlation & Redundancy Analysis — v6 VALIDATED ✅ (autonomous) - 4 daily aggregator signals, 485 days, comprehensive independence test - Signals largely independent (max |ρ| = 0.259) - v6 composite IC (0.162) matches Markowitz optimal (0.164) - Bootstrap: v6 beats v4 in 100/100 random OOS splits - VIX_TS only signal working in ALL regimes - Found sign convention bug in `build_vix_ts()` — needs live verification - Commit: 0a7fb79 ## SPX Data Acquisition & Clean Price Backtest — 3:40 PM ### Polygon.io", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.88163690833557, "maxScore": 0.88163690833557, "firstRecalledAt": "2026-04-12T22:21:33.742Z", "lastRecalledAt": "2026-04-12T22:21:33.742Z", "queryHashes": [ "4eba2361bdab" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "0.135", "0.058", "cross-correlation", "0.259", "0.162", "0.164", "100/100", "vix-ts" ] }, "memory:memory/2026-03-08.md:360:387": { "key": "memory:memory/2026-03-08.md:360:387", "path": "memory/2026-03-08.md", "startLine": 360, "endLine": 387, "source": "memory", "snippet": "**Signal Cross-Correlation & Redundancy Analysis — v6 Weights VALIDATED ✅** Built and ran `scripts/signal_correlation_analysis.py`. Comprehensive analysis of all 4 available daily aggregator signals (PC_OI data missing) across 485 complete observation days. ### Signal Independence Matrix | Pair | ρ | Interpretation | |------|---|----------------| | VIX_TS ↔ VIXDecomp | **0.000** | Completely independent | | VIXDecomp ↔ DeltaDiv | -0.032 | Independent | | DeltaDiv ↔ DOW | +0.046 | Independent | | VIX_TS ↔ DeltaDiv | +0.090 | Weak | | VIX_TS ↔ DOW | **-0.259** | Moderate — some redundancy | | VIXDecomp ↔ DOW | +0.033 | Independent | **Key: VIX_TS and DOW have ρ = -0.259** (strongest pair).", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8727934393292072, "maxScore": 0.8727934393292072, "firstRecalledAt": "2026-04-12T22:21:33.742Z", "lastRecalledAt": "2026-04-12T22:21:33.742Z", "queryHashes": [ "4eba2361bdab" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "cross-correlation", "pc-oi", "vix-ts", "0.000", "0.032", "0.046", "0.090", "0.259" ] }, "memory:memory/2026-03-01.md:256:282": { "key": "memory:memory/2026-03-01.md:256:282", "path": "memory/2026-03-01.md", "startLine": 256, "endLine": 282, "source": "memory", "snippet": "### 2. Rolling IC-Weighted Aggregator (FAILED) - Built `scripts/rolling_ic_weights.py` — trailing IC-proportional weights with 60/90/120/180d lookbacks - True OOS test: each day's weights use ONLY past data - **Results:** All lookbacks underperform static weights - 60d rolling: IC=+0.062 (worst — too noisy) - 90d: IC=+0.055 - 120d: IC=+0.072 - 180d: IC=+0.090 (best rolling, still -0.037 vs static) - 70/30 blend (static+rolling): IC=+0.113 (still worse) - Monotonicity also worse: static 0.90, rolling 180d only 0.80 - **Static Q5 WR 60.8% vs rolling 180d 57.0%** ### 3. Conclusion - **Hand-tuned static weights are near-optimal** and should NOT be replaced - The aggregator's weight st", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8707910182611885, "maxScore": 0.8707910182611885, "firstRecalledAt": "2026-04-12T22:21:33.742Z", "lastRecalledAt": "2026-04-12T22:21:33.742Z", "queryHashes": [ "4eba2361bdab" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "ic-weighted", "scripts/rolling-ic-weights.py", "ic-proportional", "60/90/120/180d", "0.062", "0.055", "0.072", "0.090" ] }, "memory:memory/2026-03-08.md:422:455": { "key": "memory:memory/2026-03-08.md:422:455", "path": "memory/2026-03-08.md", "startLine": 422, "endLine": 455, "source": "memory", "snippet": "1. VIX_TS has highest individual IC, highest partial IC, highest marginal gain, works in all regimes 2. v6 composite IC (0.162) matches Markowitz optimal (0.164) 3. Bootstrap: v6 beats v4 in 100/100 random OOS splits 4. DeltaDiv at 30% is wasteful — marginal gain is only +0.002 5. DOW at 25% slightly hurts composite when other signals present **Commit:** 0a7fb79 --- ## GEX Full Backtest Suite — 418 Days (2:00 PM) Ran comprehensive backtest of ALL Gamma Shift v4.2 signals on expanded 418-day SpotGamma TRACE dataset (Jun 2024 → Mar 2026). **Most signals that worked on 170 days collapsed.** ### What SURVIVED (418 days) | Signal | Metric | Value | N | |--------|--------|-------|---| | **Gam", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8675666528704176, "maxScore": 0.8675666528704176, "firstRecalledAt": "2026-04-12T22:21:33.742Z", "lastRecalledAt": "2026-04-12T22:21:33.742Z", "queryHashes": [ "4eba2361bdab" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "vix-ts", "0.162", "0.164", "100/100", "0.002", "v4.2", "418-day", "has" ] }, "memory:memory/2026-03-15.md:549:583": { "key": "memory:memory/2026-03-15.md:549:583", "path": "memory/2026-03-15.md", "startLine": 549, "endLine": 583, "source": "memory", "snippet": "- **GEX Tiers:** EXTREME_POS had 100% WR for both UP (N=9) and DOWN (N=9) breaks. But small N. - **RVOL:** Low RVOL breaks are unreliable (20% WR for UP, N=5). High RVOL better (78.6%). - **Tilt:** Bullish tilt + Break UP = 100% (N=8) but tiny sample - **Gap:** Gap down + Break UP = 86.4% (N=44) — best large-sample factor - **Timing:** Early breaks (within 15 min) = 100% for UP (N=15), 84.6% for DOWN (N=13) - **DOW:** Thursday Break UP weakest (42.9%, N=7); Friday strongest (87.0%, N=23) ### Conviction Boosters (Phase 3) **No factor met strict significance threshold** (>3pp, N≥30, IS/OOS consistent) because confirmed break samples too small to slice. The base WR is already so high that dete", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8670629600052447, "maxScore": 0.8670629600052447, "firstRecalledAt": "2026-04-12T22:21:33.742Z", "lastRecalledAt": "2026-04-12T22:21:33.742Z", "queryHashes": [ "4eba2361bdab" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "extreme-pos", "78.6", "86.4", "large-sample", "84.6", "42.9", "87.0", "is/oos" ] }, "memory:memory/2026-03-10.md:1:33": { "key": "memory:memory/2026-03-10.md:1:33", "path": "memory/2026-03-10.md", "startLine": 1, "endLine": 33, "source": "memory", "snippet": "# Daily Notes — 2026-03-10 ## Autonomous Work — 4:02 PM (cron) **RTAT10 Contrarian Signal Backtest — NEGATIVE RESULT** Backtested Nasdaq RTAT10 retail trading sentiment as a contrarian predictor of next-day SPY returns. 10 years of data (2,549 aligned days, Jan 2016 → Mar 2026). ### Signals tested (24 total) - SPY sentiment (raw, z-scored, 5-day momentum, sentiment × activity) - QQQ/NVDA sentiment (tech risk proxy) - Aggregate: mean/sum sentiment, activity-weighted, bull/bear ratio - Extremes: count of ≥7 or ≤-7 readings, net extremes - Dispersion: cross-sectional std, range, absolute conviction - Rolling z-scores (20-day) and 5-day momentum ### Results: **ALL FAIL** - Best OOS IC: abs_s", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8791876927588789, "maxScore": 0.8791876927588789, "firstRecalledAt": "2026-04-12T23:49:45.854Z", "lastRecalledAt": "2026-04-12T23:49:45.854Z", "queryHashes": [ "3349ffa30a34" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "next-day", "z-scored", "5-day", "qqq/nvda", "mean/sum", "activity-weighted", "bull/bear", "cross-sectional" ] }, "memory:memory/2026-03-10.md:361:381": { "key": "memory:memory/2026-03-10.md:361:381", "path": "memory/2026-03-10.md", "startLine": 361, "endLine": 381, "source": "memory", "snippet": "- Deliver morning summary with implementation, OOS stats, and promote/monitor/reject verdict ## Night Session — 10:59 PM ### New overnight task approved (Daniel) - Build leveraged ETF ↔ futures arbitrage crash overlay indicator - Data source approved: local Polygon 5-min first (no-cost first pass) - Backtest and deliver morning verdict ## Late Night — 11:03 PM ### New overnight task approved (Daniel) - Run mini replication: VSN+LSTM vs xLSTM on local ES data - Goal: compare directional utility and risk-adjusted trading metrics in our stack context ## Late Night — 11:06 PM ### New overnight task approved (Daniel) - Build lightweight graph-style dependency overlay for RORO (correlation d", "recallCount": 4, "dailyCount": 0, "groundedCount": 0, "totalScore": 3.7425873351087025, "maxScore": 1, "firstRecalledAt": "2026-04-12T23:49:45.854Z", "lastRecalledAt": "2026-04-15T23:56:33.771Z", "queryHashes": [ "3349ffa30a34", "a169c3bf46c0", "1ab2c7e38240", "e081c0570db8" ], "recallDays": [ "2026-04-12", "2026-04-15" ], "conceptTags": [ "promote/monitor/reject", "5-min", "no-cost", "risk-adjusted", "graph-style", "deliver", "morning", "summary" ] }, "memory:memory/2026-02-23.md:1:32": { "key": "memory:memory/2026-02-23.md:1:32", "path": "memory/2026-02-23.md", "startLine": 1, "endLine": 32, "source": "memory", "snippet": "# 2026-02-23 — Sunday (overnight) ## Autonomous Work — 4:31 AM - Spawned Claude Code agent to build RORO v3 backtest (`scripts/roro_v3_backtest.py`) - Adding: credit spreads (HYG/LQD), oil/gold ratio, SPY/TLT ratio, CBOE put/call - Session: quiet-orbit - Status: **COMPLETE** ### RORO v3 Results **Verdict: Mixed. New components individually have NEGATIVE standalone Sharpe OOS.** | Metric | v2 | v3 | |---|---|---| | OOS Sharpe | -0.33 | **+0.46** | | Train Sharpe | 0.76 | -0.13 | | OOS Q1-Q5 spread | +0.083%/day | +0.072%/day | | OOS 5d corr | -0.076 | -0.005 | **New component standalone OOS (all bad):** - Credit (HYG/LQD): Sharpe -0.72 - Oil/Gold: Sharpe -0.51 - SPY/TLT: Sharpe -0.63 **K", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.718525504621038, "maxScore": 0.864651344147462, "firstRecalledAt": "2026-04-12T23:49:45.854Z", "lastRecalledAt": "2026-04-14T12:24:49.930Z", "queryHashes": [ "3349ffa30a34", "498cf18a78fb" ], "recallDays": [ "2026-04-12", "2026-04-14" ], "conceptTags": [ "scripts/roro-v3-backtest.py", "hyg/lqd", "oil/gold", "spy/tlt", "put/call", "quiet-orbit", "0.33", "0.46" ] }, "memory:memory/2026-04-10.md:12:21": { "key": "memory:memory/2026-04-10.md:12:21", "path": "memory/2026-04-10.md", "startLine": 12, "endLine": 21, "source": "memory", "snippet": "- Daniel then worked on adding a second Claude Max account as backup/failover for usage caps. - Current auth state on Mac Studio: - `anthropic:default` — old/primary Claude account (`...th6eogAA`) - `anthropic:manual` — second Claude account (`...oyr0BAAA`) - `openai-codex:danielkvang@gmail.com` — OAuth, working - Auth order set: `anthropic:default` → `anthropic:manual` - The second Claude account (`anthropic:manual`) had issues in March (rate_limit on both Opus and Sonnet) — possibly Pro plan limitations or setup-token compatibility issues. Daniel's chat log from March 21 documents extensive troubleshooting. - OpenClaw warns that Anthropic setup-token auth is \"technical compatibility\"", "recallCount": 4, "dailyCount": 0, "groundedCount": 0, "totalScore": 3.5879230889181493, "maxScore": 1, "firstRecalledAt": "2026-04-12T23:52:43.825Z", "lastRecalledAt": "2026-04-15T23:56:33.771Z", "queryHashes": [ "a169c3bf46c0", "1557f38ed36d", "498cf18a78fb", "e081c0570db8" ], "recallDays": [ "2026-04-12", "2026-04-13", "2026-04-14", "2026-04-15" ], "conceptTags": [ "backup", "failover", "openai", "backup/failover", "old/primary", "openai-codex", "gmail.com", "rate-limit" ] }, "memory:memory/2026-03-02.md:260:282": { "key": "memory:memory/2026-03-02.md:260:282", "path": "memory/2026-03-02.md", "startLine": 260, "endLine": 282, "source": "memory", "snippet": "**Implemented \"Clean Core\" 7-Signal Aggregator Config:** - Applied the critical finding from earlier today's subset analysis (bc6774a) - **Problem:** 11-signal aggregator had IS Sharpe -1.86, OOS Sharpe 0.02, MaxDD -72% - RORO × VIX_TS: r=-0.67 — fighting each other, RORO was biggest drag - GEX × PC_OI: r=0.978 — GEX was a near-duplicate of P/C OI ratio - CorrDiv/OVN: both dragging down composite performance - **Solution:** Zero-weighted RORO, GEX, CorrDiv, OVN. Scaled remaining 7 signals: - VIX_TS(0.22), VPOC(0.29), PC_OI(0.15), GapFade(0.15), DeltaDiv(0.12), FOMC(0.04), DOW(0.03), COT(0.02) - **Result:** IS Sharpe 1.52, OOS Sharpe 3.00, MaxDD -12.5% — the only config with strong IS", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.6825393047063202, "maxScore": 0.8412696523531601, "firstRecalledAt": "2026-04-12T23:55:26.189Z", "lastRecalledAt": "2026-04-13T00:17:29.009Z", "queryHashes": [ "153d4631a4e9", "cff02ab4de6f" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "7-signal", "11-signal", "1.86", "0.02", "vix-ts", "0.67", "pc-oi", "0.978" ] }, "memory:memory/2026-02-25.md:75:100": { "key": "memory:memory/2026-02-25.md:75:100", "path": "memory/2026-02-25.md", "startLine": 75, "endLine": 100, "source": "memory", "snippet": "- Composite (10d lookback): Sharpe 0.95 OOS — below our RORO v2 (1.16) - **Conclusion: No new liquidity component worth adding to RORO** — our existing components already capture what matters - Committed: 04ee2f3 ## Chari/KC Fed RORO Backtest — 4:02 PM - Downloaded Chari RORO daily series from KC Fed (2003-2026, 5914 days) - Backtested as ES predictor: daily shock, 20d rolling sum, sub-indices - **Key finding: Our RORO v2 crushes Chari RORO OOS** - Our v2: +24.3%, Sharpe 1.17, WR 54% - Chari daily: +6.1%, Sharpe 0.39, WR 51% - Chari 20d: +3.5%, Sharpe 0.26, WR 51% - Chari measures different thing (PCA of credit/equity vol/liquidity/gold) — corr with ours: -0.41 - Combined signal worse", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8394161082562498, "maxScore": 0.8394161082562498, "firstRecalledAt": "2026-04-12T23:55:26.189Z", "lastRecalledAt": "2026-04-12T23:55:26.189Z", "queryHashes": [ "153d4631a4e9" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "0.95", "1.16", "chari/kc", "2003-2026", "sub-indices", "24.3", "1.17", "6.1" ] }, "memory:memory/2026-03-02.md:171:197": { "key": "memory:memory/2026-03-02.md:171:197", "path": "memory/2026-03-02.md", "startLine": 171, "endLine": 197, "source": "memory", "snippet": "### Signal Correlation Issues Found: 1. **pc_oi × gex: r=0.978** — GEX reconstruction is essentially identical to P/C OI (both from SPXW put/call OI). GEX adds zero incremental information. 2. **roro × vix_ts: r=-0.67** — RORO and VIX Term Structure fight each other. VIX_TS is the better signal (OOS Sharpe 2.58 vs RORO's inconsistency). ### Leave-One-Out Results (removing signal → OOS Sharpe change): - Removing RORO: Sharpe 0.31 → 3.29 (**RORO is biggest drag**) - Removing GEX: Sharpe 0.31 → 2.17 (duplicate of PC_OI) - Removing CorrDiv: Sharpe 0.31 → 2.69 - Removing OVN: Sharpe 0.31 → 2.54 - Only FOMC genuinely helps when present (ΔSharpe +0.59) ### Signal Subset Performance (OOS, Thr=15,", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8381117789457647, "maxScore": 0.8381117789457647, "firstRecalledAt": "2026-04-12T23:55:26.189Z", "lastRecalledAt": "2026-04-12T23:55:26.189Z", "queryHashes": [ "153d4631a4e9" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "pc-oi", "0.978", "p/c", "put/call", "vix-ts", "0.67", "2.58", "leave-one-out" ] }, "memory:memory/2026-02-26.md:19:43": { "key": "memory:memory/2026-02-26.md:19:43", "path": "memory/2026-02-26.md", "startLine": 19, "endLine": 43, "source": "memory", "snippet": "- First run: 34 ideas generated from latest scan (51 liquid stocks) - Top idea: NVDA earnings vol crush (score 90) — IV 104% vs HV 39%, 100th IV percentile - CRM, SNOW, TTD all massive IV premiums (80-209pts over HV) for straddle selling - SLV cheap vol standout: IV 68pts below HV (43% discount) - MU, USO, ORCL for non-earnings premium selling - Built `trade_ideas.html` dashboard page with category tabs, score badges, metric details - Added nav links between dashboard ↔ scanner ↔ trade ideas - Outputs `memory/trade-ideas.json` for dashboard consumption - Commit: 181fd5c ## Autonomous Work — 4:02 AM Built **RORO Live Intraday Service** (`scripts/roro_live_service.py`): - Fetches all", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8379738269081105, "maxScore": 0.8379738269081105, "firstRecalledAt": "2026-04-12T23:55:26.189Z", "lastRecalledAt": "2026-04-12T23:55:26.189Z", "queryHashes": [ "153d4631a4e9" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "80-209pts", "non-earnings", "trade-ideas.html", "memory/trade-ideas.json", "scripts/roro-live-service.py", "first", "run", "ideas" ] }, "memory:memory/2026-03-02.md:105:133": { "key": "memory:memory/2026-03-02.md:105:133", "path": "memory/2026-03-02.md", "startLine": 105, "endLine": 133, "source": "memory", "snippet": "- Intraday MR at 1-min does NOT work on ES at retail latency. Commit: 5b85a57 ## Morning Brief — 6:03 AM - Sent full brief to Daniel on Telegram - Key: DEFENSE DAY, 76% chance ES closes red, don't fade gap down - SpotGamma scrape failed (session expired) — alerted Daniel ## Trading Dashboard Fixes — 7:52 AM to 9:26 AM **Root cause found:** `updateVixRatio()` referenced undefined variable `d` (line 838) which crashed entire init script, preventing ALL data fetches (RORO, ES, charts) from running. **Fixes applied:** 1. Fixed `updateVixRatio()` crash — removed broken RVRP display referencing nonexistent `d` variable 2. Fixed RORO history JSON — had `NaN` entries breaking JSON.parse, cleaned", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.83673577884422, "maxScore": 0.83673577884422, "firstRecalledAt": "2026-04-12T23:55:26.189Z", "lastRecalledAt": "2026-04-12T23:55:26.189Z", "queryHashes": [ "153d4631a4e9" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "1-min", "json.parse", "intraday", "min", "does", "not", "retail", "latency" ] }, "memory:memory/2026-02-25.md:94:118": { "key": "memory:memory/2026-02-25.md:94:118", "path": "memory/2026-02-25.md", "startLine": 94, "endLine": 118, "source": "memory", "snippet": "Cron completed: JPY + DXY on trading dashboard + morning brief. USD/JPY 156.34 (danger zone >155). Commit 311cc86. ## Autonomous Work — 12:07 PM Cron completed: News scanner priority fix. 93 HIGH/day → ~5/day. Better dedup, stricter classification. Commit cfb10ca. ## Autonomous Work — 10:05 AM Cron completed: RORO v2 integrated into trading dashboard + morning brief. Current score -19.4 (neutral/risk-off). Commit e518ba0. VOLARE and RAmmStein papers from research scan turned out to be irrelevant (data archive + DeFi AMM). ## GEX Regime Flip Alert — 7:03 AM GEX flipped from -10.5B (2nd %ile) to +2.77B (98th %ile) at the open. Massive swing. Alerted Daniel on Telegram. ## RORO Dashboard In", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8366739724632536, "maxScore": 0.8366739724632536, "firstRecalledAt": "2026-04-12T23:55:26.189Z", "lastRecalledAt": "2026-04-12T23:55:26.189Z", "queryHashes": [ "153d4631a4e9" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "usd/jpy", "156.34", "high/day", "5/day", "19.4", "neutral/risk-off", "10.5b", "2.77b" ] }, "memory:memory/2026-02-26.md:1:23": { "key": "memory:memory/2026-02-26.md:1:23", "path": "memory/2026-02-26.md", "startLine": 1, "endLine": 23, "source": "memory", "snippet": "# Daily Notes — 2026-02-26 ## Autonomous Work — 6:03 AM **GEX as RORO Component — Tested & Rejected:** - Built `scripts/roro_gex_component.py` — comprehensive analysis of GEX as RORO v2.1 add-on - 90 aligned data points (Jan 2025 - Feb 2026), tested 3 integration approaches - **Result: GEX does NOT improve RORO** — best method (GEX filter) only +0.04 Sharpe (1.39 vs 1.35) - Surprising finding: deep positive GEX predicts WORSE ES returns (Q5 avg -0.10%, Sharpe -1.47) - Sweet spot is slightly negative GEX (Q2 avg +0.64%, Sharpe 7.80) — dealers slightly short gamma = best for ES - GEX-ES correlation weak: -0.128 (1d), -0.143 (2d), -0.028 (5d) — much weaker than GEX-vol (-0.58) - **Conclusion:", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8361181256470667, "maxScore": 0.8361181256470667, "firstRecalledAt": "2026-04-12T23:55:26.189Z", "lastRecalledAt": "2026-04-12T23:55:26.189Z", "queryHashes": [ "153d4631a4e9" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "scripts/roro-gex-component.py", "v2.1", "add-on", "0.04", "1.39", "1.35", "0.10", "1.47" ] }, "memory:memory/2026-03-12.md:26:53": { "key": "memory:memory/2026-03-12.md:26:53", "path": "memory/2026-03-12.md", "startLine": 26, "endLine": 53, "source": "memory", "snippet": "- **Flip guard** requiring flow disagreement + short-horizon price confirmation - Optional **ORB trend-day** suppression; optional GEX suppression if local date-aligned GEX available Backtest summary (7 trading days total, 60/40 time split): - OOS 30m avg bps: baseline **+0.02** vs two-speed **+2.67** - OOS 1h avg bps: baseline **-0.93** vs two-speed **+3.06** - OOS EOD avg bps: baseline **-2.13** vs two-speed **+5.32** - OOS 2h worsened: baseline **-3.87** vs two-speed **-13.63** Interpretation: - Two-speed design looks better for tactical short-horizon reaction (30m/1h/EOD) on this small sample. - 2h degradation and tiny sample size mean **research-only for now**, not default live replac", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8753342219553688, "maxScore": 0.8753342219553688, "firstRecalledAt": "2026-04-13T00:22:46.902Z", "lastRecalledAt": "2026-04-13T00:22:46.902Z", "queryHashes": [ "5da70c3a0806" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "short-horizon", "trend-day", "date-aligned", "60/40", "0.02", "two-speed", "2.67", "0.93" ] }, "memory:memory/2026-03-12.md:48:69": { "key": "memory:memory/2026-03-12.md:48:69", "path": "memory/2026-03-12.md", "startLine": 48, "endLine": 69, "source": "memory", "snippet": "- Finalized artifact set for the 90 common sessions (SPY/QQQ/TSLA) using cached Polygon ticks + labeled retail flow (no API backfill, no paid calls): - `data/polygon_retail_calibration_90d_rows.csv` - `data/polygon_retail_calibration_90d_metrics.csv` - `data/polygon_retail_calibration_90d_symbol_metrics.csv` - `data/polygon_retail_calibration_90d_stability_by_symbol.csv` - `data/polygon_retail_calibration_90d_analysis.json` - `data/polygon_retail_calibration_90d_summary.json` - `data/polygon_retail_calibration_90d_report.md` - Key result: best stable candidate remains `odd<50`, but directional quality is still weak/inconsistent (overall OOS IC -0.099, sign-match 55.6%; mixed by", "recallCount": 3, "dailyCount": 0, "groundedCount": 0, "totalScore": 2.8743856641456933, "maxScore": 1, "firstRecalledAt": "2026-04-13T00:22:46.902Z", "lastRecalledAt": "2026-04-15T13:04:04.524Z", "queryHashes": [ "5da70c3a0806", "e8c9508e15af", "87fac9373a3e" ], "recallDays": [ "2026-04-12", "2026-04-15" ], "conceptTags": [ "spy/qqq/tsla", "weak/inconsistent", "0.099", "sign-match", "55.6", "finalized", "artifact", "set" ] }, "memory:memory/2026-03-09.md:105:134": { "key": "memory:memory/2026-03-09.md:105:134", "path": "memory/2026-03-09.md", "startLine": 105, "endLine": 134, "source": "memory", "snippet": "- **Futures were down ~800 points** Sunday night. Oil >$100. G7 emergency meeting. - If SPX opens and drops >0.5% from open → morning-down-check fires at 8:28 AM PT - If morning stabilizes → MM shift alert fires at 8:37 AM PT with dip-buy trigger logic - **First live test of MM Shift Alert system** - Forward test of all signals starts today ## Autonomous Work — 8:02 AM (cron) **Polygon Data Completion Sprint (deadline-driven)** Picked the highest-value remaining independent task from `memory/todo.md`: finish Polygon data pull package before April 8 cancellation deadline. ### What I built - `scripts/polygon_update_and_spy.py` - Pulls missing **SPY 5-min** history - Downloads key ETFs f", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8641694007294384, "maxScore": 0.8641694007294384, "firstRecalledAt": "2026-04-13T00:22:46.902Z", "lastRecalledAt": "2026-04-13T00:22:46.902Z", "queryHashes": [ "5da70c3a0806" ], "recallDays": [ "2026-04-12" ], "conceptTags": [ "0.5", "morning-down-check", "dip-buy", "deadline-driven", "highest-value", "memory/todo.md", "5-min", "futures" ] }, "memory:memory/2026-04-12.md:110:128": { "key": "memory:memory/2026-04-12.md:110:128", "path": "memory/2026-04-12.md", "startLine": 110, "endLine": 128, "source": "memory", "snippet": "- **Failure mode:** event counts far too small; honest result is lack of evidence, not proof of no effect - **Files / commits:** - `scripts/roro_intraday_fade_study_large_moves.py` - `memory/roro_intraday_fade_study_large_moves_report.md` - `data/roro_intraday_fade_study_large_moves/*` - commit `3a4a91bb08d25de42ef26a66eba55dde0fa36d3b` ## User request / process note - Daniel asked that overnight memory maintenance focus more on **study recall**. - Priority fields to preserve going forward: - signal - target / horizon - date range - sample size - IS / OOS split - null test result - verdict - failure mode", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7583085898562234, "maxScore": 0.8955554077465686, "firstRecalledAt": "2026-04-13T13:02:34.717Z", "lastRecalledAt": "2026-04-13T13:05:13.817Z", "queryHashes": [ "9d5ca3f8c401", "91e300ebb70f" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "failure", "mode", "event", "counts", "far", "too", "small", "honest" ] }, "memory:memory/2026-03-12.md:66:88": { "key": "memory:memory/2026-03-12.md:66:88", "path": "memory/2026-03-12.md", "startLine": 66, "endLine": 88, "source": "memory", "snippet": "- Filters recent high-relevance papers (configurable lookback/score/top-N) - Runs structured ES applicability analysis (reusing `research_paper_reader.analyze_paper`) - Adds priority ranking + tradeable implementation notes - Persists dedupe state in `memory/research-weekly-deep-dive-state.json` so weekly runs don’t reprocess the same papers - Emits weekly artifacts: - `memory/research-weekly-deep-dive.json` - `memory/research-weekly-deep-dive.md` - Ran initial pass: `python3 scripts/research_weekly_deep_dive.py --days 7 --top 5 --min-score 35` - Selected 5 papers and generated the first weekly deep-dive bundle. - Updated `memory/todo.md` with completed subtask under Rese", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.8732212906196746, "maxScore": 1, "firstRecalledAt": "2026-04-13T13:02:34.717Z", "lastRecalledAt": "2026-04-15T13:04:04.524Z", "queryHashes": [ "9d5ca3f8c401", "87fac9373a3e" ], "recallDays": [ "2026-04-13", "2026-04-15" ], "conceptTags": [ "high-relevance", "lookback/score/top-n", "min-score", "deep-dive", "memory/todo.md", "filters", "recent", "high" ] }, "memory:memory/2026-03-12.md:357:379": { "key": "memory:memory/2026-03-12.md:357:379", "path": "memory/2026-03-12.md", "startLine": 357, "endLine": 379, "source": "memory", "snippet": "- Spoof filter (cancel-to-trade / appearing-disappearing liquidity) - Hold-vs-break classifier and no-trade state for conflicting/high-spoof conditions. - Daniel asked if we are getting closer to real RAT10 calculations. - Current status communicated (from completed v1 runs): - Strong on retail **activity** replication (OOS activity correlation very high) - Still moderate/insufficient on **buy vs sell split** replication (not a RAT10 replacement yet) - Next step proposed: v2 batch (two-stage + TOD split + regime split + ensemble) with single OOS leaderboard. ## Autonomous Work — 9:51 PM (heartbeat) - Ran HEARTBEAT.md checks: - OpenClaw version: already checked today (daily max).", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8695635016841362, "maxScore": 0.8695635016841362, "firstRecalledAt": "2026-04-13T13:02:34.717Z", "lastRecalledAt": "2026-04-13T13:02:34.717Z", "queryHashes": [ "9d5ca3f8c401" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "cancel-to-trade", "appearing-disappearing", "hold-vs-break", "no-trade", "conflicting/high-spoof", "moderate/insufficient", "two-stage", "heartbeat.md" ] }, "memory:memory/2026-03-19.md:46:66": { "key": "memory:memory/2026-03-19.md:46:66", "path": "memory/2026-03-19.md", "startLine": 46, "endLine": 66, "source": "memory", "snippet": "- heartbeat remained normal (`Heartbeat │ 1h (main)` earlier in status) - repeated Anthropic log errors were `rate_limit_error` / `This request would exceed your account's rate limit. Please try again later.` - session context stayed well below max, so this was not token-window exhaustion - Mitigation taken before recovery: - disabled bursty `mm-shift-*` cron jobs plus a few other scheduled jobs to reduce background traffic - reinstalled/restarted the OpenClaw gateway LaunchAgent - By ~15:44 PT, Anthropic was working again: a fresh `session_status` showed `🧠 Model: anthropic/claude-opus-4-6 · 🔑 token (anthropic:manual)` and a live reply succeeded from Anthropic. - Durable lesson:", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7293241243599782, "maxScore": 0.8683222130146269, "firstRecalledAt": "2026-04-13T13:02:34.717Z", "lastRecalledAt": "2026-04-14T12:39:17.529Z", "queryHashes": [ "9d5ca3f8c401", "05ce9ef4f2ad" ], "recallDays": [ "2026-04-13", "2026-04-14" ], "conceptTags": [ "gateway", "rate-limit-error", "token-window", "mm-shift", "reinstalled/restarted", "session-status", "anthropic/claude-opus-4-6", "heartbeat" ] }, "memory:memory/2026-03-12.md:83:107": { "key": "memory:memory/2026-03-12.md:83:107", "path": "memory/2026-03-12.md", "startLine": 83, "endLine": 107, "source": "memory", "snippet": "- Heartbeat state was advanced (`memory/heartbeat-state.json`) after alert sends to prevent duplicate notifications. ## Autonomous Work — 5:22 AM (heartbeat) - Ran HEARTBEAT.md checks: - OpenClaw version/econ calendar checks were already completed today (daily max), so skipped re-running. - News alerts: no new HIGH-priority items since last check. - GEX alerts: no new alerts since last check. - Live GEX watchdog: skipped (pre-market; outside 6:30 AM–1:15 PM PST window). - Spawned sub-agent for overnight autonomous task: - Label: stock-level TRACE participant analysis - Session: `agent:main:subagent:95002401-8528-4f07-9895-3317f0106992` - Goal: verify TRACE multi-stock coverage", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.868156975564644, "maxScore": 0.868156975564644, "firstRecalledAt": "2026-04-13T13:02:34.717Z", "lastRecalledAt": "2026-04-13T13:02:34.717Z", "queryHashes": [ "9d5ca3f8c401" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "memory/heartbeat-state.json", "heartbeat.md", "version/econ", "re-running", "high-priority", "pre-market", "sub-agent", "stock-level" ] }, "memory:memory/2026-02-27.md:74:94": { "key": "memory:memory/2026-02-27.md:74:94", "path": "memory/2026-02-27.md", "startLine": 74, "endLine": 94, "source": "memory", "snippet": "- 6 pattern types: stock_pinning, gamma_positioning, gamma_transition, zero_dte_negative_gamma, wall_squeeze, deep_positive_gamma - **Detect mode:** Reads SpotGamma data, identifies patterns, logs predictions to cumulative JSON - **Validate mode:** Checks yesterday's predictions against actual SPX closes, computes if patterns materialized - **Stats mode:** Running materialization rates by pattern type (the key OOS validation metric) - **Alert mode:** Formats Telegram-ready alerts, saves pending alert text - Fixed conflicting signal bug: SPX below zero gamma but GEX positive is a \"transition\" not \"negative gamma\" - GEX sign is definitive; zero gamma level is secondary context - Current dete", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8610094498081732, "maxScore": 0.8610094498081732, "firstRecalledAt": "2026-04-13T13:05:13.817Z", "lastRecalledAt": "2026-04-13T13:05:13.817Z", "queryHashes": [ "91e300ebb70f" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "stock-pinning", "gamma-positioning", "gamma-transition", "zero-dte-negative-gamma", "wall-squeeze", "deep-positive-gamma", "telegram-ready", "pattern" ] }, "memory:memory/2026-03-13.md:99:126": { "key": "memory:memory/2026-03-13.md:99:126", "path": "memory/2026-03-13.md", "startLine": 99, "endLine": 126, "source": "memory", "snippet": "- **Output**: `memory/dark-pool-daily.json` for morning brief / dashboard consumption - **Raw data**: `data/finra_regsho/` (raw txt per venue + combined CSVs) - **Idempotent**: skips already-downloaded dates, safe to run daily - **Usage**: `python3 scripts/finra_regsho_daily.py` (today) or `--backfill 30` Latest snapshot (2026-03-12): - SPY: short ratio 55.5% (z=0.00, right at 20d avg), vol 1.29x MA - AAPL: short ratio 50.4% (z=+1.45, elevated) - IWM: short ratio 68.6% (z=+0.50) - Alerts: XOM (z=+2.08), KO (z=+1.83), CRM (z=+1.54) — elevated short ratios Bug found & fixed: FINRA volumes have decimal places (e.g., `16861646.724797`), needed `int(float(...))` instead of `int(...)`. - Commit", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8452178883598638, "maxScore": 0.8452178883598638, "firstRecalledAt": "2026-04-13T13:05:49.050Z", "lastRecalledAt": "2026-04-13T13:05:49.050Z", "queryHashes": [ "92896a187cf9" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "memory/dark-pool-daily.json", "data/finra-regsho", "already-downloaded", "scripts/finra-regsho-daily.py", "55.5", "0.00", "1.29x", "50.4" ] }, "memory:memory/2026-03-24.md:1:23": { "key": "memory:memory/2026-03-24.md:1:23", "path": "memory/2026-03-24.md", "startLine": 1, "endLine": 23, "source": "memory", "snippet": "# 2026-03-24 — Daily Notes ## Morning Session (~6:00-7:00 AM PT) ### MEMORY.md Rule Added - Added new rule: **\"NEVER SAY 'LET ME BUILD/RUN/TEST IT' — ALWAYS END WITH 'READY TO BUILD WHEN YOU SAY GO.'\"** - Daniel frustrated about action-bias pattern — designing tests and then saying \"let me build it\" without explicit approval - Rule sits right after the existing \"never start token-heavy tasks\" reminder ### SpotGamma JWT Refreshed - JWT expired (lasts ~3 days), re-authed via Playwright browser login in `trace_api_direct.py` - New token saved to `.env` as `SPOTGAMMA_JWT` - API structure for HIRO: `data['SPX']['all']` (nested dict, not flat list) - Verified HTTP 200, data flowing ### Theta T", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7537689862358163, "maxScore": 0.8773748026659396, "firstRecalledAt": "2026-04-13T13:26:16.593Z", "lastRecalledAt": "2026-04-14T12:01:43.461Z", "queryHashes": [ "1557f38ed36d", "d85ff8bca1bc" ], "recallDays": [ "2026-04-13", "2026-04-14" ], "conceptTags": [ "00-7", "memory.md", "build/run/test", "action-bias", "token-heavy", "re-authed", "trace-api-direct.py", "spotgamma-jwt" ] }, "memory:memory/2026-03-22.md:166:198": { "key": "memory:memory/2026-03-22.md:166:198", "path": "memory/2026-03-22.md", "startLine": 166, "endLine": 198, "source": "memory", "snippet": "- IS IC=-0.284 → OOS IC=-0.409 (gets STRONGER OOS) ### TRACE Normalized Days Test - Adding 82 corruption-window days back: 3 of 5 TRACE signals collapse - **MM Flow 1H: STABLE** (+0.025 → +0.027) — most trustworthy TRACE signal - **MM Center: weakened but holds** (+0.086 → +0.054) - MM Tilt, Gamma Contrarian, Gamma Magnitude: collapsed with extra days ### Buy Pressure Gauge v3 Built - Service: `scripts/buy_pressure_gauge_v3.py` (738 lines) - Cheat sheet: `memory/buy_pressure_cheatsheet.md` (134 lines) - Morning read (10AM bearish + 10:30AM bullish) + Rolling intraday (Q4 absorbed primary) - All signals with p-values, boosters/killers, proven vs hypothesis labels ## Afternoon Research (con", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8559073654128411, "maxScore": 0.8559073654128411, "firstRecalledAt": "2026-04-13T13:54:23.696Z", "lastRecalledAt": "2026-04-13T13:54:23.696Z", "queryHashes": [ "5c1e3215246c" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "0.284", "0.409", "corruption-window", "0.025", "0.027", "0.086", "0.054", "scripts/buy-pressure-gauge-v3.py" ] }, "memory:memory/2026-03-10.md:150:171": { "key": "memory:memory/2026-03-10.md:150:171", "path": "memory/2026-03-10.md", "startLine": 150, "endLine": 171, "source": "memory", "snippet": "**Impact:** All day Monday, GEX showed POSITIVE (+9.7B from Friday) when actual Monday OI was NEGATIVE (-1.1B). SpotGamma was right. Every GEX-gated signal was wrong — the decision tree, MM shift alerts, gamma shift, all of them used stale data. **Fixes deployed:** 1. Fixed `get_trade_date()` — Monday after 4 PM now returns Monday 2. Added day-roll auto-reload — service detects trade_date change and reloads OI (no restart needed) 3. Added `gex_stale` flag to `spx-combined-gex.json` output 4. All dashboards show ⚠️STALE badge when data is from wrong day 5. MM shift alert prepends stale warning to Telegram messages 6. Trace signal processor logs warning and passes stale flag downstream **Con", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8547316895146231, "maxScore": 0.8547316895146231, "firstRecalledAt": "2026-04-13T13:54:23.696Z", "lastRecalledAt": "2026-04-13T13:54:23.696Z", "queryHashes": [ "5c1e3215246c" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "9.7b", "1.1b", "gex-gated", "get-trade-date", "day-roll", "auto-reload", "trade-date", "gex-stale" ] }, "memory:memory/2026-03-08.md:714:733": { "key": "memory:memory/2026-03-08.md:714:733", "path": "memory/2026-03-08.md", "startLine": 714, "endLine": 733, "source": "memory", "snippet": "1. Moderate dip (0.25-0.75%) + MM gauge green + retail red = **buy (92-94%)** 2. Big down (>0.5%) = **don't buy, 87% continues** 3. Short signals are structurally weak everywhere (50-62%) 4. \"Buy the dip when MMs confirm\" is the entire edge ### Procust 0DTE Magnet Frequency - Fires 92% of days (367/399) - Magnet ABOVE price: 112 days → **76% price moved up** ⭐ - Magnet BELOW price: 255 days → only 56% (hedging downside = noisy) ### Commits Today - `8bb42c8` v4.3 GEX-gated tilt - MM Shift replay data + HTML (v1 and v2) - MM shift alert script + crons - MM Movement gauge in trace_signal_processor - MM Movement replay (v2 with playback) - Morning down alert script + cron - TRACE participant r", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8490810206937807, "maxScore": 0.8490810206937807, "firstRecalledAt": "2026-04-13T13:54:23.696Z", "lastRecalledAt": "2026-04-13T13:54:23.696Z", "queryHashes": [ "5c1e3215246c" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "0.25-0.75", "92-94", "0.5", "50-62", "367/399", "v4.3", "gex-gated", "trace-signal-processor" ] }, "memory:memory/2026-03-26.md:193:213": { "key": "memory:memory/2026-03-26.md:193:213", "path": "memory/2026-03-26.md", "startLine": 193, "endLine": 213, "source": "memory", "snippet": "- Consistent across ALL tighter consolidation definitions (spreads +12pp to +54pp, all positive) - 7pt breakout (noise) shows 0pp spread — signal knows difference between real and fake breakouts - Institutional flow showed OPPOSITE pattern (-22pp, not significant) - All flow combined: zero signal (retail and inst cancel) - **CAVEAT:** N=29, p=0.035 on one of many tests. Could be multiple comparisons noise. Need more data. - Script: `scripts/hiro_breakout_sensitivity.py` ### Post Big-Move Fuel — REVISED AFTER NULL TEST - Original claim: retail contra → 45% continues vs retail same → 35% - Null test: baseline = 42.8%. Retail contra only +2.8pp above baseline (meh). - Real signal: retail SAME", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8474076145069676, "maxScore": 0.8474076145069676, "firstRecalledAt": "2026-04-13T13:54:23.696Z", "lastRecalledAt": "2026-04-13T13:54:23.696Z", "queryHashes": [ "5c1e3215246c" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "0.035", "big-move", "42.8", "2.8pp", "consistent", "across", "all", "tighter" ] }, "memory:memory/2026-03-08.md:672:698": { "key": "memory:memory/2026-03-08.md:672:698", "path": "memory/2026-03-08.md", "startLine": 672, "endLine": 698, "source": "memory", "snippet": "- Only fires on Q5 LONG in POS GEX (68% WR, N=60) - **Retail panic modifier**: cust extreme bear boosts to 74% WR (N=42) 🔥 - **Big down day override**: if morning already down >0.5%, skips MM shift, sends warning - Always sends status (trade or no-trade) so Daniel knows it checked ### Customer Disagreement Modifier (Daniel's idea) - Tested: MM bull + customer extreme bear (Q1) in POS GEX Q5 = **74%** (N=42) - Retail panic barely cuts sample (42/60) because MM and cust are r=-0.93 correlated - Without Q5 filter: MM bull + cust extreme bear = **73%** (N=55) - Short side: MM bear + cust extreme bull = 62% DN (N=58) — best short number found ### MM Movement Gauge — Live Dashboard - Added `com", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8464949790340177, "maxScore": 0.8464949790340177, "firstRecalledAt": "2026-04-13T13:54:23.696Z", "lastRecalledAt": "2026-04-13T13:54:23.696Z", "queryHashes": [ "5c1e3215246c" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "0.5", "no-trade", "42/60", "0.93", "only", "fires", "pos", "gex" ] }, "memory:memory/2026-04-13.md:33:56": { "key": "memory:memory/2026-04-13.md:33:56", "path": "memory/2026-04-13.md", "startLine": 33, "endLine": 56, "source": "memory", "snippet": "- Investigated the missed 6:00 AM PT morning brief. - Root cause: cron job `morning-brief` timed out at 300s (`lastErrorReason: timeout`, `lastError: cron: job execution timed out`). - Confirmed prior note said this job needed 600s; live cron had regressed back to 300s. - Updated `~/.openclaw/cron/jobs.json` to set `morning-brief timeoutSeconds: 300 -> 600`. - Restarted the OpenClaw gateway/LaunchAgent so the cron change would apply. ## 6:20 AM PT live service status - Databento live feed confirmed working: - `memory/trading-data.json` fresh around 06:20 PT - `databento_connected=true` - `data_partial=false` - Combined gamma/GEX confirmed working: - `memory/spx-combined-gex.json` fr", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8456606508926704, "maxScore": 0.8456606508926704, "firstRecalledAt": "2026-04-13T13:54:23.696Z", "lastRecalledAt": "2026-04-13T13:54:23.696Z", "queryHashes": [ "5c1e3215246c" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "gateway", "morning-brief", "openclaw/cron/jobs.json", "gateway/launchagent", "memory/trading-data.json", "databento-connected", "data-partial", "gamma/gex" ] }, "memory:memory/2026-03-26.md:74:103": { "key": "memory:memory/2026-03-26.md:74:103", "path": "memory/2026-03-26.md", "startLine": 74, "endLine": 103, "source": "memory", "snippet": "- MM gamma: NEGATIVE (-670M → -1.9B growing all day) - Customer gamma: POSITIVE (+770M → +2.1B) - Customers were LONG gamma, MMs SHORT — opposite of typical positive-gamma cluster - Retail put selling creates positive MM gamma (from HIRO +416M put delta) - But retail gamma contribution was small (+8.5M total) — institutional put flow (+98M) was the driver ## NinjaTrader SPX Overlay Indicator - SPXOverlay.cs and SPXGuide.cs in tools/ninjatrader/ - Daniel asked how to download — suggested hosting on quantyquant.com/nt/ ## HIRO Signals That SURVIVED (from evening deep dive) ### 1. Noon Divergence → Afternoon Move Size (p=0.071) - By noon, retail/price divergence predicts how far afternoon ru", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8905128830445802, "maxScore": 0.8905128830445802, "firstRecalledAt": "2026-04-13T16:05:18.175Z", "lastRecalledAt": "2026-04-13T16:05:18.175Z", "queryHashes": [ "fb3e17430064" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "1.9b", "2.1b", "positive-gamma", "8.5m", "spxoverlay.cs", "spxguide.cs", "tools/ninjatrader", "quantyquant.com/nt" ] }, "memory:memory/2026-03-26.md:140:161": { "key": "memory:memory/2026-03-26.md:140:161", "path": "memory/2026-03-26.md", "startLine": 140, "endLine": 161, "source": "memory", "snippet": "- [ ] Live consolidation/breakout alerting on dashboard (real-time detection during RTH) - [ ] Verify buy pressure gauge v3 producing correct signals at tomorrow's open - [ ] Retest breakout with 10-15 min stick window instead of 30 min (currently at 30) - [ ] Null test breakout at realistic params (baseline stick rate) - [ ] Fix research paper scanner (hallucinating titles, not filtering by date) ## TODO — Daniel Weekend Review - **Review Luther's rules and memory** — current rules aren't preventing confident bullshit. Rewrite or add stronger guardrails. Files to review: MEMORY.md (signal testing protocol + mistake tracker), SOUL.md, AGENTS.md - Consider: how to make Luther stop presenting", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.71110627527752, "maxScore": 0.8787068849865407, "firstRecalledAt": "2026-04-13T16:05:18.175Z", "lastRecalledAt": "2026-04-14T21:24:29.231Z", "queryHashes": [ "fb3e17430064", "4fccaacf4c21" ], "recallDays": [ "2026-04-13", "2026-04-14" ], "conceptTags": [ "consolidation/breakout", "real-time", "10-15", "memory.md", "soul.md", "agents.md", "live", "consolidation" ] }, "memory:memory/2026-03-08.md:449:482": { "key": "memory:memory/2026-03-08.md:449:482", "path": "memory/2026-03-08.md", "startLine": 449, "endLine": 482, "source": "memory", "snippet": "| Signal | Old WR | 418-day WR | Verdict | |--------|--------|-----------|---------| | v4.2 end-to-end | 65%+ | **52.2%** | Coin flip | | Neg Gamma Shift SHORT (NEG GEX) | 64% | **47.8%** | Dead | | Neg Gamma Shift SHORT (POS GEX) | — | **42.1%** | Dead | | DTE Agreement | — | **52.7%** | No signal | | High Symmetry Short | 75% | **52.4%** | Dead | | MM Skew (daily) | IC -0.62 | IC **-0.058** | Massively degraded | | Institutional Dominance | 71.6% | **~49%** | Dead at all thresholds | ### Key Findings from Deep Dives **Neg Gamma Shift — Dead at ALL thresholds:** - Even extreme shifts (>0.3, >0.5) don't predict direction - SHORT side broken at every magnitude (35-50% WR) - LONG side weakly", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8759442043578334, "maxScore": 0.8759442043578334, "firstRecalledAt": "2026-04-13T16:05:18.175Z", "lastRecalledAt": "2026-04-13T16:05:18.175Z", "queryHashes": [ "fb3e17430064" ], "recallDays": [ "2026-04-13" ], "conceptTags": [ "418-day", "v4.2", "end-to-end", "52.2", "47.8", "42.1", "52.7", "52.4" ] }, "memory:memory/2026-02-23.md:110:131": { "key": "memory:memory/2026-02-23.md:110:131", "path": "memory/2026-02-23.md", "startLine": 110, "endLine": 131, "source": "memory", "snippet": "- Fixed: chunk requests into 365-day windows, fixed CSV parsing - Download running: SPXW EOD, OI, Greeks for 2024-2026 (576 expirations) - Status: in progress, 116 rows first expiration ## Theta Data REST API — 7:00 PM - v2 endpoints deprecated, v3 endpoints returning 404 - Python `thetadata` library broken (can't find Java in PATH) - Using REST API directly on localhost:25503 instead - Still figuring out correct v3 endpoint format — docs at thetadata.net/operations/ - Terminal running as background process (PID 26371, session gentle-haven) ## Daniel Preferences Learned - Corrected me multiple times about ES market hours — wrote note in MEMORY.md - Wants individual stock options scanner (d", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8858813349073409, "maxScore": 0.8858813349073409, "firstRecalledAt": "2026-04-14T12:01:43.461Z", "lastRecalledAt": "2026-04-14T12:01:43.461Z", "queryHashes": [ "d85ff8bca1bc" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "365-day", "2024-2026", "thetadata.net/operations", "gentle-haven", "memory.md", "fixed", "chunk", "requests" ] }, "memory:memory/2026-02-23.md:87:116": { "key": "memory:memory/2026-02-23.md:87:116", "path": "memory/2026-02-23.md", "startLine": 87, "endLine": 116, "source": "memory", "snippet": "- **Key finding: Neg gamma + ORB DOWN → close down 80%** (strongest intraday signal) - ORB DOWN follow-through in neg gamma: 69% (vs 43% in pos gamma) - 10 AM reversal works in neg gamma: 55% (vs 29% in pos gamma) - Neg gamma range 2.3% vs 0.7% in strong positive - Gap downs in neg gamma DON'T fill (56%) — don't fade - Gap downs in pos gamma DO fill (73%) — safe to fade ## News Scanner Fix — 8:05 AM - Scanner was alerting on junk (random earnings articles like Trupanion) - Fixed: only HIGH priority triggers Telegram/iMessage, not MEDIUM - Tightened ignore patterns: \"is X a buy\", \"hits new high\", \"Q4 results\" ## Data Provider Research — 3:00 PM - Databento 5yr SPX options: $6,835 (without S", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8732810404827976, "maxScore": 0.8732810404827976, "firstRecalledAt": "2026-04-14T12:01:43.461Z", "lastRecalledAt": "2026-04-14T12:01:43.461Z", "queryHashes": [ "d85ff8bca1bc" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "follow-through", "2.3", "0.7", "telegram/imessage", "key", "finding", "neg", "gamma" ] }, "memory:memory/2026-03-02.md:493:515": { "key": "memory:memory/2026-03-02.md:493:515", "path": "memory/2026-03-02.md", "startLine": 493, "endLine": 515, "source": "memory", "snippet": "- Tracks: cum_delta, delta_15min, delta_price_corr_live in trading-data.json - 15-min rolling delta-price correlation computed over last 15 completed 1-min bars - End-of-day: appends today's 1-min bars to data/es_1min_delta_bars.csv automatically - delta_price_corr_signal.py now checks live data first, falls back to batch - All 7 composite signals now update in real-time during market hours - Databento GLBX.MDP3 trades schema includes `side` field — real aggressor delta, no tick-rule needed ## OPRA Data Clarification — 9:21 PM - Daniel asked if we have OPRA subscription — YES, we do - SPX Combined GEX service subscribes to OPRA.PILLAR for live SPX/SPXW/SPY trades via Databento - Live stream", "recallCount": 3, "dailyCount": 0, "groundedCount": 0, "totalScore": 2.8727597685431387, "maxScore": 1, "firstRecalledAt": "2026-04-14T12:01:43.461Z", "lastRecalledAt": "2026-04-15T16:22:59.670Z", "queryHashes": [ "d85ff8bca1bc", "d7029311354c", "988830fae8e5" ], "recallDays": [ "2026-04-14", "2026-04-15" ], "conceptTags": [ "cum-delta", "delta-15min", "delta-price-corr-live", "trading-data.json", "15-min", "delta-price", "1-min", "end-of-day" ] }, "memory:memory/2026-03-25.md:86:112": { "key": "memory:memory/2026-03-25.md:86:112", "path": "memory/2026-03-25.md", "startLine": 86, "endLine": 112, "source": "memory", "snippet": "- `gex_pattern_detector.py`: added Expected RTH Range line to regime summary output ## Dashboard Changes - Removed: Customer Flow Gauge panel from signal_overview.html - Removed: Institutional Flow panel from signal_overview.html - Added: Hover tooltip to gamma_cluster_radar.html chart (shows strike, gamma total/0DTE/non-0DTE, distance from spot, cluster grade) - Fixed: buy-pressure-v3.json symlink → real file (symlink broke SimpleHTTP server) - Removed: spx-es-divergence and divergence-fwd-test from health check watchlist (plists don't exist) ## Scripts Created - `scripts/es_overnight_bars_builder.py` → `data/es_10min_overnight.parquet` (327 days ES overnight bars) - `scripts/premarket_ga", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8628244230719813, "maxScore": 0.8628244230719813, "firstRecalledAt": "2026-04-14T12:01:43.461Z", "lastRecalledAt": "2026-04-14T12:01:43.461Z", "queryHashes": [ "d85ff8bca1bc" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "gex-pattern-detector.py", "signal-overview.html", "gamma-cluster-radar.html", "total/0dte/non-0dte", "buy-pressure-v3.json", "spx-es-divergence", "divergence-fwd-test", "data/es-10min-overnight.parquet" ] }, "memory:memory/2026-04-13.md:1:36": { "key": "memory:memory/2026-04-13.md:1:36", "path": "memory/2026-04-13.md", "startLine": 1, "endLine": 36, "source": "memory", "snippet": "# 2026-04-13 ## Morning health check - Ran `scripts/morning_health_check.sh` at 6:15 AM PT. - Result: unhealthy. - Issues recorded in `memory/health-check.json`: - `com.openclaw.gamma-shift-v5` not loaded - `com.openclaw.vix-decomposition` exited with code 1 (auto-kick attempted) - `com.openclaw.cluster-radar` not loaded - SpotGamma API returned HTTP 404 (`spotgamma_jwt: error_404`) - Healthy items noted by check: - Databento auth valid - Trading data fresh (`fresh_0s`) - Most other services running normally - Cron reply prepared for Daniel via Telegram routing note. # 2026-04-13 ## Morning health check - Ran `scripts/morning_health_check.sh` at 6:15 AM PT. - Result: unhealth", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8598369307158302, "maxScore": 0.8598369307158302, "firstRecalledAt": "2026-04-14T12:01:43.461Z", "lastRecalledAt": "2026-04-14T12:01:43.461Z", "queryHashes": [ "d85ff8bca1bc" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "scripts/morning-health-check.sh", "memory/health-check.json", "com.openclaw.gamma-shift-v5", "com.openclaw.vix-decomposition", "auto-kick", "com.openclaw.cluster-radar", "spotgamma-jwt", "error-404" ] }, "memory:memory/2026-03-17.md:146:157": { "key": "memory:memory/2026-03-17.md:146:157", "path": "memory/2026-03-17.md", "startLine": 146, "endLine": 157, "source": "memory", "snippet": "- Pilot list: ARM, TSLA, PLTR, MSTR, COIN, SOFI, CRWD, AMD, SMCI, AAPL (control) - SpotGamma may have stock-level TRACE data via `/v3/equitiesBySyms` — need to test when JWT refreshes - Need to backtest: does gamma regime predict momentum vs reversal on individual stocks? - Expected: ARM/SOFI/MSTR show 5-10x stronger effect than ES, AAPL shows weakest ### Papers Downloaded - 0DTE Gamma Risk (Dim et al., 2025) — SSRN 4692190, full PDF - Gamma Fragility (Barbon & Buraschi, 2021) — SSRN 3725454, full PDF - Order Flow Imbalance Hawkes (2024) — arXiv - Deep LOB Forecasting (2024) — arXiv - Evans & Lyons (2002) Order Flow — BIS version", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7955207675288622, "maxScore": 0.8977744081538117, "firstRecalledAt": "2026-04-14T12:10:59.100Z", "lastRecalledAt": "2026-04-14T12:39:17.529Z", "queryHashes": [ "1b2757e4520b", "05ce9ef4f2ad" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "stock-level", "v3/equitiesbysyms", "arm/sofi/mstr", "5-10x", "pilot", "list", "arm", "tsla" ] }, "memory:memory/2026-03-17.md:125:151": { "key": "memory:memory/2026-03-17.md:125:151", "path": "memory/2026-03-17.md", "startLine": 125, "endLine": 151, "source": "memory", "snippet": "## Tomorrow's FOMC Day 2 Prep - TRACE service running — must stay alive through 2 PM ET - Pull 1:40 and 1:50 PM ET snapshots for customer gamma reading - Morning brief will include FOMC-specific customer gamma check - Key: is customer gamma positive or negative at 1:50 ET? ## Late Night Research Session (10 PM - 3:30 AM) ### Papers Deep Read - Read Dim et al. (2025) \"0DTEs: Trading, Gamma Risk and Volatility Propagation\" — full paper from Daniel - Read Barbon & Buraschi (2021) \"Gamma Fragility\" — full paper from Daniel - Key finding: positive MM gamma → reversal (7.3% SD variance reduction per 1SD gamma increase) - 10 bps/hour momentum/reversal spread between high/low gamma states - MMs ar", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.7362062498205333, "maxScore": 0.8681195975645414, "firstRecalledAt": "2026-04-14T12:10:59.100Z", "lastRecalledAt": "2026-04-14T12:39:17.529Z", "queryHashes": [ "1b2757e4520b", "05ce9ef4f2ad" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "fomc-specific", "7.3", "bps/hour", "momentum/reversal", "high/low", "tomorrow's", "fomc", "day" ] }, "memory:memory/2026-03-11.md:142:176": { "key": "memory:memory/2026-03-11.md:142:176", "path": "memory/2026-03-11.md", "startLine": 142, "endLine": 176, "source": "memory", "snippet": "Picked highest-value open todo: validate dealer-adjusted GEX against SpotGamma over several days using only local cached data. ### What I built - New script: `scripts/validate_dealer_gex_vs_spotgamma.py` - Loads SpotGamma historical levels from `memory/spotgamma-data.json` - Loads our regime/flip series from `data/dealer_gex_daily_v2.csv` - Loads our recent strike-derived wall/abs levels from `data/spotgamma_strike_history.json` - Computes bias/MAE/RMSE/correlation + daily comparison tables - Writes outputs: - `data/dealer_gex_vs_spotgamma_validation.json` - `data/dealer_gex_vs_spotgamma_validation_report.md` ### Key results - **Regime overlap:** 13 days (2026-02-10 → 202", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 1.6827538423068709, "maxScore": 0.8419930077331267, "firstRecalledAt": "2026-04-14T12:10:59.100Z", "lastRecalledAt": "2026-04-14T12:39:17.529Z", "queryHashes": [ "1b2757e4520b", "05ce9ef4f2ad" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "highest-value", "dealer-adjusted", "memory/spotgamma-data.json", "regime/flip", "data/dealer-gex-daily-v2.csv", "strike-derived", "wall/abs", "bias/mae/rmse/correlation" ] }, "memory:memory/2026-03-12.md:316:347": { "key": "memory:memory/2026-03-12.md:316:347", "path": "memory/2026-03-12.md", "startLine": 316, "endLine": 347, "source": "memory", "snippet": "🟢 CorrDiv: strong performer (score 0.82) — weight boosted to 4.9% 🟢 DOW: strong performer (score 0.94) — weight boosted to 20.6% 🔴 GapFade: IC collapsed to -0.407 — weight cut to 0.4% 🟢 OVN: strong performer (score 0.85) — weight boosted to 5.0% 🟢 VIXDecomp: strong performer (score 0.85) — weight boosted to 20.1% Wrote /Users/daniel/.openclaw/workspace/memory/adaptive-weights.json Total weight movement: 41.4% Largest boost: OVN Largest cut: DeltaDiv ``` ## Autonomous Work — 8:02 PM (cron) **SpotGamma Founder's Note automation completed (local-only)** - Picked highest-value open unblocked task from `memory/todo.md`: finish SpotGamma automation by making Founder's Notes us", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8364854355107554, "maxScore": 0.8364854355107554, "firstRecalledAt": "2026-04-14T12:10:59.100Z", "lastRecalledAt": "2026-04-14T12:10:59.100Z", "queryHashes": [ "1b2757e4520b" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "0.82", "4.9", "0.94", "20.6", "0.407", "0.4", "0.85", "5.0" ] }, "memory:memory/2026-03-02.md:48:71": { "key": "memory:memory/2026-03-02.md:48:71", "path": "memory/2026-03-02.md", "startLine": 48, "endLine": 71, "source": "memory", "snippet": "- Script: `scripts/daily_0dte_collector.py` — pulls from Theta Data, appends to CSV - **Signed OPRA trade logging** added to live GEX service - Every trade saved to `data/signed_opra_trades/trades-YYYY-MM-DD.csv` - Fields: time, symbol, strike, type, size, side (buy/sell), price - **Cumulative dealer positioning carryover** added to live GEX service - Saves to `data/dealer_positioning.json` at EOD/shutdown - Loads at startup → seeds dealer long/short per strike from prior days - Dealer-adjusted GEX now starts each day with historical context ## ES Trading Guide - Wrote comprehensive guide: `docs/es_trading_guide.md` - Covers VIX ratio, RORO, GEX, decision matrix, all backtested", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.865392145401507, "maxScore": 0.865392145401507, "firstRecalledAt": "2026-04-14T12:24:49.930Z", "lastRecalledAt": "2026-04-14T12:24:49.930Z", "queryHashes": [ "498cf18a78fb" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "scripts/daily-0dte-collector.py", "buy/sell", "data/dealer-positioning.json", "eod/shutdown", "long/short", "dealer-adjusted", "docs/es-trading-guide.md", "script" ] }, "memory:memory/2026-03-13.md:79:105": { "key": "memory:memory/2026-03-13.md:79:105", "path": "memory/2026-03-13.md", "startLine": 79, "endLine": 105, "source": "memory", "snippet": "- Bookmap data attached to active_approach output (hold_prob, confidence, excursion, trade_note) - Phase context (open_drive/lunch_lull/etc.) added to output JSON - Updated `memory/trading_dashboard.html`: - Active approach detail now shows Bookmap hold probability with colored confidence tier - Excursion targets (hold target ticks, stop ticks, R:R ratio) displayed - Trade notes with phase-specific + level-specific guidance - Session stats area shows current Bookmap phase context note - Restarted level-strength service; verified Bookmap phase data flowing into output - Commit: 34027da ## Autonomous Work — 4:04 AM (subagent) **FINRA Reg SHO Daily Short-Volume Pipeline built** Bu", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8545091529937315, "maxScore": 0.8545091529937315, "firstRecalledAt": "2026-04-14T12:24:49.930Z", "lastRecalledAt": "2026-04-14T12:24:49.930Z", "queryHashes": [ "498cf18a78fb" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "active-approach", "hold-prob", "trade-note", "open-drive/lunch-lull/etc", "memory/trading-dashboard.html", "phase-specific", "level-specific", "level-strength" ] }, "memory:memory/2026-02-23.md:26:52": { "key": "memory:memory/2026-02-23.md:26:52", "path": "memory/2026-02-23.md", "startLine": 26, "endLine": 52, "source": "memory", "snippet": "**Conclusion:** Don't add these components. v2 remains the best version. The new signals (credit, oil/gold, SPY/TLT) confirmed as non-predictive for ES on a standalone basis — matches our earlier finding that \"no asset reliably leads ES daily.\" Script saved: `scripts/roro_v3_backtest.py` ## News Scanner Built — 4:34 AM - Created `scripts/news_scanner.py` — RSS-based market news monitor - 8 feeds: CNBC Markets/Economy, MarketWatch Top/Markets, Yahoo Finance, Reuters Business, WSJ Markets, Fed Reserve - Keyword filtering: HIGH (Fed, inflation, payrolls, crashes, VIX, geopolitical) and MEDIUM (treasury, oil, earnings, China) - Writes alerts to `memory/news-alerts.json` - **launchd service ins", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8534513561649404, "maxScore": 0.8534513561649404, "firstRecalledAt": "2026-04-14T12:24:49.930Z", "lastRecalledAt": "2026-04-14T12:24:49.930Z", "queryHashes": [ "498cf18a78fb" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "oil/gold", "spy/tlt", "non-predictive", "scripts/roro-v3-backtest.py", "scripts/news-scanner.py", "rss-based", "markets/economy", "top/markets" ] }, "memory:memory/2026-02-22.md:26:53": { "key": "memory:memory/2026-02-22.md:26:53", "path": "memory/2026-02-22.md", "startLine": 26, "endLine": 53, "source": "memory", "snippet": "### GEX Pattern Detector (Regan & Xie 2025 paper) - Paper: \"Inferring Latent Market Forces\" — IEEE Big Data 2025 - Three patterns: negative gamma (91.2% materialization), stock pinning, 0DTE hedging - Built pattern detector module (`gex_pattern_detector.py`) - Integrated into live GEX service — alerts write to gex-alerts.json - **Backtest running** — testing S vs S² formula + all 3 patterns on 95 historical dates - Formula difference: our GEX uses `OI × Gamma × 100 × S`, paper uses `OI × Gamma × 100 × S²` - Results pending (estimated ~3hrs to complete Databento pulls) ### Research Ideas for RORO Improvement - Better inputs: credit spreads (HY OAS), oil/gold ratio, SPY/TLT, CBOE put/call", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.886639887579997, "maxScore": 0.886639887579997, "firstRecalledAt": "2026-04-14T12:36:59.695Z", "lastRecalledAt": "2026-04-14T12:36:59.695Z", "queryHashes": [ "ac270834aa2d" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "91.2", "gex-pattern-detector.py", "gex-alerts.json", "oil/gold", "spy/tlt", "put/call", "gex", "pattern" ] }, "memory:memory/2026-03-02.md:679:683": { "key": "memory:memory/2026-03-02.md:679:683", "path": "memory/2026-03-02.md", "startLine": 679, "endLine": 683, "source": "memory", "snippet": "- Added 8 new Google Scholar queries: E-mini S&P 500, institutional trading, day trading, hedge fund strategies, mutual fund flow, market maker hedging, HFT, institutional order flow - Added 4 new Semantic Scholar queries: E-mini intraday, institutional trading flow, hedge fund derivatives, HFT market making - Added high-relevance keywords: e-mini, es futures, institutional trading, day trading, hedge fund, mutual fund, market maker, high frequency - Total: 16 Google Scholar queries, 12 Semantic Scholar queries across 5 sources", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.87614245930653, "maxScore": 0.87614245930653, "firstRecalledAt": "2026-04-14T12:36:59.695Z", "lastRecalledAt": "2026-04-14T12:36:59.695Z", "queryHashes": [ "ac270834aa2d" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "e-mini", "high-relevance", "added", "new", "google", "scholar", "queries", "mini" ] }, "memory:memory/2026-03-07.md:401:427": { "key": "memory:memory/2026-03-07.md:401:427", "path": "memory/2026-03-07.md", "startLine": 401, "endLine": 427, "source": "memory", "snippet": "- \"Cluster\" = 3+ adjacent strikes within 25 SPX pts, all with total gamma > 1,000, within ±3% of spot - ~2 clusters per snapshot on average, present in virtually 100% of snapshots - Price \"near cluster\" = within 0.2% of gamma-weighted cluster center - 1,777 observations near clusters, 4,720 away ### Verdicts (OOS unless noted) | # | Question | IS | OOS | Verdict | |---|----------|-----|-----|---------| | 1 | Clusters build during the day? | ✓ p≈0 | ✓ p≈0 | **YES** — intensity grows ~38% morning→close | | 2 | Price pins at clusters (lower vol)? | ✓ p<0.01 all horizons | ✗ p>0.6 all horizons | **NO** — IS effect vanishes OOS | | 3 | Growing clusters attract price? | Only 15 events, p=0.91 |", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8577821486992396, "maxScore": 0.8577821486992396, "firstRecalledAt": "2026-04-14T12:36:59.695Z", "lastRecalledAt": "2026-04-14T12:36:59.695Z", "queryHashes": [ "ac270834aa2d" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "0.2", "gamma-weighted", "0.01", "0.6", "0.91", "cluster", "adjacent", "strikes" ] }, "memory:memory/2026-02-21.md:1:29": { "key": "memory:memory/2026-02-21.md:1:29", "path": "memory/2026-02-21.md", "startLine": 1, "endLine": 29, "source": "memory", "snippet": "# 2026-02-21 — Day 1: Setup & Trading Infrastructure ## Identity - Named: Luther 🔧 - Human: Daniel, PST timezone, ES futures day trader ## What We Built - **Morning Brief** (6 AM PST M-F) — ES overnight, econ calendar, earnings, news, SpotGamma levels, gamma dashboard (18 stocks), stock scanner, options flow - **EOD Recap** (1:15 PM PST M-F) — day summary, movers, options activity, tomorrow preview - **Research Paper Scanner** (2 AM daily) — arXiv, SSRN, extracts tradeable indicator ideas - **GEX Calculator** — scripts/gex_calculator.py, calculates positive/negative gamma per strike for any stock using Databento OPRA data - **Live GEX Streaming Service** — scripts/live_gex_service.py, rea", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.9006219429009494, "maxScore": 0.9006219429009494, "firstRecalledAt": "2026-04-14T12:37:21.775Z", "lastRecalledAt": "2026-04-14T12:37:21.775Z", "queryHashes": [ "da7ef3a9cdcc" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "m-f", "scripts/gex-calculator.py", "positive/negative", "scripts/live-gex-service.py", "day", "setup", "trading", "infrastructure" ] }, "memory:memory/2026-02-21.md:22:32": { "key": "memory:memory/2026-02-21.md:22:32", "path": "memory/2026-02-21.md", "startLine": 22, "endLine": 32, "source": "memory", "snippet": "## Tools Installed - Chrome browser, databento, finvizfinance, scipy python packages - Skills: apple-reminders, himalaya, gh, imsg (some need further setup) ## Still TODO - Complete gh auth login, himalaya email setup, imsg full disk access - Build own GEX calculator (already done!) - Live GEX needs testing during market hours Monday - Intraday correlation divergence indicator - Consider: Polygon.io subscription, Brave Search API key", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8913896813341347, "maxScore": 0.8913896813341347, "firstRecalledAt": "2026-04-14T12:37:21.775Z", "lastRecalledAt": "2026-04-14T12:37:21.775Z", "queryHashes": [ "da7ef3a9cdcc" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "apple-reminders", "polygon.io", "tools", "installed", "chrome", "browser", "databento", "finvizfinance" ] }, "memory:memory/2026-03-15.md:210:239": { "key": "memory:memory/2026-03-15.md:210:239", "path": "memory/2026-03-15.md", "startLine": 210, "endLine": 239, "source": "memory", "snippet": "- `scripts/bookmap_level_config.py` — Shared config (916 lines): Level definitions, VWAP calculator, volume profile, session tracker, external data reader, approach detection, scoring functions, delta/depth trackers - `scripts/bookmap_level_indicator_simple.py` — Simple 4-component model addon - `scripts/bookmap_level_indicator_full.py` — Full 16-component model addon - `scripts/bookmap_README.md` — Installation and usage guide ### Architecture: - Non-blocking Bookmap event handlers (trades, depth, MBO, interval) - Background daemon thread for external JSON file reads (GEX every 60s, SpotGamma every 5m) - Score caching to avoid redundant computation on rapid ticks - Level rebuild rate-limit", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8545314545556356, "maxScore": 0.8545314545556356, "firstRecalledAt": "2026-04-14T12:37:21.775Z", "lastRecalledAt": "2026-04-14T12:37:21.775Z", "queryHashes": [ "da7ef3a9cdcc" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "scripts/bookmap-level-config.py", "delta/depth", "4-component", "16-component", "scripts/bookmap-readme.md", "non-blocking", "rate-limit", "scripts" ] }, "memory:memory/2026-03-15.md:186:216": { "key": "memory:memory/2026-03-15.md:186:216", "path": "memory/2026-03-15.md", "startLine": 186, "endLine": 216, "source": "memory", "snippet": "- **MM Tilt IC**: Collapsed from +0.586 to +0.076. Original was artifact. - **Dominant Strike**: Dead — 50% directional at all distances. - **Tilt + Dominant combo**: Dead — 51-55% vs original 68%. - **MAGNET_ABOVE cluster**: Marginal at 57-58% (large N). - **Neg Gamma Shift**: INVERTED — IC = -0.14 (opposite direction from v4.2 claim). - **0DTE disagree, Symmetry, FLOOR_BELOW**: All dead. - **Morning > Afternoon**: IC 0.10 at 9:30-11:00 vs 0.03 afternoon. - **IS/OOS stable**: OOS holds for tilt — suggests real but weak. ### Verdict: Only extreme tilt thresholds (>75%, morning only) and MAGNET_ABOVE survive. Everything else in v4.2 was built on corrupted data. ### Reports: - `data/gamma_sh", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8538776187410791, "maxScore": 0.8538776187410791, "firstRecalledAt": "2026-04-14T12:37:21.775Z", "lastRecalledAt": "2026-04-14T12:37:21.775Z", "queryHashes": [ "da7ef3a9cdcc" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "0.586", "0.076", "51-55", "magnet-above", "57-58", "0.14", "v4.2", "floor-below" ] }, "memory:memory/2026-03-10.md:42:70": { "key": "memory:memory/2026-03-10.md:42:70", "path": "memory/2026-03-10.md", "startLine": 42, "endLine": 70, "source": "memory", "snippet": "### Backtest results (3 full data days: Mar 3, 5, 6) - ~30K ATM sweeps/day, ~17K large prints/day - All 3 days had bear-heavy ATM flow (36-39% bull) and negative ES returns - **⚠️ 3 days is statistically meaningless** — infrastructure only, no conclusions - Observation: 93-94% of sweeps pass ATM filter (±5% is wide for SPX), may need tighter filter - Top sweeps are $100M-$2.5B in premium — mostly SPX 6000C/7000P market-maker or index rebalancing activity ### Output files - `data/sweep_events/sweeps-YYYY-MM-DD.csv` — all sweep events per day - `data/sweep_events/large_prints-YYYY-MM-DD.csv` — large single prints - `memory/sweep-summary.json` — latest day summary for dashboard - `data/sweep_b", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8627745632808557, "maxScore": 0.8627745632808557, "firstRecalledAt": "2026-04-14T12:39:17.529Z", "lastRecalledAt": "2026-04-14T12:39:17.529Z", "queryHashes": [ "05ce9ef4f2ad" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "sweeps/day", "prints/day", "bear-heavy", "36-39", "93-94", "2.5b", "6000c/7000p", "market-maker" ] }, "memory:memory/2026-03-30.md:92:126": { "key": "memory:memory/2026-03-30.md:92:126", "path": "memory/2026-03-30.md", "startLine": 92, "endLine": 126, "source": "memory", "snippet": "**ORB Breakout × Options Spread: STILL RUNNING (36GB processing)** **ETF Data Downloads: 5 batch jobs submitted + downloaded ($0.00)** - 19 ETFs OHLCV-1d 7yr (1.3MB), OHLCV-1m 7yr (200MB), TBBO 12mo (2.6GB) - NBO OHLCV-1d + 1m 7yr (ARCX) - All downloaded to data/etf_databento/ --- ## March 31 Session Continuation ### Options RVOL Service FIXED - Old method compared today's volume against hardcoded fraction of daily total → gave 0.53 (WRONG) - New method compares against 20-day avg cumulative volume at same hour → gave 1.11 (CORRECT) - Built `data/rvol_intraday_baseline.json` from SPXW ohlcv-1h (20 trading days) - Fixed Databento ingest delay: 75-min offset, match baseline hour to data ho", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8839832178106997, "maxScore": 0.8839832178106997, "firstRecalledAt": "2026-04-14T13:18:02.574Z", "lastRecalledAt": "2026-04-14T13:18:02.574Z", "queryHashes": [ "770a3a0058ff" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "0.00", "ohlcv-1d", "1.3mb", "ohlcv-1m", "2.6gb", "data/etf-databento", "0.53", "20-day" ] }, "memory:memory/2026-03-27.md:100:130": { "key": "memory:memory/2026-03-27.md:100:130", "path": "memory/2026-03-27.md", "startLine": 100, "endLine": 130, "source": "memory", "snippet": "- Paper #4: \"Stock Pinning\" (Avellaneda & Lipkin, 2003) - Pinning force formula: β = nE / (√2π σ²T). Price pulled to high-OI strikes. - E (price elasticity) is unknown for SPX — but E cancels out when RANKING strikes - Test: β_proxy = OI / (σ² × T) per strike, compare reach rate vs raw gamma ### HIRO Correlation Regime Signal — CONFIRMED OOS - HNEG (retail fighting price harder than usual) survives all null tests + OOS validation - OOS: +2.34pt at 10min, +3.06pt at 15min, +4.97pt at 30min (all p<0.001) - Morning = bullish (bounce), Afternoon = bearish (continuation) - P95 flow one-sidedness = DEAD after proper controls - ES delta conditioning found strongest sub-signal: - Morning HN", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8501614395834185, "maxScore": 0.8501614395834185, "firstRecalledAt": "2026-04-14T21:24:29.231Z", "lastRecalledAt": "2026-04-14T21:24:29.231Z", "queryHashes": [ "4fccaacf4c21" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "high-oi", "β-proxy", "2.34pt", "3.06pt", "4.97pt", "0.001", "one-sidedness", "sub-signal" ] }, "memory:memory/2026-03-26.md:157:180": { "key": "memory:memory/2026-03-26.md:157:180", "path": "memory/2026-03-26.md", "startLine": 157, "endLine": 180, "source": "memory", "snippet": "- `scripts/hiro_breakout_fuel_test.py` — breakout fuel + spike fade null - `scripts/hiro_noon_divergence_alert.py` — live noon alert (cron'd) - `scripts/hiro_divergence_backfill.py` — backfill tracker with 18 days - `data/hiro_cluster_crossover_analysis.json` — 177 window analysis output - `data/hiro_divergence_tracker.json` — 18 day divergence history - `scripts/hiro_5sec_lead_test.py` — native 5-sec resolution lead/lag - `scripts/hiro_5sec_deep_dive.py` — extreme flows, bursts, asymmetry at 5-sec - `scripts/hiro_chicken_egg.py` — Granger-style who-predicts-who - `scripts/hiro_alignment_5sec.py` — alignment patterns at 5-sec - `scripts/hiro_alignment_exhaustive.py` — 8-angle alignment deep", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8345490369126413, "maxScore": 0.8345490369126413, "firstRecalledAt": "2026-04-14T21:24:29.231Z", "lastRecalledAt": "2026-04-14T21:24:29.231Z", "queryHashes": [ "4fccaacf4c21" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "scripts/hiro-5sec-lead-test.py", "5-sec", "lead/lag", "scripts/hiro-5sec-deep-dive.py", "scripts/hiro-chicken-egg.py", "granger-style", "who-predicts-who", "scripts/hiro-alignment-5sec.py" ] }, "memory:memory/2026-03-02.md:583:609": { "key": "memory:memory/2026-03-02.md:583:609", "path": "memory/2026-03-02.md", "startLine": 583, "endLine": 609, "source": "memory", "snippet": "- Greeks/IV snapshot needs Pro ❌ — compute IV from bid/ask via Black-Scholes instead - v3 uses right=call/put (not C/P), strike in dollars, expiration=YYYYMMDD - **3 parts being built**: 1. Historical pipeline: 2yr EOD data → daily decomposition CSV 2. Live service: 5-min snapshots during RTH → real-time decomposition 3. Dashboard: bar chart + 6 time-series charts, dark theme, auto-refresh - Dashboard will be at quantyquant.com/vix_decomposition_dashboard.html ## VIX Decomposition — Intraday Historical Confirmed — 9:49 PM - **Theta Data serves 5-min intraday option quotes on Standard plan** ✅ - Endpoint: /v3/option/history/quote?symbol=SPXW&strike=*&interval=5m - ~286 strikes per", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8310285351410378, "maxScore": 0.8310285351410378, "firstRecalledAt": "2026-04-14T21:24:29.231Z", "lastRecalledAt": "2026-04-14T21:24:29.231Z", "queryHashes": [ "4fccaacf4c21" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "greeks/iv", "bid/ask", "black-scholes", "call/put", "c/p", "5-min", "real-time", "time-series" ] }, "memory:memory/2026-03-15.md:394:429": { "key": "memory:memory/2026-03-15.md:394:429", "path": "memory/2026-03-15.md", "startLine": 394, "endLine": 429, "source": "memory", "snippet": "- `data/mm_shift_clean_retest_report.md` — full report with tables - `data/mm_shift_clean_retest.json` — raw numerical results --- ## MM Shift v2 Alert Service — Built ### What Two-phase daily alert system replacing the old single-check `mm_shift_alert.py`: - **Check 1** (8:30 PT / 11:30 ET): Signal check — Q5 bullish + low RVOL → LONG alert, Q1 → contrarian bearish alert - **Check 2** (8:50 PT / 11:50 ET): If no signal fired, sends \"no conditions met\" so Daniel always knows status ### Files Created - `scripts/mm_shift_v2_alert.py` — main script with `--check1`, `--check2`, `--test` modes - `memory/mm-shift-v2-status.json` — dashboard status (updated each run) - `memory/mm-shift-history.", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8306523077083784, "maxScore": 0.8306523077083784, "firstRecalledAt": "2026-04-14T21:24:29.231Z", "lastRecalledAt": "2026-04-14T21:24:29.231Z", "queryHashes": [ "4fccaacf4c21" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "data/mm-shift-clean-retest.json", "two-phase", "single-check", "mm-shift-alert.py", "scripts/mm-shift-v2-alert.py", "memory/mm-shift-v2-status.json", "memory/mm-shift-history", "data" ] }, "memory:memory/2026-03-12.md:232:258": { "key": "memory:memory/2026-03-12.md:232:258", "path": "memory/2026-03-12.md", "startLine": 232, "endLine": 258, "source": "memory", "snippet": "- Picked highest-value open unblocked task from `memory/todo.md`: automatically re-run stock-level TRACE participant analysis when symbol-tagged files appear for AAPL/NVDA/TSLA. - Added new script: - `scripts/trace_stock_level_rerun_trigger.py` - What it does: - Scans local TRACE cache (`data/trace_api`) for symbol/ticker columns and target symbol hits. - Persists state in `memory/trace_stock_level_rerun_state.json`. - Emits latest trigger snapshot in `memory/trace_stock_level_rerun_trigger.json` and readable summary in `memory/trace_stock_level_rerun_trigger.md`. - Fires trigger only on meaningful transition (coverage newly available or hit counts increase), avoiding repeated fals", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8878033394154582, "maxScore": 0.8878033394154582, "firstRecalledAt": "2026-04-14T22:40:10.059Z", "lastRecalledAt": "2026-04-14T22:40:10.059Z", "queryHashes": [ "fbf67e803a37" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "highest-value", "memory/todo.md", "re-run", "stock-level", "symbol-tagged", "aapl/nvda/tsla", "data/trace-api", "symbol/ticker" ] }, "memory:memory/2026-04-03.md:67:79": { "key": "memory:memory/2026-04-03.md:67:79", "path": "memory/2026-04-03.md", "startLine": 67, "endLine": 79, "source": "memory", "snippet": "- data/spike_comprehensive_results.json (pending) ### Late Session Findings (10PM-midnight) - **Post-spike volume confirmation:** Volume while spread is wide (≥1.5x) is the strongest filter. 1620+ contracts = 83.2% WR at 10min, +9.70pt - **Daniel's theory validated:** Spread widens → traders hit it → MMs forced to hedge in ES → price moves. Low reaction = no move. - **Volume surges 2-5x after spike:** 90% WR at 10min (N=30) - **Spread duration:** 58% snap back instantly. Stays wide + high volume = best combo. - **Bear signal:** None found. BOTH spike is bull-only. - **Indicator design agreed:** Two-stage alerts (instant spike + 10-30s confidence upgrade) - **Killed comprehensive study** — w", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 0.8824845208737531, "maxScore": 0.8824845208737531, "firstRecalledAt": "2026-04-14T22:40:10.059Z", "lastRecalledAt": "2026-04-14T22:40:10.059Z", "queryHashes": [ "fbf67e803a37" ], "recallDays": [ "2026-04-14" ], "conceptTags": [ "10pm-midnight", "post-spike", "1.5x", "83.2", "9.70pt", "2-5x", "bull-only", "two-stage" ] }, "memory:memory/2026-04-03.md:21:48": { "key": "memory:memory/2026-04-03.md:21:48", "path": "memory/2026-04-03.md", "startLine": 21, "endLine": 48, "source": "memory", "snippet": "- **0DTE vs All-DTE:** 0DTE is 11pp better. Non-0DTE dilutes signal. - **Wider strike windows:** ±25pt best WR. ±50pt best avg move. ±100pt degrades. ### Paper Read: \"Risky Intraday Order Flow and Option Liquidity\" (DPS May 2025) - MMs manage inventory via trade matching, NOT delta-hedging - Order flow VOLATILITY (SD of 5-min imbalances) is the #1 driver of spreads - Effect strongest for 0DTE — MMs can't earn inventory premium, must adjust immediately - Not informed trading — flow vol DROPS on earnings, SPIKES on opex/month-end - Validates our signal: BOTH spike catches MM inventory stress events ### Memory System Restructured - MEMORY.md: 58K → 10K chars (no more truncation) - SQLite rese", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 1, "maxScore": 1, "firstRecalledAt": "2026-04-15T13:04:04.524Z", "lastRecalledAt": "2026-04-15T13:04:04.524Z", "queryHashes": [ "87fac9373a3e" ], "recallDays": [ "2026-04-15" ], "conceptTags": [ "all-dte", "non-0dte", "delta-hedging", "5-min", "opex/month-end", "memory.md", "0dte", "all" ] }, "memory:memory/2026-04-05.md:12:19": { "key": "memory:memory/2026-04-05.md:12:19", "path": "memory/2026-04-05.md", "startLine": 12, "endLine": 19, "source": "memory", "snippet": "- Constraints: null test first, SPX price alignment check, same clustered 60s gap alert definition as original study, split clustered vs non-clustered, report 10m/30m/60m with p-values and strongest counter-argument, use full practical Mac Studio capacity, write per-date intermediates first, and commit outputs before finish - Expected output: movement-vs-direction report, per-date tables, and verdict on whether options flow / ES delta / ES volume help confirm direction - **2026-04-05 10:53 PT — spread-pulse-extreme-imbalance-study** - Task: test whether extreme post-spike call/put volume imbalance magnitude after Spread Pulse alerts predicts a big move over the next 10m/30m/60m across", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 1, "maxScore": 1, "firstRecalledAt": "2026-04-15T13:27:47.313Z", "lastRecalledAt": "2026-04-15T13:27:47.313Z", "queryHashes": [ "d874203bf1d6" ], "recallDays": [ "2026-04-15" ], "conceptTags": [ "non-clustered", "10m/30m/60m", "p-values", "counter-argument", "per-date", "movement-vs-direction", "post-spike", "call/put" ] }, "memory:memory/2026-04-05.md:87:96": { "key": "memory:memory/2026-04-05.md:87:96", "path": "memory/2026-04-05.md", "startLine": 87, "endLine": 96, "source": "memory", "snippet": "- Data target: 2025-06-04, 2025-09-22, 2026-02-23, 2026-02-24, 2025-04-17, 2026-03-03 - Constraints: full practical Mac Studio capacity, per-day intermediates first, SPX alignment check, null testing, and commit outputs before finish - Expected output: WR/avg/median/travel and p-values for base vs HIGH/MEDIUM with verdict on whether filtered grades hold up - **2026-04-05 09:16 PT — spread-pulse-25day-move-direction-study** - Task: rerun Spread Pulse across all 25 available days using clustered alert logic, then test whether it predicts movement better than direction and whether options flow / ES delta / ES volume improve directional confirmation - Data target: all 25 CBBO cache-bac", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 1, "maxScore": 1, "firstRecalledAt": "2026-04-15T13:27:47.313Z", "lastRecalledAt": "2026-04-15T13:27:47.313Z", "queryHashes": [ "d874203bf1d6" ], "recallDays": [ "2026-04-15" ], "conceptTags": [ "per-day", "wr/avg/median/travel", "p-values", "high/medium", "cache-bac", "data", "target", "constraints" ] }, "memory:memory/2026-03-02.md:511:534": { "key": "memory:memory/2026-03-02.md:511:534", "path": "memory/2026-03-02.md", "startLine": 511, "endLine": 534, "source": "memory", "snippet": "- OPRA live stream IS running and receiving SPX/SPXW symbology + trades, but _process_trade drops them (no position match) - **Fix needed**: retry logic for SPX EOD load + log trades even without position match - This is a critical bug — SPX is the dominant source for GEX calculation ## SPX GEX Bug Correction — 9:27 PM - **FALSE ALARM**: SPX Combined GEX service (PID 41634) loaded fine at 00:06 UTC - 8,249 SPX/SPXW + 2,841 SPY + 262 ES = 11,352 total options ✅ - Both OPRA and GLBX live streams started successfully - Log: logs/spx-combined-gex.log - The 504 timeout was on the **multi-stock GEX service** (live_gex_service.py, PID 52276) — different service - Multi-stock dashboard was mi", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 2, "maxScore": 1, "firstRecalledAt": "2026-04-15T15:49:16.717Z", "lastRecalledAt": "2026-04-15T16:22:59.670Z", "queryHashes": [ "d7029311354c", "988830fae8e5" ], "recallDays": [ "2026-04-15" ], "conceptTags": [ "spx/spxw", "process-trade", "logs/spx-combined-gex.log", "multi-stock", "live-gex-service.py", "opra", "live", "stream" ] }, "memory:memory/2026-04-14.md:34:66": { "key": "memory:memory/2026-04-14.md:34:66", "path": "memory/2026-04-14.md", "startLine": 34, "endLine": 66, "source": "memory", "snippet": "- Call Wall: `6900` - Put Wall: `6500` - Vol Trigger: `6815` - Zero Gamma: `6744` ## SPX reconstruction Phase 1 scaffold - Landed Phase 1 local-cache-first SPX reconstruction scaffold. - Added: - `scripts/spx_reconstruction_phase1.py` - `scripts/validate_spx_reconstruction_phase1.py` - `docs/spx-reconstruction-phase1.md` - Generated: - `memory/spx_reconstructed_mm_gamma_snapshot.json` - `memory/spx_reconstruction_phase1_validation.json` - `memory/spx_reconstruction_phase1_validation_report.md` - Commit: `224c11bf936d668b9008462c0310d29806548eab` - Important limitation: current validation is cache-to-cache (`gamma_location_viz` consistency), not true raw TRACE strike-leve", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 2, "maxScore": 1, "firstRecalledAt": "2026-04-15T15:49:16.717Z", "lastRecalledAt": "2026-04-15T16:22:59.670Z", "queryHashes": [ "d7029311354c", "988830fae8e5" ], "recallDays": [ "2026-04-15" ], "conceptTags": [ "local-cache-first", "cache-to-cache", "gamma-location-viz", "strike-leve", "call", "wall", "put", "vol" ] }, "memory:memory/2026-03-04.md:135:163": { "key": "memory:memory/2026-03-04.md:135:163", "path": "memory/2026-03-04.md", "startLine": 135, "endLine": 163, "source": "memory", "snippet": "Sub-agent (session `78398bb6`) downloading 2 years of ohlcv-1m data for SPX+SPXW+SPY (free). Will run: - Signed trades from tcbbo for recent months (if cost-effective) - DTE bucket comparison: 0DTE vs 1-7 DTE vs 8+ DTE - Delta-weighted and gamma-weighted flow signals - 3-way instrument combo (SPX + SPXW + SPY) - Full 2-year IS/OOS split ## Autonomous Work — 10:02 AM (cron) **Options Flow V2 Backtest + SPX-ES Divergence Integration:** Task: Picked from todo — ran the options_flow_backtest_v2.py 3-way composite analysis and integrated the winning signal. **V2 Backtest Results (18 signals, 3 instruments, IS/OOS):** - **SPX-ES Divergence (C2)** = z(SPX_gamma_imbalance) - z(ES_cum_delta) - 1", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 1, "maxScore": 1, "firstRecalledAt": "2026-04-15T15:49:16.717Z", "lastRecalledAt": "2026-04-15T15:49:16.717Z", "queryHashes": [ "d7029311354c" ], "recallDays": [ "2026-04-15" ], "conceptTags": [ "sub-agent", "ohlcv-1m", "cost-effective", "1-7", "delta-weighted", "gamma-weighted", "3-way", "2-year" ] }, "memory:memory/2026-03-02.md:529:550": { "key": "memory:memory/2026-03-02.md:529:550", "path": "memory/2026-03-02.md", "startLine": 529, "endLine": 550, "source": "memory", "snippet": "- Also added OPRA symbol parsing (strike/type from \"SPX 261218C05300000\" format) - Committed: \"Fix: log ALL SPX/SPXW/SPY signed trades regardless of position match\" - Service needs restart to pick up changes - Also note: live symbology symbols may not match batch-loaded position keys — separate issue for GEX accuracy ## New Research Paper: Cboe VIX Decomposition — 9:30 PM - Daniel sent PDF: \"The VIX Index Decomposition\" by Edward K. Tom, Cboe (Aug 1, 2025) - 6-factor framework decomposing VIX moves: sticky strike, parallel shift, put/call skew gradient, up/down convexity - KEY INSIGHT: Same VIX spike can mean opposite things — Yen-Carry (bearish, crash hedging) vs Liberation Day (bullish,", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 1, "maxScore": 1, "firstRecalledAt": "2026-04-15T15:49:16.717Z", "lastRecalledAt": "2026-04-15T15:49:16.717Z", "queryHashes": [ "d7029311354c" ], "recallDays": [ "2026-04-15" ], "conceptTags": [ "strike/type", "spx/spxw/spy", "batch-loaded", "6-factor", "put/call", "up/down", "yen-carry", "added" ] }, "memory:memory/2026-03-28.md:64:88": { "key": "memory:memory/2026-03-28.md:64:88", "path": "memory/2026-03-28.md", "startLine": 64, "endLine": 88, "source": "memory", "snippet": "- Daniel's visual reading of the chart is the slope of the red line, which IS the local trend - On 20 days of HIRO data: AGREED events (retail flow matches breakout) = 72.7% stuck (16/22) - The 93% originally claimed (N=14, 18 days) has regressed to 72.7% on 22 events — still solid but not 93% ### Breakout Indicator — Architecture Draft Daniel wants to build a combined live indicator using: 1. **HIRO retail flow** (SpotGamma API, 10-sec polling) — retail direction + post-BO reversal 2. **ES trade flow** (Databento live TBBO) — 15+ lot count ratio 3. **Order book depth** — inverted depth slope from bid/ask sizes 4. **Consolidation detector** — rolling 20-bar range < 15pt (updated from 10pt p", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 2, "maxScore": 1, "firstRecalledAt": "2026-04-15T16:33:38.712Z", "lastRecalledAt": "2026-04-15T23:56:33.771Z", "queryHashes": [ "1ab2c7e38240", "e081c0570db8" ], "recallDays": [ "2026-04-15" ], "conceptTags": [ "72.7", "16/22", "10-sec", "post-bo", "bid/ask", "20-bar", "daniel's", "visual" ] }, "memory:memory/2026-03-13.md:297:319": { "key": "memory:memory/2026-03-13.md:297:319", "path": "memory/2026-03-13.md", "startLine": 297, "endLine": 319, "source": "memory", "snippet": "- LaunchAgents copied to ~/Library/LaunchAgents/ - **Still TODO:** - Wait for copy to finish - Fix LaunchAgent paths (they reference /Users/daniel/, need /Users/lutherbot/) - Cloudflare tunnel re-auth - Install Python packages (databento, thetadata) - Load all LaunchAgents + start gateway - Test with `openclaw status --deep` - Update Cloudflare DNS if needed - **Important:** Username mismatch — Mac mini is `daniel`, Mac Studio is `lutherbot`. All LaunchAgent plists and any hardcoded paths will need updating. ## Mac Studio Migration — COMPLETED (7:00 PM - 8:00 PM) - Telegram fixed: was getting 409 conflict because old Mac Mini was still polling. Restarted gateway after Mac M", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 2, "maxScore": 1, "firstRecalledAt": "2026-04-15T16:33:38.712Z", "lastRecalledAt": "2026-04-15T23:56:33.771Z", "queryHashes": [ "1ab2c7e38240", "e081c0570db8" ], "recallDays": [ "2026-04-15" ], "conceptTags": [ "gateway", "library/launchagents", "users/daniel", "users/lutherbot", "re-auth", "launchagents", "copied", "library" ] }, "memory:memory/2026-03-28.md:84:108": { "key": "memory:memory/2026-03-28.md:84:108", "path": "memory/2026-03-28.md", "startLine": 84, "endLine": 108, "source": "memory", "snippet": "**NEVER do ANYTHING on Databento without Daniel's explicit approval.** No switching schemas, no downloads, no service changes, no orders — NOTHING. Always check with Daniel first. This was reinforced strongly today. ### Databento Subscription Question - Daniel asked about upgrading for live futures data - He was looking at ICE Futures US page (commodities) — ES is on CME (GLBX.MDP3) - We're ALREADY getting live ES ticks via Databento — current subscription works - Need to check what CME plan he's on to understand MBP-10 upgrade path ### Build Queue — Updated 1. [x] TBBO consolidation study (completed today) 2. [x] Size asymmetry study (completed today) 3. [x] Options RVOL service (already", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 2, "maxScore": 1, "firstRecalledAt": "2026-04-15T16:33:38.712Z", "lastRecalledAt": "2026-04-15T23:56:33.771Z", "queryHashes": [ "1ab2c7e38240", "e081c0570db8" ], "recallDays": [ "2026-04-15" ], "conceptTags": [ "glbx.mdp3", "mbp-10", "never", "anything", "databento", "without", "daniel's", "explicit" ] }, "memory:memory/2026-03-14.md:1:35": { "key": "memory:memory/2026-03-14.md:1:35", "path": "memory/2026-03-14.md", "startLine": 1, "endLine": 35, "source": "memory", "snippet": "# Daily Notes — 2026-03-14 ## Heartbeat — 12:19 AM - No HIGH priority news alerts - No new GEX alerts since last check - HIRO status: fresh (not stale) - OpenClaw version: 2026.3.12 installed, **2026.3.13 available** — will notify Daniel at reasonable hour - Bookmap 30-min sub-agent completed (commit 3946ee9) — spec, cheat sheet, feasibility assessment done - plaid-ot process SIGTERM in heartbeat trigger — noise, not actionable ## Active Session — 6:30 AM to 4:43 PM ### GWB+ZDS Signal - Built `compute_gwb_zds_signal()` in trace_signal_processor.py (sub-agent gwb-zds-orb) - Initially wired as separate signal in intraday_bias_service.py at 15% weight - Daniel pointed out overlap with gamma", "recallCount": 2, "dailyCount": 0, "groundedCount": 0, "totalScore": 2, "maxScore": 1, "firstRecalledAt": "2026-04-15T16:33:38.712Z", "lastRecalledAt": "2026-04-15T23:56:33.771Z", "queryHashes": [ "1ab2c7e38240", "e081c0570db8" ], "recallDays": [ "2026-04-15" ], "conceptTags": [ "2026.3.12", "2026.3.13", "30-min", "sub-agent", "plaid-ot", "compute-gwb-zds-signal", "trace-signal-processor.py", "gwb-zds-orb" ] }, "memory:memory/2026-03-14.md:30:58": { "key": "memory:memory/2026-03-14.md:30:58", "path": "memory/2026-03-14.md", "startLine": 30, "endLine": 58, "source": "memory", "snippet": "- Full 185 GB audit for Daniel before Mac Mini wipe - All Databento data verified readable: MBP-10 (52GB), TBBO (2.8GB), ES trades 3yr (6.5GB) - TRACE API 24GB, ThetaData 3.9GB, Polygon 83GB, HIRO 422MB — all confirmed ### Bookmap 30-Min Hold Backtest - Ran 5,330 events across 299 trading days (sub-agent bookmap-30min-backtest) - Key results: Session High 69.6%, ONH 65.4%, Prior Close 62.7%, Round 25 55.0% - Best stacks: Session High + POS GEX + Low VIX + Afternoon = 88.6% hold rate (N=193) ### Walk-Forward Backtest - 14 folds, 4,539 OOS trades, Sharpe 4.02, t-stat 5.73 (sub-agent bookmap-walkforward) - Session High = money maker (+$153K), Prior Close = loser (-$65K, drop it) - Fixed thres", "recallCount": 1, "dailyCount": 0, "groundedCount": 0, "totalScore": 1, "maxScore": 1, "firstRecalledAt": "2026-04-15T23:56:33.771Z", "lastRecalledAt": "2026-04-15T23:56:33.771Z", "queryHashes": [ "e081c0570db8" ], "recallDays": [ "2026-04-15" ], "conceptTags": [ "mbp-10", "2.8gb", "6.5gb", "3.9gb", "30-min", "sub-agent", "bookmap-30min-backtest", "69.6" ] } } }