VIOLET V3: consolidated findings doc

Master record of the V3 sprint, BLUE margin/edge study, and all parity findings:
doctrine, what shipped (V3a-V3.2), bet-sizing model, blue_parity drift, margin
study (+$47k clean, capital under-utilized), under-utilization caveat, regime
decomposition, selection parity, stablecoin exclusion, EsoF modulation fold +
28% steepener-tail localization (vbt_real = gold backtest oracle, AlphaBetSizer
= live), soak validation (4878 decisions, 0 leak, schema-perfect), VIOLET-vs-BLUE
comparison (100% asset/timing overlap), open items.

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>

prod/docs/VIOLET_V3_FINDINGS.md

@@ -0,0 +1,171 @@
+# VIOLET V3 — Consolidated Findings
+
+**Period:** 2026-06-13 → 2026-06-15. Branch `exp/pink-ditav2-sprint0-20260530`.
+Master record of the V3 sprint (DecisionEngine SHADOW), the BLUE margin/edge study,
+and all parity findings. Companion to memory `violet_v3_alpha_doctrine`,
+`blue_margin_envelope_study`, `violet_subsecond_rebuild_plan` and the per-topic docs
+referenced inline.
+
+---
+
+## 0. Governing doctrine (operator-set)
+
+- **Model BLUE, not PINK.** Reference = BLUE's live Alpha Engine (holistic SOA).
+  Behavioural/distributional fidelity, not PINK pick-parity.
+- **Live BLUE code is the sole doctrine.** `blue_parity.py` is a PINK-era distillation
+  whose fidelity must be VALIDATED (it had drift, see §3).
+- **Follow BLUE in all regards — no VIOLET-imposed hygiene.** No filters BLUE lacks;
+  replicate BLUE's filters exactly. vel_div spikes are signal, not garbage.
+- **Reactor substrate.** BLUE's scan-quantized behaviour is hosted on the V0 event
+  reactor and quantized at Q=scan initially, per-action knobs loosenable later.
+- **3-layer:** L1 pure alpha (decide+size as BLUE) → L2 parity harness (mock exchange)
+  → L3 tradeability (conviction→exchange leverage + maker policy).
+- **Decision layer is slot-independent** — VIOLET decides every scan; the slot only
+  gates trades (execution layer). Different layers.
+
+## 1. What shipped (V3a–V3.2)
+
+| Commit | Module | Content |
+|---|---|---|
+| V3a | `alpha_wrappers.py` | V-TYPES wrappers over live `AlphaAssetSelector`/`AlphaBetSizer`/`AlphaExitEngineV7`; `max_leverage=9` pinned |
+| V3b | `cadence.py` (+spec) | `CadenceControlPlane` — universal per-action tunable Q, control-plane-surfaced |
+| V3c | `decision_engine.py` | `VioletDecisionEngine` reactor-resident SHADOW (no exec) |
+| V3d | `parity_harness.py` | base-sizer median-curve parity gate vs recorded BLUE |
+| V3e | `shadow_journal.py` + `22_violet_decisions.sql` + launcher | reject-at-source CH journal; DARK soak wiring |
+| V3.1 | (decision_engine) | BLUE stablecoin exclusion (parity fix) |
+| V3.2 | `modulation.py` | EsoF size-modulation fold (BLUE SC haircut, exact) |
+
+Full violet suite green (129+ tests); ZERO shared-file edits all sprint (mechanical
+check per commit).
+
+## 2. The bet-sizing model (validated)
+
+Self-consistent at row level vs recorded `dolphin.trade_events`:
+- `our_leverage = entry_price·quantity / capital_before` = notional/capital.
+- `leverage` = conviction ∈ [0.5, 9] (cubic-convex strength³ curve).
+- **`notional = capital × 0.20 (base_fraction) × leverage`** → our_leverage = 0.20×leverage,
+  max ≈ 1.81.
+- **DUAL-LEVERAGE:** conviction leverage sizes the QUANTITY (internal); exchange leverage
+  mapped at the venue boundary via `prod/bingx/leverage.py`
+  `map_internal_conviction_to_exchange_leverage_target` (round_half_even linear
+  0.5–9.0 → 1..cap; PINK/VIOLET use a max-3× cubic translator).
+
+## 3. blue_parity drift (doctrine validated by evidence)
+
+`blue_parity.py` passes `AlphaBetSizer(max_leverage=8.0)`; live kernel *default* is 5.0;
+recorded conviction reaches **9.0** (gold spec). So `blue_parity` is NOT at parity —
+VIOLET pins `max_leverage=9.0` explicitly (never inherits a default). Confirmed by V3d:
+base sizer reproduces BLUE's recorded MEDIAN curve at **pearson 0.9998 / max_abs_err
+0.238** with max_leverage 9 / thr −0.02 / extreme −0.05 / convexity 3.
+
+## 4. BLUE margin-envelope + true-edge study (`blue_margin_envelope_study.md`)
+
+**Raw `sum(pnl)` = −$45,981 is artifact-dominated:**
+- duplicate-emission: 3453 rows / 2193 trade_ids, 98.3% of multi-row tids have IDENTICAL
+  pnl (pure dup; real legs live in `trade_exit_legs`); one tid had 317 dup rows.
+- HIBERNATE_HALT artifacts incl. ZEC −$39,164 (−73.5%, bars_held=0) = 85% of raw loss.
+
+**Cleaned (dedup + drop HIBERNATE & bars_held=0): +$47,068** (2121 trades, 58.4% win).
+Independent corroboration: corrected-capital trajectory grew **$33,820 → $69,673
+(+$35,852)** in the tracked window. Two methods agree → robust.
+
+**Margin envelope (856 clean trades):** single-slot (operator-confirmed, no stacking).
+Fit at 1× = 73.6%; **fit at 2× = 100%**; median wallet utilization @2× = **3.4%**
+⟹ capital substantially UNDER-utilized; margin never binding; edge realizable on-exchange.
+Recommend flat **3×** exchange leverage (p95 util 90% at 2×).
+
+**Make-or-break fear REFUTED:** worry was ~9× notional being infeasible; realized
+notional/capital maxes at **1.81** (because 0.20 base × 9), needing just 2×.
+
+## 5. The under-utilization caveat (`VIOLET_FINDING__MODULATION_LAYER_VS_UNDERUTILIZATION.md`)
+
+The margin study used ACTUAL recorded notionals (post-modulation), so it is NOT
+contradicted by the modulation layer. BUT the median ~6.8% wallet utilization is
+**largely the EsoF haircut deliberately de-risking** — NOT free headroom. ⟹ the
+#3 base-fraction study must not read it as reclaimable; the modulation layer is
+**required before V4 execution** (base-only would trade bigger/riskier than BLUE).
+
+## 6. Regime-conditional edge (`blue_margin_envelope_study.md`)
+
+Edge is regime-CONCENTRATED, not invariant: **95% of clean edge in choppy-bearish**
+(short core signal is short-positive; long side = separate operational EFSM algo).
+Sub-regimes CONFIRMED inside it (univariate): BTC<MA99 +28.4/trade vs >MA99 +12.6 (2.25×);
+hi-DVOL +27.2 vs lo +17.1; strong-velDiv +30.8 vs weak +13.6 at EQUAL win-rate ⟹
+**conviction-sizing validated**. MARAS labels UNRELIABLE (39% of "bearish"-labeled trades
+had BTC ABOVE MA99) → use `composite_hash`, not the label. Gates tilt only mildly
+(~6pts) from bull. Research TODO: stablecoin IRP signal
+(`VIOLET_RESEARCH_TODO__STABLECOIN_IRP_SIGNAL.md`).
+
+## 7. Selection parity (VIOLET already matches BLUE)
+
+- BLUE picks via IRP with the alignment gate MUTED (`min_irp_alignment=0.0` = gold
+  "no IRP filter", `nautilus_event_trader.py:134/605`) + sizes with scan TOP-LEVEL
+  `vel_div` (:3915). VIOLET defaults `min_alignment=0.0` + `decide(vel_div=payload['vel_div'])`
+  = EXACT match.
+- **Stablecoin exclusion (V3.1):** BLUE removes `_STABLECOIN_SYMBOLS` (10 pegged symbols)
+  from prices_dict pre-select (:24/3906). VIOLET replicates the exact set; drift-guarded
+  against BLUE source. (Picking itself unchanged; this is BLUE's separate exclusion gate.)
+
+## 8. EsoF modulation fold (§3 of the modulation doc; V3.2)
+
+`modulation.py` wraps BLUE's `esof_size_mult_from_score` (exact ESOF_* constants:
+NEUTRAL 0.8 / UNFAV 0.3 / STALE_FB 0.4 / EDGE 0.02) and applies the SC haircut
+step-for-step as `_apply_sc_entry_size_multiplier` (:3307): **mult clamp [0,1]
+HAIRCUT-ONLY** (:3316), **near-1 no-op** (:3318), `round(lev×mult,6)` / `round(notional×mult,12)`.
+8 tests. Empirical mult-recovery on 1500 recorded trades: **median 1.000**, EsoF haircut
+bands (0.65/0.8/0.9/0.3) VISIBLE → fold validated. **Not yet wired into the live engine**
+(needs EsoF HZ score plane + restart, held).
+
+**OPEN — the 28% upward tail** (`recorded_leverage / base > 1.05`): localized to
+mid-range vel_div ONLY (−0.02→−0.05 where base<9: 36–60% boost; ≤−0.06 where base=9:
+0%). NOT EsoF (haircut-only), NOT flat — a **regime-dependent conviction-curve STEEPENER**
+(distribution bimodal at −0.04, median matched). = almost certainly the "gold"/ACB-adjacent
+UPWARD sizing organ. Full per-trade parity = base × EsoF-haircut(done) × steepener(NEXT).
+**Sizing-engine note:** live BLUE sizes via `AlphaBetSizer` (docstring: "Matches
+dolphin_vbt_real.py sizing"). `dolphin_vbt_real` is the **gold-standard BACKTEST engine**
+used as the BENCHMARK for BLUE Alpha-Engine algo compliance — likely NOT the live sizer,
+but it is the authoritative ORACLE for the exact conviction-curve math (and may be
+imported/reused for exact code). For exact-parity work on the steepener, consult
+`vbt_real` as the gold reference; check whether the live path reuses its code.
+
+## 9. Shadow soak validation (2026-06-14/15)
+
+Faithful DARK soak (threshold −0.02), 9h+ stable, single session:
+- **4,878 decisions, 0 stablecoin leak, 0 bad rows** (V-TYPES/reject-at-source), **0 orders,
+  0 errors**, spool steady 4.5M. 20 distinct real assets.
+- **Faithfulness:** all SHORT+actuated; all vel_div < −0.02; sizer cubic curve reproduced
+  live (conviction p50 1.315 = base formula at median vel_div −0.0337); notional_fraction
+  max exactly 1.80; schema 100% compliant.
+- **Statistics:** conviction min 0.5/p50 1.32/avg 3.91/max 9 (BLUE-shaped); temporal
+  conviction swings 2.6→6.5/hr (tracks vol regime).
+- **Diversity:** 20 assets, top-2 ~31%, well-spread.
+- **Anomalies:** vel_div spikes to −605 (legitimate signal, saturate to 9); "duplication"
+  avg 14.5 = sticky-signal re-decisions at ≤1/scan (correct cadence). NO defects.
+
+**VIOLET vs BLUE comparison:** BLUE doesn't log per-scan entry decisions (only trades +
+v7 exits); signal-level vel_div matches the scan archive exactly. BLUE's 69 trades in
+window across 6 assets — **100% in VIOLET's decision universe, 100% timing co-located**
+(same asset, ±5min). Frequency differs by slot only (execution layer, deferred).
+
+## 10. Open items / next steps
+
+1. **Gold/ACB conviction-curve steepener** — wrap the upward sizing organ (the 28% tail).
+   Live sizer = `AlphaBetSizer`; consult `dolphin_vbt_real` (the gold-standard backtest
+   oracle BLUE is benchmarked against) for the exact curve math / possible code reuse.
+   Required for full per-trade leverage parity.
+2. **Wire EsoF score plane** into the live decision engine (HZ `_read_esof_payload` equiv)
+   + restart to fold modulation into the soak.
+3. **Trade/slot-granularity comparison** (episode-collapse) — deferred until VIOLET has
+   comparable execution-layer facilities (decision layer already faithful).
+4. **Base-fraction sizing study** (`VIOLET_STUDY_SPEC__BASE_FRACTION_SIZING.md`) — gated on
+   regime-robustness; respect the de-risking caveat (§5).
+5. **composite_hash multivariate sub-regime model** (deeper §6).
+6. **V4** = execution on (single asset, conservative caps) — only after the modulation
+   layer is complete.
+7. Operator: VST keys for live exec; stays DARK until then.
+
+## 11. Live state at time of writing
+
+`dolphin_violet` DARK, SHADOW ON (faithful −0.02), 0 orders, stablecoin fix live, EsoF
+fold built+committed but NOT yet wired. Overnight monitor report at
+`prod/VIOLET_dev/reports/violet_overnight_soak_20260614.log`.