docs: record I5f intraday liquidity diagnostics - #56
Merged
Conversation
Docs-only progress sync after merging PR #55 (P-I5f report-only intraday execution liquidity diagnostics). I5f is an execution-realism DIAGNOSTIC, not a factor-research result and not a strategy improvement. - merged-PR list += #55 - new I5f progress bullet: default-off intraday.liquidity_diagnostics; report-only (no fills/NAV/turnover/cost/holdings/alpha/MMP/scores/construction change); capacity uses only the selected execution-minute 1min amount (no future bar, daily amount/volume/close, or EOD proxy); smoke covered=58/58, stk_mins_live_calls=0, final_nav=0.976448 (== accepted I5b); 43 desired / 1 feasibility-blocked / 0 missing / 42 inspected / 20 below 1.0x; ratio 0.122/0.222/1.104/2.730; honest interpretation (not alpha/performance/tradability; no extrapolation beyond 10M RMB / 5%). - quality gate 678 -> 696 passed; 18 -> 19 configs; phase0 0.9600/0.8408 unchanged. - roadmap: I5f landed; enforced partial-fill/volume-cap = possible I5g only after a separate explicit goal; D6 / endpoint schema registry still deferred; MMP remains paused after I5e negative CSI300 generalization. No code/config/test changes; AGENTS.md kept byte-identical to CLAUDE.md.
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
1 participant
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Docs-only progress sync after merging PR #55 (P-I5f report-only intraday
execution liquidity diagnostics). No code / config / test changes. AGENTS.md is
kept byte-identical to CLAUDE.md (
cmp -sclean).I5f is an execution-realism diagnostic, not a factor-research result and not a
strategy improvement / tradability claim.
Changes (2 files):
#55（P-I5f 分钟尾盘执行流动性/容量诊断，report-only）intraday.liquidity_diagnostics; report-only(no fills/NAV/turnover/cost/holdings/alpha/MMP/scores/construction change); capacity
uses ONLY the selected execution-minute 1min
amount(no future bar, dailyamount/volume/close, or EOD proxy); smoke
covered=58/58,stk_mins_live_calls=0,final_nav=0.976448(== accepted I5b); 43 desired / 1 feasibility-blocked / 0missing / 42 inspected / 20 below 1.0x; ratio 0.122/0.222/1.104/2.730.
678 → 696 passed;18 → 19 configs; phase00.9600/0.8408unchanged.separate explicit goal; D6 / endpoint schema registry still deferred; MMP remains
paused after the I5e negative CSI300 generalization (caveat preserved).