The Value of Alpha Mining — Data Engineering + Execution
Aggregates only · no tickers/dollars/seeds · execution
leakage reported even when negative
Part A — Alpha mining: the data-engineering funnel
15571
scored headlines
126
deals traded (of 309
announced)
40.8%
selectivity filter
| Stage | Count |
|---|---|
| Scored headlines | 15571 |
| Headline embeddings | 8562 |
| M&A headline clusters | 4081 |
| M&A deal universe | 456 |
| Deals announced (since 2026-07) | 309 |
| Deals traded (ripple genome) | 126 |
Modeled → realized: the live index (same source as
/fund-performance) reached 114.99 (+14.99%) at peak and 113.57 (+13.57%) at the last loaded close; live since 2026-08-11.Part B — Alpha preserved: execution markout
Adverse-selection markout — signed mid-price move after each fill. Negative = leakage to adverse selection.
| Horizon | Fills | Avg bps | Median bps |
|---|---|---|---|
| 60s | 20 | -22.60 | -3.11 |
| 300s | 20 | -10.75 | +4.59 |
| 1800s | 20 | -52.69 | -35.50 |
Adverse-selection markout is negative at every measured horizon (worst -52.7 bps at 1800s) — the execution layer is leaking alpha to adverse selection on this small live sample (60 fills, hyperliquid). This is the number the leg-envelope / exec-genome optimizer exists to shrink; reported as measured, not smoothed.
Execution optimizer (genome)
equity_fund_panel— incumbent-v1 (active)
Shipped optimization ledger
| Optimization | Before | After | Metric |
|---|---|---|---|
| CLOB cancel-priority b62c18bcf | chronic DELETE 503s, 89–356/hr, starving cancels | cancels prioritized; 503 storm eliminated | order-cancel reliability |
| CLOB match-latency instrumentation (match-latency gap 300–990ms vs <10ms target) | 300–990ms match latency on the hot path | instrumented sync-flush + lock contention on place_order | match latency (ms) |
| Deploy latency overhaul b28b02ed7 | 670s deploy → drain/boot both slots | 261s (lazy CLOB hydration, build-once, preflight overlap) | deploy wall-clock (s) |
| Best-execution leg envelope exec_best_execution / leg_envelope | un-shaped order slicing | envelope-shaped slicing + venue routing (exec_genome tuned) | implementation shortfall |
Each row is sourced to a real commit / incident in
the repo history — an auditable ledger, not marketing.