Adaptive Maker-First Bracket
candidateEnters passively with a resting limit at the bid to earn the maker fee rather than pay the taker fee, in a benign uptrend where flow is not against us. Every fill is protected by a resting stop; unfilled entries are abandoned after a short TTL. The execution-edge candidate — the direct A/B against the incumbent scalp.
Pros
- + Earns the maker side of the ~20bp round-trip fee gap — often larger than the whole scalp edge on Alpaca.
- + The cost gate clears a much lower hurdle than a taker entry, so more setups are economically viable.
- + Passive entry avoids paying the spread, and only fills that actually protect are ever held.
Cons
- − Adverse selection: passive fills cluster right before the price moves against you.
- − Missed fills — a resting order in a trending market may never fill, so trade frequency drops.
- − Shadow fill modelling of a maker entry is approximate; the real fill distribution only shows in the live paper slot.
Rejection gate
Reject if, once the realistic maker fill rate (and its adverse-selection skew) is accounted for, net expectancy after Alpaca costs does not beat the incumbent AND the random-time baseline across at least two volatility regimes.
Entry gate funnel (last 24h)
No gate telemetry yet — the engine flushes funnel windows every few minutes while running.
Adjustable parameters
At the bid earns maker and fills often; deeper improves price but fills less. · candidate range 0–10
Longer waits fill more but risk stale entries; abandon and re-quote after. · candidate range 5s–30s
Keep flat/positive — do not post into an active sell-off. · candidate range -0.5–0.5
Below this the maker/taker gap is too small to be worth the fill risk. · candidate range symbol-relative
Skip abnormal or stale markets. · candidate range symbol-relative
Convert to constant cash risk. · candidate range 0.8–1.3
Also enforce target > all-in maker cost + buffer. · candidate range 1.0–1.8
Avoid stacking re-quotes on the same drifting level.
Recent markouts (0)
No markouts recorded yet.
Recent orders (0)
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