====================================================================== AUDIT 1 — burst timing of the 0.00026058 prints ====================================================================== BUY prints at size==0.00026058: 6 SELL prints at size==0.00026058: 7 --- all 13 trades in time order --- timestamp side price size 2025-09-02 15:40:44+00:00 sell 0.039258 0.000261 2025-09-02 15:40:44+00:00 sell 0.039258 0.000261 2025-09-02 15:40:44+00:00 sell 0.039258 0.000261 2025-09-02 15:40:44+00:00 sell 0.039258 0.000261 2025-09-02 15:40:44+00:00 sell 0.039258 0.000261 2025-09-02 15:40:44+00:00 sell 0.039258 0.000261 2025-09-02 15:40:45+00:00 sell 0.039258 0.000261 2025-09-03 13:43:45+00:00 buy 0.039497 0.000261 2025-09-03 13:43:45+00:00 buy 0.039497 0.000261 2025-09-03 13:43:45+00:00 buy 0.039497 0.000261 2025-09-03 13:43:45+00:00 buy 0.039497 0.000261 2025-09-03 13:43:45+00:00 buy 0.039497 0.000261 2025-09-03 13:43:45+00:00 buy 0.039497 0.000261 BUY unique timestamps: [Timestamp('2025-09-03 13:43:45+0000', tz='UTC')] SELL unique timestamps: [Timestamp('2025-09-02 15:40:44+0000', tz='UTC'), Timestamp('2025-09-02 15:40:45+0000', tz='UTC')] ====================================================================== AUDIT 2 — buy-side flagged sizes form a power-of-2 doubling ladder ====================================================================== size count share_pct 0.000261 6 0.833333 70.470000 5 0.694444 399.330000 5 0.694444 137.808000 5 0.694444 187.920000 4 0.555556 62.640000 4 0.555556 101.790000 4 0.555556 219.240000 3 0.416667 281.880000 3 0.416667 117.450000 3 0.416667 93.960000 3 0.416667 328.860000 3 0.416667 183.222000 3 0.416667 422.820000 3 0.416667 250.560000 3 0.416667 125.280000 3 0.416667 275.616000 3 0.416667 37.584000 3 0.416667 --- detected 2× relations --- 62.64 ↔ 125.28 (2× relation) 93.96 ↔ 187.92 (2× relation) 125.28 ↔ 250.56 (2× relation) 137.808 ↔ 275.616 (2× relation) ====================================================================== AUDIT 3 — outside-spread trades: side imbalance and clusters ====================================================================== n outside spread: 127 (15.03%) by side: {'sell': 65, 'buy': 62} sells are 14.8% of all trades but 51.2% of outside-spread prints (over-representation: 3.46x) --- top 15 outside-spread prints --- timestamp side price bid_price ask_price dev_bps 2025-09-01 01:02:22+00:00 buy 0.040915 0.0405 0.040911 51.427725 2025-09-01 13:42:43+00:00 sell 0.040490 0.0405 0.040707 -27.906571 2025-09-01 13:42:43+00:00 sell 0.040490 0.0405 0.040707 -27.906571 2025-09-01 13:42:43+00:00 sell 0.040490 0.0405 0.040707 -27.906571 2025-09-01 13:42:43+00:00 sell 0.040490 0.0405 0.040707 -27.906571 2025-09-01 14:41:21+00:00 buy 0.040681 0.0404 0.040660 37.221930 2025-09-01 16:04:17+00:00 sell 0.040300 0.0403 0.040476 -21.841767 2025-09-01 16:16:45+00:00 sell 0.040200 0.0403 0.040476 -46.598989 2025-09-01 16:16:45+00:00 sell 0.040200 0.0403 0.040476 -46.598989 2025-09-01 16:16:46+00:00 sell 0.040200 0.0403 0.040476 -46.598989 2025-09-01 16:16:46+00:00 sell 0.040200 0.0403 0.040476 -46.598989 2025-09-01 16:16:46+00:00 sell 0.040200 0.0403 0.040476 -46.598989 2025-09-01 16:16:46+00:00 sell 0.040200 0.0403 0.040476 -46.598989 2025-09-01 16:16:46+00:00 sell 0.040200 0.0403 0.040476 -46.598989 2025-09-01 16:16:46+00:00 sell 0.040200 0.0403 0.040476 -46.598989 ====================================================================== AUDIT 4 — D3 sensitivity: relaxed thresholds ====================================================================== vol_z>2.0, |move|>0.5%, rev>50.0%: 0 candidates vol_z>1.5, |move|>0.3%, rev>30.0%: 4 candidates 2025-09-03 17:00:00+00:00 dump move=-0.45% rev=117% vol_z buy=-0.38 sell=+1.50 2025-09-01 13:00:00+00:00 dump move=-0.58% rev=51% vol_z buy=-0.79 sell=+1.50 vol_z>1.0, |move|>0.1%, rev>20.0%: 18 candidates 2025-09-01 04:00:00+00:00 dump move=-0.92% rev=116% vol_z buy=+1.25 sell=+1.50 2025-09-01 16:00:00+00:00 dump move=-1.13% rev=74% vol_z buy=+1.36 sell=+1.49 ====================================================================== AUDIT 5 — global imbalance numbers (cross-check report) ====================================================================== buy count share: 85.2071% buy size share : 99.999429% buy/sell count ratio: 5.760 buy/sell SIZE ratio : 175245.087 ====================================================================== AUDIT 6 — size bimodality is NOT a CSV parse artifact ====================================================================== raw BUY n=720 min=5.6000e-07 max=6.8733e+02 median=1.8814e+02 raw SELL n=125 min=2.3700e-06 max=1.9107e-01 median=1.3963e-03 ====================================================================== AUDIT 7 — side semantics: aggressor or passive (price-impact) ====================================================================== count mean std min 25% 50% 75% max side buy 718.0 22.737158 20.583892 -72.789722 8.617629 20.151134 37.397132 88.866324 sell 121.0 -25.845648 31.287862 -88.086267 -46.598989 -29.095657 -12.179498 71.836762 → BUY price > mid, SELL price < mid: side semantics = AGGRESSOR ✓ ====================================================================== AUDIT 8 — burst-second clusters (≥5 trades in one second) ====================================================================== n bursts: 9 2025-09-01 16:16:46+00:00 n=12 sides={'sell': 12} unique_sizes=12 2025-09-02 15:25:45+00:00 n=7 sides={'sell': 7} unique_sizes=7 2025-09-02 15:40:44+00:00 n=7 sides={'sell': 7} unique_sizes=2 2025-09-03 13:43:45+00:00 n=7 sides={'buy': 7} unique_sizes=2 2025-09-03 14:10:23+00:00 n=7 sides={'buy': 7} unique_sizes=7 2025-09-02 20:02:23+00:00 n=6 sides={'sell': 6} unique_sizes=6 2025-09-03 07:28:17+00:00 n=6 sides={'sell': 6} unique_sizes=6 2025-09-01 17:32:42+00:00 n=5 sides={'sell': 5} unique_sizes=5 2025-09-01 20:38:39+00:00 n=5 sides={'sell': 5} unique_sizes=5 ====================================================================== AUDIT 9 — time-of-day: hours with zero sells ====================================================================== hours (UTC) with zero sells: [2, 3, 5, 6, 9, 10, 19, 22, 23] (n=9 of 24) min buy_share: 50.0% at hour 20 ====================================================================== AUDIT 10 — D4 outside-spread tolerance audit ====================================================================== tol=5min matched=190/845 (22.5%) outside=30 tol=15min matched=585/845 (69.2%) outside=107 tol=30min matched=742/845 (87.8%) outside=127 tol=1h matched=782/845 (92.5%) outside=128 ====================================================================== AUDIT 11 — D1 price-impact (Δmid before vs after, by side) ====================================================================== buy total=720 with-Δmid=579 median Δmid = +0.00 bps median price-vs-mid = +20.22 bps sell total=125 with-Δmid=121 median Δmid = -17.82 bps median price-vs-mid = -29.10 bps Reading: aggressive buys do not move mid (Δmid ≈ 0), aggressive sells move mid −17.8 bps. Buys-without-impact ≡ wash signature.