# The arena `tra arena` replays every row over the same archive and settles every idea the same way, so a policy is judged beside rules that cost nothing and beside chance, net of what the desk pays. ## One command ```bash tra data bars BTCUSDT 2025-07-01 --to 2025-09-30 --venue bybit tra data bars ETHUSDT 2025-07-01 --to 2025-09-30 --venue bybit tra arena --instruments BTCUSDT,ETHUSDT --from 2025-07-01 --to 2025-09-30 \ --spread-bps 1 --slippage-bps 0 ``` Fees come from the venue's `taker-taker` channel in `envelope.toml` (`--channel` names another). Spread and slippage are yours to declare: the arena refuses to run without them rather than assume a number for you. The same settings can live in an `arena.toml`: ```toml [arena] instruments = ["BTCUSDT", "ETHUSDT"] from = 2025-07-01 to = 2025-09-30 spread_bps = 1 slippage_bps = 0 ``` ```bash tra arena --config arena.toml ``` ## How a row is replayed - A decision is taken at every close of the decision interval (one hour by default), with the four-hour view beside it and BTCUSDT as context. - A view holds only bars that had closed and derivatives values published by then. A bar from after the decision is refused, and the run fails instead of reporting. - An idea enters at the open of the first traded minute at or after its decision, never at the price it was decided on. - Each row holds at most one idea per market at a time. - Ideas are settled on one-minute bars: take, stop or time limit, whichever comes first. A minute that reaches both levels counts as the stop; a level is filled at the level. - A minute nobody saw inside the hold, or a funding settlement the archive has no rate for, leaves the idea unsettled. The report counts every unsettled idea by its reason. ## Costs | Component | Where it comes from | Certainty | |---|---|---| | Fees | the channel in `envelope.toml`, per side | declared | | Spread | `--spread-bps`, the full quoted spread per round trip | declared | | Slippage | `--slippage-bps`, per round trip | declared | | Funding | the archive's settlements over the hold, by side | measured | `--funding none` is for a market that pays no funding, such as spot. Every idea in `ideas.jsonl` carries each component and its certainty. ## Rows | Row | Definition | |---|---| | `buy_hold` | long at the window's first decision, held to its end | | `momentum` | long when `mom_z_24` is at least 1, short when it is at most -1; stop 1.5 ATR, take 3 ATR, held 24 bars | | `fade` | the opposite side of `momentum`, on the same triggers and exits | | `random` | a seeded side at the times `momentum` fires, with its exits: the null every row is compared with | | `forecast` | the expected-value decision: a calibrated probability of the take before the stop, fitted walk-forward on the archive ([below](#the-forecast-row)) | | `paths` | the side whose value over the instrument's own candles drawn forward, at the baselines' exits and net of the round trip, is above zero; nothing fitted ([the paths](https://docs.bijectivelabs.dev/opensource/cycle#the-paths)) | | `v1_record` | the decisions the desk sent, from `runs/cycles`, held for `--v1-hold`; a live record, not a replay | The baselines are fixed and versioned, not tuned; changing one would change every comparison, so the version is written into every result. A package adds its own row by registering a callable that returns a policy under the `trading_research_agents.policies` entry point group. ## The forecast row `forecast` is the decision being built to replace the vetoes of the live cycle: a probability that the take is reached before the stop, calibrated on outcomes, and one expected value net of the round trip. It runs only in the arena until the arena shows it is better. | Step | What it does | |---|---| | label | every past decision, each side, settled with the baselines' exits (stop 1.5 ATR, take 3 ATR, 24 bars): 1 when the take came first, 0 for a stop or for time running out | | fit | every 7 days, on the decisions of the last 60 days whose ideas had settled by then: one logistic model per side, on the older 70 % | | features | from a fixed, versioned list of price, path and order-flow figures, those present in at least 95 % of the settled decisions | | calibrate | on the newer 30 %: Platt or isotonic, whichever scored better on held-out halves | | decide | `p x take - (1 - p) x stop - round trip` for each side; the better side if it is above zero | A decision is never fitted on an outcome it could not have known: an idea that had not settled by the refit is left out, whatever the archive says happened later. Until 200 settled decisions per side exist, the row looks again each day and makes no idea. An idea that runs out of time counts as a stop, so the value it reads is conservative. The row's version is written into every result. On BTCUSDT and ETHUSDT, Bybit, 2025-07-05 to 2025-07-13, it first fitted on 2025-07-10, on 462 settled decisions, and made 14 ideas at a mean of +87 bps net: a sample far too small to say anything, which is the verdict the arena gives. What it shows is the pipeline end to end on real data. ## Reading the table For every row: ideas, independent bets (ideas on a market that do not overlap an earlier one), the mean and median net in basis points, the hit rate, the mean R (net over the stop distance plus cost), the sum, and the Sharpe of daily net (365 days). The last columns compare the row's mean net with `random`'s: the difference and its 95 % interval, resampling whole days 4,000 times with seed 7, because one day's tape moves every idea on it together. Then the verdict: | Verdict | Meaning | |---|---| | beats random | the whole interval lies above zero | | worse than random | the whole interval lies below zero | | no clear difference from random | the interval crosses zero | | sample too small | fewer than 30 independent bets or fewer than 10 days | | contaminated | the policy's knowledge cutoff falls after the window starts | A policy that exposes a score also gets its per-date rank IC against the next bar's return, with a t statistic. Coverage closes the report: minutes per market, the minutes not seen, and every feature that was absent, with the reason. ## What a run writes ```text runs/arena//arena.json configuration, archive hashes, package version, rows, coverage runs/arena//ideas.jsonl every idea, its settlement and each cost component runs/arena//run.json when it ran ``` `` is a hash of the configuration and of the archive files read, so a run on a changed archive never overwrites an earlier one. The same archive, configuration and seed give the same `arena.json`, byte for byte; the time lives in `run.json` only. `--fit-days` and `--test-days` add walk-forward test windows, each after an embargo of the longest hold, to the report. Measured on BTCUSDT and ETHUSDT, Bybit, 2025-07-05 to 2025-07-13, on one machine: the run took 4 seconds.