{ "schema": "canli.alphac-cost-coverage.v1", "generated_at": "2026-08-27T20:40:42Z", "author": "Arhan Canli", "claim_boundary": "A statement of what this engine charges and what it does not. It is not a measurement of how large the missing costs would be, and no figure here adjusts any published return.", "the_uncomfortable_property": "Every cost this engine does not charge makes results look BETTER, with one exception whose sign is genuinely unknown. A cost model's gaps are therefore not noise around the truth. They are a bias with a known direction, and the honest reading of any figure on this site is that it is an upper bound on what the same strategy would have returned net of everything.", "status_vocabulary": { "CHARGED": "the engine deducts it and the parameter is named", "CHARGED_UNVERIFIED": "deducted, but nothing in the live record can check it", "WRONG_KIND": "deducted as the wrong sort of quantity, which care alone does not fix", "NOT_CHARGED": "not deducted at all" }, "costs": [ { "group": "At trade time", "name": "Venue commission", "status": "CHARGED", "detail": "Fee schedule by market type. Crypto taker 5 bps, equity 1 bps.", "bias": "none", "verified": "Crypto commission MEASURED at exactly the modelled 5 bps across 24 fills." }, { "group": "At trade time", "name": "Half-spread", "status": "CHARGED", "detail": "Per-instrument override where observed, otherwise a deliberately conservative 2.5 bps default (equity 3 bps).", "bias": "conservative", "verified": "Default chosen above the ~0.5 to 1 bp that liquid perps actually run." }, { "group": "At trade time", "name": "Market impact", "status": "CHARGED", "detail": "Square-root law, Y = 1.0. Hard-fails above 5% of ADV rather than extrapolating outside the regime it was fitted in.", "bias": "none", "verified": "Never exercised at size: the book has not traded near the participation cap." }, { "group": "At trade time", "name": "Decision-to-fill latency", "status": "WRONG_KIND", "detail": "Charged as a flat 2 bps add-on. Measured median submit-to-fill on the equity sleeves is about 5.5 HOURS: orders are submitted after the close and fill at the next open.", "bias": "unknown sign, fat tail", "verified": "An overnight gap is not a spread. It is unhedged exposure whose cost is a distribution, not a constant, and the sign on any single trade is not predictable." }, { "group": "At trade time", "name": "Equity slippage against the decision price", "status": "CHARGED_UNVERIFIED", "detail": "Modelled, but not checkable: the equity fills record a PADDED marketable limit price, so a fill that beats it is beating the padding, not the decision.", "bias": "unknown", "verified": "Not measurable from what the broker records today." }, { "group": "At trade time", "name": "Partial fills and queue position", "status": "NOT_CHARGED", "detail": "Every fill is modelled as complete at the next open. No queue model, no partial-fill schedule.", "bias": "flatters", "verified": "Defensible at this frequency and size; it would not be for an intraday book." }, { "group": "At trade time", "name": "Tick and lot rounding", "status": "NOT_CHARGED", "detail": "Positions are continuous. No minimum tick, lot size or share-rounding cost.", "bias": "flatters", "verified": "Small at these notionals, unbounded at small ones." }, { "group": "At trade time", "name": "Minimum commission floors", "status": "NOT_CHARGED", "detail": "Commission is purely proportional. No per-order minimum.", "bias": "flatters", "verified": "Immaterial at current notional, material for a small account." }, { "group": "While holding", "name": "Perpetual funding, the crypto swap cost", "status": "CHARGED", "detail": "Replayed from the STORED funding-events table, each event carrying its own timestamp, so 8h/4h/1h schedules are honoured rather than assumed. There is no funding clock in the engine.", "bias": "none", "verified": "This is the cost that was silently NOT booked for 44 days in an earlier incident. It is now charged and pinned by a test on the path that actually runs." }, { "group": "While holding", "name": "Short borrow", "status": "CHARGED", "detail": "Explicit availability, quantity, fee, locate expiry and recall deadlines. 50 bps annual default. Fills are not fabricated after a recall.", "bias": "none", "verified": "General-collateral assumptions are explicitly rejected as insufficient." }, { "group": "While holding", "name": "Cash and margin-debit financing", "status": "CHARGED", "detail": "Point-in-time cash, margin-debit and short-collateral accrual with an explicit day-count basis.", "bias": "none", "verified": "" }, { "group": "While holding", "name": "Margin interest above the financing model", "status": "NOT_CHARGED", "detail": "No separate broker margin-interest schedule, tiering or minimum balance.", "bias": "flatters", "verified": "" }, { "group": "While holding", "name": "Custody, platform and market-data fees", "status": "NOT_CHARGED", "detail": "No account-level fee of any kind is deducted.", "bias": "flatters", "verified": "Fixed costs do not scale with notional, so they matter most at small size." }, { "group": "Corporate and jurisdictional", "name": "Splits and cash dividends", "status": "CHARGED", "detail": "Replayed from the point-in-time corporate-actions table before ex-date fills. Splits transform held AND queued quantities; dividends accrue against the signed position entering the ex date.", "bias": "none", "verified": "Filtered on when the action became knowable, never on ex-date." }, { "group": "Corporate and jurisdictional", "name": "Dividend withholding tax", "status": "NOT_CHARGED", "detail": "Dividends accrue gross. No withholding is applied at any rate.", "bias": "flatters", "verified": "Material for a dividend-exposed book; the current sleeves are not dividend strategies." }, { "group": "Corporate and jurisdictional", "name": "Regulatory fees (SEC Section 31, FINRA TAF)", "status": "NOT_CHARGED", "detail": "No US regulatory sale fee is deducted. These apply to sales, not purchases.", "bias": "flatters", "verified": "Small per trade and strictly one-directional." }, { "group": "Corporate and jurisdictional", "name": "Transaction taxes and stamp duty", "status": "NOT_CHARGED", "detail": "No UK stamp duty, French or Italian FTT, or equivalent.", "bias": "flatters", "verified": "Currently immaterial: the universe is US-listed. It would become material on any European extension." }, { "group": "Corporate and jurisdictional", "name": "Capital gains and income tax", "status": "NOT_CHARGED", "detail": "Every figure published is pre-tax.", "bias": "flatters", "verified": "Standard for a strategy record, and stated rather than assumed." }, { "group": "Corporate and jurisdictional", "name": "Currency conversion", "status": "NOT_CHARGED", "detail": "No FX conversion spread or fee. Crypto settles in USDT and equities in USD, both treated as the quote currency.", "bias": "flatters", "verified": "Zero today because nothing is traded outside its quote currency." }, { "group": "Corporate and jurisdictional", "name": "Delisting and halt losses", "status": "NOT_CHARGED", "detail": "No forced-liquidation haircut on a delisting or a permanent halt. Venue state is tracked, but a delisting is not priced as a loss event.", "bias": "flatters", "verified": "The book has already seen one delisting-adjacent collapse, written up in full, and its loss was realised through ordinary fills rather than a haircut.", "link": { "href": "/notes/the-trade-that-lost-99-percent", "text": "Read the post-mortem" } } ], "totals": { "charged": 7, "charged_unverified": 1, "wrong_kind": 1, "not_charged": 11, "total": 20, "omissions_that_flatter": 11 }, "content_hash": "sha256:b5b99c86414ba7cf85a9e2c3e6d72eb1c3ad320bc35aab61d094fc1c1d11bff6" }