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Canli Capital

Research

Point-in-time securities-borrow foundation

By , Canli Capital

AlphaForge now has tested primitives for security-level borrow availability, locates, fees, recalls, and forced-buy-in deadlines, plus optional event-driven integration for locate caps, dynamic fees, and recall cover orders. This is engineering evidence, not historical borrow coverage, return evidence, or a sleeve-admission result. No market returns were opened and no research hypothesis was spent.

What is enforced

  • Borrow quotes carry observation, availability, and exact validity timestamps.
  • Easy, hard, and unavailable states are explicit. An unavailable quote cannot report lendable quantity.
  • Locates may be granted, quantity-capped, or denied; a grant cannot exceed requested or observed availability.
  • The required locate covers only incremental short exposure after netting long inventory and existing shorts.
  • Security-level fees accrue on ACT/365 only when one quote covers the entire interval.
  • Recall notices are point-in-time and cover no more than the recalled quantity or remaining short.
  • A missed cover deadline becomes an explicit forced-buy-in instruction. No execution price or fill is fabricated.

When a borrow provider is supplied to the event-driven backtester, incremental short orders are denied or quantity-capped from the PIT locate, and open shorts accrue the security-level fee whose quote covers the complete holding interval. With no provider, the existing general-collateral path and golden master remain unchanged.

Known recalls become reduce-only next-bar cover orders. Conflicting strategy orders are superseded, deadline breaches are labeled forced_buy_in, and an obligation is reduced only by the quantity actually filled. Dropped or partial orders therefore retry on later bars.

Deliberate boundary

The platform does not yet ingest a historical securities-lending feed, reserve broker locates, model rebates/collateral, persist outstanding obligations across process restarts, allocate partial recalls across strategies, simulate buy-in auctions, or route and reconcile live orders. Existing general-collateral assumptions and current broker easy_to_borrow flags are not historical evidence.

The machine-readable capability statement is published at /glassbox/borrow_execution_contract.json.