Execution and market structure

7 published documents · Canli Capital research, by Arhan Canli

Borrow availability and fees, financing, corporate actions, market-status replay and fill modelling — the costs that decide whether a paper edge survives contact.

Dated-futures execution foundationAlphaForge can now represent a dated futures contract as a first-class FUTURE instrument and make deterministic lifecycle decisions without using…
Equity Momentum (with Margin Costs): a killed candidateMargin financing costs erode the momentum edge below the frozen k30dn63 baseline.
Execution realism and model boundaryThis page describes what AlphaForge actually models as of 2026-08-18. It is an engineering capability statement, not evidence of investment performance.
Options dispersion: locked no-return data and execution-feasibility protocolCan one point-in-time S&P 500 index-versus-constituent option book be reconstructed with enough quote, membership, corporate-action, settlement, and…
Point-in-time cash and collateral financing replayAlphaForge can now accrue explicit cash-credit, margin-debit, and short-collateral rates inside the event-driven backtester.
Point-in-time options execution foundationAlphaForge now has tested domain primitives for option terms, quote snapshots, displayed-size package execution, fee assessment, internal scenario margin,…
Point-in-time securities-borrow foundationAlphaForge now has tested primitives for security-level borrow availability, locates, fees, recalls, and forced-buy-in deadlines, plus optional event-driven…