Treasury auction concession: point-in-time schedule state machine

Prepared: 2026-08-26
Stage: no-price, no-return identity redesign
Family trial account: treasury_auction_concession
Author technical approval: not yet recorded
Return execution authorized: no

Why the identity needs a state machine

The original literature identity enters a relative-value position ten XNYS sessions before each fixed-rate 2-year Treasury auction, reverses after the auction, and exits ten sessions later. That clock is not observable from formal auction announcements alone. The sealed archive audit proves 145 of 156 auction dates at least ten sessions ahead, but it also preserves five tentative-date changes, two late exact captures, three post-event exact captures, and one missing month.

A historical test cannot replace those states with the final auction calendar. This protocol keeps the economic direction and ten-session windows fixed while declaring how an implementable process would react to the calendar information available at each decision time.

This document does not select prices, load returns, claim a premium, or admit a sleeve. It prepares one identity for Arhan Canli's technical review.

Frozen event and decision clock

• Eligible event: nominal, fixed-rate 2-year US Treasury note auction.
• Research interval: 2013-01-01 through 2025-12-31 for the sealed historical audit.
• Trading calendar: XNYS sessions. The eventual instrument calendar and execution timestamps must be bound separately in the return preregistration.
• Tentative entry: XNYS close ten sessions before the latest authoritative tentative auction date observable by that close.
• Formal confirmation: the official Treasury auction announcement date.
• Auction confirmation: the official auction occurrence and result publication.
• Post entry: XNYS close on the confirmed auction date, after the 1 p.m. auction.
• Post exit: XNYS close ten sessions after the confirmed auction date.
• Price, return, P&L, Sharpe, drawdown, and portfolio-correlation fields are prohibited here.

The state machine does not infer when an archive document was originally published. Historical knowability uses only a sealed official release date or a Wayback capture timestamp. A capture is an upper bound on when a date was observable, never evidence that it was known earlier.

Position identity carried forward

The state machine changes only the event clock. It does not alter the literature direction:

1. The pre-auction leg is the locked short on-the-run 2-year note position against the declared duration-matched 6-month-bill and 10-year-note hedge.
2. The post-auction leg is the locked opposite relative-value position.
3. No missing or revised schedule permits an inverted sign, a shorter substitute window, an ETF directional proxy, or a different maturity.
4. Exact instruments, hedge ratios, rolls, timestamps, commissions, bid/ask costs, market impact, and margin remain mandatory fields in the later return preregistration.

States

UNOBSERVED : No usable tentative date is known. No pre-auction position is allowed.

TENTATIVE_ARMED : A fixed-rate 2-year date is source-bound at least ten XNYS sessions ahead. The T−10 entry is scheduled but no position exists.

PRE_ACTIVE : The locked pre-auction leg was entered at the scheduled T−10 close.

REARMED : An authoritative schedule update changed the date before entry and the replacement date still has at least ten sessions of lead. The old entry is cancelled and a new T−10 entry is scheduled.

PRE_CANCELLED : A date changed or an auction was cancelled after entry. The pre leg exits at the next XNYS close; the strategy never holds it merely because the original tentative date was convenient.

POST_ONLY : The exact date arrived with fewer than ten sessions of lead, after the event, or without a usable tentative schedule. The pre leg is skipped. A post leg remains possible only after the auction is formally confirmed and occurs.

CONFIRMED : The official announcement confirms the date. If the pre leg is active and unchanged, it remains active through the auction-day close.

POST_ACTIVE : The confirmed auction occurred. The pre leg, if any, is closed and the opposite post leg is entered at the auction-day close.

CLOSED : The post leg exits at T+10. Event attribution and all costs remain attached to that event identity.

Transition rules

Current state	Point-in-time event	Required action	Next state
UNOBSERVED	Usable tentative date with at least ten sessions of lead	Schedule the exact T−10 close	TENTATIVE_ARMED
UNOBSERVED	Formal announcement with fewer than ten sessions of lead	Do not chase the pre leg	POST_ONLY
TENTATIVE_ARMED	T−10 close arrives with no conflicting update	Enter the locked pre leg	PRE_ACTIVE
TENTATIVE_ARMED	Date changes and replacement still has ten sessions	Cancel old entry and schedule the replacement	REARMED
TENTATIVE_ARMED	Date changes with fewer than ten sessions remaining	Cancel the old entry; do not enter late	POST_ONLY
PRE_ACTIVE	Date changes or auction is cancelled	Exit at the next XNYS close; never invert	PRE_CANCELLED
PRE_CANCELLED	Replacement date later becomes observable with ten sessions	A fresh pre entry is allowed only at its exact T−10 close	REARMED
PRE_CANCELLED	Replacement remains late	No replacement pre leg	POST_ONLY
PRE_ACTIVE	Formal announcement confirms the same date	Keep the pre leg through auction-day close	CONFIRMED
any pre state	No official announcement by the auction-day decision cutoff	Exit or remain flat; no post leg	CLOSED
CONFIRMED or POST_ONLY	Auction occurs and the official result is published	Enter the locked post leg at the XNYS close	POST_ACTIVE
POST_ACTIVE	T+10 close	Exit	CLOSED

An announcement or update without an intraday publication timestamp is treated conservatively as actionable at the next XNYS close. A replacement pre leg is never backdated.

Revisions in the sealed 2013–2025 panel

The five known tentative-date changes receive deterministic treatment:

• Four dates had already crossed their tentative T−10 entry before the formal revision. Their pre legs are cancelled at the next XNYS close and are not re-opened because fewer than ten sessions remain before the confirmed date.
• One revision was announced before the tentative T−10 entry. Its stale entry is cancelled and the event becomes post-only because the confirmed date is already inside T−10.
• The two late exact captures, three post-event captures, and one missing month are also post-only.
• The remaining 145 events use the exact source-bound tentative date and can follow the complete pre-and-post path.

These classifications are inputs, not performance-based exclusions. Every skipped or shortened pre leg remains in the event ledger.

Overlap policy

Monthly T−10/T+10 windows can overlap. No event is dropped because a neighboring event exists. Each event retains its own state and gross target. The later execution preregistration must aggregate simultaneous targets into one net order while preserving event-level theoretical legs, realized fills, allocated fees, and any cancellation. It may not keep only the more profitable attribution.

Fail-closed conditions

The event closes without a post leg if the auction is cancelled, the official announcement or result cannot be source-bound by the decision cutoff, the auction date is not a valid declared trading session, or the relevant instrument cannot be traded under the frozen execution contract. Missing records are never replaced by the final calendar.

Technical gates

The no-return audit passes only when:

1. All 156 sealed events map to exactly one state path.
2. The 145 exact-date proofs and 11 unresolved-date classifications reconcile to the source audits.
3. Every tentative entry, cancellation session, auction-day transition, and T+10 exit is deterministic under the XNYS calendar.
4. Revised, late, post-event, and missing schedules have explicit behavior.
5. Overlap handling and event-level attribution are declared.
6. No source input contains market prices or returns.
7. Return data opened and return hypotheses spent remain zero.
8. The protocol and every source artifact are SHA-256 bound.

Passing these technical gates means only that the calendar identity is executable without final-date hindsight. The candidate remains identity-redesign-required until Arhan records technical approval. Even after approval, a separate checksum-bound return preregistration is required before any market data is opened.

Approval boundary

Prepared for review; not approved. Arhan must independently confirm the position identity, decision timing, cancellation rule, post-only treatment, overlap accounting, and kill conditions. Automation may test and package this protocol but may not supply that approval or authorize a return run.