CONVEX
LEDGER LIVE
UNDSPY 0DTE
ACCTPAPER
CYC159
REF37
ORD3
CLK--:--:--
the finding

GROSS, IT WORKS.
NET, IT DOESN'T.

The obvious 0DTE structures were tested over ten years. Before costs they look like a strategy. After costs the best-known one has a negative Sharpe. The payoff shape was never the problem. Four legs of bid-ask were.

CONVEX reruns that test on SPY, over sessions rebuilt from the option tape, and ranks every candidate on edge after the spread it would pay to get in. Attractive gross and unattractive net is a refusal, and the refusal is published with the arithmetic that produced it.

ten years, SPXW, net of frictions
structuregross SRnet SR
iron butterfly / condor0.77-0.20
put ratio spread1.180.93
strangle / straddle0.560.39
top-three basket1.120.82

THE FIRST ROW IS WHAT MOST 0DTE BOTS SHIP.

where the edge dies

net sharpe against spread paid per leg

BREAK-EVEN 1.0% to 1.5%
edge dies here0.0-2.42.90.5%1%1.5%2%3%4%5%7%modelled spread paid per leg0.5% spread · net Sharpe +0.95, gross +1.46, 130 trades1% spread · net Sharpe +0.64, gross +1.38, 124 trades1.5% spread · net Sharpe -0.42, gross +0.52, 101 trades2% spread · net Sharpe -0.38, gross +0.74, 95 trades3% spread · net Sharpe -0.66, gross +0.77, 96 trades4% spread · net Sharpe -1.89, gross -0.14, 93 trades5% spread · net Sharpe -1.75, gross +0.42, 82 trades7% spread · net Sharpe +0.10, gross +2.42, 65 tradesnetgross
spread / leg
--
gross sharpe
--
net sharpe
--
sessions traded
--

Read this before quoting it. These sessions were rebuilt from trade prints, not recorded from the live book, and the spread is modelled rather than measured. The book for those sessions is gone. Every point is a full replay; nothing between them is drawn. Which side of the crossing SPY actually trades on is a measurement, taken at the open, not an argument had here.

state

WHERE IT STANDS

Counted from receipts, not from a running tally kept alongside them. Standing down is a first-class outcome here and is counted as one.

realised p&l
-1,026.62
3 settled
cycles
159
verified fills
3
all gate refusals
37
6 net-of-cost
stood down
31
a first-class outcome
refusal rate
92%
low is not obviously good
modelled friction reserve
685.30
verified entries only; not broker fees paid
mechanism

GROSS AGAINST NET

The bar on the left is the edge before costs. Each orange bar is a component of getting in and out. The bar on the right is what is actually left, and it is what the agent ranks on.

call_bwb

refused on net of cost
refused
+12.11gross edge-45.00half-spread-4.00slippage-0.19fees-31.09exit reserve-68.17net edge

164 of 378 priced call_bwb structures showed a gross profit that execution cost consumed entirely, and were refused before ranking. Worst: call broken-wing butterfly 751/753/758, near wing 2 and far wing 5 at a gross edge of 12.11 against 80.28 of cost across 3 legs, leaving -68.17.

position

WHAT WAS OPENED

Value at expiry across underlying prices, recomputed from the receipt rather than stored. The flat tail above every strike is a broken-wing butterfly entered for a credit: up there it keeps the credit and risks nothing, which is exactly what it buys over a ratio spread with an open downside.

call_bwb · 6 lots · strikes 750, 757, 766

750757766+4,782-618

Worst case 618.00 at expiry · ES(1%) 882.57 estimated before entry, closing cost included · filled at -0.97 net.

last pass

WHAT IT MADE OF EACH FAMILY

Every verdict the most recent cycle reached, in the order it reached them. A family appears once per verdict, so it can appear more than once: refused on one construction, priced on the next. A blank probability means the structure was refused before one was needed. Standing down is an outcome here, not a missing row.

structurepdecided byoutcomelotsreason
debit_vertical··stood down·gap_signal_absent
receipts

REALISED, THIS ACCOUNT

The running result of positions this agent opened and closed, read back out of the same ledger every other figure on this page comes from. It is not the replay below and it is not seeded from it.

The pale line here is before broker fees, not gross. It is the only cost the broker itemises after the fact, so it is the only one that can be added back from a receipt. The spread these structures paid to get in and out is already inside the solid line and cannot be separated from it: that argument is made on priced candidates, in the two panels above and below, not here.

0-1,129103net -1,026.62 after 3 trades-1,026.62 net-1,020.00 before feesrealised · 3 tradesnetbefore fees

3 structure(s) settled for -1,026.62 net.

evidence

REPLAY, GROSS AGAINST NET

The same comparison the research makes, run on the chains this agent recorded. Every row is measured twice: once before execution cost and once after. The gap between the two columns is where most 0DTE strategies quietly stop working.

tradesgross SRnet SRgross $net $cost $survives
call_bwb · every session5091.48-0.588,429.21-3,294.4611,723.85no
call_bwb · classified1073.300.755,371.361,211.614,159.85yes
debit_vertical · every session5090.39-0.722,587.56-4,772.167,359.80no
debit_vertical · classified1601.30-0.113,412.20-282.983,695.14no
put_bwb · every session5091.85-0.1211,171.02-689.9911,860.92no
put_bwb · classified1342.820.605,824.611,227.894,596.67yes
straddle · every session509-1.51-2.00-14,308.31-18,941.794,633.54no
straddle · classified31-0.46-0.74-605.07-963.23358.18no
strangle · every session509-0.73-1.03-4,339.25-6,156.661,817.40no
strangle · classified4··2,215.582,182.2433.32·
basket, classified2221.930.4016,218.683,375.5312,843.16yes
basket, every session5090.20-1.943,540.23-33,855.0637,395.51no

The running total of that same replay. The pale line is gross and the solid one is net, and the shaded band between them is what the execution took. They start together.

0-8,68019,789net +3,375.53 after 222 trades+3,375.53 net+16,218.68 grossbasket, classified · 222 trades over 509 sessionsnetgross
receipts

EVERY DECISION, INCLUDING EVERY REFUSAL

Written to an append-only ledger before the order existed. Nothing here is computed for display. It is read back out of what the agent recorded at the moment it decided, refusals included.

decision log

ENTRIES 128
2026-08-291 entries
000112:57:50stood downmarket_calendarp ·net ·lots ·
No trade on 2026-08-29: Alpaca's calendar lists no session. Nothing was priced and nothing was sent.
2026-08-3130 entries
000217:05:54haltedcalibrationp ·net ·lots ·
No cycle today: never measured against live quotes: liquidity.max_relative_spread. Run scripts/calibrate_costs.py while the market is open.
000317:22:10refusedput_bwbp 0.500net 85.55lots 17
Refused put broken-wing butterfly 776/774/766, near wing 2 and far wing 8. Probability of a profitable outcome is 0.500, 0.000 from the coin flip against a band of 0.030. Gross expected result was 109.75 dollars against 24.20 dollars of execution cost across 3 legs, leaving 85.55 net.
000417:22:10refusedcall_bwbp 0.500net 69.39lots 25
Refused call broken-wing butterfly 754/757/765, near wing 3 and far wing 8. Probability of a profitable outcome is 0.500, 0.000 from the coin flip against a band of 0.030. Gross expected result was 85.59 dollars against 16.20 dollars of execution cost across 3 legs, leaving 69.39 net.
000517:22:10refusedstraddlep 0.500net 224.12lots 7
Refused long straddle at 766. Probability of a profitable outcome is 0.500, 0.000 from the coin flip against a band of 0.030. Gross expected result was 227.52 dollars against 3.40 dollars of execution cost across 2 legs, leaving 224.12 net.
000617:22:10refusedstranglep 0.500net 167.48lots 30
Refused long strangle 764/768. Probability of a profitable outcome is 0.500, 0.000 from the coin flip against a band of 0.030. Gross expected result was 170.88 dollars against 3.40 dollars of execution cost across 2 legs, leaving 167.48 net.
000717:22:10refuseddebit_verticalp 0.500net 100.34lots 9
Refused bull call vertical 765/774. Widest leg is spy260831c00774000 at 28.6% of mid against a 10.5% limit. Gross expected result was 105.44 dollars against 5.10 dollars of execution cost across 2 legs, leaving 100.34 net.
000817:22:10stood downstand_downp ·net ·lots ·
Stood down. No family produced a candidate that cleared its checks once execution cost was priced in.
000917:25:52submittedput_bwbp 0.600net 66.74lots 16
Entering 16 lots of put broken-wing butterfly 776/774/766, near wing 2 and far wing 8 at a probability of 0.600. Gross expected result 97.94 dollars less 31.20 dollars of cost leaves 66.74 net, with a 42% win rate across the scenario set. Worst case is 60.80 dollars per lot at 766 and the one percent tail is 74.20; size is limited by risk_budget.
001017:28:16stood downdry_run_recorded_as_orderp ·net ·lots ·
Correction to seq 28. That record reads order_submitted and no order was ever sent: it came from a rehearsal, which wrote the entry receipt before calling a gateway that physically cannot send one. Nothing reached Alpaca, the account is untouched at 100,000.00 and no position exists. The ledger is append-only so seq 28 stands as written and this record corrects it. A rehearsal now records itself as dry_run.
001117:31:48refusedput_bwbp ·net ·lots ·
1 of 400 put_bwb structures carry quotes that do not describe a risk and were not priced. First: put broken-wing butterfly 775/773/768, near wing 2 and far wing 5: structure shows a profit of 2.20 at every expiry price; refusing to size an apparent arbitrage, the quotes should be re-read
001217:31:49refusedcall_bwbp 0.400net 45.91lots 4
Refused call broken-wing butterfly 767/771/777, near wing 4 and far wing 6. Widest leg is spy260831c00777000 at 200.0% of mid against a 10.5% limit. Gross expected result was 56.11 dollars against 10.20 dollars of execution cost across 3 legs, leaving 45.91 net.
001317:31:49refuseddebit_verticalp 0.400net 94.45lots 0
Refused bull call vertical 765/774. Widest leg is spy260831c00774000 at 28.6% of mid against a 10.5% limit. Gross expected result was 100.05 dollars against 5.60 dollars of execution cost across 2 legs, leaving 94.45 net.
001417:43:01submittedput_bwbp 0.600net 78.39lots 14
Entering 14 lots of put broken-wing butterfly 776/774/766, near wing 2 and far wing 8 at a probability of 0.600. Gross expected result 120.59 dollars less 42.20 dollars of cost leaves 78.39 net, with a 45% win rate across the scenario set. Worst case is 70.80 dollars per lot at 766 and the one percent tail is 84.20; size is limited by risk_budget.
001517:43:01filledput_bwbp ·net ·lots 14
Alpaca accepted the multi-leg order as d5114de5-9a00-4da2-9e76-92ef047bcd2b.
001617:43:02refusedcall_bwbp ·net ·lots ·
13 of 400 call_bwb structures carry quotes that do not describe a risk and were not priced. First: call broken-wing butterfly 751/753/756, near wing 2 and far wing 3: structure shows a profit of 29.20 at every expiry price; refusing to size an apparent arbitrage, the quotes should be re-read
001717:43:02refusedcall_bwbp 0.400net 44.49lots 7
Refused call broken-wing butterfly 767/771/776, near wing 4 and far wing 5. Widest leg is spy260831c00776000 at 120.0% of mid against a 10.5% limit. Gross expected result was 57.69 dollars against 13.20 dollars of execution cost across 3 legs, leaving 44.49 net.
001817:43:02submittedstraddlep 0.600net 228.89lots 7
Entering 7 lots of long straddle at 766 at a probability of 0.600. Gross expected result 232.29 dollars less 3.40 dollars of cost leaves 228.89 net, with a 75% win rate across the scenario set. Worst case is 132.40 dollars per lot at 766 and the one percent tail is 129.41; size is limited by risk_budget.
001917:43:02filledstraddlep ·net ·lots 7
Alpaca accepted the multi-leg order as 1ca83baa-b324-4d02-bf9d-76d6da59a370.
002017:43:02refusedstranglep 0.600net 170.16lots 30
Refused long strangle 764/768. Widest leg is spy260831p00764000 at 43.5% of mid against a 10.5% limit. Gross expected result was 175.56 dollars against 5.40 dollars of execution cost across 2 legs, leaving 170.16 net.
002117:43:03refuseddebit_verticalp 0.400net 99.23lots 13
Refused bull call vertical 766/775. Widest leg is spy260831c00775000 at 66.7% of mid against a 10.5% limit. Gross expected result was 104.33 dollars against 5.10 dollars of execution cost across 2 legs, leaving 99.23 net.
002219:30:35haltedassignment_guardp ·net ·lots ·
Closing 4 of 4 open leg(s) on assignment_guard. SPY is at 766.41 with 29 minutes to the close.
002319:30:36closedSPY260831P00774000p ·net ·lots -28
Sent a closing limit at 7.81 for -28 SPY260831P00774000, crossing 0.08 from a mid of 7.73.
002419:30:36closedSPY260831C00766000p ·net ·lots 7
Sent a closing limit at 0.66 for +7 SPY260831C00766000, crossing 0.03 from a mid of 0.69.
002519:30:36rejectedSPY260831P00766000p ·net ·lots 21
Could not close SPY260831P00766000: place_option_order was rejected: API rejected the order
002619:30:36rejectedSPY260831P00776000p ·net ·lots 14
Could not close SPY260831P00776000: place_option_order was rejected: API rejected the order
002719:35:46haltedassignment_guardp ·net ·lots ·
Closing 2 of 2 open leg(s) on assignment_guard. SPY is at 766.48 with 24 minutes to the close.
002819:35:46closedSPY260831P00766000p ·net ·lots 21
Sent a closing limit at 0.22 for +21 SPY260831P00766000, crossing 0.02 from a mid of 0.24.
002919:35:46rejectedSPY260831P00776000p ·net ·lots 14
Could not close SPY260831P00776000: place_option_order was rejected: API rejected the order
003019:40:50haltedassignment_guardp ·net ·lots ·
Closing 1 of 1 open leg(s) on assignment_guard. SPY is at 766.63 with 19 minutes to the close.
003119:40:51closedSPY260831P00776000p ·net ·lots 14
Sent a closing limit at 9.27 for +14 SPY260831P00776000, crossing 0.05 from a mid of 9.32.
2026-09-0117 entries
003214:12:28refusedput_bwbp 0.500net 37.74lots 12
Refused put broken-wing butterfly 773/769/763, near wing 4 and far wing 6. Probability of a profitable outcome is 0.500, 0.000 from the coin flip against a band of 0.030. Gross expected result was 69.44 dollars against 31.70 dollars of execution cost across 3 legs, leaving 37.74 net.
003314:12:29refusedcall_bwbp 0.500net 21.24lots 7
Refused call broken-wing butterfly 765/769/774, near wing 4 and far wing 5. Widest leg is spy260901c00774000 at 66.7% of mid against a 12.8% limit. Gross expected result was 31.44 dollars against 10.20 dollars of execution cost across 3 legs, leaving 21.24 net.
003414:12:29refusedstraddlep 0.500net 142.26lots 4
Refused long straddle at 763. Probability of a profitable outcome is 0.500, 0.000 from the coin flip against a band of 0.030. Gross expected result was 145.66 dollars against 3.40 dollars of execution cost across 2 legs, leaving 142.26 net.
003514:12:29refusedstranglep 0.500net 118.17lots 12
Refused long strangle 761/765. Probability of a profitable outcome is 0.500, 0.000 from the coin flip against a band of 0.030. Gross expected result was 121.57 dollars against 3.40 dollars of execution cost across 2 legs, leaving 118.17 net.
003614:12:29refuseddebit_verticalp 0.500net 62.55lots 10
Refused bull call vertical 763/772. Widest leg is spy260901c00772000 at 66.7% of mid against a 12.8% limit. Gross expected result was 67.65 dollars against 5.10 dollars of execution cost across 2 legs, leaving 62.55 net.
003714:12:29stood downstand_downp ·net ·lots ·
Stood down. No family produced a candidate that cleared its checks once execution cost was priced in.
003814:13:10refusedput_bwbp 0.500net 41.89lots 29
Refused put broken-wing butterfly 774/772/764, near wing 2 and far wing 8. Probability of a profitable outcome is 0.500, 0.000 from the coin flip against a band of 0.030. Gross expected result was 107.59 dollars against 65.70 dollars of execution cost across 3 legs, leaving 41.89 net.
003914:13:10refusedcall_bwbp ·net ·lots ·
1 of 400 call_bwb structures carry quotes that do not describe a risk and were not priced. First: call broken-wing butterfly 745/749/754, near wing 4 and far wing 5: structure shows a profit of 1.20 at every expiry price; refusing to size an apparent arbitrage, the quotes should be re-read
004014:13:10refusedcall_bwbp 0.500net 23.98lots 8
Refused call broken-wing butterfly 765/769/774, near wing 4 and far wing 5. Widest leg is spy260901c00774000 at 28.6% of mid against a 12.8% limit. Gross expected result was 34.18 dollars against 10.20 dollars of execution cost across 3 legs, leaving 23.98 net.
004114:13:10refusedstraddlep 0.500net 147.22lots 4
Refused long straddle at 763. Probability of a profitable outcome is 0.500, 0.000 from the coin flip against a band of 0.030. Gross expected result was 150.62 dollars against 3.40 dollars of execution cost across 2 legs, leaving 147.22 net.
004214:13:10refusedstranglep 0.500net 122.21lots 12
Refused long strangle 761/765. Probability of a profitable outcome is 0.500, 0.000 from the coin flip against a band of 0.030. Gross expected result was 125.61 dollars against 3.40 dollars of execution cost across 2 legs, leaving 122.21 net.
004314:13:10refuseddebit_verticalp 0.500net 61.99lots 11
Refused bull call vertical 763/771. Widest leg is spy260901c00771000 at 22.2% of mid against a 12.8% limit. Gross expected result was 67.09 dollars against 5.10 dollars of execution cost across 2 legs, leaving 61.99 net.
004414:13:10stood downstand_downp ·net ·lots ·
Stood down. No family produced a candidate that cleared its checks once execution cost was priced in.
004516:27:14reconciled fillput_bwbp ·net ·lots 14
Broker reconciliation verified entry d5114de5-9a00-4da2-9e76-92ef047bcd2b fully filled for 14 contracts. This corrects an earlier pending_new receipt without rewriting it.
004616:27:14reconciled closeput_bwbp ·net ·lots 14
Broker fills reconcile put_bwb to -565.30 after 5.30 in day-level broker fees allocated by executed contracts.
004716:27:14reconciled fillstraddlep ·net ·lots 7
Broker reconciliation verified entry 1ca83baa-b324-4d02-bf9d-76d6da59a370 fully filled for 7 contracts. This corrects an earlier pending_new receipt without rewriting it.
004816:27:14reconciled closestraddlep ·net ·lots 7
Broker fills reconcile straddle to -281.32 after 1.32 in day-level broker fees allocated by executed contracts.
2026-09-0241 entries
004902:06:53correction·p ·net ·lots ·
Sequence integrity, stated because this log is published and the property is checkable. Two numbers in it are wrong: seq 50 appears twice, on lines 50 and 51, and seq 55 was never issued. Nothing was edited and nothing was removed. Before commit 7fc3ec6 the sequence was a counter cached when a Ledger was constructed and guarded by a threading.Lock, which protects one process against itself and says nothing to the four other processes writing this file. The assignment guard was started while the file held 49 lines. The calibration job then wrote line 50 and took seq 50. At 19:30:35 on 31 August the guard, still counting from 49, issued 50 a second time and then ran exactly one behind for five records, so lines 51 to 55 carry seq 50 to 54. The guard was restarted, recounted 55 lines, and issued 56, which is why 55 belongs to no record. Every line after 55 is correct. The sequence is now recounted inside an advisory file lock held across the append, so no two processes can agree on a number. tests/test_ledger.py holds four processes to it and fails against the implementation that produced this.
005012:14:10haltedmarket_calendarp ·net ·lots ·
No cycle today: the market is not open right now.
005114:01:00refusedput_bwbp ·net -207.93lots ·
236 of 400 priced put_bwb structures showed a gross profit that execution cost consumed entirely, and were refused before ranking. Worst: put broken-wing butterfly 778/776/772, near wing 2 and far wing 4 at a gross edge of 0.35 against 208.28 of cost across 3 legs, leaving -207.93.
005214:01:00refusedput_bwbp 0.400net 35.67lots 11
Refused put broken-wing butterfly 777/774/764, near wing 3 and far wing 10. Probability of a profitable outcome is 0.400, 0.100 from the coin flip against a band of 0.030. Gross expected result was 91.45 dollars against 55.78 dollars of execution cost across 3 legs, leaving 35.67 net.
005314:01:00refusedcall_bwbp ·net ·lots ·
3 of 400 call_bwb structures carry quotes that do not describe a risk and were not priced. First: call broken-wing butterfly 747/751/756, near wing 4 and far wing 5: structure shows a profit of 8.72 at every expiry price; refusing to size an apparent arbitrage, the quotes should be re-read
005414:01:00refusedcall_bwbp ·net -153.58lots ·
242 of 397 priced call_bwb structures showed a gross profit that execution cost consumed entirely, and were refused before ranking. Worst: call broken-wing butterfly 743/749/757, near wing 6 and far wing 8 at a gross edge of 4.71 against 158.28 of cost across 3 legs, leaving -153.58.
005514:01:03submittedcall_bwbp 0.600net 59.68lots 10
Entering 10 lots of call broken-wing butterfly 747/751/763, near wing 4 and far wing 12 at a probability of 0.600. Gross expected result 87.96 dollars less 28.28 dollars of cost leaves 59.68 net, with a 37% win rate across the scenario set. Worst case is 91.28 dollars per lot at 763 and the one percent tail is 91.28; size is limited by risk_budget.
005614:01:33rejectedcall_bwbp ·net ·lots 10
Alpaca reports canceled with 0/10 contracts filled; the entry is not recorded as an open position.
005715:35:26refusedput_bwbp ·net ·lots ·
27 of 400 put_bwb structures carry quotes that do not describe a risk and were not priced. First: put broken-wing butterfly 779/777/774, near wing 2 and far wing 3: structure shows a profit of 3.72 at every expiry price; refusing to size an apparent arbitrage, the quotes should be re-read
005815:35:26refusedput_bwbp ·net -83.31lots ·
148 of 373 priced put_bwb structures showed a gross profit that execution cost consumed entirely, and were refused before ranking. Worst: put broken-wing butterfly 778/775/770, near wing 3 and far wing 5 at a gross edge of 3.48 against 86.78 of cost across 3 legs, leaving -83.31.
005915:35:26refusedput_bwbp 0.400net 73.55lots 10
Refused put broken-wing butterfly 779/777/766, near wing 2 and far wing 11. Probability of a profitable outcome is 0.400, 0.100 from the coin flip against a band of 0.030. Gross expected result was 113.33 dollars against 39.78 dollars of execution cost across 3 legs, leaving 73.55 net.
006015:35:26refusedcall_bwbp ·net ·lots ·
20 of 400 call_bwb structures carry quotes that do not describe a risk and were not priced. First: call broken-wing butterfly 750/752/755, near wing 2 and far wing 3: structure shows a profit of 0.72 at every expiry price; refusing to size an apparent arbitrage, the quotes should be re-read
006115:35:26refusedcall_bwbp ·net -133.74lots ·
168 of 380 priced call_bwb structures showed a gross profit that execution cost consumed entirely, and were refused before ranking. Worst: call broken-wing butterfly 748/751/761, near wing 3 and far wing 10 at a gross edge of 14.04 against 147.78 of cost across 3 legs, leaving -133.74.
006215:35:38submittedcall_bwbp 0.600net 95.84lots 16
The Call Broken-Wing Butterfly (BWB) structure is set with strikes at 750, 753, and 766, with wings at 3 and 13. The probability of a profitable outcome is 0.600, based on a regime with low variance and 550 historical readings. Historically, the gross expected result is 132.63 dollars over 514 sessions, with an execution cost of 36.78 dollars, resulting in a net expected result of 95.84 dollars. The win rate is 39.9%, with a worst-case scenario of 60.28 dollars per lot at an expiry price of 766. The structure is entered for a credit of 9.40 per share, with breakevens at 765.397. The position size is 16 contracts, limited by risk budget. All checks including max_loss, net
006315:36:08rejectedcall_bwbp ·net ·lots 16
Alpaca reports canceled with 0/16 contracts filled; the entry is not recorded as an open position.
006416:00:33refusedput_bwbp ·net ·lots ·
17 of 400 put_bwb structures carry quotes that do not describe a risk and were not priced. First: put broken-wing butterfly 779/777/774, near wing 2 and far wing 3: structure shows a profit of 10.72 at every expiry price; refusing to size an apparent arbitrage, the quotes should be re-read
006516:00:33refusedput_bwbp ·net -90.16lots ·
112 of 383 priced put_bwb structures showed a gross profit that execution cost consumed entirely, and were refused before ranking. Worst: put broken-wing butterfly 782/778/770, near wing 4 and far wing 8 at a gross edge of 4.12 against 94.28 of cost across 3 legs, leaving -90.16.
006616:00:33refusedput_bwbp 0.400net 99.98lots 16
Refused put broken-wing butterfly 781/777/766, near wing 4 and far wing 11. Probability of a profitable outcome is 0.400, 0.100 from the coin flip against a band of 0.030. Gross expected result was 122.27 dollars against 22.28 dollars of execution cost across 3 legs, leaving 99.98 net.
006716:00:33refusedcall_bwbp ·net ·lots ·
22 of 400 call_bwb structures carry quotes that do not describe a risk and were not priced. First: call broken-wing butterfly 749/751/754, near wing 2 and far wing 3: structure shows a profit of 21.72 at every expiry price; refusing to size an apparent arbitrage, the quotes should be re-read
006816:00:33refusedcall_bwbp ·net -68.17lots ·
164 of 378 priced call_bwb structures showed a gross profit that execution cost consumed entirely, and were refused before ranking. Worst: call broken-wing butterfly 751/753/758, near wing 2 and far wing 5 at a gross edge of 12.11 against 80.28 of cost across 3 legs, leaving -68.17.
006916:00:43submittedcall_bwbp 0.600net 84.69lots 15
Entering 15 lots of call broken-wing butterfly 750/757/766, near wing 7 and far wing 9 at a probability of 0.600. Gross expected result 100.98 dollars less 16.28 dollars of cost leaves 84.69 net, with a 41% win rate across the scenario set. Worst case is 64.28 dollars per lot at 766 and the one percent tail is 64.28; size is limited by risk_budget.
007016:01:14submittedcall_bwbp ·net 2.30lots 6
Fresh-quote reprice rung 1: submitting 6 lots at -0.57 after all gates passed.
007116:01:22filledcall_bwbp ·net ·lots 6
Alpaca verified reprice rung 1 as fully filled for 6 contracts.
007219:30:02haltedassignment_guardp ·net ·lots ·
Closing 3 of 3 open leg(s) on assignment_guard. SPY is at 765.44 with 30 minutes to the close.
007319:30:03closedSPY260902C00757000p ·net ·lots -12
Alpaca verified close 995a9851-78bc-4744-8964-07e88eb91e04 fully filled at 8.45 for -12 SPY260902C00757000.
007419:30:04rejectedSPY260902C00750000p ·net ·lots 6
Could not close SPY260902C00750000: place_option_order was rejected: API rejected the order
007519:30:04rejectedSPY260902C00766000p ·net ·lots 6
Could not close SPY260902C00766000: place_option_order was rejected: API rejected the order
007619:35:16haltedassignment_guardp ·net ·lots ·
Closing 2 of 2 open leg(s) on assignment_guard. SPY is at 765.29 with 25 minutes to the close.
007719:35:46rejectedSPY260902C00750000p ·net ·lots 6
Close bc3b6dcb-87eb-46e6-a180-5b49c35f0650 is canceled with 0/6 contracts filled; the position remains under guard.
007819:35:46rejectedSPY260902C00766000p ·net ·lots 6
Could not close SPY260902C00766000: place_option_order was rejected: API rejected the order
007919:40:50haltedassignment_guardp ·net ·lots ·
Closing 2 of 2 open leg(s) on assignment_guard. SPY is at 765.15 with 19 minutes to the close.
008019:41:21rejectedSPY260902C00750000p ·net ·lots 6
Close 4e76fc1b-af4f-49ad-9d4d-1a1c125b4d9c is canceled with 0/6 contracts filled; the position remains under guard.
008119:41:21rejectedSPY260902C00766000p ·net ·lots 6
Could not close SPY260902C00766000: place_option_order was rejected: API rejected the order
008219:46:27haltedassignment_guardp ·net ·lots ·
Closing 1 of 1 open leg(s) on assignment_guard. SPY is at 765.33 with 14 minutes to the close.
008319:46:58rejectedSPY260902C00750000p ·net ·lots 2
Close d02073bb-beff-4e63-98d4-085467c575a4 is canceled with 0/2 contracts filled; the position remains under guard.
008419:52:04haltedassignment_guardp ·net ·lots ·
Closing 1 of 1 open leg(s) on assignment_guard. SPY is at 765.09 with 8 minutes to the close.
008519:52:11closedSPY260902C00750000p ·net ·lots 2
Alpaca verified close 8c05075a-0b4b-4519-a123-bbcc7f31891e fully filled at 15.16 for +2 SPY260902C00750000.
008620:15:29closedcall_bwbp ·net ·lots 10
Expired with SPY settling at 765.20. 10 lot(s) entered at -7.16 were worth -840.00 dollars.
008720:56:55correctioncall_bwbp ·net ·lots ·
Correction to receipt 144: its entry receipt 100 was canceled by Alpaca with 0/10 contracts filled in receipt 101. Receipt 144 is not a realised position and is excluded from dashboard P&L and strategy history.
008822:09:09reconciled fillcall_bwbp ·net ·lots 6
Broker reconciliation verified entry 1d22771e-1d5a-4d4d-8550-d8d72323c37a fully filled for 6 contracts. This corrects an earlier pending_new receipt without rewriting it.
008922:09:09reconciled closecall_bwbp ·net ·lots 6
Broker fills reconcile call_bwb to -180.00 after 0.00 in day-level broker fees allocated by executed contracts.
2026-09-031 entries
009014:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-041 entries
009114:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-071 entries
009214:00:09haltedfresh_calibrationp ·net ·lots ·
No 10:00 entry: fresh calibration prerequisite failed: Alpaca reports the market closed; no entry may run.
2026-09-081 entries
009314:01:00stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-091 entries
009414:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-101 entries
009514:01:00stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no completed 10:00 signal bar
2026-09-111 entries
009614:02:14haltedmarket_calendarp ·net ·lots ·
No cycle today: past the submission cutoff at 2026-09-04 11:00 EDT, no new positions are opened.
2026-09-141 entries
009714:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-151 entries
009814:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-161 entries
009914:01:00stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-171 entries
010014:01:00stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-181 entries
010114:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-211 entries
010214:01:25haltedmarket_calendarp ·net ·lots ·
No cycle today: past the submission cutoff at 2026-09-04 11:00 EDT, no new positions are opened.
2026-09-221 entries
010314:01:00stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-231 entries
010414:01:00stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-241 entries
010514:01:00stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-251 entries
010614:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-281 entries
010714:01:00stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-09-291 entries
010814:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no completed 10:00 signal bar
2026-09-301 entries
010914:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-10-011 entries
011014:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-10-021 entries
011114:00:40haltedfresh_calibrationp ·net ·lots ·
No 10:00 entry: fresh calibration prerequisite failed: the Alpaca MCP server failed to start: unhandled errors in a TaskGroup (1 sub-exception).
2026-10-051 entries
011214:01:41haltedfresh_calibrationp ·net ·lots ·
No 10:00 entry: fresh calibration prerequisite failed: the Alpaca MCP server did not come up within 60s (/home/ubuntu/convex/.venv/bin/alpaca-mcp-server).
2026-10-061 entries
011314:03:35stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: gap profile only permits execution from 10:01 to 10:03 America/New_York
2026-10-071 entries
011414:03:03stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: gap profile only permits execution from 10:01 to 10:03 America/New_York
2026-10-081 entries
011514:00:51haltedfresh_calibrationp ·net ·lots ·
No 10:00 entry: fresh calibration prerequisite failed: latest calibration receipt is not from today's exchange session.
2026-10-091 entries
011614:02:31stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-10-131 entries
011714:01:19haltedfresh_calibrationp ·net ·lots ·
No 10:00 entry: fresh calibration prerequisite failed: the Alpaca MCP server did not come up within 60s (/home/ubuntu/convex/.venv/bin/alpaca-mcp-server).
2026-10-141 entries
011814:01:38haltedfresh_calibrationp ·net ·lots ·
No 10:00 entry: fresh calibration prerequisite failed: the Alpaca MCP server did not come up within 60s (/home/ubuntu/convex/.venv/bin/alpaca-mcp-server).
2026-10-151 entries
011914:01:48haltedfresh_calibrationp ·net ·lots ·
No 10:00 entry: fresh calibration prerequisite failed: the Alpaca MCP server did not come up within 60s (/home/ubuntu/convex/.venv/bin/alpaca-mcp-server).
2026-10-161 entries
012014:01:40haltedfresh_calibrationp ·net ·lots ·
No 10:00 entry: fresh calibration prerequisite failed: the Alpaca MCP server did not come up within 60s (/home/ubuntu/convex/.venv/bin/alpaca-mcp-server).
2026-10-191 entries
012114:01:33haltedfresh_calibrationp ·net ·lots ·
No 10:00 entry: fresh calibration prerequisite failed: the Alpaca MCP server did not come up within 60s (/home/ubuntu/convex/.venv/bin/alpaca-mcp-server).
2026-10-201 entries
012214:02:21stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-10-211 entries
012314:02:05haltedfresh_calibrationp ·net ·lots ·
No 10:00 entry: fresh calibration prerequisite failed: the Alpaca MCP server did not come up within 60s (/home/ubuntu/convex/.venv/bin/alpaca-mcp-server).
2026-10-221 entries
012414:06:57haltedfresh_calibrationp ·net ·lots ·
No 10:00 entry: fresh calibration prerequisite failed: the Alpaca MCP server did not come up within 60s (/home/ubuntu/convex/.venv/bin/alpaca-mcp-server).
2026-10-231 entries
012514:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-10-261 entries
012614:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-10-271 entries
012714:01:00stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
2026-10-281 entries
012814:01:01stood downdebit_verticalp ·net ·lots ·
Gap-continuation profile stood down: no qualifying overnight gap remained on the same side of VWAP at 10:00 ET.
append-only · written before the order existed/api/ledger