Replay the selected strategy against event-level L2 with honest capability evidence

[proerror77]

Parent

#580

What to build

Bridge the deterministic four-stage strategy artifact to the existing event-driven CEX backtest using a content-bound, event-ordered L2 tape.

Produce an immutable replay receipt that binds the strategy, tape, source and materialization identities, replay configuration, results, and an explicit capability vector. Do not call the result full L3 and do not fabricate unsupported fill or capacity fidelity.

Acceptance criteria

• Replay consumes the exact strategy artifact and an admitted supported Binance Spot or USD-M event tape bound to its source segments and materialization.
• Snapshot and L2 update ordering and continuity checks fail closed on missing seed, gap, stale identity, or hash mismatch.
• Trade events are consumed only when the bound tape declares them present; their absence is reported explicitly.
• The replay capability vector binds clock semantics, available modalities, book depth, trade-tape availability, and support for queue position, partial fills, market impact, and true capacity.
• Queue position, partial fills, market impact, and true capacity are reported as unsupported unless separately implemented and proven.
• Any configuration or result that claims a capability absent from the bound input or engine fails closed.
• Cost, spread, latency, slippage, and same-side depth-gate assumptions remain separately visible from actual modeled capabilities.
• The receipt binds strategy, dataset, tape, source revision, replay configuration, metrics, capability vector, and implementation identity.
• Identical artifacts, tape, and configuration produce the same replay decisions, metrics, and semantic receipt.
• Mission-frozen replay gates resolve explicitly to pass or fail before precommit.
• Replay cannot access sealed-holdout rows or alter Factor Bank, baseline, MCTS, weight, or strategy identities.
• Prediction Market event-settlement and token-execution inputs are rejected.

Blocked by

#602

[proerror77]

Issue Lifecycle Audit reconciliation (2026-08-06): superseded by merged implementations.

• PR feat(backtest): SHA cache warmer and local Parquet replay #666 (merged 2026-08-03): feat(backtest): SHA cache warmer and local Parquet
• PR fix(alpha): gate CEX MCTS on immutable baseline evidence #670 (merged 2026-08-04): fix(alpha): gate CEX MCTS on immutable baseline evidence
• PR runtime(research): package Spot replay materializer in runner #692 (merged 2026-08-04): runtime(research): package Spot replay materializer

Closing as completed — event-level L2 replay capability is implemented on main.