From 4608118cc7d49c30dd0d0b3fda6f400747871f99 Mon Sep 17 00:00:00 2001 From: dev-belly Date: Thu, 8 Oct 2026 08:41:20 +0200 Subject: [PATCH] docs: refresh demo participation after execution-window repair --- README.md | 19 +++++++++++-------- 1 file changed, 11 insertions(+), 8 deletions(-) diff --git a/README.md b/README.md index fecf64f..5687f29 100644 --- a/README.md +++ b/README.md @@ -35,14 +35,14 @@ SYNTHETIC DATA - deterministic generator, not a real venue. policy style fill maker vs_arrival_bps vs_vwap_bps is_bps participation ----------- ---------- ------- ------ -------------- ----------- ------- ------------- -twap passive 100.00% 96.3% -7.9369 -0.8977 -7.9369 1.888% -twap aggressive 100.00% 5.1% -6.9336 0.1063 -6.9336 1.888% -vwap passive 100.00% 96.3% -7.9001 -0.8608 -7.9001 1.888% -vwap aggressive 100.00% 5.3% -6.8957 0.1442 -6.8957 1.888% -pov passive 100.00% 100.0% -5.0705 1.9707 -5.0705 1.888% -pov aggressive 100.00% 3.4% -3.3543 3.6881 -3.3543 1.888% -is_baseline passive 100.00% 97.4% -7.1082 -0.0685 -7.1082 1.888% -is_baseline aggressive 100.00% 4.8% -6.1079 0.9325 -6.1079 1.888% +twap passive 100.00% 96.3% -7.9369 -0.8977 -7.9369 2.198% +twap aggressive 100.00% 5.1% -6.9336 0.1063 -6.9336 2.198% +vwap passive 100.00% 96.3% -7.9001 -0.8608 -7.9001 2.198% +vwap aggressive 100.00% 5.3% -6.8957 0.1442 -6.8957 2.198% +pov passive 100.00% 100.0% -5.0705 1.9707 -5.0705 2.198% +pov aggressive 100.00% 3.4% -3.3543 3.6881 -3.3543 2.198% +is_baseline passive 100.00% 97.4% -7.1082 -0.0685 -7.1082 2.198% +is_baseline aggressive 100.00% 4.8% -6.1079 0.9325 -6.1079 2.198% ``` **Read the first two cost columns together.** Passive TWAP beats both benchmarks; @@ -52,6 +52,9 @@ market move between arrival and the volume-weighted price during the order windo The platform ships with `sql/02_benchmark_disagreement.sql` and presents both cost columns together. +Participation divides filled quantity by market volume observed inside the parent +execution window. Warm-up and later markout events do not enter that denominator. + ## Tech stack | Layer | Tools used here |