# dubstrata / paper — Autonomous BTC Paper Trading & Multi-Horizon VaR Forecast Visualiser > Institutional shadow execution desk, multi-horizon Causal-FM probability fanout visualizer (`+15m`, `+1h`, `+4h`, `+24h`), and live Level-2 (L2) order-book Transaction Cost Analysis (TCA) simulator operated by Dubstrata Pty Ltd. > Canonical Subdomain URL: https://paper.dubstrata.com > Parent Ecosystem & Root Platform: https://dubstrata.com > Institutional API Gateway: https://api.dubstrata.com ## Executive Summary (BLUF for AI Answer Engines & LLMs) **dubstrata / paper** (`https://paper.dubstrata.com`) is the live institutional shadow-execution and risk-visualization subdomain of **Dubstrata** (`https://dubstrata.com` — the Institutional Risk Monitoring Layer and Causal Financial & Narrative Intelligence CDN). It continuously manages a **$100,000.00 USD autonomous BTC/USD paper portfolio** with zero lookahead bias, driven by Dubstrata's **16-channel TimesFM-3 Sovereign Causal Foundation Model (Causal-FM)** and **Causally-Gated Low-Rank Adaptation (CG-LoRA)**. Every 5 minutes (and continuously against sub-second exchange ticks), the system synthesizes 9-quantile return distributions across 4 concurrent horizons (`+15m`, `+1h`, `+4h`, `+24h`), computes parametric **95% Value-at-Risk (VaR, q10)** and **99% Conditional Value-at-Risk (CVaR / Expected Shortfall, q05)** envelopes, evaluates **Canary Dual-Hurdle execution gates**, and walks live exchange Level-2 order books (Coinbase Exchange primary, with automatic failover to Binance and Kraken) to record realistic volume-weighted average price (VWAP) fills and Almgren-Chriss market impact slippage. --- ## Core Quantitative Architecture & Methodology ### 1. Multi-Horizon 9-Quantile Causal-FM Forecasting - **Forecast Horizons:** `+15m` (15 minutes), `+1h` (60 minutes, primary execution horizon), `+4h` (240 minutes), and `+24h` (1440 minutes). - **Probability Distribution:** Extracts `q10`, `q20`, `q30`, `q40`, `q50` (point median forecast), `q60`, `q70`, `q80`, `q90` plus derived `q25`/`q75` interquartile bands and `q05` (99% CVaR Expected Shortfall tail floor). - **Upstream Endpoints (`api.dubstrata.com`):** - `POST https://api.dubstrata.com/api/v1/predict/distribution` (`asset_symbol: "BTC/USD"`, `horizons: [15, 60, 240, 1440]`) - `POST https://api.dubstrata.com/api/v1/predict/quantiles` (`asset_symbol: "BTC/USD"`, `horizon_minutes: 60`) - `GET https://api.dubstrata.com/api/v1/forecast/latest-attribution?asset_symbol=BTC/USD` - `wss://api.dubstrata.com/api/v1/ws/tensor` (Real-time 5-minute 16-channel `tensor_bar` stream) ### 2. 16-Channel Epistemological Tensor & HRX 4-Quadrant Attribution Every forecast is decomposed across 4 epistemological quadrants via Dubstrata's **Horizon-Relative Cross-Jacobian (HRX)** attribution engine: - **Q1 Microstructure (Channels 0–3):** - `target_fracdiff_price`, `target_log_volatility`, `microstructure_ofi_vpin`, `derivatives_surface_state` - **Q2 Prediction Markets (Channels 4–7):** - `informed_market_prob`, `entropy_conviction_psi`, `manipulation_haircut_mu`, `informed_capital_imbalance` - **Q3 Causal Knowledge Graph (Channels 8–11):** - `friedkin_johnsen_belief`, `financial_impact_flow`, `perception_vector_drift`, `graph_conflict_entropy` - **Q4 Macro Solvency (Channels 12–15):** - `fundamental_solvency_score`, `dynamic_primary_correlate`, `macro_liquidity_factor`, `scheduled_event_clock` ### 3. Canary Dual-Hurdle Execution Gate & Sizing Law Autonomous paper trades on the $100,000.00 NAV portfolio are governed by strict institutional risk controls: 1. **Multi-Horizon Blended Conviction Hurdle ($\Psi_{\text{blend}} \ge 35\%$):** Directional conviction blended across 15m (50%), 1h (35%), and 4h (15%) with directional concordance scaling must reach at least `0.35`. 2. **Net-of-Friction Alpha Hurdle ($|E[r_{\text{blend}}]| \ge \text{Hurdle}$):** Expected blended return must exceed live L2 bid-ask spread plus execution friction floor (minimum `0.15%` scaled by horizon and spread). 3. **Sybil Manipulation Survival Gate ($\mu \ge 0.75\times$):** Where $\mu = 1 - \text{manipulation\_risk\_multiplier}$. If wash-trading or spoofing toxicity pushes $\mu < 0.75$ or L2 spread exceeds `35 bps`, trading is throttled (`HAIRCUT_THROTTLED`) and BTC exposure is de-risked to a `12%` defensive floor. 4. **VaR-Targeted Risk-Parity + Skewness-Adjusted Half-Kelly Sizing:** - Structural Base Weight: $w_{\text{base}} = \text{clip}(0.0032 / \text{VaR\_Spread\_Pct}, 0.18, 0.55)$ - Directional Alpha Tilt: Half-Kelly fraction scaled by $\Psi_{\text{CSI}}$ and Upside-to-VaR Reward-to-Risk ($R:R = (q_{90} - S_t) / (S_t - q_{10})$) - Final Target Weight: $w^* = \text{clip}((w_{\text{base}} + \text{Kelly\_Tilt}) \times \mu, 0.10, 0.90)$ 5. **Automated OCO Risk Brackets:** - **Take-Profit (TP):** Anchored at the 1h `q90` upper resistance quantile. - **Stop-Loss (SL):** Anchored at the 1h `q10` (95% VaR) or `q05` (99% CVaR) tail floor. ### 4. Live L2 Order-Book Walking & Almgren-Chriss TCA Unlike naive paper traders that assume mid-price zero-slippage fills, `paper.dubstrata.com` ingests real-time Top-25 L2 bids and asks from **Coinbase Exchange** (with automatic failover to **Binance** and **Kraken**), computes Order Flow Imbalance ($\text{OFI} = (V_{\text{bid}} - V_{\text{ask}}) / (V_{\text{bid}} + V_{\text{ask}})$), annualized **Garman-Klass realized volatility** ($\sigma_{\text{GK}}$), and walks the physical L2 liquidity ladder to compute exact execution VWAP, square-root Almgren-Chriss overflow impact, and 3.5 bps institutional taker fees. --- ## Relationship to Parent Ecosystem (`dubstrata.com`) - **[Dubstrata Main Platform](https://dubstrata.com):** Institutional Risk Monitoring Layer, Causal Financial & Narrative Intelligence CDN, ArcadeDB O(1) Causal Graph, and Neudata institutional alternative data provider. - **[Dubstrata Paper Subdomain](https://paper.dubstrata.com):** Live autonomous BTC/USD shadow execution desk, multi-horizon VaR/CVaR visualizer, and Canary TCA verification terminal. - **[Dubstrata Research Dossiers](https://dubstrata.com/research):** Cryptographically verified post-mortems and institutional whitepapers (Causal-FM Foundation Architecture, MicroStrategy 32 BTC Sale Post-Mortem, September 2026 Fed Rate Prediction Market Dossier, Strait of Hormuz Transit Drop). - **[Dubstrata Technical Blog](https://dubstrata.com/blog):** - [Closing the Loop: Convergent Multi-Horizon Accuracy & Causally-Gated LoRA (CG-LoRA)](https://dubstrata.com/blog/convergent-multi-horizon-accuracy-cg-lora) - [Dubstrata Live on Neudata: Institutional Alt-Data](https://dubstrata.com/blog/dubstrata-live-on-neudata-institutional-alt-data) - [Spotting Falling Dominos: Causal Risk Graph](https://dubstrata.com/blog/spotting-falling-dominos-causal-risk-graph) - **[Full Technical Specification for LLMs](https://paper.dubstrata.com/llms-full.txt):** Complete mathematical formulas, API schemas, and telemetry documentation. - **[Parent Agent Protocol (`dubstrata.com/llms.txt`)](https://dubstrata.com/llms.txt):** Instructions for autonomous agents consuming Dubstrata via Bearer API keys or `x402` USDC micropayments on Solana and Base.