Debug Pnl

Step 3: Check Calibration

For the identified component, check its calibration metrics:

src/market_maker/calibration/brier_score.rs       — Brier Score
src/market_maker/calibration/information_ratio.rs  — Information Ratio
src/market_maker/calibration/conditional_metrics.rs — Conditional calibration
src/market_maker/calibration/model_gating.rs       — Model weight/gating

Key thresholds:

• IR < 1.0: model adding noise, not signal
• IR < 0.8: model actively harmful, consider disabling
• Brier > 0.25: severe miscalibration

Step 4: Conditional Analysis

Check if the issue is regime-specific:

1. Does the model fail only in high-vol? Check conditional_metrics.rs by volatility bucket
2. Does it fail near funding settlement? Check by time_to_funding_settlement_s
3. Does it fail at specific times of day? Check by hour
4. Does it fail at specific position sizes? Check by inventory level

Regime-specific failures suggest the model needs regime-dependent parameters.

Step 5: Validate Fix

After identifying and fixing the issue:

1. Check calibration metrics before/after
2. Run the paper trader to validate in simulation
3. Monitor live metrics for at least 1 hour after deployment
4. Watch for regression in other components — fixes often shift PnL between components

Common Patterns

"Making money in quiet, losing in volatile"

• Gamma too low for high-vol regime
• Cascade detection too slow
• Spread floor not wide enough

"Fills are profitable but too few"

• Kappa estimate too low (spreads too wide)
• Check fill_rate_model.rs for stale estimates
• Calibration gamma too conservative

"Fills are plentiful but adverse"

• Pre-fill toxicity classifier miscalibrated
• Check pre_fill_classifier.rs z-score computation
• Lead-lag signal may have decayed

"Position builds up, can't unwind"

• Inventory skew not aggressive enough
• Position guard soft threshold too high
• Check for asymmetric fill rates (buying but not selling)