Glossary

Terms used throughout MTS1B, with concrete pointers.

A

ADV — Average Daily Volume. Used by mts1b-quantkit.universe_filters.passes_adv_filter to exclude illiquid names.

Allocator — A function that turns historical returns into portfolio weights. See mts1b_foundation.protocols.Allocator. Implementations: HRP, BL, Markowitz, Ledoit-Wolf, risk parity. All live in mts1b-quantkit.allocators.

Almgren-Chriss — Optimal execution model. Trades off market impact (fast = expensive) vs timing risk (slow = exposed to drift). Implementation in mts1b-oms-algos.almgren_chriss.

Asset class — One of equities, options, fx, futures, crypto, prediction, sports. See mts1b_foundation.symbology.AssetClass.

Audit chain — Append-only Merkle-hashed log of every state-changing action. Implementation in mts1b-platform.audit. Verify with mts1b-operations audit verify.

B

Backtest — Run a strategy against historical data. The engine is mts1b-GPUbacktester (CUDA-accelerated). Orchestration (ladder sweeps, factor discovery) is mts1b-research.

Black-Litterman — Portfolio model that combines a market prior with investor views. mts1b_quantkit.allocators.black_litterman.

Bridge stage — The current state of OSS repos: real code is in the GitHub repos, but some submodules still reference /apps/MTS1B/ internals. Will resolve as extraction completes.

Broker — A trading venue API client. Implements BrokerProtocol. Adapters live in mts1b-brokers.

Broker-exit reconciler — Background worker in mts1b-riskengine that periodically compares OMS positions ↔ broker positions and alerts on drift. Catches lost-fill bugs before they snowball.

C

Calmar ratio — CAGR / |MaxDD|. Risk-adjusted return measure. mts1b_quantkit.metrics.calmar.

CAT — Consolidated Audit Trail (SEC mandate). U.S. broker-dealer reporting. mts1b-operations.compliance.reg_reporting.cat (Wave 3).

Champion / Challenger — A strategy lifecycle pattern. The "champion" runs live; "challengers" run in shadow until they outperform consistently. mts1b-GPUbacktester.lifecycle.

Codemod — Automated source transformation via AST (libcst/bowler). Used in mts1b-oss/extraction/codemods/ to mass-update imports during the dedupe contract enforcement.

CRO veto — An optional LLM-based final gate. The CRO persona in mts1b-llm is asked "should we veto this order?". Fail-OPEN with 5s timeout. Opt-in via RiskEnvelope.cro_veto_enabled=True.

Cutover — Switching the live stack to use a newly extracted OSS repo. Gated by ≥30 days of shadow mode + operator co-sign.

D

DCM — Designated Contract Market. CFTC-regulated venue. Kalshi is a DCM; Polymarket is offshore.

Dedupe contract — The MTS1B rule: 17 protected patterns (HRP, Sharpe, Telegram dispatch, etc) must be defined exactly once each. CI enforces via AST scan.

Drift — Live IC of a strategy falling below its backtest IC. mts1b-research.ops.drift_monitor watches; drift_zscore < -1.0 → halve allocation, < -2.0 → shadow.

Drawdown halt — A sticky halt triggered when fund daily/weekly/monthly P/L crosses a threshold. The most important production safety setting. Configured via RiskEnvelope.daily_loss_halt_pct.

E

Envelope — Risk envelope. A per-fund object capturing all risk constraints. See mts1b_foundation.risk.RiskEnvelope.

Event bus — NATS. The MTS1B event backbone. See Concept — Event bus.

Extended hours — Trading outside regular session (pre/post/IBEOS for equities). Order.extended_hours=True enables it; broker must support it.

F

Factor — A function (panel: UniversePanel) -> (T, A) ndarray returning cross-sectional rankings. Convention: name starts with f_. Registered via mts1b_quantkit.factors.register.

FactorFn — The Protocol. mts1b_foundation.protocols.FactorFn.

FIFO / HIFO / LIFO / SpecID — Tax-lot accounting methods. Configurable per fund via FundConfig.tax_lot_method. See Cookbook — Tax-lot accounting.

Fill — The result of an order against a venue. mts1b_foundation.orders.Fill.

Foundation — The bottom-of-stack repo: pure pydantic types + Protocols + NATS subjects. mts1b-foundation.

Fund — A NAV-attributed sub-account. One broker, one account, one currency, one risk envelope. mts1b_foundation.funds.FundConfig.

G

Gate — A risk check that returns approve/reject for an order. Implementations in mts1b-riskengine.gates. The Protocol is mts1b_foundation.protocols.RiskGate.

GDELT — Global Database of Events, Language, and Tone. Free real-time global news graph. mts1b-altdata.gdelt.

Gross exposure — sum(|position_usd|) / nav_usd. Capped by RiskEnvelope.max_gross_exposure_pct.

GTC — Good-Till-Canceled. TimeInForce.GTC. Most brokers cap at 30/60/180 days.

H

Halt — The kill switch. Three levels: STRATEGY_HALT, FUND_HALT, FIRM_HALT. Sticky — only operator can resume.

HRP — Hierarchical Risk Parity (López de Prado 2016). A robust portfolio allocator that clusters correlated assets and allocates between clusters. mts1b_quantkit.allocators.hrp_weights.

Hypothesis — Property-based testing library. Used in mts1b-quantkit to verify mathematical primitives behave correctly across edge cases.

I

IBEOS — IBKR Extended Overnight Session. 20:00-3:50 ET for ~10k+ symbols.

IBKR — Interactive Brokers. Major US/international broker. mts1b-brokers.ibkr.

IC — Information Coefficient. Rank correlation between a factor's prediction and realized returns. Backbone metric for factor evaluation.

Idempotency key — Caller-provided string. Same key within 5 minutes = same order, no duplicate. Order.idempotency_key.

Implementation Shortfall (IS) — Trade-cost model: realized_avg_price - arrival_price. The benchmark for urgent execution. mts1b-oms-algos.is_.

Ingest flow — A Prefect-managed pipeline that pulls from adapters and writes parquet. Lives in mts1b-datalake.flows.

IOC — Immediate-Or-Cancel. TimeInForce.IOC. Fill what you can now, kill the rest.

J

JetStream — NATS's durable + replay-able persistence layer. Used for orders, fills, signals (anything we can't lose on restart).

K

Kalshi — CFTC-regulated prediction market. U.S.-based, KYC required. mts1b-prediction-markets.kalshi.

Kelly criterion — Bet sizing: f* = (expected_return - risk_free) / variance. Cap at fraction to avoid blow-ups. mts1b_portfolio.sizers.kelly_fraction.

L

Ladder sweep — L1→L5 staged elimination of strategy parameter combos. L1 runs 100k combos; L5 has 5 survivors. mts1b-research.ladder.

LXC — Linux Containers. Used by Proxmox for lightweight virtualization. The maintainer's primary deployment target.

M

Market calendar — Per-venue trading day calculator. mts1b_platform.calendars.market_calendar("NYSE").

Marketable limit — A LIMIT order priced at the touch (i.e., crossable). Behaves like MARKET but with explicit limit price. Preferred over MARKET outside RTH.

MaxDD — Maximum drawdown. Worst peak-to-trough decline. mts1b_quantkit.metrics.max_drawdown.

Menuconfig — Kernel-style TUI installer. mts1b-deploy menuconfig. Pick targets + profiles, save to mts1b.config.

Merkle log — Audit chain. Each entry's hash includes the prior entry's hash. Tamper-evident.

Mismatch ledger — A DuckDB log of disagreements between OLD and NEW implementations during shadow mode. /apps/MTS1B-oss/extraction/progress.duckdb.

MTS1B — Multi-strategy Trading System, build 1B. The project name.

N

NAV — Net Asset Value. The fund's wealth.

NATS — The message bus. https://nats.io/. Lightweight, fast, durable via JetStream.

Net exposure — sum(position_usd) / nav_usd. Signed. Capped by RiskEnvelope.max_net_exposure_pct. 0 = market-neutral.

O

OCC — Options Clearing Corporation format. ROOT YYYYMMDDP|Cstrike (e.g., SPY 20260823P550).

OMS — Order Management System. mts1b-oms. Owns order state machine, broker routing, fills, position store.

Order — A trading intent. mts1b_foundation.orders.Order. Wire format.

Order rejection — Structured reason for a failed order. mts1b_foundation.risk.OrderRejection. Published to mts.v1.risk.gate.failed.

P

Paper broker — In-process fill simulator. mts1b-brokers.paper.PaperClient. Realistic fee/slippage model; used for testing.

PAXOS — IBKR's crypto venue. Spot crypto via IBKR. Symbols: BTC/ETH/LTC/BCH/SOL/ADA/AVAX/MATIC/DOT/XRP/DOGE/SHIB.

POV — Participation Of Volume. Execution algorithm that targets a fixed fraction of incremental venue volume. mts1b-oms-algos.pov.

Position — Current holding in one symbol within one fund. mts1b_foundation.positions.Position.

Prefect — Workflow orchestrator. Used for ingest flows, scheduled rebalancing, periodic reports.

Protocol — PEP 544. A structural-typing interface. MTS1B uses @runtime_checkable protocols extensively.

Proxmox — Open-source Type-1 hypervisor for LXC + KVM. The maintainer's primary deployment target.

Q

Quantkit — mts1b-quantkit. The canonical quant library: HRP, BL, Kelly, Sharpe, walk-forward, etc.

R

Replay — Re-emit historical NATS events. mts1b-extraction shadow tail --replay-from <seq>.

RiskEnvelope — Per-fund risk constraints. See foundation.risk.

RiskGate — A single check in the riskengine pipeline. Protocol: mts1b_foundation.protocols.RiskGate.

RTH — Regular Trading Hours. 9:30-16:00 ET for U.S. equities. 24/7 for crypto.

S

Schema version — Per-subject version path: mts.v1.X.Y.Z. Allows in-place upgrades. Negotiated via mts1b_foundation.nats.negotiate.

Shadow mode — Run NEW code alongside OLD; compare outputs; live still uses OLD. Required before cutover for state-bearing repos.

Sharpe ratio — (returns_mean - risk_free) / returns_std × sqrt(periods_per_year). Standard risk-adjusted measure. mts1b_quantkit.metrics.sharpe.

Signal — A strategy's output: target weights + metadata. mts1b_foundation.signals.Signal.

Sizer — A position sizer. Turns a ranking into weights. Sizer Protocol; implementations: EqualWeightLS, kelly_fraction, vol_target_weights. Live in mts1b-portfolio.

Sleeve — A strategy allocation within a fund. Multiple sleeves can compose into a fund-level target via mts1b_portfolio.multi_sleeve.compose.

Symbol — Canonical symbol. mts1b_foundation.symbology.Symbol. Subclass of str.

Symbology — Symbol handling: normalization, asset class detection, venue-specific rendering. mts1b_platform.symbology.

Synthetic stop — A stop-loss not held at the broker. mts1b-riskengine polls quotes; when price crosses, emits a closing order via OMS. Honors stop even on broker outage / flash crash.

T

Tax lot — A unit for cost-basis tracking. mts1b_foundation.positions.TaxLot.

Telegram dispatch — Sending alerts to a Telegram chat. mts1b_platform.messaging.send_telegram. Consolidated from 6 monorepo copies into 1.

Tenacity — Python retry library. Used by mts1b_platform.retry.with_retry.

TIF — Time In Force. TimeInForce enum. DAY / GTC / IOC / FOK / OPG.

TUI — Text User Interface. mts1b-frontends ships a TUI built with Textual.

TWAP — Time-Weighted Average Price. Execution algorithm: equal-sized slices over a horizon. mts1b-oms-algos.twap.

U

UniversePanel — A (T, A) panel of market data — time × asset. The standard factor-input shape. mts1b_foundation.market_data.UniversePanel.

V

Vault — HashiCorp Vault. Secrets management. https://www.vaultproject.io/.

Venue — A trading venue (exchange). mts1b_foundation.symbology.Venue enum. NYSE, NASDAQ, CME, Coinbase, ...

Vol target — Scaling portfolio gross exposure so realized annualized vol matches a target. mts1b_portfolio.sizers.vol_target_weights.

VWAP — Volume-Weighted Average Price. Execution algorithm that schedules slices to a venue's volume profile. mts1b-oms-algos.vwap.

W

Walk-forward — Time-aware cross-validation. Train on [t-train_window, t], test on [t, t+test_window], roll forward. mts1b_quantkit.cv.walk_forward.

Watchdog — A background runner observing one dimension of system health. 10 of them live in mts1b-operations.watchdogs.

Wave — A release group. v1 (months 1-3), v2 (4-7), v3 (8-12), LTS (18).

X

xp — Convention name for "numpy or cupy". Functions in mts1b-quantkit take xp=np or xp=cp to dispatch CPU vs GPU.

Z

zscore — Cross-sectional standardization. (x - mean) / std. The standard factor primitive output. mts1b_quantkit.factors.zscore_cross_sectional.