"""B6 frozen cost and source assumptions — the source-dated table of record. The B6 pre-registration (STATE.md, 2026-07-15) requires per-instrument one-way cost = half-spread + commission at the declared US$5,000 clip, frozen as a source-dated table before the first run. This module is that table, plus the frozen data-source decisions the verification gate produced. The TSMOM engine imports its cost and cash assumptions from here and nowhere else. Conservatism rule: where an issuer-published 30-day median bid/ask spread was captured, that figure is frozen with its date; where it was not, a conservative ceiling of one to three ticks at prevailing price levels is frozen instead. Overstated spreads bias the survival test *against* passing, which is the direction assumptions are allowed to err. Commission model (IBKR Pro, Fixed, US stocks/ETFs; interactivebrokers.co.uk pricing pages, checked 2026-07-15): USD 0.005 per share, minimum USD 1.00 per order, maximum 1% of trade value; where the calculated maximum is below the minimum, the maximum applies (IBKR's published sub-dollar example: 10 shares at USD 0.20 -> USD 0.02). Disclosed limitations, per the registration: today's spreads are applied across the full historical sample, which understates pre-2010 trading costs — a 2x cost stress may be *reported* as context, but the pass/fail criteria run on this frozen table only. Q1 (long/short) short-borrow financing sits outside the frozen cost model by registration; Q2 (long/flat) is unaffected. Frozen source decisions from the 2026-07-15 verification gate (PASS): prices — FMP stable family, dividend-adjusted, full history to inception on all nine symbols; cash — FRED TB3MS monthly series (keyless CSV, earliest 1934-01-01), chosen because FMP's treasury endpoint served only a ~90-day window on the current plan. """ from __future__ import annotations from dataclasses import dataclass CHECKED_UTC = "2026-07-15" CLIP_USD = 5_000.0 COMMISSION_PER_SHARE_USD = 0.005 COMMISSION_MIN_USD = 1.00 COMMISSION_MAX_FRACTION = 0.01 COMMISSION_BASIS = ( "IBKR Pro Fixed, US stocks/ETFs: USD 0.005/share, min USD 1.00/order, " "max 1% of trade value; sub-minimum cap rule per IBKR example " "(interactivebrokers.co.uk pricing pages, checked 2026-07-15)" ) PRICE_SOURCE = ( "FMP stable family, dividend-adjusted daily closes; verification gate PASS " "2026-07-15 (full history to inception on all nine symbols; GLD no-dividend " "control at +0.0pp; event ratios within tolerance)" ) TBILL_SOURCE = ( "FRED TB3MS monthly 3-month T-bill series, keyless CSV, earliest 1934-01-01 " "(checked 2026-07-15); chosen over FMP treasury, which served only a ~90-day " "window on the current plan" ) @dataclass(frozen=True) class SpreadAssumption: """A frozen one-way bid/ask spread assumption with its provenance.""" bps: float basis: str SPREADS: dict[str, SpreadAssumption] = { "SPY": SpreadAssumption( bps=1.0, basis=( "conservative ceiling ~3-5 ticks at >USD 500 price level; " "true median ~0.2 bps; frozen 2026-07-15" ), ), "EFA": SpreadAssumption( bps=1.0, basis="iShares fund page 30-day median bid/ask spread 0.01% as of 2026-06-16", ), "EEM": SpreadAssumption( bps=3.0, basis=( "conservative ceiling ~1.5 ticks at ~USD 50 price level; " "no published median captured; frozen 2026-07-15" ), ), "EWA": SpreadAssumption( bps=4.0, basis="iShares fund page 30-day median bid/ask spread 0.04% as of 2026-07-10", ), "IEF": SpreadAssumption( bps=1.5, basis=( "conservative ceiling ~1.5 ticks at ~USD 95 price level; " "no published median captured; frozen 2026-07-15" ), ), "TLT": SpreadAssumption( bps=1.5, basis=( "conservative ceiling ~1.5 ticks at ~USD 90 price level; " "no published median captured; frozen 2026-07-15" ), ), "GLD": SpreadAssumption( bps=1.0, basis=( "conservative ceiling ~3 ticks at ~USD 300 price level; " "no published median captured; frozen 2026-07-15" ), ), "DBC": SpreadAssumption( bps=6.0, basis=( "conservative ceiling ~1.5-2 ticks at USD 27.56 " "(Investing.com close, 2026-07-08); no published median captured; " "frozen 2026-07-15" ), ), "VNQ": SpreadAssumption( bps=2.0, basis=( "conservative ceiling ~2 ticks at ~USD 90 price level; " "no published median captured; frozen 2026-07-15" ), ), } def commission_usd(price: float, clip_usd: float = CLIP_USD) -> float: """IBKR Pro Fixed commission for one order of *clip_usd* notional at *price*. per-share x shares, floored at the order minimum, capped at 1% of trade value — and where the cap is below the minimum, the cap applies (IBKR's published sub-dollar example). Fractional shares are not modelled: shares are the whole-share count for the clip, minimum one share. """ if price <= 0 or clip_usd <= 0: return 0.0 shares = max(1, int(clip_usd / price)) trade_value = shares * price per_share = shares * COMMISSION_PER_SHARE_USD cap = COMMISSION_MAX_FRACTION * trade_value if cap < COMMISSION_MIN_USD: return cap return min(max(per_share, COMMISSION_MIN_USD), cap) def commission_bps(price: float, clip_usd: float = CLIP_USD) -> float: if price <= 0 or clip_usd <= 0: return 0.0 shares = max(1, int(clip_usd / price)) trade_value = shares * price if trade_value <= 0: return 0.0 return commission_usd(price, clip_usd) / trade_value * 10_000.0 def one_way_cost_bps(symbol: str, price: float, clip_usd: float = CLIP_USD) -> float: """Frozen one-way trading cost in bps: half the frozen spread plus commission.""" spread = SPREADS[symbol.strip().upper()] return spread.bps / 2.0 + commission_bps(price, clip_usd) __all__ = [ "CHECKED_UTC", "CLIP_USD", "COMMISSION_PER_SHARE_USD", "COMMISSION_MIN_USD", "COMMISSION_MAX_FRACTION", "COMMISSION_BASIS", "PRICE_SOURCE", "TBILL_SOURCE", "SpreadAssumption", "SPREADS", "commission_usd", "commission_bps", "one_way_cost_bps", ]