Measurement methodology
How the Premium Add-on suite measures
The per-instrument battery for Premium Add-on, the receipts each measurement will carry, and the honest state of what is published today. Looking for what you can buy in this family instead? That is the Premium Add-on suite hub.
What this suite measures, and why
The Premium Add-on suite measures market terrain: dealer-positioning structure read from listed FX options, volatility and liquidity regimes identified under a never-repaint constraint, dependence-aware breaks in reported positioning, and the propagation structure of forced-flow cascades. Every output is described state with uncertainty attached — never a forecast.
Terrain is the category where narration is cheapest and measurement rarest. Every instrument in this suite draws the same line on every surface: it describes the structure you are standing on, publishes its uncertainty and its sample sizes, and leaves the directional judgment — and the risk — with the user.
The measurement battery, per instrument
Each instrument’s battery is summarized from its own published specification. Every dimension follows the six-stage lifecycle defined on the methodology page — pre-registered, content-hashed, deterministic, and shipped with its can-fail proof. Written in the future tense because nothing has been measured yet.
A structural map of forced-flow cascades — how liquidation chains have propagated through leveraged positioning.
- Cascade anatomy — propagation across price levels and instruments, separated from discretionary flow
- Resolution versus fizzle, with the split published and n visible
- Chain preconditions, described as observed positioning states
Honest limit: A map, not a signal. It records how cascades have propagated under which preconditions; any use for timing is the user’s judgment and risk.
Full instrument page →
Dealer-positioning terrain read from listed FX options.
- Strike-level open-interest congregation
- Risk reversals and skew migration
- Expiry walls
Honest limit: Terrain, not direction. It describes where positioning congregates; it does not forecast what price does about it.
Full instrument page →
Multivariate change-point detection across a matrix of related series — Hotelling T² with Ledoit–Wolf shrinkage, CUSUM, and PELT — with per-channel attribution: which series moved, decomposed per changepoint.
- Joint break detection — Hotelling T² with Ledoit–Wolf covariance shrinkage
- Sequential drift detection — CUSUM
- Offline segmentation — PELT
- Per-channel attribution — which series moved, decomposed per changepoint
- Surrogate calibration — detection thresholds set against null surrogates, not folklore
Honest limit: A detected changepoint is a structural statement about the data, not a trade signal. Where the surrogates say the data cannot support a break call, the honest null publishes instead.
Full instrument page →
Dependence-aware positioning analytics on Commitments-of-Traders data.
- Positioning z-scores and flip detection
- Multivariate joint change-point detection (Hotelling T², CUSUM, PELT) with attribution
- Honest nulls where the data cannot support a break call
Honest limit: Every resolution or fizzle publishes with its n visible — a rate without a denominator is marketing, not measurement.
Full instrument page →
State-space identification of volatility and liquidity regimes, built around one constraint: a printed label never repaints.
- Regime states, with model definitions pre-registered before the feed goes live
- Per-label confidence, with boundary bars marked as boundary bars
- Transition receipts — the inputs behind every state change, recorded and recomputable
Honest limit: Prefix stability costs accuracy at regime boundaries, and the feed says so on every surface. It identifies the regime you are in, with stated lag — it does not predict the next one.
Full instrument page →
The receipts this suite will publish
Every measurement from the Premium Add-on suite carries the same receipt chain, as defined in the full receipt taxonomy. Four of the six receipt types apply from the first measurement onward:
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Pre-registration
Each instrument’s battery is written and content-hashed before its first data collection. Any post-hoc change to the methodology would change the hash, and would be visible.
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Content hash
Data, code, and results are SHA-256 hashed, so a published result from this suite is recomputable: declared outputs from declared computation on declared inputs.
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Can-fail proof
Every test in the battery ships with a demonstration that it could have failed — a known defect injected and detected. A test that cannot fail proves nothing.
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Kill entries
Hypotheses registered for this suite and killed by the data are published with the same visibility as registrations. No silent disappearances.
What is published today
MEASUREMENTS PUBLISHED: NOT YET PUBLISHED
Nothing. No measurement from the Premium Add-on suite has been published, and this page will say so until one has. That order of operations is deliberate: pre-registration means the methodology is public before the data exists, so no result from this suite can ever have shaped the method that produced it.
When the measurement pipeline goes live, this page links, per instrument: the registered methodology document and its hash, point-in-time data manifests, battery results with confidence intervals and honest nulls, the can-fail proof beside every test, and kill entries for whatever does not survive.