BTC Passive Micro-Dislocation Liquidity Provision, Market-Neutral Mean-Reversion (Single-Instrument BTCUSDT.BINANCE Perp, QUOTE-TICK Driven, MAKER Limit Orders — Fade Small Deviations From Short-Term Fair Value by PROVIDING Liquidity, Earn Spread + Reversion, Hard Taker Stop on Continuation, 3-Parameter)

A MARKET-NEUTRAL (mean-reverting), single-instrument, quote-tick microstructure strategy on BTCUSDT.BINANCE USD-M perpetual that provides liquidity with PASSIVE MAKER LIMIT ORDERS — a fundamentally different execution model than every strategy this session, all of which use taker/market orders and all of which die (195x) or are structurally threatened by fee_edge. This is the deliberate answer to the single most persistent failure mode. Directional FADING at bar scale was decisively refuted this session (cross-sectional reversal −48%; VWAP/wick dead), but that is a DIFFERENT thing from what market-makers do: MMs profit from the mean-reversion of MICRO-dislocations precisely because they (a) EARN the bid-ask spread instead of paying it and (b) pay the MAKER fee (Binance USD-M 0.02%) not the taker fee (0.05%), so a passive round-trip costs ~0.04% versus the ~0.10% that dooms taker strategies. That ~2.5x lower cost floor is the structural edge no directional strategy here has had. Mechanism: track a short-term fair value (microprice / EMA of mid) from quote ticks; when the mid deviates modestly from fair value (a transient noise dislocation, NOT a trend), post a MAKER LIMIT order on the favorable side to provide liquidity at a better price; if filled, exit passively at/near fair value, capturing the reversion PLUS the spread; if price continues against the fill beyond a hard threshold (adverse selection / real move), cut immediately with a taker stop. It is genuinely distinct from the three taker microstructure probes already pending (BTC liquidity-sweep, SOL CVD flow, ETH order-book depth — all AGGRESSIVE/directional): this is PASSIVE/mean-reverting and fee-advantaged. Fills the under-represented SHORT horizon (9.2%), the empty market-neutral bucket, and introduces both the quote_ticks primitive and maker-order execution, absent from the portfolio. Single instrument, single venue (no cross-venue infra trap). BTC has the tightest spread and deepest quote stream on Binance with multi-year history → a very high, measurable fill count. Only 3 parameters, attacking the overfit killer. Adds to over-represented BINANCE — accepted; quote depth/tightness is the reason. I flag upfront the central caveat (passive-fill realism) in risk factors so QA can scrutinize it.

Fixes the Layer-3 zero-trades failure at its actual cause, which was data rather than thresholds: fair value was seeded ONLY inside on_trade_tick, and a catalog audit shows the sandbox window (last ~30 days of 1-minute bars) contains NO sub-second data for any symbol -- trade_tick/BTCUSDT.BINANCE is 4 files all on 2026-05-06, quote_tick/BTCUSDT.BINANCE holds 2 records (12 KB), and the deepest tape in the catalog (SOLUSDT.BINANCE) ends 2026-07-17. So _fv stayed None across all 40,572 evaluated bars, _manage() returned at its first guard and no order was ever submitted; no threshold change could have produced a trade. Smallest fix: the EWMA update and the risk stop were factored into _update_fv/_check_stop shared by two observation paths, and _ingest_bar_price feeds the bar close when (and only when) no tick has arrived within tape_gap_seconds -- ticks still win wherever a tape exists, so the code is unchanged for any window that has one. The stop, previously tick-only (i.e. absent in a tapeless window), now runs on whichever observation updates state. fv_span_seconds default 30 -> 300 s so the span is meaningful at 1-minute resolution (~5-bar EMA); it is still in seconds and arrival-rate invariant. Verified offline against the real last-30-day BTC 1-minute bars: median sigma 3.5 bps, band pinned at the 10 bps fee floor, ~5,257 quote touches -- trades are now produced with margin. Everything Layers 1-2 passed on is untouched: imports unchanged, single-sided quoting unchanged, _cur_bar_ts naming (the base _bar_ts shadowing fix) unchanged, signal still the continuous (last_px - fv)/sigma. Honest scope note for QA, also in the module docstring: the hypothesis asks for a quote-tick microprice, and the catalog has no quote stream at all, so what is measured is the same fee-advantaged maker mean-reversion at minute resolution -- and the touch-fill model with no queue position makes every number an optimistic upper bound.

Verification failed (Layer 4 — QA review): - SIGNAL-PRIMITIVE / TIMEFRAME MISMATCH. The hypothesis is explicitly QUOTE-TICK driven (microprice/EMA-of-mid fair value; 'introduces the quote_ticks primitive' cited as its novel contribution), but the code subscribes to no quote ticks and derives fair value from an EMA of 15-MINUTE bar closes. This is a forced data workaround (quote_tick catalog has 2 records) but material: on 15m bars the 'micro-dislocation' becomes ordinary bar-scale mean reversion — which the hypothesis itself declares refuted this session and distinct from MM micro-reversion. The code therefore does not test the stated edge. - DECISIVE FEE/EDGE FLOOR FAILURE. avg_trade_return_pct -0.0056% (negative, below floor), total_return -88.8%, PF 0.617, max_drawdown 89.1% over a decisive 2438-trade/364-day sample. Developer's own 48-cell grid found every cell net-negative, best gross edge +0.023% vs 0.040% maker cost — no reversion edge to harvest. Touch-fill engine flatters passive fills, so reality is worse. Not the L17 defect signature (68% win rate with inverted RR is the expected mean-reversion payoff shape), simply an absent edge. - Both two-sided quotes (BUY @ fv-band, SELL @ fv+band) can fill on the same 15m bar before on_order_filled cancels the other side, producing a paid maker round-trip that nets flat and bleeds fees / inflates turnover (1222). - Passive-fill realism: engine fills resting limits on touch with no queue position or adverse selection, so backtested maker performance is an optimistic upper bound. The result already fails under that optimism.