Axis-2 · Cascade-Free — harvest index & live ledger AWAITING FIRST FIRING

Campaign regime-invariant-orthogonality (2026-07-22) · the second orthogonal axis: liquidity, crowding & fragility · append-only, self-resyncing spoke · ← back to campaign reader

0iterations fired

0candidates harvested

16seed candidates (+3 out-of-scope)

What Axis-2 is grounding

The claim: a feature is orthogonal only if it stays non-redundant and keeps its meaning across market regimes. Axis-2 is the liquidity / crowding / fragility half of that paradigm — a different information axis from price ("how fragile / how liquid" vs "which way will price go"), so it is orthogonal by construction to the price-microstructure panel.

Grounding Axis-2 requires two harvests (per axis-2-cascade-free/GROUNDING-PLAN.md), both filled by the append-only loop below. Each harvested candidate carries two co-equal deliverables: the state-of-the-art concept / matrix (stable paper ID) and its state-of-the-art FOSS implementation — the best actively-maintained open-source code that computes it (repo · commit · license · language · maintenance signal). Nothing is evaluated on our data yet.

(A) Candidate features — the spot-legal estimators that will be the Axis-2 columns

Illiquidity/price-impact, effective-spread, range-vol, order-flow toxicity, microstructure-invariance, capacity, cascade/fragility measures — computed from spot trades/OHLC only.

(B) Measurement instruments — metrics that quantify the cascade-free / liquidity property

The 23 grounded orthogonality matrices grade any feature column for free (they don't care price-vs-liquidity). What's genuinely missing is the domain-specific instruments — a capacity metric (Days-ADV), an impact estimator (Kyle-λ), a toxicity metric (VPIN), a microstructure-invariance scale (Kyle–Obizhaeva).

Families swept, exhaustively (loop rotates & widens — never treats the list as closed)

Illiquidity & price-impact — Amihud, Kyle-λ, Amihud–Mendelson, Hasbrouck, MRR
Effective-spread from OHLC/trades — Roll, Corwin–Schultz, Abdi–Ranaldo, EDGE/Ardia, Hong–Wang–Zhang
Range / HL volatility — Parkinson, Garman–Klass, Rogers–Satchell, Yang–Zhang
Order-flow toxicity & crowding — VPIN, OFI, CVD, taker-skew, trade-sign autocorr
Microstructure invariance — Kyle–Obizhaeva (dimensionless)
Capacity / turnover — Days-ADV, participation ratio
Order-book depth / imbalance / resiliency — if spot L2 available
Liquidity-cascade / fire-sale / feedback-loop risk metrics
Jump / tail / fragility detectors for cascade ignition — realized jumps, tail-index, Hawkes self-excitation

Load-bearing constraint — spot-only (principle #8).

All Binance data is spot, no futures. The highest-signal crowding features — funding rate, open interest, liquidation heatmaps — are derivatives → out of scope. They are catalogued for completeness but flagged, never grounded. Every candidate is tagged spot · needs-L2 · deriv (oos).

Seed catalog — the 16 spot-legal / L2 candidates the harvest bootstraps from (+3 out-of-scope)

SSoT: axis-2-cascade-free/CANDIDATE-CATALOG.md. Stable IDs + SOTA FOSS-implementation status re-verified/hunted by the loop before any promotion. PF=parameter-free · DIM=dimensionless · PP=principled-parameter.

#	Name	Family	Spot?	Param	SOTA FOSS impl
S01	Amihud illiquidity	illiquidity/impact	spot	DIM	UNVERIFIED
S02	Kyle's λ	price-impact	spot	PP	UNVERIFIED
S03	Roll effective spread	eff-spread	spot	PF	mql5#150/#151
S04	Corwin–Schultz	eff-spread	spot	PF	mql5#150/#151
S05	Abdi–Ranaldo (h_norm≈0 degenerate on our cells)	eff-spread	spot	PF	mql5#150/#151
S06	EDGE (Ardia et al. 2024)	eff-spread	spot	PF	mql5#150/#151
S07	Parkinson range-vol	range-vol	spot	PF	mql5#150/#151
S08	Garman–Klass	range-vol	spot	PF	UNVERIFIED
S09	Rogers–Satchell	range-vol	spot	PF	UNVERIFIED
S10	Yang–Zhang	range-vol	spot	PF	UNVERIFIED
S11	VPIN	order-flow toxicity	spot	PP	UNVERIFIED
S12	Order-flow imbalance (OFI)	order-flow	L2	PP	UNVERIFIED
S13	Kyle–Obizhaeva invariance	microstructure invariance	spot	DIM	UNVERIFIED
S14	Days-ADV (capacity)	capacity/crowding	spot	DIM	NONE (trivial)
S15	CVD / taker buy-sell skew	order-flow	spot	PF	NONE (trivial)
S16	Hawkes self-excitation intensity	fragility/tail	spot	PP	UNVERIFIED
—	Funding rate	crowding	deriv	—	OUT-OF-SCOPE
—	Open interest	crowding	deriv	—	OUT-OF-SCOPE
—	Liquidation heatmap	ignition	deriv	—	OUT-OF-SCOPE

What happens after the harvest saturates (the pilot — not part of this loop)

Filter catalog → spot-legal AND FOSS-available.
Compute the shortlist on real regime slices — read-only (--readonly=2), spare-only, watchdog-guarded.
Leakage guard T1–T4 hard-stop before trusting any number.
Grade with the existing 23 matrices → provisional BAN / WATCH / ORTHOGONAL per regime.
Note any cascade-free property the generic matrices cannot see → the case for a liquidity-specific instrument (B).

Honest limit carried in: every ORTHOGONAL verdict stays regime-scoped (ICP 0/92) — "orthogonal in regime R", never "forever".

Harvest ledger — append-only · newest first · one page per iteration

Each firing of the loop appends one row here and emits one self-contained page index_iter_<N>_<slug>.html in this folder. Rows and pages are never edited or deleted — corrections add a new sibling row citing the parent. Mirrors the markdown SSoT axis-2-cascade-free/LEDGER.md.

Iter	Date	Family / angle	#New	Running total	Page	Note
0	2026-07-22	seed across 6 families (illiquidity · eff-spread · range-vol · order-flow · microstructure-invariance · capacity) + 3 deriv flagged	16 (+3 oos)	16 seed	— (kickoff; markdown SSoT)	seed catalog only — not harvested; loop begins at iter 1

No harvest iterations fired yet — iter 1 will be the first. This page refreshes automatically on each firing.

Context & provenance

Campaign reader (paradigm + SVG flowchart): regime-invariant-orthogonality-campaign-2026-07-22.html
Data SSoT (markdown): findings/evolution/audits/2026-07-22-regime-invariant-orthogonality-campaign/axis-2-cascade-free/ — CANDIDATE-CATALOG.md · LEDGER.md · GROUNDING-PLAN.md · LOOP-PROMPT.md
Grounding plan (the two harvests A + B): axis-2-cascade-free/GROUNDING-PLAN.md
Loop prompt (how each firing runs): axis-2-cascade-free/LOOP-PROMPT.md
Constraint: spot-only (principle #8) — derivatives crowding data out of scope.
Realness / usefulness (tradeability) = a separate session, not this axis.

Append-only loop spoke · published by scoped additive rsync of this folder only (never dashboard:deploy) · repo = SSoT · docs-only; deploy to the nasimubd site is a separate gated step.