D01-F05 guided lab · synthetic data

Level-2 Snapshot-and-Delta Reconstruction

A snapshot is a sequence-anchored starting state, not a timeless truth. Every accepted delta proves one more link in a contiguous causal chain.

Scenario purpose

Decision boundary: Some feeds publish signed quantity changes or indexed-level actions; those require a different adapter.

State

Feed state sequenceFour labeled stages from provider input through validated state to a D11 handoff.inputvalidatestateoutput

Step
RuleQ_t(side, price) = replacement quantity; zero removes the level
D11 handoffD11-F04-A01 — Order-Book Slope; D11-F04-A02 — Depth-Weighted Midprice

Current synthetic input