feat: Phase B fip_id liquid-breadth research tooling

Add research-only snapshot extender, PIT dollar-volume mask for signal IC, rank-only harness path, fingerprint+breadth runner, and docs. Fingerprint reproduced IC -0.045 / t -2.91 on prod.sqlite. No production gate/schedule changes.
2026-07-18 20:22:11 +02:00
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+# Broad-universe fip_id IC research (Phase B)
+
+Generated: 2026-07-18T19:48:28.127710
+
+## Scope
+
+- **Research only** — production universe, gate, scanner, schedule unchanged.
+- Price-only signal harness; no sentiment/fundamentals on the broad tier.
+- Point-in-time liquidity mask: top **1500** by 63d median $vol, price ≥ **$5.0** at as-of.
+
+## Caveats
+
+- **Survivorship bias**: today's constituents backfilled historically (worse in small caps).
+- **IEX volume undercount**: relative $vol rank only, not absolute floors.
+- **Pool skew**: nasdaq_all ∪ sp500 tilts tech/biotech; missing pure NYSE mid-caps.
+
+## Fingerprint (505-name prod snapshot)
+
+- Expected: IC ≈ -0.045, t ≈ -2.9
+- Observed: IC = -0.045, t = -2.91, weeks = 35, reliable = True
+- Pass: **True**
+
+## Liquid-breadth signal_eval (fip_id)
+
+**Not run yet in this environment** (no Alpaca credentials to build
+`backtest_snapshots/research.sqlite`). Local machine with keys:
+
+```bash
+python scripts/extend_snapshot_universe.py --force-copy
+python scripts/run_fip_breadth_research.py --skip-fingerprint --allow-spawn --workers 6
+```
+
+(`--skip-fingerprint` only after a green fingerprint on this machine.)
+
+| metric | value |
+|---|---|
+| mean_ic | _pending_ |
+| ic_t_stat | _pending_ |
+| weeks | _pending_ |
+| avg_cross_section | _pending_ |
+| reliable | _pending_ |
+
+## Verdict (iron rule)
+
+- **Fingerprint:** green (IC −0.045 / t −2.91 / reliable / 35 weeks).  
+- **Breadth iron rule:** **pending** until research.sqlite run completes.  
+- Green breadth would authorize a **follow-up proposal** only (two-tier universe /
+  gate revalidation) — **not** production wire-in.
+
+## Artifacts
+
+- Fingerprint report: `reports/fip-breadth-20260718-194828-fingerprint.json`
+  (and summary `reports/fip-breadth-20260718-194828.json`)
+- Breadth report: _pending_