Strategy reference

Microstructure Stress — Canonical Reference

Status: LIVE (viewing surface — applies no selection) · Reconciled: 2026-08-31.

Origin: 🏠 HOUSE. Nothing is borrowed: these are exchange housekeeping feeds that almost nobody reads, assembled into one readable tape. See the origins notes.

Charter: the canonical definition + current-state reference for the stock-lending, band-lock and surveillance surfaces.

One-line definition: Microstructure Stress applies no selection rule and filters nothing: it is a viewing surface over exchange housekeeping — stock-lending activity, price-band locks and surveillance (ASM/GSM) lists — as each is published. It reports an observed state, not a judgement about it.

---

1. What it is

Three mechanical facts about how a stock is currently allowed and able to trade:

• Stock lending (SLB) — the NSE lending tape: the lending-fee flow and the open lent positions. This is India's only short-interest proxy, which is the whole reason it is collected.
• Band locks — names sitting pinned at their daily price band, where the close equals the high or the low and equals the band limit itself. A lock means the price could not legally move further that day.
• Surveillance — ASM (Additional Surveillance Measure, long- and short-term) and GSM membership, stage moves, entries and exits, plus price-band set / removed / tightened / relaxed events.

This lens has no rule. Nothing here screens a universe or ranks a name. A stock appears because the exchange published a list and it was on it, or because its own closing price met an arithmetic definition of a lock. The admission criterion belongs to the exchange.

Where this stands: these are conditions, not conclusions. A name under surveillance is a name the exchange has placed under extra measures — often producing mechanically forced flows as leveraged positions unwind under higher margins. That is information about plumbing. It is not a verdict on the company.

2. Our variation vs. the standard technique

There is no standard technique. The deliberate choices are:

• Assemble, do not score. Three feeds, one altitude, no composite. A combined "stress score" across a lending fee, a band lock and a surveillance stage would be an invention, so there is not one.
• Derive transitions honestly. Surveillance lists are published as daily membership snapshots, not as events. Entries, exits and stage moves are *derived by diffing consecutive published lists*, which means the earliest captured date is a baseline, not a wave of entries.
• Collect the short-interest proxy because nobody else surfaces it. SLB is collected precisely because it is the only public window onto short positioning in this market — and it is carried with an explicit descriptive-only fence (§4).
• State the capture window on the surface itself. The band board prints the date its feed began capturing, so a reader can see that streaks cannot yet exceed the window (§6).

3. How it works (methodology)

Band locks. A lock is an arithmetic condition on the published close: *close equals the day's high or low, and that equals the band limit*. Consecutive locked days form a streak, and streaks at or beyond a stated minimum length are marked as a persistence cohort. The threshold is a named constant in code (band_lock.FLAG_MIN_STREAK) and is printed on the board beside the count, so the reader always sees the definition next to the number. It is a definition of an observable state — not a filter on what the board shows, and not a claim about what follows.

Surveillance. The day's published list is the day's state. Transitions are obtained by self-joining consecutive dates. Price-band events are carried with their NULL semantics kept honest rather than defaulted.

Stock lending. Two EOD files per trading day: the fee/flow tape and the open-position stock. A missing file on a holiday returns 404 and is a clean skip, never a zero (§6).

What is deliberately absent. No ranking, no score, no ordering by attractiveness, and no claim in either direction about what any of these states precedes.

4. Status, validation & honesty fence

LIVE — and no study has been run on any of these feeds, in either direction. That is the recorded status, stated in the code's own on-page fences and in the feed manifest, not an omission from this page:

• SLB carries a standing descriptive-only fence in feed_manifest.FEEDS["slb"]: *"descriptive-only (no study run on this feed yet — future consumers need prereg)."* The Evidence Receipt quotes that same sentence. A short-interest proxy is exactly the kind of number a reader will want to trade; it has not been tested here, and this page does not test it.
• Band-lock streaks have no study either. The board says so itself: any claim that locks precede returns needs its own pre-registered gate first. High and low locks are both shown, and neither direction is asserted to be favourable.
• Surveillance is context, never a gate. ASM/GSM membership is not a quality judgement and is not used to include or exclude a name anywhere.
• Nothing here can be false, and that is the point. These surfaces report published facts. Their honesty risk is not a wrong number — it is a reader inferring a recommendation from a condition. The pages are written to refuse that inference.
• No buy/sell/hold, no target, no return claim appears anywhere on this surface.

Any future consumer that ranks or trades off these feeds must first record a pre-registered, leak-free study in the strategy ledger. None exists today.

5. Where it lives (code · routes · DB · timers)

• Routes: /dash/band-locks (the bandlock view code) · /dash/surveillance (the surveil view code). Lens keys band-locks, surveillance.
• Engines: the band lock code (streaks, FLAG_MIN_STREAK, FEED_BIRTH) · the surveillance code (nightly NSE list capture) · the slb code (the lending tape).
• DB: surveillance_flags, price_bands_current, price_band_events · slb_volumes, slb_open_positions.
• Receipt: registered in the evidence receipt code as microstructure-stress. 🔴 No provenance descriptor exists for any of these feeds — source and clock resolve from the feed manifest instead. That gap is itself a recorded finding, not an error to paper over.
• Degradation: both boards fall back to an honest empty state rather than returning an error when their tables are unpopulated.

6. Data & provenance

All primary-source (Guardrail #8), all NSE:

🔴 Three provenance facts a reader must carry:

1. The band record has a birth date. Past bands are reconstructed from the change log back to that day and no further. Streaks cannot exceed the captured window, and earlier locks are invisible by construction. The board prints this date.

2. A 404 is a skip, not a zero. A non-publishing day is absent, and an absent day must never be read as "no lending activity".

3. The earliest surveillance date is a baseline. Because transitions are diffed between consecutive lists, the first captured list looks like mass entry and is not.

7. Terminology canon

• Microstructure Stress — the umbrella name for these three surfaces. A surface, never a screen or a strategy.
• Band lock — close = high or low = the band limit. An arithmetic state. *Not* "limit up/down as an entry".
• Streak — consecutive locked days. Flagged = a streak at or beyond FLAG_MIN_STREAK; a persistence cohort, not a rating.
• ASM / GSM — exchange surveillance measures. Membership is a condition applied by the exchange, not a quality score and not a fraud allegation.
• SLB — securities lending and borrowing. The only public short-interest proxy in this market. It is a proxy: it measures lending, not conviction.
• Open position vs fee tape — the stock (what is currently lent) vs the flow (what it cost). Do not read one as the other.

Reader-facing definitions: the metrics glossary.

8. Decision & session history

• Feeds built as primary-source nightly ingests, each with its clock rule and fence status recorded in the feed manifest when added.
• SLB fenced descriptive-only at ingest, with the prereg requirement written into the manifest rather than left to a future reader's judgement.
• Band board shipped with its capture-window fence on the page, because a streak board without its birth date silently misstates its own history.
• 2026-08-31 — this page created so the Evidence Receipt has a truthful rule to quote for L4. It records that no selection rule exists; the receipt's existing rendering of the SLB fence is the honest thing this lens has instead of a rule.

9. Open items / frozen work

• No provenance descriptors for surveillance, SLB or bands — the receipt falls back to the feed manifest. Worth closing, and until then the fallback is the honest path.
• The band window deepens nightly and will keep doing so; it cannot be backfilled past the feed's birth.
• No study is planned on any of these feeds. Anyone who wants one must pre-register it first — that is the standing condition attached to the SLB feed in the manifest.

10. Sources of truth

• Feeds, sources, clock rules and fence status: the feed manifest code — the canonical record.
• Falsification ledger: the strategy ledger — where any future study on these feeds must be recorded.
• Definitions: the metrics glossary.
• Code: the bandlock view code · the surveil view code · the band lock code · the surveillance code · the slb code.

---