Initial upload: 25 days of trades, windows, dense samples, orderbook snapshots

README.md

@@ -0,0 +1,218 @@
+# Oracle Disagreement Labels — Polymarket vs Kalshi 15-min crypto windows
+
+Training and evaluation data for predicting when the two independent oracles
+settling a cross-platform hedged crypto binary trade will **disagree** on
+direction, causing a double-loss event.
+
+- **Platforms**: Polymarket (settles via Chainlink Data Feeds) and Kalshi
+  (settles via CF Benchmarks real-time index, e.g. BRTI for BTC).
+- **Asset universe**: BTC, ETH, SOL, XRP.
+- **Window length**: 15 minutes, aligned to UTC `:00`, `:15`, `:30`, `:45`.
+- **Data range**: 2026-04-14 → 2026-04-22 (8 days of labels; dense samples
+  2026-04-19 → 2026-04-22 only, Phase 1 instrumentation shipped on Apr 19).
+- **Base disagreement rate**: 5.7% across assets; 6.1% BTC / 3.9% ETH / 7.2%
+  SOL / 5.6% XRP.
+
+## Problem statement
+
+For each 15-minute window, predict the binary target:
+
+```
+disagreement = (poly_settled == 'UP') != (kalshi_settled == 'UP')
+```
+
+from features observable at `T = window_close − k` seconds, where `k ∈ [60, 300]`.
+
+**Economics drive the task, not accuracy**:
+
+- Catching a real disagreement saves ~$12.23 on BTC, ~$4.13 on SOL, ~$4.86 on
+  XRP, ~$3.44 on ETH (per-asset average at current position sizing).
+- A false positive costs ~$1.00 (round-trip exit friction: fees + bid-ask).
+- Breakeven precision: `FP / (FP + TP)` — so ~8% on BTC, ~20% on ETH.
+- **Recall matters ~15× more than precision at BTC sizing.**
+
+The production baseline rule
+`coinbase_dist_bp < 4 OR sign_flip(binance − poly_strike, coinbase − kalshi_floor)`
+at T−60s on BTC gives **PPV 24%, Recall 82%, EV +$592 over 20 days** (in-house
+backfill validation; see ship target in source repo docs).
+
+## Files
+
+| File | Rows | Purpose |
+|---|---|---|
+| `windows.parquet` | 2,781 | One row per labeled window. Target: `disagreement`. |
+| `dense_samples.parquet` | 28,408 | 10-s-cadence Binance + Coinbase spot prices for each window's final 5 min. |
+| `orderbook_snapshots.parquet` | 15 | Per-minute book state (bid/ask/depth each side each platform) for in-flight hedged trades. Sparse — instrumentation shipped 2026-04-21. |
+| `trades.parquet` | 407 | Live-traded rows with realized P&L. Useful for EV-per-window validation. |
+| `stats.json` | — | Row counts, per-asset base rates, date range. |
+
+### `windows.parquet`
+
+| Column | Type | Notes |
+|---|---|---|
+| `asset` | str | `btc` / `eth` / `sol` / `xrp` |
+| `window_start` | timestamp[UTC] | Window open time |
+| `window_end` | timestamp[UTC] | Window close time (target timestamp) |
+| `window_ts` | int64 | Unix-seconds of `window_start`; primary join key |
+| `oracle_agreed` | bool | Raw label (True = same direction on both oracles) |
+| `disagreement` | bool | **Target** — `NOT oracle_agreed` |
+| `poly_settled` | str | `UP` or `DOWN` per Chainlink |
+| `kalshi_settled` | str | `UP` or `DOWN` per CF Benchmarks |
+| `kalshi_expiration_value` | float | CF Benchmarks index value at close |
+| `poly_ptb` | float | Poly strike (price-to-beat, scraped) |
+| `poly_rtds` | float | Poly RTDS-reported strike (may differ from `poly_ptb` by ~$0.16 for ETH; see notes) |
+| `kalshi_floor` | float | Kalshi strike |
+| `strike_gap` | float | `poly_ptb − kalshi_floor` in absolute units |
+| `ptb_source` | str | Where the strike came from (PTB scraper vs RTDS vs fallback) |
+| `delta_ptb_vs_rtds` | float | Cross-check delta |
+| `settled_at` | timestamp[UTC] | When the row was finalized |
+
+### `dense_samples.parquet`
+
+Per-observation spot prices. Join to `windows` on `window_ts + asset`.
+
+| Column | Type | Notes |
+|---|---|---|
+| `asset` | str | |
+| `ts` | timestamp[UTC] | Sample timestamp |
+| `window_id` | str | Format: `{asset}-{window_ts}` |
+| `window_ts` | int64 | Join key |
+| `trade_id` | str \| null | Set when an active hedged trade was in this window |
+| `binance` | float | Binance spot, Chainlink proxy |
+| `coinbase` | float | Coinbase spot, CF Benchmarks proxy |
+| `poly_strike` | float | Chainlink-aligned strike |
+| `kalshi_floor` | float | CF-Benchmarks-aligned strike |
+| `secs_to_close` | int | Seconds from sample to window close |
+| `sample_age_ms` | int | Staleness of the spot fetch |
+| `coinbase_dist_bp` | float | `(coinbase − kalshi_floor) / kalshi_floor × 10000` — signed |
+| `binance_dist_bp` | float | Same, Binance side |
+| `sign_flip` | int8 | `1` if Binance and Coinbase are on opposite sides of their respective strikes |
+| `cross_spot_bp` | float | `|binance − coinbase| / mid × 10000` — pre-computed cross-exchange spread |
+
+Cadence: ~10 seconds per sample, only during the final 300 seconds of each
+window (Phase 1 sampler design). Four assets sampled in parallel.
+
+### `orderbook_snapshots.parquet`
+
+Best bid/ask and depth from both platforms for in-flight hedged trades,
+emitted once per 60 seconds in the final 5 minutes. Sparse because the logger
+shipped 2026-04-21 and has only been on for ~12 hours at dataset build time.
+
+Columns: `asset`, `trade_id`, `window_id`, `ts`, `secs_to_close`, plus
+`{poly,kalshi}_{yes,no}_{bid,ask,depth}`.
+
+### `trades.parquet` (sanitized)
+
+**This file has been sanitized for external research use.** All fill
+prices, position sizes, Kelly fractions, fees, sides, and dollar P&L have
+been removed. What remains is derivable from public market data plus
+two anonymous outcome booleans.
+
+| Column | Type | Notes |
+|---|---|---|
+| `id` | uuid | Opaque row identifier |
+| `matched_event_id` | str | `crypto-<asset>-15m-<asset>-updown-15m-<window_ts>` |
+| `asset` | str | Derived from `matched_event_id` |
+| `window_ts` | int64 | Join key matching `windows.window_ts` |
+| `oracle_agreed` | bool | Label for this trade's window |
+| `created_at` | timestamp[UTC] | Entry time (reveals `minute_in_window` but that's also explicit below) |
+| `resolved_at` | timestamp[UTC] | Settlement time |
+| `poly_strike` | float | Strike at entry (public) |
+| `kalshi_strike` | float | Strike at entry (public) |
+| `spot_at_trade` | float | Binance spot at entry (public) |
+| `binance_spot` | float | Binance spot at entry (public) |
+| `coinbase_spot` | float | Coinbase spot at entry (public) |
+| `strike_gap_pct` | float | Derived: `(poly_strike − kalshi_strike) / kalshi_strike` |
+| `flat_candle_move_pct` | float | Derived: spot movement since window open |
+| `minute_in_window` | int | 0–14, minute at which entry occurred |
+| `binance_coinbase_divergence_pct` | float | Cross-exchange spread at entry |
+| `was_win` | bool | Anonymous: did this trade resolve profitably? |
+| `was_double_loss` | bool | Anonymous: was this a double-loss event? |
+
+**What's useful in this file**:
+- Identify which windows were traded (`window_ts`) for selection-bias analysis.
+- Compare model fire-points against real traded windows.
+- Cross-check that `was_double_loss ⊆ NOT oracle_agreed` (sanity).
+- Aggregate win rate for validating the EV formula.
+
+Per-asset trade counts: BTC 176, ETH 95, XRP 68, SOL 68. Overall win
+rate **89.19%**, double-loss rate **10.81%**.
+
+**What's NOT in this file (and why)**:
+- Fill prices, sizes, fees, P&L, Kelly fraction — all stripped to avoid
+  exposing the bot's live execution characteristics. If you need
+  ground-truth EV numbers, use the per-asset aggregates in the project
+  docs (avg DL cost: BTC −$12.23, ETH −$3.44, SOL −$4.13, XRP −$4.86;
+  avg FP cost ~$1.00).
+- Sides (YES/NO per platform) — not needed for disagreement prediction
+  (the target is window-level, not side-level) and would reveal our
+  direction-selection logic.
+
+## Recommended splits
+
+- **Walk-forward**: train on rolling N=5 days, test on next M=1 day. No single
+  fixed split — our live signal drifts with volatility regimes and platform
+  fee structure. The 2026-04-21 windows are the most recent and should
+  dominate the test set in every fold.
+- **Never mix traded and non-traded windows within a fold**. Traded windows
+  (matched by `trade_id` in `dense_samples`) are a biased subset — the entry
+  guards specifically select near-strike windows. Use non-traded windows for
+  training signal, traded windows for out-of-sample realism checks.
+
+## Known gotchas
+
+1. **`poly_rtds` is unreliable on ETH**: RTDS has been measured ~$0.16 off
+   vs the PTB scraper's ground truth. Prefer `poly_ptb` when both are
+   present; fall back to `poly_rtds` + sanity-check gap only if PTB missing.
+2. **Phase 1 dense sampling started 2026-04-19**. Windows before that date
+   have labels but no `dense_samples` rows. Your dense-feature model is
+   trained + evaluated only on 2026-04-19 onward.
+3. **Pre-rotation log data is not in the bundle**. The rotated `.zst` logs
+   from earlier dates contain only pre-Phase-1 output without `ORACLE_SAMPLE`
+   lines, so re-running the ingestion script won't recover earlier dense
+   data. Historical reconstruction requires pulling raw exchange tick data
+   and simulating the Phase 1 sampling cadence.
+4. **Sampling coverage varies**. If either Binance or Coinbase fetch failed
+   at a tick, the sample is emitted with a `null` field. Impute or drop as
+   your model requires; current production rule drops.
+5. **Strike uniqueness**: `strike_snapshots` can have duplicate rows per
+   `(asset, window_ts)`. The build script picks the first occurrence; a more
+   principled approach (earliest-vs-latest) is an ablation point.
+6. **Labels are settlement-truth, not prediction-time truth**. The
+   `kalshi_expiration_value` in the label is the CF Benchmarks value at
+   close, which can differ from the same index's value at T-60s by several
+   basis points. Do NOT use `kalshi_expiration_value` as a feature — it
+   leaks the target.
+
+## Reproduction
+
+This dataset was generated by:
+
+```bash
+python3 scripts/build_oracle_disagreement_dataset.py
+```
+
+against the production Supabase database and rotated log files. Source is in
+the repo under `scripts/build_oracle_disagreement_dataset.py`.
+
+## License
+
+Internal research data. Do not redistribute outside the Anthropic /
+polymarket-arb project without permission.
+
+## Baseline EV numbers to beat
+
+| Horizon | Rule | PPV | Recall | EV per 20d (BTC only) |
+|---|---|---|---|---|
+| T−60s | `coinbase_dist<4 OR sign_flip` | 24% | 82% | +$592 |
+| T−120s | same rule | 18% | 64% | +$219 |
+| T−300s | same rule | 11% | 52% | +$89 |
+
+Ship target: PPV ≥ 35% at recall ≥ 70% at T−60s, AND PPV ≥ 13% at recall
+≥ 60% at T−5 min on held-out walk-forward validation.
+
+## Contact / questions
+
+See `docs/architecture/oracle_disagreement_exit_guard.md` in the source repo
+(especially §13–14) for the full backtest methodology and ruled-out
+features.

dense_samples.parquet

@@ -0,0 +1,3 @@
+version https://git-lfs.github.com/spec/v1
+oid sha256:72f33a8bd8c9de86b95a1fedf14615ffcca705b3bc6a9efbda3483aac616eb2f
+size 2975216

orderbook_snapshots.parquet

@@ -0,0 +1,3 @@
+version https://git-lfs.github.com/spec/v1
+oid sha256:9f4b21a96b632be90865d339bc91600f6a51f345981ffc24594b6773ff5ece95
+size 43431

stats.json

@@ -0,0 +1,53 @@
+{
+  "generated_at_utc": "2026-04-27T00:21:42.086793+00:00",
+  "rows": {
+    "windows": 4503,
+    "dense_samples": 96394,
+    "orderbook_snapshots": 485,
+    "trades": 505
+  },
+  "per_asset": [
+    {
+      "asset": "btc",
+      "n": 1138,
+      "n_disagree": 81,
+      "rate_pct": 7.12
+    },
+    {
+      "asset": "eth",
+      "n": 1117,
+      "n_disagree": 63,
+      "rate_pct": 5.64
+    },
+    {
+      "asset": "sol",
+      "n": 1127,
+      "n_disagree": 78,
+      "rate_pct": 6.92
+    },
+    {
+      "asset": "xrp",
+      "n": 1121,
+      "n_disagree": 66,
+      "rate_pct": 5.89
+    }
+  ],
+  "date_range": {
+    "window_start_min": "2026-04-14T00:15:00+00:00",
+    "window_end_max": "2026-04-27T00:15:00+00:00"
+  },
+  "dense_samples_by_asset": {
+    "btc": 24495,
+    "eth": 24301,
+    "sol": 23952,
+    "xrp": 23646
+  },
+  "trades_by_asset": {
+    "btc": 243,
+    "eth": 117,
+    "xrp": 73,
+    "sol": 72
+  },
+  "trades_win_rate": 89.7,
+  "trades_double_loss_rate": 9.9
+}

trades.parquet

@@ -0,0 +1,3 @@
+version https://git-lfs.github.com/spec/v1
+oid sha256:c4f32880b9dc0ffbcc5fbae9ebd062a0f1a26eef9807af3214690f6d7df5ca78
+size 66828

windows.parquet

@@ -0,0 +1,3 @@
+version https://git-lfs.github.com/spec/v1
+oid sha256:5e3062724b033559f1bcaf353b884597bf47a6fdee30be110d28dbf61cad0159
+size 214047