# SCHEMA — data dictionary

Two layers:

1. **Event tables** (`data/**`) — one row per captured message, all sharing a single
   56-column envelope schema. The venue's own frame is carried **verbatim and unparsed**
   in `payload_raw`.
2. **Derived tables** (`labels/`, `metadata/`) — small, typed, ready to join.

## 1. The envelope (every row of every file in `data/`)

One schema across the whole `data/` tree, so `pyarrow.dataset.dataset("data")` reads it
as one table. Columns not applicable to a given stream are null; null columns cost
essentially nothing in Parquet.

### 1.1 Always present

| column | type | meaning |
|---|---|---|
| `schema_version` | int32 | Collector record-format version (`1` throughout). |
| `record_type` | string | `feed_event` (websocket / internal) or `rest_response`. |
| `venue` | string | Origin: `polymarket_clob`, `polymarket_rtds`, `polymarket_gamma`, `polymarket_data_api`, `polymarket_crypto_price`, `coinbase`, `binance_spot`, `binance_futures`, `host`. |
| `stream` | string | Logical stream. Per-window streams are `<sym>/<name>` (e.g. `btc/poly_a`); run-level venue streams are bare (e.g. `binance_spot`). |
| `channel` | string | Sub-channel within the stream — see §2. |
| `sym` | string | `btc`, `eth`, or null for run-level venue streams that carry both. |
| `window_ts` | int64 | Unix seconds of the 5-minute window **open**; null for run-level streams. Window closes at `window_ts + 300`. |
| `stream_seq` | int64 | 1-based monotonic counter per stream **file**. Contiguity is the drop-detection invariant: verified gap-free and duplicate-free for every stream (see `metadata/quality_report.json`). |
| `t_arrival_ns` | int64 | Host `CLOCK_REALTIME` at message arrival, nanoseconds. Chrony-disciplined (§4). Use for wall-clock alignment. |
| `t_arrival_mono_ns` | int64 | Host monotonic clock, nanoseconds. **The only valid clock for durations** — immune to NTP steps. |
| `n` | int64 | Payload size in bytes as received. |
| `payload_raw` | string | **The venue frame, verbatim.** Not parsed, not reformatted, not re-serialised. Empty string for records that carry no payload (e.g. `connected`). |

### 1.2 Websocket transport

| column | type | meaning |
|---|---|---|
| `conn` | string | Connection identity, `<stream>#<attempt>`. Increments on reconnect, so it partitions the stream into connection epochs. |
| `conn_msg_seq` | int64 | Message counter **within one connection**. Resets on reconnect, unlike `stream_seq`. |
| `connections` | int64 | Cumulative connection count at that point. |
| `url` | string | Full endpoint URL including the subscription query string. |
| `frame` | string | Outbound frame we sent (subscribe payloads), verbatim. |
| `error` | string | Transport error text on `read_error`. |
| `detail` | string | Close-frame detail on `server_close`. |
| `frames_this_conn`, `idle_ms`, `limit_ms` | int64 | Silence-watchdog state when a watchdog record fires. |

### 1.3 REST transport

| column | type | meaning |
|---|---|---|
| `http_status` | int32 | HTTP status. **`429` rows are retained deliberately** — throttling is part of the observable record, and `payload_raw` then holds the error body, not JSON. |
| `role` | string | Why the call was made: `strike`, `close_slow`, `close_fast`, `live_poll`, `final_drain`, `pre_open`. |
| `limit`, `offset`, `page`, `rows`, `attempt` | int32/int64 | Pagination and retry state. |
| `leg` | string | `up` / `down` — which binary leg a CLOB book snapshot refers to. |
| `token_id` | string | ERC-1155 token id of that leg. |
| `slug` | string | Polymarket market slug, e.g. `btc-updown-5m-1785357600`. |
| `secs_from_open` | float64 | Signed seconds from window open (negative = before open). |
| `secs_from_close` | float64 | Signed seconds from window close. |
| `stable_reads` | int32 | Consecutive identical strike reads at that point. |
| `taker_only` | bool | Trades query filter. |
| `accepted` | bool | Whether the collector accepted this read as authoritative. |
| `start`, `end` | int64 | Requested time range (unix seconds). |
| `granularity_secs` | int32 | Candle granularity for backfill. |
| `requested_start_ts`, `requested_end_ts` | int64 | Backfill range. |
| `row_order` | string | Column order of returned candle arrays, e.g. `[time,low,high,open,close,volume]`. |
| `interval` | string | Kline interval, e.g. `1m`. |

### 1.4 Collector control / annotation records

Emitted by the collector itself, not by a venue. They document decisions in-band.

| column | type | meaning |
|---|---|---|
| `value` | float64 | Confirmed strike on a `strike_confirmed` record. |
| `polls`, `http_429` | int32 | Poll and 429 counts behind that confirmation. |
| `confirmations` | int32 | Repeat reads agreeing on a close price. |
| `next_window_open_ts` | int64 | The next boundary, recorded when a close is confirmed. |
| `got_close_slow`, `got_close_fast` | bool | Which close paths succeeded. |
| `t_request_ns`, `t_response_ns`, `rtt_ns` | int64 | Clock-probe timings against venue `/time` endpoints. |
| `chrony_present` | bool | Whether chrony was running on the capture host. |
| `extra_fields_json` | string | Escape hatch for envelope keys outside this schema. **Null in every row of this release** — verified, see `conversion.no_unknown_envelope_keys`. |

## 2. Streams and their channels

### 2.1 `data/clob_ws/{sym}/{window_ts}/poly_{a,b}.parquet`

Polymarket CLOB market websocket, `wss://ws-subscriptions-clob.polymarket.com/ws/market`,
subscribed to both legs of one window's market. **`poly_a` and `poly_b` are two independent
simultaneous connections to the same channel** — a redundant pair, so that gaps in one can
be detected against the other rather than assumed absent. Agreement is measured per window
in `metadata/quality_report.json` → `dual_capture_report`.

Channels: `market` (the order-book stream), `pong`, `connected`, `subscribe`,
`read_error`, `task_exit`.

`payload_raw` for `market` is a JSON array of CLOB events, each with an `event_type`:
`book` (full snapshot: `bids`/`asks` as `{price,size}` arrays, `hash`, `timestamp`),
`price_change`, `tick_size_change`, `last_trade_price`. The `timestamp` inside the payload
is the **venue's** millisecond clock; `t_arrival_ns` is ours. Their difference is the
observable transport latency.

Directory names mirror the `sym` and `window_ts` columns. They are plain directories, not
hive `key=value` partitions, deliberately: hive keys of those names would collide with the
identically-named data columns and break schema merging.

### 2.2 `data/clob_rest/book_rest.parquet`

`clob/book` REST snapshots, both legs, taken around window open. Use these to anchor the
websocket stream to a known-good book state.

### 2.3 `data/trades/`

| file | role |
|---|---|
| `trades_live.parquet` | `data-api/trades` polled during the window (`role=live_poll`). |
| `trades_final.parquet` | Post-close paginated drain (`role=final_drain`), the authoritative trade set. `page`/`offset`/`rows` describe pagination; `secs_from_close` how late the read was. |

`trades_final` is the one to use for realised trade flow; `trades_live` shows what was
observable *during* the window, which is what a live system would have had.

### 2.4 `data/reference/`

| file | contents |
|---|---|
| `discovery.parquet` | `gamma/markets` responses that resolved slug → condition id → token ids. |
| `strike.parquet` | Every `crypto-price/open` poll, including all `429`s. This is the raw evidence behind each strike, and the record of the throttling that forced the backfill. |
| `resolution.parquet` | `crypto-price/close_slow` and `close_fast` polls plus `close_poll_done` control records. Two independent close paths per window. |
| `holders.parquet` | `data-api/holders` snapshots, pre-open. |

### 2.5 `data/venue/` — run-level, continuous across all 96 windows

| file | source | contents |
|---|---|---|
| `rtds.parquet` | `wss://ws-live-data.polymarket.com` | Channel `crypto_prices_chainlink`. **The settlement oracle.** `payload_raw` = `{"payload":{"data":[{"timestamp":<ms>,"value":<price>},…]}}`, a batched ~1 Hz Chainlink series. |
| `coinbase_tape.parquet` | `wss://advanced-trade-ws.coinbase.com` | Channel `trades+ticker+candles+hb`. |
| `binance_spot.parquet` | `wss://stream.binance.com:9443` | `btcusdt`+`ethusdt` × `aggTrade`, `trade`, `bookTicker`, `kline_1m`. Channel `spot_combined`. |
| `binance_fut_market.parquet` | `wss://fstream.binance.com` | `btcusdt` × `aggTrade`, `markPrice@1s`, `forceOrder`. Channel `fut_market_combined`. |
| `binance_depth_snap.parquet` | Binance REST | `depth` snapshots at `limit=5000`. |
| `backfill.parquet` | Coinbase / Binance REST | Historical candles fetched at run start to pre-warm history. `row_order` gives array column order. |
| `clock.parquet` | host + venue `/time` | Clock-offset probes against CLOB, Binance and Coinbase, with `rtt_ns`. |

## 3. `labels/labels.parquet` — 192 rows (96 windows × 2 symbols)

The supervised target, with the full provenance of how each label was obtained.

| column | type | meaning |
|---|---|---|
| `window_ts`, `window_open_ts`, `window_close_ts` | int64 | Window bounds, unix seconds. |
| `sym` | string | `btc` / `eth`. |
| `slug`, `condition_id`, `token_up`, `token_down` | string | Market and leg identifiers. |
| `resolution_source` | string | Chainlink stream URL the market settles on. |
| `tick_size`, `min_order_size` | float64 | Market microstructure params. |
| `neg_risk` | bool | Polymarket neg-risk flag. |
| **`strike`** | float64 | The price to beat = the window's `openPrice`. |
| `close_slow`, `close_fast` | float64 | Two independently polled settlement closes. |
| **`close_used`** | float64 | The close the label was computed from. |
| `terminal_logret_bps` | float64 | `1e4·ln(close_used/strike)` — signed terminal log-moneyness. |
| **`outcome`** | string | `Up` / `Down`. |
| `outcome_rule` | string | `Up iff close >= strike` (verbatim from the market text). |
| `label_source` | string | `live` (captured in-run) or `backfill_rest+chain` (recovered, two-source verified). |
| `labels_agree_live` | bool | Whether the live run's two label paths agreed. |
| `outcome_from_slow`, `outcome_from_fast` | string | Outcome under each close path. |
| `close_paths_agree_1usd` | bool | Whether the two closes agree within $1. |
| `close_slow_secs_after_close`, `close_fast_secs_after_close` | float64 | Read latency after window close. |
| `strike_first_value`, `strike_first_seen_secs`, `strike_stable_secs` | float64 | Strike settling behaviour. |
| `strike_polls`, `strike_http_429` | int32 | Poll count and throttling behind the strike. |
| `strike_changed_before_settling` | bool | Whether the reported strike moved before stabilising. |
| `backfill_chain_prev_close` | float64 | Previous window's close, used as the independent chain check. |
| `backfill_chain_exact_match` | bool | Whether REST strike matched the chain value. |
| `window_clean_live_capture` | bool | The **live** run's cleanliness verdict, preserved unmodified. Note 17 symbol-windows were unclean live and are clean after backfill; this column records the original state, not the current one. |

### The boundary-chain invariant

Consecutive 5-minute windows share one Chainlink print, so

```
strike(window N) == close(window N-1)
```

for the same symbol. This holds across every consecutive pair in the release and is used
two ways: as the second independent source for backfilled strikes, and as a global
consistency check on all 192 labels (`labels.boundary_chain_consistent`).

## 4. Time and clock discipline

- `t_arrival_ns` is `CLOCK_REALTIME` on the capture host, chrony-disciplined against the
  EC2 link-local NTP service. At run start: system time 161 ns fast of NTP, last offset
  −536 ns, RMS offset 754 ns, root delay 129 µs. Full `chronyc tracking` output is in
  `metadata/clock.json`.
- `t_arrival_mono_ns` is `CLOCK_MONOTONIC`. **Use it for any duration or latency** — it
  cannot step backwards.
- Venue-side timestamps live inside `payload_raw` and are on venue clocks. Cross-venue
  latency work must treat the two clocks separately; `data/venue/clock.parquet` carries
  round-trip probes to quantify the offset.

## 5. `metadata/`

| path | contents |
|---|---|
| `run_manifest.json` | The collector's own end-of-run manifest, verbatim: per-window per-symbol detail, stream counters, run totals. |
| `schedule.json` | The window schedule decided at start, verbatim. |
| `clock.json` | Host clock state at start, verbatim. |
| `label_backfill_summary.json` | Every backfill decision with both sources and the accept/reject verdict, verbatim. |
| `integrity/<window_ts>.json` | Per-window integrity record written at finalisation, verbatim (96 files). |
| `window_meta.parquet` | Per-symbol-window market metadata, including the raw Gamma and CLOB discovery responses as JSON strings. |
| `conversion_manifest.json` | Every source NDJSON file with sha256, byte count, line count, parse failures, and the Parquet file it became with its own sha256 and row count. |
| `quality_report.json` | All verification checks with results and supporting detail. |