# ETH 1-minute realised vol on edgeX for one day -- mcp side ## Question What was the realised volatility of the ETH perpetual on edgeX on 2026-09-27 (UTC day): the standard deviation of 1-minute log returns of the close, annualised? One number. ## System prompt You are an agent assisting a quantitative researcher. Work the question end to end: find the data, compute, check your own numbers, and make the judgement calls a careful quant would make. You have a Bash tool; Python 3 with duckdb, pandas, pyarrow and numpy is at /tmp/peerfeed-a21/venv/bin/python. Work inside your current directory. When you are done, end with a section headed FINAL ANSWER that gives every number asked for and states each judgement call you made. Your only source of market data is PeerFeed's market-data MCP server (the tools named mcp__peerfeed__*). There is no market data on local disk. ## [tool call 1] mcp__peerfeed__list_instruments { "venue": "edgex", "contains": "ETH" } ## [tool call 2] mcp__peerfeed__describe_environment {} ## [tool result] { "call_id": "a9303c6a81944053", "instruments": [ { "instrument": "edgex/trades:ETHUSD", "dataset": "edgex/trades", "symbol": "ETHUSD", "first_day": "2025-12-15", "last_day": "2026-08-28", "days": 244, "rows": 4648611, "granularity": "tick (trades)", "timestamp_semantics": "exchange" }, { "instrument": "edgex/depth:ETHUSDC", "dataset": "edgex/depth", "symbol": "ETHUSDC", "first_day": "2026-09-06", "last_day": "2026-09-29", "days": 22, "rows": 2513343, "granularity": "snapshot (state)", "timestamp_semantics": "observation" }, { "instrument": "edgex/trades:ETHUSDC", "dataset": "edgex/trades", "symbol": "ETHUSDC", "first_day": "2026-09-03", "last_day": "2026-09-29", "days": 27, "rows": 1966193, "granularity": "tick (trades)", "timestamp_semantics": "exchange" }, { "instrument": "edgex/ticker:ETHUSDC", "dataset": "edgex/ticker", "symbol": "ETHUSDC", "first_day": "2026-09-03", "last_day": "2026-09-29", "days": 25, "rows": 767966, "granularity": "snapshot (state)", "timestamp_semantics": "exchange" }, { "instrument": "edgex/ticker:ETHUSD", "dataset": "edgex/ticker", "symbol": "ETHUSD", "first_day": "2026-07-01", "last_day": "2026-08-28", "days": 50, "rows": 360257, "granularity": "snapshot (state)", "timestamp_semantics": "exchange" }, { "instrument": "edgex/trades:ETHFIUSD", "dataset": "edgex/trades", "symbol": "ETHFIUSD", "first_day": "2025-12-15", "last_day": "2026-08-28", "days": 161, "rows": 41215, "granularity": "tick (trades)", "timestamp_semantics": "exchange" }, { "instrument": "edgex/ticker:ETHFIUSD", "dataset": "edgex/ticker", "symbol": "ETHFIUSD", "first_day": "2026-07-01", "last_day": "2026-08-28", "days": 50, "rows": 2591, "granularity": "snapshot (state)", "timestamp_semantics": "exchange" } ], "total": 7, "offset": 0, "returned": 7 } ## [tool result] { "call_id": "10affae55506408a", "datasets": [ "aevo/orderbook", "aevo/ticker", "apex/orderbook", "apex/trades", "aster/usdm/trades", "bybit/liquidations", "derive/auctions", "derive/margin", "derive/trades", "dydx/orderbook", "dydx/trades", "edgex/depth", "edgex/ticker", "edgex/trades", "extended/funding", "extended/mark_price", "extended/orderbook", "gains/registerTrade", "gains/unregisterTrade", "gains/updatePositionSize", "gmx/deposits", "gmx/orders", "gmx/withdrawals", "grvt/book", "grvt/ticker", "grvt/trades", "hyperliquid/activeAssetCtx", "hyperliquid/liquidation_events", "hyperliquid/liquidation_map", "hyperliquid/liquidation_map_accuracy", "hyperliquid/risk_positions", "hyperliquid/risk_scan_log", "hyperliquid/risk_state_census", "hyperliquid/risk_traders", "hyperliquid/scan_audits", "hyperliquid/trades", "kalshi/orderbook_delta", "kalshi/ticker", "kalshi/trade", "lighter/market_stats", "lighter/trades", "mexc/funding_rate", "nado/best_bid_offer", "nado/book_depth", "nado/funding_payment", "nado/funding_rate", "nado/liquidation", "nado/trades", "pacifica/book", "pacifica/prices", "pacifica/trades", "paradex/bbo", "paradex/trades", "polymarket/book", "polymarket/last_trade_price", "polymarket_catalog/metadata", "polymarket_chain/redemptions", "polymarket_chain/resolutions", "polymarket_chain/trades", "rho/orderbook", "rho/ticker", "rho/trades" ], "feed_defaults": { "kind": "trades", "serves_bars": true, "clock": "exchange (the venue's own timestamp)", "direction_measured": true, "note": "Everything not listed in feed_exceptions follows these. Call describe_dataset('') for one dataset's full declaration — it takes a bare name, no symbol needed." }, "feed_exceptions": { "state_no_bars": [ "aevo/orderbook", "aevo/ticker", "apex/orderbook", "derive/auctions", "derive/margin", "dydx/orderbook", "edgex/depth", "edgex/ticker", "extended/funding", "extended/mark_price", "extended/orderbook", "gains/registerTrade", "gains/unregisterTrade", "gains/updatePositionSize", "gmx/deposits", "gmx/orders", "gmx/withdrawals", "grvt/book", "grvt/ticker", "hyperliquid/activeAssetCtx", "hyperliquid/liquidation_map", "hyperliquid/liquidation_map_accuracy", "hyperliquid/risk_scan_log", "hyperliquid/risk_state_census", "hyperliquid/risk_traders", "hyperliquid/scan_audits", "kalshi/orderbook_delta", "kalshi/ticker", "lighter/market_stats", "mexc/funding_rate", "nado/best_bid_offer", "nado/book_depth", "nado/funding_payment", "nado/funding_rate", "pacifica/book", "pacifica/prices", "paradex/bbo", "polymarket/book", "polymarket_catalog/metadata", "polymarket_chain/redemptions", "polymarket_chain/resolutions", "polymarket_chain/trades", "rho/orderbook", "rho/ticker" ], "observation_clock": [ "aevo/orderbook", "apex/orderbook", "dydx/orderbook", "edgex/depth", "gains/registerTrade", "gains/unregisterTrade", "gains/updatePositionSize", "hyperliquid/activeAssetCtx", "kalshi/ticker", "lighter/market_stats", "mexc/funding_rate", "nado/book_depth", "nado/trades", "paradex/bbo", "polymarket/book", "polymarket_chain/redemptions", "polymarket_chain/resolutions", "polymarket_chain/trades", "rho/orderbook", "rho/ticker" ], "direction_unmeasured": [ "aevo/orderbook", "aevo/ticker", "apex/orderbook", "bybit/liquidations", "derive/auctions", "derive/margin", "dydx/orderbook", "edgex/depth", "edgex/ticker", "edgex/trades", "extended/funding", "extended/mark_price", "extended/orderbook", "gains/registerTrade", "gains/unregisterTrade", "gains/updatePositionSize", "gmx/deposits", "gmx/orders", "gmx/withdrawals", "grvt/book", "grvt/ticker", "grvt/trades", "hyperliquid/activeAssetCtx", "hyperliquid/liquidation_map", "hyperliquid/liquidation_map_accuracy", "hyperliquid/risk_positions", "hyperliquid/risk_scan_log", "hyperliquid/risk_state_census", "hyperliquid/risk_traders", "hyperliquid/scan_audits", "kalshi/orderbook_delta", "kalshi/ticker", "lighter/market_stats", "lighter/trades", "mexc/funding_rate", "nado/best_bid_offer", "nado/book_depth", "nado/funding_payment", "nado/funding_rate", "nado/liquidation", "pacifica/book", "pacifica/prices", "pacifica/trades", "paradex/bbo", "polymarket/book", "polymarket_catalog/metadata", "polymarket_chain/redemptions", "polymarket_chain/resolutions", "polymarket_chain/trades", "rho/orderbook", "rho/ticker" ], "what_these_mean": "state_no_bars: snapshots, not events — no price/size column, get_ohlcv and get_activity_bars refuse them, use run_query. observation_clock: served on our recorded_at because the venue timestamp is a state epoch that does not advance while the state is unchanged. direction_unmeasured: canonical `side` reads 'unknown'; do NOT infer direction from the raw column — coinbase reports the MAKER's side, so the obvious reading is backwards there." }, "access_mode": "public", "catalog_ready": true, "data_quality": { "catalog_built": true, "mean_shard_coverage": 0.442, "dataset_days_measured": 9405, "dataset_days_below_threshold": 7603, "unreadable_days": 0, "warning": "PARTIAL DATA: shards in this range hold only ~44% of their 2-hour windows on average (known upstream issue: shards built from only their first ~31 minutes of data). Bars at 1h and coarser are computed from a fraction of the trades, so their high, low, volume and close are not representative. Gaps are real missing data, not quiet markets.", "what_this_means": "Shards exist for every window, but each holds only part of it, and the missing part is systematically the later portion of each 2-hour window — not a random sample. Bars at 1h and coarser are computed from a fraction of the trades. Treat volume, VWAP and any time-of-day analysis as unreliable until this is resolved upstream." }, "excluded_datasets": [ { "dataset": "binance/coinm/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "binance/spot/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "bingx/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "bitget/ticker", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "bitget/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "bybit/tickers", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "bybit/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "coinbase/ticker", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "coinbase/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "deribit/option_ticker", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "deribit/option_trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "deribit/perpetual", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "deribit/ticker", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "deribit/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "htx/ticker", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "htx/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "kraken/ticker", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "kraken/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "kucoin/instrument", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "kucoin/ticker", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "kucoin/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "mexc/tickers", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "mexc/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "okx/spot/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "okx/swap/trades", "category": "cex", "reason": "cex venue: raw trade data is not served publicly. Only derived types (liquidations, funding_rate, funding, open_interest) are, and the licensing review for computed series over CEX data is still open." }, { "dataset": "weather_asos/asos_metar", "category": "other", "reason": "other venue: not cleared for public access." }, { "dataset": "weather_ecmwf/forecast", "category": "other", "reason": "other venue: not cleared for public access." }, { "dataset": "weather_gefs/forecast", "category": "other", "reason": "other venue: not cleared for public access." }, { "dataset": "weather_gfs/forecast", "category": "other", "reason": "other venue: not cleared for public access." }, { "dataset": "weather_hrrr/forecast", "category": "other", "reason": "other venue: not cleared for public access." } ], "instrument_id_format": "dataset:symbol", "observation_timed_datasets": [ "aevo/orderbook", "apex/orderbook", "dydx/orderbook", "edgex/depth", "gains/registerTrade", "gains/unregisterTrade", "gains/updatePositionSize", "hyperliquid/activeAssetCtx", "kalshi/ticker", "lighter/market_stats", "mexc/funding_rate", "nado/book_depth", "nado/trades", "paradex/bbo", "polymarket/book", "polymarket_chain/redemptions", "polymarket_chain/resolutions", "polymarket_chain/trades", "rho/orderbook", "rho/ticker" ], "run_query_table_t": { "contents": "1-minute OHLCV bars (raw trades are not reachable)", "columns": { "instrument": "VARCHAR", "ts": "TIMESTAMPTZ (UTC), bar start", "open": "DOUBLE", "high": "DOUBLE", "low": "DOUBLE", "close": "DOUBLE", "volume": "DOUBLE", "trades": "BIGINT", "vwap": "DOUBLE" }, "min_trades_per_bar": 3 }, "granularities": [ "1m", "5m", "15m", "1h", "4h", "1d" ], "funding": { "tool": "get_funding", "datasets": { "edgex/ticker": { "interval_hours": 4 }, "extended/funding": { "interval_hours": 1 }, "hyperliquid/activeAssetCtx": { "interval_hours": 1 }, "nado/funding_rate": { "interval_hours": 24 }, "pacifica/prices": { "interval_hours": 1 } }, "note": "Rates are served with their interval and normalised to per-hour, per-8h and APR; never compare raw rates across venues." }, "limits": { "max_bars_per_call": 5000, "max_query_rows": 5000, "max_shards_per_call": 400, "shard_hours": 2, "calls_per_minute": 60 }, "sql_dialect": "DuckDB (read-only, single SELECT/WITH statement, must read from `t`)", "coverage_scope": "this host only — reflects what this machine aggregated" } ## [agent thinking] ## [tool call 3] mcp__peerfeed__run_query { "dataset": "edgex/trades", "instrument": "ETHUSDC", "start": "2026-09-27T00:00:00Z", "end": "2026-09-28T00:00:00Z", "sql": "WITH b AS (SELECT ts, close, extract(epoch from ts)::BIGINT/60 AS m FROM t),\nr AS (SELECT ts, m, m - lag(m) OVER (ORDER BY ts) AS gap, ln(close/lag(close) OVER (ORDER BY ts)) AS lr FROM b)\nSELECT count(*) bars, min(ts), max(ts),\n count(*) FILTER (WHERE gap=1) consec,\n stddev_samp(lr) FILTER (WHERE gap=1) sd_consec,\n stddev_samp(lr) sd_all, sum(lr*lr) sumsq_all,\n max(gap) maxgap,\n count(DISTINCT extract(hour from ts)) hours\nFROM r" } ## [tool result] { "error": "ParserException: Parser Error: syntax error at or near \"hours\"\n\nLINE 8: count(DISTINCT extract(hour from ts)) hours\n ^", "refused": true, "tool": "run_query", "call_id": "8946e0ba241647dc" } ## [tool call 4] mcp__peerfeed__data_quality { "dataset": "edgex/trades" } ## [tool result] { "call_id": "9965b60e080e4bd5", "findings": [ { "check": "window_coverage", "dataset": "edgex/trades", "severity": "critical", "days_affected": 214, "worst_value": 0.0916, "healthy_value": 0.9916170023148148, "first_day": "2025-12-19", "last_day": "2026-09-16", "message": "holds ~9% of its window, 9% of normal (this feed's healthy shards span ~99% of a window); bars at 1h and coarser are computed from a fraction of the data", "detail": { "rows": 251, "files": 1, "reference": "feed's own post-fix median", "reference_days": 12 } }, { "check": "timestamp_plausibility", "dataset": "edgex/trades", "severity": "critical", "days_affected": 169, "worst_value": 654.6448, "healthy_value": 0.0, "first_day": "2025-12-15", "last_day": "2026-09-19", "message": "timestamps reach 654.6 day(s) outside the day they are filed under — stale replay or a unit error", "detail": { "earliest": "2024-11-11 09:31:32.564000+01:00", "latest": "2026-08-14 10:02:33.189000+02:00", "days_before_window": 654.645, "days_after_window": 0.0 } }, { "check": "shard_completeness", "dataset": "edgex/trades", "severity": "critical", "days_affected": 7, "worst_value": 0.1667, "healthy_value": 1.0, "first_day": "2026-04-06", "last_day": "2026-09-17", "message": "2 of 12 2h shards exist for this day on this host", "detail": { "shards_present": 2, "shards_expected": 12, "rows": 11040 } }, { "check": "volume_anomaly", "dataset": "edgex/trades", "severity": "critical", "days_affected": 6, "worst_value": 0.0002, "healthy_value": 1.0, "first_day": "2025-12-19", "last_day": "2026-08-13", "message": "0% of the 156,042 row median for the preceding days", "detail": { "rows": 30, "baseline_median": 156042 } }, { "check": "instrument_scope", "dataset": "edgex/trades", "severity": "critical", "days_affected": 3, "worst_value": 0.0598, "healthy_value": 1.0, "first_day": "2026-08-09", "last_day": "2026-08-13", "message": "11 instruments recorded against a usual 184 — coverage narrowed, likely a subscription change rather than a quiet market", "detail": { "instruments": 11, "reference_p90": 184, "history_days": 90 } }, { "check": "day_continuity", "dataset": "edgex/trades", "severity": "critical", "days_affected": 1, "worst_value": 18.0, "healthy_value": 0.0, "first_day": null, "last_day": null, "message": "18 day(s) missing, longest run 5 day(s)", "detail": { "first_day": "2025-12-15", "last_day": "2026-09-29", "days_present": 271, "longest_gap_days": 5, "gaps": [ [ "2025-12-16", "2025-12-16" ], [ "2026-04-04", "2026-04-05" ], [ "2026-08-08", "2026-08-08" ], [ "2026-08-11", "2026-08-12" ], [ "2026-08-16", "2026-08-16" ] ] } }, { "check": "catalog_staleness", "dataset": "edgex/trades", "severity": "critical", "days_affected": 1, "worst_value": 1.0, "healthy_value": 0.0, "first_day": null, "last_day": null, "message": "1 of 9 indexed days have files that changed after they were measured (newest 2026-09-21); everything reported about them describes the previous version of those files. Re-index to re-measure.", "detail": { "days_measured": 9, "stale_days": 1, "recent_days_being_written": 0, "newest_stale_day": "2026-09-21", "note": "files changed after this day was indexed; re-index to re-measure", "days_examined_this_run": 800, "catalog_days_total": 10429, "coverage_note": "NEWEST 800 of 10,429 indexed dataset-days were examined; older days were not looked at, so a count of zero here is a lower bound rather than an all-clear" } }, { "check": "instrument_scope", "dataset": "edgex/trades", "severity": "warn", "days_affected": 51, "worst_value": 0.1685, "healthy_value": 1.0, "first_day": "2026-04-14", "last_day": "2026-08-07", "message": "31 instruments recorded against a usual 184 — coverage narrowed, likely a subscription change rather than a quiet market", "detail": { "instruments": 31, "reference_p90": 184, "history_days": 90 } }, { "check": "volume_anomaly", "dataset": "edgex/trades", "severity": "warn", "days_affected": 19, "worst_value": 158.9575, "healthy_value": 1.0, "first_day": "2025-12-17", "last_day": "2026-09-21", "message": "159.0x the recent median — possible duplication", "detail": { "rows": 823718, "baseline_median": 5182 } }, { "check": "window_coverage", "dataset": "edgex/trades", "severity": "warn", "days_affected": 14, "worst_value": 0.5, "healthy_value": 0.9916170023148148, "first_day": "2025-12-18", "last_day": "2026-08-10", "message": "holds ~50% of its window, 50% of normal (this feed's healthy shards span ~99% of a window); bars at 1h and coarser are computed from a fraction of the data", "detail": { "rows": 304121, "files": 12, "reference": "feed's own post-fix median", "reference_days": 12 } }, { "check": "shard_completeness", "dataset": "edgex/trades", "severity": "warn", "days_affected": 7, "worst_value": 0.5, "healthy_value": 1.0, "first_day": "2026-04-03", "last_day": "2026-09-08", "message": "6 of 12 2h shards exist for this day on this host", "detail": { "shards_present": 6, "shards_expected": 12, "rows": 76548 } }, { "check": "timestamp_plausibility", "dataset": "edgex/trades", "severity": "warn", "days_affected": 3, "worst_value": 6.6101, "healthy_value": 0.0, "first_day": "2026-09-03", "last_day": "2026-09-05", "message": "timestamps reach 6.6 day(s) outside the day they are filed under — stale replay or a unit error", "detail": { "earliest": "2026-08-29 11:21:31.536000+02:00", "latest": "2026-09-06 00:30:59.588000+02:00", "days_before_window": 6.61, "days_after_window": 0.0 } } ], "counts_by_severity": { "critical": 7, "warn": 5 }, "checks_run": [ "catalog_staleness", "day_continuity", "instrument_scope", "shard_completeness", "staleness", "timestamp_plausibility", "volume_anomaly", "window_coverage" ], "checks_not_run": null, "scope_note": "Every check ran.", "note": "Magnitudes are measured, not asserted: each finding reports the value and the value it would take if healthy." } ## [tool call 5] mcp__peerfeed__run_query { "dataset": "edgex/trades", "instrument": "ETHUSDC", "start": "2026-09-27T00:00:00Z", "end": "2026-09-28T00:00:00Z", "sql": "WITH b AS (SELECT ts, close, trades, (epoch(ts)::BIGINT)//60 AS m FROM t),\nr AS (SELECT ts, m, trades, m - lag(m) OVER (ORDER BY ts) AS gap, ln(close/lag(close) OVER (ORDER BY ts)) AS lr FROM b)\nSELECT count(*) AS nbars, min(ts) AS first_ts, max(ts) AS last_ts,\n count(*) FILTER (WHERE gap=1) AS consec,\n stddev_samp(lr) FILTER (WHERE gap=1) AS sd_consec,\n stddev_samp(lr) AS sd_all, sum(lr*lr) AS sumsq_all,\n max(gap) AS maxgap, sum(trades) AS ntrades,\n count(DISTINCT hour(ts)) AS nhours\nFROM r" } ## [tool result] { "call_id": "d09fdbaa80e44e59", "shard_presence": { "shards_present": 12, "shards_expected": 12, "days_indexed": 1, "days_requested": 1, "empty_shard_files": 0, "days_unindexed": 0, "days_measured": 1, "days_blind": 0, "catalog_covers": { "from": "2025-12-15", "to": "2026-09-29" }, "dataset_indexed": true, "measured": true, "fraction": 1.0 }, "presence_warning": null, "shard_coverage": 0.992, "healthy_shard_coverage": 0.992, "coverage_warning": null, "known_data_labels": null, "label_source": { "roots_checked": 3, "label_files_found": 1, "files": [ "/mnt/nasrecorders/_labels/edgex/trades/labels.jsonl" ], "kinds_exhaustive": [], "kinds_not_emitted": [ "census_incomplete", "permission", "type_widened" ], "coverage_declared_by": "mission-2/nm-recovery", "scope_notes": {}, "scope_notes_omitted": "Scope notes for absent, biased_subset, census_incomplete, not_archived, partial_window, permission, precision, type_widened, unreadable are not included because no label of those kinds is in force for this window. They are in _labels/_coverage.json, and data_quality returns them in full.", "absence_note": "NO label kind is claimed exhaustive here, so absence of a label never means the thing did not happen — only that nobody recorded it. See scope_notes for where absence can be relied on.", "warning": null }, "completeness_unavailable": null, "slices": null, "columns": [ "nbars", "first_ts", "last_ts", "consec", "sd_consec", "sd_all", "sumsq_all", "maxgap", "ntrades", "nhours" ], "rows": [ [ 1440, "2026-09-27T00:00:00Z", "2026-09-27T23:59:00Z", 1439, 0.00036721106619282595, 0.00036721106619282595, 0.00019391109617769014, 1, 68038, 24 ] ], "row_count": 1, "truncated": false, "shards_bound": 13, "rows_estimated": 195969, "zero_rows_note": null, "table_t": "1-minute bars", "table_t_note": "Bars built from fewer than 3 trades are ABSENT from t, not zero-valued. See withheld_by_floor for HOW MUCH this window lost - a gap in t is a withheld bar or a minute with no trades, and the counts there are the only way to tell.", "withheld_by_floor": { "bars": 0, "trades": 0, "volume": null, "min_trades": 3, "note": "Nothing was withheld: every bar in this window met the floor." }, "extremum_warning": null, "timestamp_semantics": "exchange", "timestamp_note": "ts is the venue's own event time.", "note": null } ## [agent thinking] ## [tool call 6] mcp__peerfeed__run_query { "dataset": "edgex/trades", "instrument": "ETHUSDC", "start": "2026-09-27T00:00:00Z", "end": "2026-09-28T00:00:00Z", "sql": "WITH r AS (SELECT ts, close, ln(close/lag(close) OVER (ORDER BY ts)) AS lr FROM t)\nSELECT max(abs(lr)) AS maxabs, min(close) AS minc, max(close) AS maxc, avg(lr) AS mu, stddev_samp(lr)*sqrt(525600) AS ann FROM r" } ## [tool result] { "call_id": "230de9f5dfc1483e", "shard_presence": { "shards_present": 12, "shards_expected": 12, "days_indexed": 1, "days_requested": 1, "empty_shard_files": 0, "days_unindexed": 0, "days_measured": 1, "days_blind": 0, "catalog_covers": { "from": "2025-12-15", "to": "2026-09-29" }, "dataset_indexed": true, "measured": true, "fraction": 1.0 }, "presence_warning": null, "shard_coverage": 0.992, "healthy_shard_coverage": 0.992, "coverage_warning": null, "known_data_labels": null, "label_source": { "roots_checked": 3, "label_files_found": 1, "files": [ "/mnt/nasrecorders/_labels/edgex/trades/labels.jsonl" ], "kinds_exhaustive": [], "kinds_not_emitted": [ "census_incomplete", "permission", "type_widened" ], "coverage_declared_by": "mission-2/nm-recovery", "scope_notes": {}, "scope_notes_omitted": "Scope notes for absent, biased_subset, census_incomplete, not_archived, partial_window, permission, precision, type_widened, unreadable are not included because no label of those kinds is in force for this window. They are in _labels/_coverage.json, and data_quality returns them in full.", "absence_note": "NO label kind is claimed exhaustive here, so absence of a label never means the thing did not happen — only that nobody recorded it. See scope_notes for where absence can be relied on.", "warning": null }, "completeness_unavailable": null, "slices": null, "columns": [ "maxabs", "minc", "maxc", "mu", "ann" ], "rows": [ [ 0.002307404158178409, 2668.19, 2720.79, -1.949935997829812e-6, 0.26622508748800233 ] ], "row_count": 1, "truncated": false, "shards_bound": 13, "rows_estimated": 195969, "zero_rows_note": null, "table_t": "1-minute bars", "table_t_note": "Bars built from fewer than 3 trades are ABSENT from t, not zero-valued. See withheld_by_floor for HOW MUCH this window lost - a gap in t is a withheld bar or a minute with no trades, and the counts there are the only way to tell.", "withheld_by_floor": { "bars": 0, "trades": 0, "volume": null, "min_trades": 3, "note": "Nothing was withheld: every bar in this window met the floor." }, "extremum_warning": null, "timestamp_semantics": "exchange", "timestamp_note": "ts is the venue's own event time.", "note": null } ## [agent thinking] ## [agent] The realised volatility of the edgeX ETH perpetual on 2026-09-27 was **about 26.6% annualised**. The data for that day was complete and clean. **Instrument:** I used `edgex/trades:ETHUSDC`. The older `ETHUSD` symbol has no data after 2026-08-28, and `ETHUSDC` starts on 2026-09-03, so it looks like edgeX renamed the ETH perp. `ETHUSDC` is the only ETH perp series with data for this day. **Data check:** The day has all 12 two-hour shards, with 99.2% window coverage, which is this feed's healthy level. The feed has quality problems elsewhere: partial windows up to 2026-09-16 and stale timestamps up to 2026-09-19. None of them touch 2026-09-27. - There are 1,440 one-minute bars covering 00:00 to 23:59 UTC, with no gaps. - 68,038 trades went into them. - The server drops bars built from fewer than 3 trades. None were dropped on this day. - There were no bad prints: the largest single 1-minute move was 0.23%, and the close stayed between 2,668.19 and 2,720.79. **Calculation:** - There are 1,439 log returns of the 1-minute closes. The first return uses the 00:00 bar; I didn't reach back to the previous day's last close. - The sample standard deviation of those returns is 0.00036721. Their mean, −1.95e-6, is negligible. - Annualising by √525,600 (minutes in a 365-day, 24/7 year) gives **0.2662**. ## FINAL ANSWER **Realised volatility of edgeX ETH perp on 2026-09-27 (UTC): 0.2662, or about 26.6% annualised.** Judgement calls: 1. **Instrument:** I used `edgex/trades:ETHUSDC`, treating it as the renamed ETH perpetual since `ETHUSD` stops on 2026-08-28. 2. **Close prices:** The 1-minute closes are built from trades (last trade in each minute), not mark or mid prices. 3. **Returns:** I used the 1,439 returns within the day, starting from the 00:00 bar rather than the previous day's last close. 4. **Standard deviation:** I used the sample standard deviation (n−1), subtracting the mean. Assuming a zero mean instead gives essentially the same number. 5. **Annualisation:** I scaled by √525,600, which assumes trading 24 hours a day, 365 days a year. 6. **Data quality:** I checked that the day was complete (12 of 12 shards, 99.2% coverage, no minutes missing or dropped), so I didn't need to fill or adjust anything. ## [run ended] subtype=success turns=7 duration_ms=31373