# ETH 1-minute realised vol on edgeX for one day -- raw 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. The researcher has downloaded PeerFeed's parquet archive for the relevant venues and data types to /tmp/peerfeed-a21/archive, in the layout PeerFeed delivers it. That directory is your only source of market data; there is no API access. ## [tool call 1] Bash { "command": "cd /tmp/peerfeed-a21/archive; find . | head -50; find . -type f | wc -l; find . -iname '*readme*' -o -iname '*.md' -o -iname '*.json' | head" } ## [tool result] . ./apex ./dydx ./paradex ./pacifica ./edgex ./extended ./hyperliquid ./nado ./apex/trades ./dydx/trades ./paradex/trades ./pacifica/trades ./pacifica/prices ./edgex/trades ./edgex/ticker ./extended/funding ./hyperliquid/trades ./hyperliquid/activeAssetCtx ./nado/funding_rate ./nado/trades ./edgex/trades/parquet ./edgex/ticker/parquet ./extended/funding/parquet ./hyperliquid/trades/parquet ./hyperliquid/activeAssetCtx/parquet ./nado/funding_rate/parquet ./nado/trades/parquet ./edgex/trades/parquet/2026 ./edgex/ticker/parquet/2026 ./extended/funding/parquet/2026 ./hyperliquid/trades/parquet/2026 ./hyperliquid/activeAssetCtx/parquet/2026 ./nado/funding_rate/parquet/2026 ./nado/trades/parquet/2026 ./apex/trades/parquet ./dydx/trades/parquet ./paradex/trades/parquet ./pacifica/trades/parquet ./pacifica/prices/parquet ./edgex/trades/parquet/2026/09 ./edgex/ticker/parquet/2026/09 ./extended/funding/parquet/2026/09 ./hyperliquid/trades/parquet/2026/09 ./hyperliquid/activeAssetCtx/parquet/2026/09 ./nado/funding_rate/parquet/2026/09 ./nado/trades/parquet/2026/09 ./apex/trades/parquet/2026 ./dydx/trades/parquet/2026 ./paradex/trades/parquet/2026 1220 Shell cwd was reset to /tmp/peerfeed-a21/work-s3-raw ## [tool call 2] Bash { "command": "cd /tmp/peerfeed-a21/archive/edgex; find . -type f | grep -E '09/(26|27|28)' ; find . -type f | head -3" } ## [tool result] ./trades/parquet/2026/09/27/12-14.parquet ./trades/parquet/2026/09/27/18-20.parquet ./trades/parquet/2026/09/27/22-24.parquet ./trades/parquet/2026/09/27/04-06.parquet ./trades/parquet/2026/09/27/06-08.parquet ./trades/parquet/2026/09/27/00-02.parquet ./trades/parquet/2026/09/27/02-04.parquet ./trades/parquet/2026/09/27/14-16.parquet ./trades/parquet/2026/09/27/08-10.parquet ./trades/parquet/2026/09/27/16-18.parquet ./trades/parquet/2026/09/27/10-12.parquet ./trades/parquet/2026/09/27/20-22.parquet ./trades/parquet/2026/09/26/12-14.parquet ./trades/parquet/2026/09/26/18-20.parquet ./trades/parquet/2026/09/26/22-24.parquet ./trades/parquet/2026/09/26/04-06.parquet ./trades/parquet/2026/09/26/06-08.parquet ./trades/parquet/2026/09/26/00-02.parquet ./trades/parquet/2026/09/26/02-04.parquet ./trades/parquet/2026/09/26/14-16.parquet ./trades/parquet/2026/09/26/08-10.parquet ./trades/parquet/2026/09/26/16-18.parquet ./trades/parquet/2026/09/26/10-12.parquet ./trades/parquet/2026/09/26/20-22.parquet ./trades/parquet/2026/09/28/12-14.parquet ./trades/parquet/2026/09/28/18-20.parquet ./trades/parquet/2026/09/28/22-24.parquet ./trades/parquet/2026/09/28/04-06.parquet ./trades/parquet/2026/09/28/06-08.parquet ./trades/parquet/2026/09/28/00-02.parquet ./trades/parquet/2026/09/28/02-04.parquet ./trades/parquet/2026/09/28/14-16.parquet ./trades/parquet/2026/09/28/08-10.parquet ./trades/parquet/2026/09/28/16-18.parquet ./trades/parquet/2026/09/28/10-12.parquet ./trades/parquet/2026/09/28/20-22.parquet ./ticker/parquet/2026/09/27/12-14.parquet ./ticker/parquet/2026/09/27/18-20.parquet ./ticker/parquet/2026/09/27/22-24.parquet ./ticker/parquet/2026/09/27/04-06.parquet ./ticker/parquet/2026/09/27/06-08.parquet ./ticker/parquet/2026/09/27/00-02.parquet ./ticker/parquet/2026/09/27/02-04.parquet ./ticker/parquet/2026/09/27/14-16.parquet ./ticker/parquet/2026/09/27/08-10.parquet ./ticker/parquet/2026/09/27/16-18.parquet ./ticker/parquet/2026/09/27/10-12.parquet ./ticker/parquet/2026/09/27/20-22.parquet ./ticker/parquet/2026/09/26/12-14.parquet ./ticker/parquet/2026/09/26/18-20.parquet ./ticker/parquet/2026/09/26/22-24.parquet ./ticker/parquet/2026/09/26/04-06.parquet ./ticker/parquet/2026/09/26/06-08.parquet ./ticker/parquet/2026/09/26/00-02.parquet ./ticker/parquet/2026/09/26/02-04.parquet ./ticker/parquet/2026/09/26/14-16.parquet ./ticker/parquet/2026/09/26/08-10.parquet ./ticker/parquet/2026/09/26/16-18.parquet ./ticker/parquet/2026/09/26/10-12.parquet ./ticker/parquet/2026/09/26/20-22.parquet ./ticker/parquet/2026/09/28/12-14.parquet ./ticker/parquet/2026/09/28/18-20.parquet ./ticker/parquet/2026/09/28/22-24.parquet ./ticker/parquet/2026/09/28/04-06.parquet ./ticker/parquet/2026/09/28/06-08.parquet ./ticker/parquet/2026/09/28/00-02.parquet ./ticker/parquet/2026/09/28/02-04.parquet ./ticker/parquet/2026/09/28/14-16.parquet ./ticker/parquet/2026/09/28/08-10.parquet ./ticker/parquet/2026/09/28/16-18.parquet ./ticker/parquet/2026/09/28/10-12.parquet ./ticker/parquet/2026/09/28/20-22.parquet ./trades/parquet/2026/09/25/12-14.parquet ./trades/parquet/2026/09/25/18-20.parquet ./trades/parquet/2026/09/25/22-24.parquet Shell cwd was reset to /tmp/peerfeed-a21/work-s3-raw ## [tool call 3] Bash { "command": "cd /tmp/peerfeed-a21/archive/edgex; ls trades/parquet/2026/09 | head -40; ls ticker/parquet/2026/09 | head -40" } ## [tool result] 20 21 22 23 24 25 26 27 28 20 21 22 23 24 25 26 27 28 Shell cwd was reset to /tmp/peerfeed-a21/work-s3-raw ## [tool call 4] Bash { "command": "cd /tmp/peerfeed-a21/archive/edgex; P=/tmp/peerfeed-a21/venv/bin/python; $P -c \"\nimport duckdb\nfor t in ['trades','ticker']:\n f=f'{t}/parquet/2026/09/27/*.parquet'\n print(duckdb.sql(f\\\"describe select * from '{f}'\\\"))\n print(duckdb.sql(f\\\"select * from '{f}' limit 5\\\"))\n print(duckdb.sql(f\\\"select count(*) from '{f}'\\\"))\n\"" } ## [tool result] ┌────────────────┬──────────────────────────┬─────────┬─────────┬─────────┬─────────┐ │ column_name │ column_type │ null │ key │ default │ extra │ │ varchar │ varchar │ varchar │ varchar │ varchar │ varchar │ ├────────────────┼──────────────────────────┼─────────┼─────────┼─────────┼─────────┤ │ ticketId │ VARCHAR │ YES │ NULL │ NULL │ NULL │ │ time │ TIMESTAMP WITH TIME ZONE │ YES │ NULL │ NULL │ NULL │ │ price │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ size │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ value │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ takerOrderId │ BIGINT │ YES │ NULL │ NULL │ NULL │ │ makerOrderId │ BIGINT │ YES │ NULL │ NULL │ NULL │ │ takerAccountId │ BIGINT │ YES │ NULL │ NULL │ NULL │ │ makerAccountId │ BIGINT │ YES │ NULL │ NULL │ NULL │ │ contractId │ BIGINT │ YES │ NULL │ NULL │ NULL │ │ contractName │ VARCHAR │ YES │ NULL │ NULL │ NULL │ │ isBestMatch │ BOOLEAN │ YES │ NULL │ NULL │ NULL │ │ isBuyerMaker │ BOOLEAN │ YES │ NULL │ NULL │ NULL │ │ recorded_at │ TIMESTAMP WITH TIME ZONE │ YES │ NULL │ NULL │ NULL │ └────────────────┴──────────────────────────┴─────────┴─────────┴─────────┴─────────┘ 14 rows 6 columns ┌─────────────────────────────┬──────────────────────┬─────────┬───┬─────────────┬──────────────┬──────────────────────┐ │ ticketId │ time │ price │ … │ isBestMatch │ isBuyerMaker │ recorded_at │ │ varchar │ timestamp with time… │ double │ … │ boolean │ boolean │ timestamp with time… │ ├─────────────────────────────┼──────────────────────┼─────────┼───┼─────────────┼──────────────┼──────────────────────┤ │ 27cae54b-5344-463e-9494-87… │ 2026-09-27 01:59:00… │ 84394.5 │ … │ true │ true │ 2026-09-27 01:59:00… │ │ 71cdb22b-129f-4cae-be43-67… │ 2026-09-27 01:59:00… │ 263.53 │ … │ true │ true │ 2026-09-27 01:59:00… │ │ ed7763b4-0114-47c9-b5a7-48… │ 2026-09-27 01:59:00… │ 1770.6 │ … │ true │ false │ 2026-09-27 01:59:00… │ │ def353cb-4221-467a-a3f9-ea… │ 2026-09-27 01:59:00… │ 1.5268 │ … │ true │ false │ 2026-09-27 01:59:00… │ │ 20b767a7-641a-4862-94b1-6c… │ 2026-09-27 01:59:00… │ 3.221 │ … │ true │ false │ 2026-09-27 01:59:00… │ └─────────────────────────────┴──────────────────────┴─────────┴───┴─────────────┴──────────────┴──────────────────────┘ 5 rows 14 columns (6 shown) ┌──────────────┐ │ count_star() │ │ int64 │ ├──────────────┤ │ 977589 │ └──────────────┘ ┌────────────────────┬──────────────────────────┬─────────┬─────────┬─────────┬─────────┐ │ column_name │ column_type │ null │ key │ default │ extra │ │ varchar │ varchar │ varchar │ varchar │ varchar │ varchar │ ├────────────────────┼──────────────────────────┼─────────┼─────────┼─────────┼─────────┤ │ contractId │ BIGINT │ YES │ NULL │ NULL │ NULL │ │ contractName │ VARCHAR │ YES │ NULL │ NULL │ NULL │ │ priceChange │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ priceChangePercent │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ trades │ BIGINT │ YES │ NULL │ NULL │ NULL │ │ size │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ value │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ high │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ low │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ open │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ · │ · │ · │ · │ · │ · │ │ · │ · │ · │ · │ · │ · │ │ · │ · │ · │ · │ · │ · │ │ indexPrice │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ oraclePrice │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ markPrice │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ openInterest │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ fundingRate │ DOUBLE │ YES │ NULL │ NULL │ NULL │ │ fundingTime │ BIGINT │ YES │ NULL │ NULL │ NULL │ │ nextFundingTime │ BIGINT │ YES │ NULL │ NULL │ NULL │ │ marketOpen │ BOOLEAN │ YES │ NULL │ NULL │ NULL │ │ recorded_at │ TIMESTAMP WITH TIME ZONE │ YES │ NULL │ NULL │ NULL │ │ liquidity │ VARCHAR │ YES │ NULL │ NULL │ NULL │ └────────────────────┴──────────────────────────┴─────────┴─────────┴─────────┴─────────┘ 26 rows (20 shown) 6 columns ┌────────────┬──────────────┬─────────────┬────────────────────┬───┬────────────┬──────────────────────────┬───────────┐ │ contractId │ contractName │ priceChange │ priceChangePercent │ … │ marketOpen │ recorded_at │ liquidity │ │ int64 │ varchar │ double │ double │ … │ boolean │ timestamp with time zone │ varchar │ ├────────────┼──────────────┼─────────────┼────────────────────┼───┼────────────┼──────────────────────────┼───────────┤ │ 30000061 │ GRAMUSDC │ 0.161 │ 0.110576 │ … │ true │ 2026-09-27 01:59:00.171… │ NULL │ │ 30000004 │ EDGEUSDC │ 0.0352 │ 0.061797 │ … │ true │ 2026-09-27 01:59:00.172… │ NULL │ │ 30000019 │ EWJUSDC │ 0.08 │ 0.000815 │ … │ false │ 2026-09-27 01:59:00.172… │ NULL │ │ 30000005 │ XAUUSDC │ -5.8 │ -0.001349 │ … │ true │ 2026-09-27 01:59:00.172… │ NULL │ │ 30000006 │ XAGUSDC │ 0.01 │ 0.000155 │ … │ true │ 2026-09-27 01:59:00.172… │ NULL │ └────────────┴──────────────┴─────────────┴────────────────────┴───┴────────────┴──────────────────────────┴───────────┘ 5 rows 26 columns (7 shown) ┌──────────────┐ │ count_star() │ │ int64 │ ├──────────────┤ │ 438578 │ └──────────────┘ Shell cwd was reset to /tmp/peerfeed-a21/work-s3-raw ## [agent thinking] ## [tool call 5] Bash { "command": "cd /tmp/peerfeed-a21/archive/edgex; P=/tmp/peerfeed-a21/venv/bin/python; $P -c \"\nimport duckdb\nprint(duckdb.sql(\\\"select distinct contractName, contractId from 'trades/parquet/2026/09/27/*.parquet' where contractName ilike '%ETH%'\\\"))\nprint(duckdb.sql(\\\"select filename, min(time), max(time), count(*), count(distinct ticketId) from read_parquet('trades/parquet/2026/09/2[678]/*.parquet', filename=true) where contractName='ETHUSD' group by 1 order by 1\\\").df().to_string())\n\"" } ## [tool result] ┌──────────────┬────────────┐ │ contractName │ contractId │ │ varchar │ int64 │ ├──────────────┼────────────┤ │ ETHUSDC │ 30000002 │ └──────────────┴────────────┘ Empty DataFrame Columns: [filename, min("time"), max("time"), count_star(), count(DISTINCT ticketId)] Index: [] Shell cwd was reset to /tmp/peerfeed-a21/work-s3-raw ## [tool call 6] Bash { "command": "cd /tmp/peerfeed-a21/archive/edgex; P=/tmp/peerfeed-a21/venv/bin/python; $P -c \"\nimport duckdb\nprint(duckdb.sql(\\\"select filename[-30:] f, min(time), max(time), count(*), count(distinct ticketId), min(price),max(price) from read_parquet('trades/parquet/2026/09/2[678]/*.parquet', filename=true) where contractName='ETHUSDC' group by 1 order by 1\\\").df().to_string())\n\"" } ## [tool result] f min("time") max("time") count_star() count(DISTINCT ticketId) min(price) max(price) 0 rquet/2026/09/26/00-02.parquet 2026-09-26 01:59:01.385000+02:00 2026-09-26 03:58:59.381000+02:00 4747 4747 2679.49 2694.87 1 rquet/2026/09/26/02-04.parquet 2026-09-26 03:59:03.384000+02:00 2026-09-26 05:58:54.381000+02:00 3402 3402 2684.42 2694.50 2 rquet/2026/09/26/04-06.parquet 2026-09-26 05:59:04.383000+02:00 2026-09-26 07:58:49.386000+02:00 2887 2887 2683.56 2690.16 3 rquet/2026/09/26/06-08.parquet 2026-09-26 07:59:01.381000+02:00 2026-09-26 09:58:57.396000+02:00 3265 3265 2681.70 2689.98 4 rquet/2026/09/26/08-10.parquet 2026-09-26 09:59:00.388000+02:00 2026-09-26 11:58:59.390000+02:00 5409 5409 2677.82 2696.49 5 rquet/2026/09/26/10-12.parquet 2026-09-26 11:59:00.404000+02:00 2026-09-26 13:58:54.397000+02:00 3350 3350 2680.39 2689.32 6 rquet/2026/09/26/12-14.parquet 2026-09-26 13:59:00.396000+02:00 2026-09-26 15:58:59.392000+02:00 4270 4270 2680.55 2691.03 7 rquet/2026/09/26/14-16.parquet 2026-09-26 15:59:00.404000+02:00 2026-09-26 17:58:59.382000+02:00 3784 3784 2683.93 2694.72 8 rquet/2026/09/26/16-18.parquet 2026-09-26 17:59:01.413000+02:00 2026-09-26 19:58:45.382000+02:00 3041 3041 2685.22 2692.61 9 rquet/2026/09/26/18-20.parquet 2026-09-26 19:59:10.395000+02:00 2026-09-26 21:58:56.381000+02:00 2403 2403 2680.65 2689.62 10 rquet/2026/09/26/20-22.parquet 2026-09-26 21:59:10.383000+02:00 2026-09-26 23:58:59.398000+02:00 5337 5337 2662.85 2690.86 11 rquet/2026/09/26/22-24.parquet 2026-09-26 23:59:00.383000+02:00 2026-09-27 01:58:59.389000+02:00 3850 3850 2682.84 2694.74 12 rquet/2026/09/27/00-02.parquet 2026-09-27 01:59:01.379000+02:00 2026-09-27 03:58:59.410000+02:00 4069 4069 2688.50 2704.43 13 rquet/2026/09/27/02-04.parquet 2026-09-27 03:59:02.381000+02:00 2026-09-27 05:58:50.387000+02:00 3835 3835 2694.43 2704.89 14 rquet/2026/09/27/04-06.parquet 2026-09-27 05:59:07.393000+02:00 2026-09-27 07:58:48.383000+02:00 4907 4907 2689.52 2710.10 15 rquet/2026/09/27/06-08.parquet 2026-09-27 07:59:00.388000+02:00 2026-09-27 09:58:59.395000+02:00 5327 5327 2703.24 2716.45 16 rquet/2026/09/27/08-10.parquet 2026-09-27 09:59:00.389000+02:00 2026-09-27 11:58:58.397000+02:00 7363 7363 2704.69 2720.92 17 rquet/2026/09/27/10-12.parquet 2026-09-27 11:59:05.445000+02:00 2026-09-27 13:58:55.381000+02:00 4799 4799 2705.78 2717.76 18 rquet/2026/09/27/12-14.parquet 2026-09-27 13:59:00.390000+02:00 2026-09-27 15:58:59.400000+02:00 7293 7293 2696.93 2715.35 19 rquet/2026/09/27/14-16.parquet 2026-09-27 15:58:52.398000+02:00 2026-09-27 17:58:58.390000+02:00 9440 9440 2680.46 2708.69 20 rquet/2026/09/27/16-18.parquet 2026-09-27 17:59:00.379000+02:00 2026-09-27 19:58:57.387000+02:00 4564 4564 2683.01 2694.13 21 rquet/2026/09/27/18-20.parquet 2026-09-27 19:59:01.379000+02:00 2026-09-27 21:58:56.386000+02:00 4042 4042 2688.11 2697.68 22 rquet/2026/09/27/20-22.parquet 2026-09-27 21:59:01.380000+02:00 2026-09-27 23:58:58.379000+02:00 3908 3908 2673.50 2694.82 23 rquet/2026/09/27/22-24.parquet 2026-09-27 23:59:01.398000+02:00 2026-09-28 01:58:59.385000+02:00 8506 8506 2667.73 2689.44 24 rquet/2026/09/28/00-02.parquet 2026-09-28 01:59:00.390000+02:00 2026-09-28 03:58:58.408000+02:00 13340 13340 2647.95 2702.07 25 rquet/2026/09/28/02-04.parquet 2026-09-28 03:59:00.402000+02:00 2026-09-28 05:58:58.408000+02:00 10960 10960 2641.49 2660.83 26 rquet/2026/09/28/04-06.parquet 2026-09-28 05:59:01.388000+02:00 2026-09-28 07:58:59.433000+02:00 9171 9171 2633.55 2658.93 27 rquet/2026/09/28/06-08.parquet 2026-09-28 07:59:03.437000+02:00 2026-09-28 09:58:59.444000+02:00 9356 9356 2640.58 2655.17 28 rquet/2026/09/28/08-10.parquet 2026-09-28 09:59:00.445000+02:00 2026-09-28 11:58:58.453000+02:00 11188 11188 2634.68 2652.32 29 rquet/2026/09/28/10-12.parquet 2026-09-28 11:59:02.428000+02:00 2026-09-28 13:58:55.433000+02:00 9640 9640 2637.96 2667.81 30 rquet/2026/09/28/12-14.parquet 2026-09-28 13:59:02.421000+02:00 2026-09-28 15:58:58.435000+02:00 13755 13755 2663.30 2696.72 31 rquet/2026/09/28/14-16.parquet 2026-09-28 15:59:00.301000+02:00 2026-09-28 17:58:59.479000+02:00 16081 16081 2649.36 2690.39 32 rquet/2026/09/28/16-18.parquet 2026-09-28 17:59:00.403000+02:00 2026-09-28 19:58:59.461000+02:00 14166 14166 2669.48 2718.72 33 rquet/2026/09/28/18-20.parquet 2026-09-28 19:59:01.423000+02:00 2026-09-28 21:58:58.544000+02:00 9373 9373 2662.31 2698.31 34 rquet/2026/09/28/20-22.parquet 2026-09-28 21:59:00.428000+02:00 2026-09-28 23:58:59.385000+02:00 5470 5470 2668.63 2687.36 35 rquet/2026/09/28/22-24.parquet 2026-09-28 23:59:00.459000+02:00 2026-09-29 01:58:51.418000+02:00 5416 5416 2665.34 2691.98 Shell cwd was reset to /tmp/peerfeed-a21/work-s3-raw ## [agent thinking] ## [agent] Found ETH trades (ETHUSDC). Timestamps are shown in +02:00, and the files are offset by one minute, so I'll filter on UTC time across neighbouring files. ## [tool call 7] Bash { "command": "cd /tmp/peerfeed-a21/archive/edgex; P=/tmp/peerfeed-a21/venv/bin/python; $P -c \"\nimport duckdb, numpy as np\ncon=duckdb.connect(); con.sql(\\\"set TimeZone='UTC'\\\")\ncon.sql(\\\"create table t as select * from read_parquet('trades/parquet/2026/09/2[678]/*.parquet') where contractName='ETHUSDC'\\\")\nprint(con.sql('select count(*), count(distinct ticketId) from t'))\nprint(con.sql('select min(epoch(recorded_at)-epoch(time)), max(epoch(recorded_at)-epoch(time)), avg(epoch(recorded_at)-epoch(time)) from t'))\ndf=con.sql(\\\"select * from (select distinct on (ticketId) * from t) where time>='2026-09-27' and time<'2026-09-28' order by time, ticketId\\\").df()\nprint(len(df), df.time.min(), df.time.max())\ndf['m']=df.time.dt.floor('1min')\nc=df.groupby('m').price.last()\nidx=__import__('pandas').date_range('2026-09-27',periods=1440,freq='1min',tz='UTC')\nprint('minutes with trades',c.size)\ncf=c.reindex(idx).ffill()\nprint('first NaN', cf.isna().sum())\nr=np.log(cf).diff().dropna()\nfor name,x in [('ffill',r),('traded-only',np.log(c).diff().dropna())]:\n print(name,len(x), x.std(ddof=1)*np.sqrt(525600), x.std(ddof=0)*np.sqrt(525600), np.sqrt((x**2).mean()*525600))\n# include prev-day close for first return\nprev=con.sql(\\\"select price from (select distinct on (ticketId) * from t) where time<'2026-09-27' order by time desc, ticketId desc limit 1\\\").fetchone()[0]\ncf2=cf.copy(); r2=np.log(np.r_[prev,cf.values]); r2=np.diff(r2)\nprint('with prev close', len(r2), r2.std(ddof=1)*np.sqrt(525600))\nprint(r.abs().sort_values().tail(5))\n\"" } ## [tool result] ┌──────────────┬──────────────────────────┐ │ count_star() │ count(DISTINCT ticketId) │ │ int64 │ int64 │ ├──────────────┼──────────────────────────┤ │ 241714 │ 241700 │ └──────────────┴──────────────────────────┘ ┌───────────────────────────────────────┬───────────────────────────────────────┬──────────────────────────────────────┐ │ min((epoch(recorded_at) - epoch("time │ max((epoch(recorded_at) - epoch("time │ avg((epoch(recorded_at) - epoch("tim │ │ "))) │ "))) │ e"))) │ │ double │ double │ double │ ├───────────────────────────────────────┼───────────────────────────────────────┼──────────────────────────────────────┤ │ 0.03699994087219238 │ 201.64200019836426 │ 0.962348307222721 │ └───────────────────────────────────────┴───────────────────────────────────────┴──────────────────────────────────────┘ 68038 2026-09-27 00:00:00.676000+00:00 2026-09-27 23:59:58.430000+00:00 minutes with trades 1440 first NaN 0 ffill 1439 0.2662244963077564 0.2661319769317886 0.26613573155145853 traded-only 1439 0.2662244963077564 0.2661319769317886 0.26613573155145853 with prev close 1440 0.2661569974705492 2026-09-27 22:01:00+00:00 0.001747 2026-09-27 21:36:00+00:00 0.001790 2026-09-27 15:02:00+00:00 0.001840 2026-09-27 14:23:00+00:00 0.001850 2026-09-27 01:51:00+00:00 0.002311 Name: price, dtype: float64 Shell cwd was reset to /tmp/peerfeed-a21/work-s3-raw ## [agent thinking] ## [tool call 8] Bash { "command": "cd /tmp/peerfeed-a21/archive/edgex; P=/tmp/peerfeed-a21/venv/bin/python; $P -c \"\nimport duckdb\ncon=duckdb.connect(); con.sql(\\\"set TimeZone='UTC'\\\")\nprint(con.sql(\\\"select ticketId, count(*), count(distinct price), count(distinct time), min(time), count(distinct filename) from read_parquet('trades/parquet/2026/09/2[678]/*.parquet',filename=true) where contractName='ETHUSDC' group by 1 having count(*)>1\\\").df().to_string())\n\"" } ## [tool result] ticketId count_star() count(DISTINCT price) count(DISTINCT "time") min("time") count(DISTINCT filename) 0 304df617-7f84-4cfb-8cd2-e1cbae7c299c 2 1 1 2026-09-27 13:58:54.386000+00:00 2 1 154afd81-4202-44b5-ae78-ada588716804 2 1 1 2026-09-27 13:58:57.686000+00:00 2 2 a66eea51-a1f1-412f-904d-e5c175b78455 2 1 1 2026-09-27 13:58:57.686000+00:00 2 3 60ca05a5-bfe4-4628-a161-2c8b24cd61bd 2 1 1 2026-09-27 13:58:52.482000+00:00 2 4 274370da-2e26-4fb7-9881-dd3c4924ee59 2 1 1 2026-09-27 13:58:58.416000+00:00 2 5 b2bd5550-7993-4063-8d10-095f8296a34b 2 1 1 2026-09-27 13:58:53.407000+00:00 2 6 8b07eff3-9164-4e3a-95df-5a2521e8ae67 2 1 1 2026-09-27 13:58:55.389000+00:00 2 7 a42c78aa-5e61-44f9-9802-e2ca70e4cb80 2 1 1 2026-09-27 13:58:57.686000+00:00 2 8 2b95e79b-a805-42e7-a65d-9a14891c3591 2 1 1 2026-09-27 13:58:59.400000+00:00 2 9 0571f912-47d4-4917-8260-654041576a2f 2 1 1 2026-09-27 13:58:56.390000+00:00 2 10 b30b91e0-5884-4c5a-a0ca-1dcd7c9f8178 2 1 1 2026-09-27 13:58:52.398000+00:00 2 11 6e28714f-86be-4ec5-80b9-931f5219f88b 2 1 1 2026-09-27 13:58:54.615000+00:00 2 12 ff1762d7-671b-4485-8c75-d8334d3042ca 2 1 1 2026-09-27 13:58:56.712000+00:00 2 13 cb938721-9572-4278-9315-80de8ee1a306 2 1 1 2026-09-27 13:58:57.686000+00:00 2 Shell cwd was reset to /tmp/peerfeed-a21/work-s3-raw ## [agent thinking] ## [agent] The annualised realised volatility of the ETH perpetual on edgeX for 2026-09-27 (UTC) is **about 26.6%**. **How I got it:** I took edgeX trade prints for ETHUSDC, the only ETH contract on edgeX. I built 1-minute last-trade closes for 00:00:00 to 23:59:59 UTC, which gave 1,440 minutes and 1,439 log returns. I took the sample standard deviation (ddof=1) and multiplied by √525,600. **Checks:** - The archive's 2-hour files don't line up with UTC hours. Each file runs about one minute early, so "27/00-02" actually starts at 23:59 UTC on the 26th. I therefore loaded the 26th, 27th and 28th and filtered on the trade's own UTC timestamp rather than trusting the file names. - 14 trades appeared twice, as exact copies at the 13:58/13:59 file boundary. I dropped the copies by trade ID. - Every one of the 1,440 minutes had at least one trade, so no minutes needed filling from the previous close. - The largest single 1-minute move was about 0.23%, so there were no bad prints to clean. - The result barely moves under other reasonable choices: population std gives 26.61%, root-mean-square with zero mean gives 26.61%, and adding a first return from the previous day's last trade gives 26.62%. ## FINAL ANSWER **Realised volatility of the edgeX ETH perpetual on 2026-09-27 (UTC): ≈ 0.266 (26.6% annualised; exactly 0.26622).** Judgement calls: 1. **Price source:** I used trade prints (`trades`, contract ETHUSDC) rather than the ticker's last/mark price. The close is the last trade in each minute. 2. **Day window:** 1,440 minutes in UTC, filtered by the trade timestamp, not the file names. 3. **Duplicates:** I removed the 14 duplicate trade IDs at the file boundary. 4. **Returns:** 1,439 returns within the day only; I did not add a return from the previous day's close. 5. **Annualisation:** √525,600, i.e. 365 days × 1,440 minutes, since crypto trades 24/7. 6. **Standard deviation:** sample std (ddof=1), with the mean return subtracted. ## [run ended] subtype=success turns=9 duration_ms=35990