Context Collecteur BTC 5m — Deribit DVOL + IV ATM

Synthèse santé · 24h

vue d'ensemble du pipeline algo (hors sources WS individuelles)

Service

running

PID 1068150 · uptime 1d 23h

Runner heartbeat

11.6s

attendu < 6 min

Current window

1778963400

2026-05-16 20:30:00 UTC

Gaps total 24h

3802

tout sources confondues

Fenêtres interrupted

0

dernière heure

Orchestrator restarts

0

24h

Live

refresh auto toutes les 5 s

Statut systemd

active / running

PID 1068150 · uptime 1d 23h

Heartbeat (runner_log)

11.6s

pong_timeout / dvol_flushed

Fenêtre consolidée

1778963400

2026-05-16 20:30:00 UTC

Deribit WS

11.7s

DVOL + IV ATM (asyncio TaskGroup)

DVOL BTC

40.77%

300 ticks dernière fen.

IV ATM 0DTE

19.33%

BTC-17MAY26-78500-C · 92 ticks

IV ATM 1W

38.76%

BTC-22MAY26-78000-C · 82 ticks

Capture quality

Fenêtres capturées / heure (24h)

windows

Pour chaque heure UTC (axe X), nombre de fenêtres consolidées dans context.parquet — max théorique 12 par heure (1 fenêtre / 5 min).

Gaps intra >5s / 30 min (24h)

count

Trous >5s détectés pendant la capture active d'une fenêtre — pics = silent-freeze côté WS Deribit.

Gaps · vue d'ensemble

global 24h · détail per-source dans §2 et §3

Total 24h

3802

Total 1h

790

>5s · 1h

789

Max 24h

15.4s

Phase A.3-bis — ATM refresh dynamique

re-pick ATM toutes les 1h · reconnect WS Deribit auto si strike change · livré 2026-05-14

Refresh actif

non

interval 1h

ATM 0DTE actuel

$78,500

BTC-17MAY26-78500-C

ATM 1W actuel

$78,000

BTC-22MAY26-78000-C

Changes 24h

6

re-pick + reconnect WS

Dernier change

11m 20s

78000 → 78500

Sources Deribit

3 channels en parallèle — DVOL index (~1Hz) · IV ticker ATM 0DTE (~1Hz) · IV ticker ATM 1W (~1Hz)

DVOL BTC · index

11.7s

Vol

40.77%

Mean ticks/fen

300

Files

247

Rate nom.

~1Hz

Ticks / fenêtre (24h, cible ~300)

Gaps 24h 0 · 1h 0 · >5s 1h 0 · max 24h 0.0s · seuil 3s

IV ATM 0DTE · option

11.7s

Mark IV

19.33%

Δ

0.30

Strike

$78,500

Mean ticks/fen

97

BTC-17MAY26-78500-C

Ticks / fenêtre (24h, cible ~300)

Gaps 24h 1759 · 1h 367 · >5s 1h 367 · max 24h 14.8s · seuil 5s (OTM)

IV ATM 1W · option

11.7s

Mark IV

38.76%

Δ

0.53

Strike

$78,000

Mean ticks/fen

73

BTC-22MAY26-78000-C

Ticks / fenêtre (24h, cible ~300)

Gaps 24h 2043 · 1h 423 · >5s 1h 422 · max 24h 15.4s · seuil 5s (OTM)

Deribit · activité réseau 24h

déconnexions + erreurs + ATM refresh (depuis runner_log.jsonl)

WS disconnects

6

idle_timeout + erreurs + atm_changed

WS errors

0

erreurs network/parse

ATM changes (A.3-bis)

6

re-pick strike toutes 1h

ATM reconnects

6

post-pick WS reconnect

Sources Binance

REST poller — Klines spot 1h/1d/5m (backfill 90j + refresh) · Funding rate perp · Open Interest perp

Klines spot · BTCUSDT

23.5s

Close 1h

$78,257.96

Volume 1h

87.0

1h rows

792

1d rows

93

Backfill 90j 1d + 30j 1h + 24h 5m · 150.7 KB

Refresher stalls 24h 0 · 1h 0 · max 0.0s · seuil 180s

Funding rate · perp BTCUSDT

11.7s

Rate

+0.24 bps

Mark

$78,208.20

Files

247

Period

8h

Présence / fenêtre (24h)

Poll gaps 24h 0 · 1h 0 · max 0.0s · seuil 120s

Open Interest · perp BTCUSDT

11.7s

OI BTC

101,918

OI value

$0

Files

247

Poll

60s

Présence / fenêtre (24h)

Poll gaps 24h 0 · 1h 0 · max 0.0s · seuil 120s

Binance · activité REST 24h

restarts client + stalls refresher (depuis runner_log.jsonl)

Client restarts

0

events `binance_client_started`

Klines refresher stalls

0

parquet 5m stale > 180s

Funding poll gaps

0

attendu 60s · seuil 120s

OI poll gaps

0

attendu 60s · seuil 120s

Phase D — Features dérivées

HAR-RV multi-horizons · EWMA RiskMetrics λ=0.94 · Volume Z-score · Returns · calculé au consolidate sur klines Binance refreshées 60s

Ratio k = σ_implied / σ_realized · finding 08

2.02

DVOL live

40.77%

RV_24h

20.21%

RV_1w

34.63%

RV_1m

29.96%

F08 médian k=1.29 régime-dépendant (LOW 1.50 / HIGH 1.13) · RV_24h 24w range [20.2-20.8]%

k = DVOL/RV_24h par fenêtre (24h, sweet spot 1.0-1.6)

EWMA σ + Volume Z-score

auto

EWMA σ (1d λ=0.94)

32.31%

Vol z-score 1h

-0.68

RiskMetrics 1996 sur 90j daily · z-score volume 1h vs rolling 30j

Returns multi-horizons · F02 side

≈ neutre

Return 1h (signal)

+0.04%

Return 4h

+0.03%

Return 24h

-1.12%

Anchor = close du dernier 1h candle complété (Binance BTCUSDT spot) · F02 : AUC 0.613 sur direction 5min · seuil |1h|>0.5% = bias

Consolidation quality

1 row par fenêtre dans context.parquet · quality_flag = complete / deribit_*_partial / interrupted

Quality flag breakdown (48 dernières)

deribit_iv_partial

48

complete = ≥ 200 ticks DVOL + IV ; deribit_*_partial = sous-seuil (typique au boot ou après reconnect) ; interrupted = capture coupée.

Présence sources (48 dernières)

DVOL

30 / 30

IV 0DTE

30 / 30

IV 1W

30 / 30

BN klines

30 / 30

BN funding

30 / 30

BN OI

30 / 30

Présence de chaque source dans la fenêtre (≥ 1 tick capturé). Une fenêtre peut être complete sur DVOL mais partial sur IV si l'instrument était illiquide.

Fenêtres consolidées (context.parquet)

30 dernières · DVOL min/max + IV ATM 0DTE/1W mark + underlying spot Deribit

Window	Heure UTC	Quality	DVOL open	DVOL close	DVOL min	DVOL max	DVOL ticks	IV 0DTE open	IV 0DTE close	IV 0DTE ticks	IV 1W open	IV 1W close	IV 1W ticks	Spot Deribit	BN 1h close	BN 1h vol	Funding bps	OI Δ
1778963400	2026-05-16 20:30:00 UTC	deribit_iv_partial	40.70%	40.77%	40.70%	40.77%	300	18.99%	19.34%	92	38.58%	38.76%	82	$78,252.97	$78,257.96	87.0	+0.24	-7
1778963100	2026-05-16 20:25:00 UTC	deribit_iv_partial	40.73%	40.70%	40.70%	40.73%	300	19.00%	18.99%	80	38.64%	38.58%	71	$78,265.21	$78,255.13	78.8	+0.24	+5
1778962800	2026-05-16 20:20:00 UTC	deribit_iv_partial	40.78%	40.73%	40.73%	40.78%	300	19.00%	19.00%	22	38.72%	38.64%	62	$78,264.67	$78,292.99	64.6	+0.25	+2
1778962500	2026-05-16 20:15:00 UTC	deribit_iv_partial	41.07%	40.78%	40.78%	41.07%	300	21.46%	21.58%	68	38.79%	38.72%	84	$78,269.42	$78,311.68	55.2	+0.25	+9
1778962200	2026-05-16 20:10:00 UTC	deribit_iv_partial	41.03%	41.07%	40.99%	41.07%	300	21.45%	21.46%	73	38.82%	38.79%	64	$78,269.84	$78,300.00	27.2	+0.26	-11
1778961900	2026-05-16 20:05:00 UTC	deribit_iv_partial	40.99%	41.03%	40.96%	41.04%	299	21.66%	21.45%	82	38.83%	38.82%	67	$78,271.64	$78,296.00	16.8	+0.25	-2
1778961600	2026-05-16 20:00:00 UTC	deribit_iv_partial	41.10%	40.99%	40.99%	41.10%	300	21.87%	21.66%	112	38.77%	38.83%	62	$78,239.98	$78,289.87	10.5	+0.25	-6
1778961300	2026-05-16 19:55:00 UTC	deribit_iv_partial	41.10%	41.10%	41.10%	41.11%	300	22.02%	21.87%	103	38.80%	38.77%	65	$78,250.68	$78,259.66	271.1	+0.26	-4
1778961000	2026-05-16 19:50:00 UTC	deribit_iv_partial	41.03%	41.10%	40.96%	41.10%	299	22.04%	22.02%	137	38.81%	38.80%	87	$78,272.39	$78,272.46	262.8	+0.26	-5
1778960700	2026-05-16 19:45:00 UTC	deribit_iv_partial	41.14%	41.03%	41.04%	41.15%	300	22.00%	22.04%	108	38.78%	38.81%	75	$78,243.08	$78,301.88	220.8	+0.26	+23
1778960400	2026-05-16 19:40:00 UTC	deribit_iv_partial	40.96%	41.14%	40.96%	41.14%	300	21.96%	22.00%	86	38.78%	38.78%	61	$78,264.36	$78,270.00	210.4	+0.27	-2
1778960100	2026-05-16 19:35:00 UTC	deribit_iv_partial	41.21%	40.96%	40.94%	41.21%	299	22.36%	21.96%	100	38.74%	38.78%	78	$78,261.88	$78,286.62	193.2	+0.28	-8
1778959800	2026-05-16 19:30:00 UTC	deribit_iv_partial	41.22%	41.21%	41.21%	41.25%	300	22.41%	22.36%	88	38.78%	38.74%	63	$78,256.73	$78,295.70	137.6	+0.29	-7
1778959500	2026-05-16 19:25:00 UTC	deribit_iv_partial	41.30%	41.22%	41.22%	41.30%	300	22.41%	22.41%	117	38.77%	38.78%	70	$78,227.86	$78,270.40	96.5	+0.30	-9
1778959200	2026-05-16 19:20:00 UTC	deribit_iv_partial	41.30%	41.30%	41.30%	41.30%	300	22.48%	22.41%	107	38.77%	38.77%	67	$78,231.67	$78,246.00	44.9	+0.29	-3
1778958900	2026-05-16 19:15:00 UTC	deribit_iv_partial	41.29%	41.30%	41.29%	41.30%	299	22.52%	22.48%	89	38.68%	38.77%	55	$78,218.60	$78,251.33	36.9	+0.29	-0
1778958600	2026-05-16 19:10:00 UTC	deribit_iv_partial	41.28%	41.29%	41.28%	41.29%	300	22.60%	22.52%	83	38.67%	38.68%	60	$78,214.19	$78,241.96	29.6	+0.29	+3
1778958300	2026-05-16 19:05:00 UTC	deribit_iv_partial	41.27%	41.28%	41.27%	41.28%	300	22.70%	22.60%	91	38.66%	38.67%	69	$78,222.31	$78,236.00	25.1	+0.29	-4
1778958000	2026-05-16 19:00:00 UTC	deribit_iv_partial	41.25%	41.27%	41.25%	41.27%	299	22.70%	22.70%	115	38.65%	38.66%	89	$78,207.89	$78,250.20	14.2	+0.29	+46
1778957700	2026-05-16 18:55:00 UTC	deribit_iv_partial	41.14%	41.25%	41.14%	41.25%	300	22.68%	22.70%	97	38.69%	38.65%	87	$78,196.08	$78,229.81	310.6	+0.28	+23
1778957400	2026-05-16 18:50:00 UTC	deribit_iv_partial	41.29%	41.14%	41.09%	41.29%	300	22.73%	22.68%	163	38.72%	38.69%	119	$78,211.06	$78,241.86	305.3	+0.28	+49
1778957100	2026-05-16 18:45:00 UTC	deribit_iv_partial	41.29%	41.29%	41.29%	41.29%	299	22.68%	22.73%	94	38.71%	38.72%	78	$78,228.73	$78,239.51	249.3	+0.28	-6
1778956800	2026-05-16 18:40:00 UTC	deribit_iv_partial	41.31%	41.29%	41.29%	41.31%	300	22.61%	22.68%	126	38.75%	38.71%	74	$78,182.04	$78,247.58	238.8	+0.28	+20
1778956500	2026-05-16 18:35:00 UTC	deribit_iv_partial	41.33%	41.31%	41.31%	41.33%	300	22.67%	22.61%	95	38.80%	38.75%	70	$78,209.94	$78,205.84	180.5	+0.27	-28
1778956200	2026-05-16 18:30:00 UTC	deribit_iv_partial	41.32%	41.33%	41.32%	41.33%	299	22.73%	22.67%	110	38.82%	38.80%	78	$78,179.51	$78,234.60	139.9	+0.27	+3
1778955900	2026-05-16 18:25:00 UTC	deribit_iv_partial	41.31%	41.32%	41.31%	41.32%	300	22.71%	22.73%	128	38.84%	38.82%	65	$78,123.96	$78,196.93	132.4	+0.25	-26
1778955600	2026-05-16 18:20:00 UTC	deribit_iv_partial	41.32%	41.31%	41.31%	41.32%	301	22.70%	22.71%	18	38.70%	38.84%	59	$78,123.51	$78,144.32	114.9	+0.24	-13
1778955300	2026-05-16 18:15:00 UTC	deribit_iv_partial	41.34%	41.32%	41.32%	41.34%	300	20.71%	20.71%	117	38.66%	38.70%	82	$78,174.11	$78,166.23	97.1	+0.24	+12
1778955000	2026-05-16 18:10:00 UTC	deribit_iv_partial	41.35%	41.34%	41.34%	41.35%	299	20.58%	20.71%	84	38.72%	38.66%	68	$78,163.57	$78,201.59	75.3	+0.24	-30
1778954700	2026-05-16 18:05:00 UTC	deribit_iv_partial	41.34%	41.35%	41.33%	41.35%	300	20.44%	20.58%	113	38.79%	38.72%	87	$78,171.50	$78,171.02	53.9	+0.24	-10

Events runner + Gaps récents (debug) — 7 types d'events · 50 gaps

Events runner totaux récents

consolidate_started

281

consolidate_done

281

deribit_atm_refresh_unchanged

18

deribit_atm_refresh_changed

6

deribit_ws_disconnected

6

deribit_atm_refresh_reconnect

6

deribit_ws_connected

6

Gaps récents (50 derniers)

Window	Source	Durée	Phase	Class	Start	End
1778963400	iv_1w	5.06s	intra	—	—	—
1778963400	iv_1w	6.08s	intra	—	—	—
1778963400	iv_1w	5.07s	intra	—	—	—
1778963400	iv_1w	6.72s	intra	—	—	—
1778963400	iv_1w	7.07s	intra	—	—	—
1778963400	iv_1w	5.06s	intra	—	—	—
1778963400	iv_1w	5.06s	intra	—	—	—
1778963400	iv_1w	7.08s	intra	—	—	—
1778963400	iv_1w	5.07s	intra	—	—	—
1778963400	iv_1w	5.06s	intra	—	—	—
1778963400	iv_1w	5.08s	intra	—	—	—
1778963400	iv_1w	5.07s	intra	—	—	—
1778963400	iv_1w	5.03s	intra	—	—	—
1778963400	iv_1w	7.04s	intra	—	—	—
1778963400	iv_1w	5.06s	intra	—	—	—
1778963400	iv_1w	5.07s	intra	—	—	—
1778963400	iv_1w	5.08s	intra	—	—	—
1778963400	iv_1w	5.08s	intra	—	—	—
1778963400	iv_1w	5.04s	intra	—	—	—
1778963400	iv_1w	6.09s	intra	—	—	—
1778963400	iv_1w	6.09s	intra	—	—	—
1778963400	iv_1w	5.05s	intra	—	—	—
1778963400	iv_1w	5.74s	intra	—	—	—
1778963400	iv_1w	6.08s	intra	—	—	—
1778963400	iv_1w	6.04s	intra	—	—	—
1778963400	iv_1w	6.05s	intra	—	—	—
1778963400	iv_1w	6.73s	intra	—	—	—
1778963400	iv_1w	6.37s	intra	—	—	—
1778963400	iv_1w	5.38s	intra	—	—	—
1778963400	iv_1w	5.09s	intra	—	—	—
1778963400	iv_1w	6.06s	intra	—	—	—
1778963400	iv_1w	5.05s	intra	—	—	—
1778963400	iv_1w	7.10s	intra	—	—	—
1778963400	iv_1w	5.71s	intra	—	—	—
1778963400	iv_0dte	7.43s	intra	—	—	—
1778963400	iv_0dte	5.38s	intra	—	—	—
1778963400	iv_0dte	5.07s	intra	—	—	—
1778963400	iv_0dte	5.08s	intra	—	—	—
1778963400	iv_0dte	5.04s	intra	—	—	—
1778963400	iv_0dte	6.06s	intra	—	—	—
1778963400	iv_0dte	7.73s	intra	—	—	—
1778963400	iv_0dte	5.06s	intra	—	—	—
1778963400	iv_0dte	5.06s	intra	—	—	—
1778963400	iv_0dte	5.07s	intra	—	—	—
1778963400	iv_0dte	5.05s	intra	—	—	—
1778963400	iv_0dte	5.07s	intra	—	—	—
1778963400	iv_0dte	5.08s	intra	—	—	—
1778963400	iv_0dte	5.07s	intra	—	—	—
1778963400	iv_0dte	6.05s	intra	—	—	—
1778963400	iv_0dte	6.03s	intra	—	—	—

Logs (tail runner_log.jsonl)

refresh 5 s

Aucun log à afficher.

Jobs externes

timers systemd indépendants du collecteur — dernier run + countdown prochain

Archive R2 Context

OK · 16h 50m

Schedule

daily 03:45 UTC

Next run in

7h 9m

Durée last

6.0s

Result · Exit

success · 0

Materialize markets_enriched

OK · 16h 35m

Schedule

daily 04:00 UTC

Next run in

7h 24m

Durée last

3.0s

Result · Exit

success · 0

Cloudflare R2 · archives

buckets partitionnés Hive date=YYYY-MM-DD/ — `rclone size` + scan partitions

context/ · 5.5 MB

3 jours

Jours archivés

3

Fichiers

15

Dernier

2026-05-15

Premier

2026-05-13

r2:polybot-archives/context · Source : polybot-context-archive.timer (daily 03:45 UTC)

markets_enriched/ · 765.7 KB

5 jours

Jours archivés

5

Fichiers

5

Dernier

2026-05-15

Premier

2026-05-11

r2:polybot-archives/markets_enriched · Source : polybot-markets-enriched.timer (daily 04:00 UTC)

Storage

988 parquets per-window · DVOL 994.5 KB · IV 2.2 MB · BN klines 150.7 KB · BN funding 698.1 KB · BN OI 530.9 KB · context.parquet 87.6 KB · runner_log 829.6 KB

/root/trading-polymarket/master-ws-market-channel/Context Collecteur BTC 5m/Storage

Context Collecteur BTC 5m — Deribit DVOL + IV ATM

§1 — Santé bot / algo Pipeline de consolidation : capture · qualité · cadence

Synthèse santé · 24h

Live

Capture quality

Gaps · vue d'ensemble

§2 — Santé Deribit DVOL index · IV ATM 0DTE · IV ATM 1W · WS push ~1Hz · ATM refresh 1h

Phase A.3-bis — ATM refresh dynamique

Sources Deribit

DVOL BTC · index

IV ATM 0DTE · option

IV ATM 1W · option

Deribit · activité réseau 24h

§3 — Santé Binance Klines spot 1h/1d/5m · Funding rate perp · Open Interest perp · REST poll 60s

Sources Binance

Klines spot · BTCUSDT

Funding rate · perp BTCUSDT

Open Interest · perp BTCUSDT

Binance · activité REST 24h

§4 — Analyses Phase D features dérivées · Consolidation quality · Fenêtres consolidées

Phase D — Features dérivées

Ratio k = σ_implied / σ_realized · finding 08

EWMA σ + Volume Z-score

Returns multi-horizons · F02 side

Consolidation quality

Quality flag breakdown (48 dernières)

Présence sources (48 dernières)

Fenêtres consolidées (context.parquet)

Footer · debug & ops Events détaillés · Jobs externes · R2 archives · Logs · Storage

Events runner totaux récents

Gaps récents (50 derniers)

Logs (tail runner_log.jsonl)

Jobs externes

Archive R2 Context

Materialize markets_enriched

Cloudflare R2 · archives

context/ · 5.5 MB

markets_enriched/ · 765.7 KB

Storage

§1 — Santé bot / algo Pipeline de consolidation : capture · qualité · cadence

Synthèse santé · 24h

Live

Capture quality

Gaps · vue d'ensemble

§2 — Santé Deribit DVOL index · IV ATM 0DTE · IV ATM 1W · WS push ~1Hz · ATM refresh 1h

Phase A.3-bis — ATM refresh dynamique

Sources Deribit

DVOL BTC · index

IV ATM 0DTE · option

IV ATM 1W · option

Deribit · activité réseau 24h

§3 — Santé Binance Klines spot 1h/1d/5m · Funding rate perp · Open Interest perp · REST poll 60s

Sources Binance

Klines spot · BTCUSDT

Funding rate · perp BTCUSDT

Open Interest · perp BTCUSDT

Binance · activité REST 24h

§4 — Analyses Phase D features dérivées · Consolidation quality · Fenêtres consolidées

Phase D — Features dérivées

Ratio k = σimplied / σrealized · finding 08

EWMA σ + Volume Z-score

Returns multi-horizons · F02 side

Consolidation quality

Quality flag breakdown (48 dernières)

Présence sources (48 dernières)

Fenêtres consolidées (context.parquet)

Footer · debug & ops Events détaillés · Jobs externes · R2 archives · Logs · Storage

Events runner totaux récents

Gaps récents (50 derniers)

Logs (tail runner_log.jsonl)

Jobs externes

Archive R2 Context

Materialize markets_enriched

Cloudflare R2 · archives

context/ · 5.5 MB

markets_enriched/ · 765.7 KB

Storage

Ratio k = σ_implied / σ_realized · finding 08