feature(Notebooks): Add timestamp-aggregation exchange-vs-true notebook - #41
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almostintuitive wants to merge 2 commits into
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feature(Notebooks): Add timestamp-aggregation exchange-vs-true notebook#41almostintuitive wants to merge 2 commits into
almostintuitive wants to merge 2 commits into
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Ranks every metric by how much it shifts between exchange-reported and local-arrival timestamps, so readers can see empirically which metrics need consistent clock choice (slippage, L1 snapshots) and which are robust to it (bar aggregates). Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
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Summary
timestamp-aggregation.pyfetches every Aperiodic metric (OHLCV, 9 trade metrics, 3 L1 metrics) under bothtimestamp='exchange'andtimestamp='true'for Binance BTC perpetuals (5m, May 2025) and ranks all numeric columns by how much they shift between the two clocks.slippage_bps_buy_sell_ratio) shift the most, L1 order-book snapshot fields shift moderately, and bar-aggregate metrics (OHLCV, flow, impact, tick direction, returns, etc.) barely move — because summing over hundreds of trades per bar averages away the millisecond-scale clock gap.APERIODIC_API_KEY— the sharedDEMO-KEYpreview endpoint doesn't servetimestamp='true'at all (confirmed empirically), and the notebook fails fast with a clear message if only the demo key is available. This is called out at the top of the notebook and in the README table.timestamp='true'currently returns no data for L2 buckets.Test plan
.ipynbviajupytext+jupyter nbconvert, scrubbed the injected key, verified withgitleaks detect --no-git🤖 Generated with Claude Code