README.md

---
language:
  - en
license: other
tags:
  - cryptocurrency
  - order-book
  - level2
  - timescaledb
  - postgres
  - coinbase
  - financial-data
  - cbb26
  - market-microstructure
pretty_name: CBB26 Timescale Market Data (Coinbase L2 replay shards)
size_categories:
  - 10G<n<100G
---

# CBB26 Timescale market data (`cbb26-timeseries-db`)

Public **Timescale/Postgres replay shards** for the [cbb26](https://github.com/deusmos/cbb26) monorepo: canonical Coinbase Advanced Trade **level-2 order book** history stored in the `market_data` schema, packaged as restorable `pg_dump` files for research, corpus materialization, and reproducibility.

**Canonical Hub repo:** [`deusmos/cbb26-timeseries-db`](https://huggingface.co/datasets/deusmos/cbb26-timeseries-db)

**Source-of-truth for this card (edit here, then publish):** `docs/datasets/cbb26-timeseries-db/README.md` in the cbb26 git repo.

---

## Start here

| I want… | Use this |
|---------|----------|
| ML tensors / training corpus | [`cbb26-day-corpus-v1`](https://huggingface.co/datasets/deusmos/cbb26-day-corpus-v1) — [Path A Quickstart](https://github.com/deusmos/cbb26/blob/main/docs/standards/QUICKSTART.md#path-a--use-pre-materialized-corpus-1015-min) |
| Raw L2 replay / own materialize | **This repo** — restore + materialize ([Path B](https://github.com/deusmos/cbb26/blob/main/docs/standards/QUICKSTART.md#path-b--restore-replay-shards--materialize-one-day-advanced-hours), hours) |
| Run a live collector | [cbb26 repo](https://github.com/deusmos/cbb26) + [local Docker stack](https://github.com/deusmos/cbb26/blob/main/docs/standards/QUICKSTART.md#path-c--run-your-own-collector-days) |

> **Not a row-oriented HF dataset.** Files are `pg_dump` shards and JSON sidecars. **Do not expect `load_dataset()`** to return tabular rows. Use `hf download` + the restore workflow below.

> **NDDS** = *Normalized Decimated Day Slabs* — 10-second decimated, loader-normalized tensor slabs cached under `_ndds_cache/` (~300 MiB/day on Hub). For pre-built NDDS bundles use [`cbb26-day-corpus-v1`](https://huggingface.co/datasets/deusmos/cbb26-day-corpus-v1). Implementation: [`libs/day_raster_corpus/ndds_cache.py`](https://github.com/deusmos/cbb26/blob/main/libs/day_raster_corpus/ndds_cache.py).

---

## Why replay shards?

Timescale replay is **base truth** for what happened on the Coinbase L2 order book: checkpoints, anchors, and per-second deltas with carry-forward semantics. Materializing to tensors is **lossy** — bucket sizes, normalization, and decimation are design choices, not facts stored in the exchange feed.

Publishing replay as restorable `pg_dump` shards lets you pick **your own** materialization profile instead of being locked into the maintainer's. [`cbb26-day-corpus-v1`](https://huggingface.co/datasets/deusmos/cbb26-day-corpus-v1) is the fast path when you want our standard geometry; **this repo** is for when you need fidelity and flexibility. Restore + materialize takes longer — that is an intentional tradeoff.

| Layer | Fidelity | User flexibility |
|-------|----------|------------------|
| **This dataset** (replay) | Lossless L2 replay truth | Choose resolution, buckets, normalization |
| Day corpus / NDDS on Hub | Lossy, fixed profile | Fast path for one training geometry |

---

## What this dataset is

This is **not** a training corpus of pre-built tensors. It is the **raw replay layer** that cbb26 services write and read before materialization:

| Layer | What it is | Where it lives |
|-------|------------|----------------|
| **This dataset** | Timescale `market_data` replay tables, one shard per UTC day × product | HF `data/{YYYY-MM-DD}/{PRODUCT}.dump` |
| **Materialized corpus** | Day-bundle rasters derived from replay | Local disk or [`deusmos/cbb26-day-corpus-v1`](https://huggingface.co/datasets/deusmos/cbb26-day-corpus-v1) |
| **Training run** | Checkpoints, TensorBoard, eval metrics | Separate HF model repos / local `tmp/` |

### Schema (`market_data`)

Each shard exports the four **core replay tables** required for deterministic order-book replay in cbb26:

| Table | Role |
|-------|------|
| `orderbook_second_deltas` | One row per `(product_id, UTC second)` where the end-of-second book changed vs. the last persisted second |
| `orderbook_replay_anchors` | Full retained L2 book at anchor seconds (includes baseline anchor at or before day start) |
| `orderbook_checkpoints` | Full retained L2 book once per product per UTC hour |
| `orderbook_replay_metadata` | Operational replay continuity / gap metadata (not source of truth for book state) |

DDL and migrations ship in-repo on the dataset:

- `migrations/0001_init.sql` … `0004_replay_metadata_window_end_index.sql`
- `schema/market_data_schema.dump` — schema-only `pg_dump -Fc` for empty restores

Hypertables use TimescaleDB 2.x on **Postgres 16**. See `services/timeseries-db/migrations/` in cbb26 for the live definition.

### Products (20)

Shards use Coinbase product ids (`BASE-QUOTE`):

`AAVE-USD`, `ADA-USD`, `APT-USD`, `ATOM-USD`, `AVAX-USD`, `BCH-USD`, `BTC-USD`, `DOGE-USD`, `DOT-USD`, `ETH-USD`, `HBAR-USD`, `LINK-USD`, `LTC-USD`, `NEAR-USD`, `PEPE-USD`, `SHIB-USD`, `SOL-USD`, `UNI-USD`, `XLM-USD`, `XRP-USD`

This matches the default **`MARKET_COLLECTOR_PRODUCTS`** basket in `deploy/compose/slice-a.yml`.

### Coverage snapshot (live)

<!-- COVERAGE:START -->

| Metric | Value |
|--------|-------|
| **Last verified** | 2026-05-25 22:41 UTC |
| **Hub revision** | `b6c9773744ca346dba5c37c05939349f1ae3225e` |
| **Shard files (`.dump`)** | 1220 |
| **UTC days with ≥1 shard** | 61 |
| **Days with 20/20 products** | 61 |
| **Distinct products** | 20 |
| **Date span** | `2024-12-01` → `2026-05-25` |
| **Manifest DB bytes (operator snapshot)** | 111622336995 (~104.0 GiB) |

Refresh: `uv run python scripts/generate_hf_dataset_coverage.py --update-readme`

<!-- COVERAGE:END -->

Each shard sidecar (`data/.../{product}.json`) records `row_counts`, `dump_size_bytes`, and UTC day bounds (`cbb26_timeseries_shard_manifest_v1`).

---

## Data dictionary (replay rows)

Full contract: [`docs/standards/specs/STORAGE_REPLAY.md`](https://github.com/deusmos/cbb26/blob/main/docs/standards/specs/STORAGE_REPLAY.md) · JSON source: [`libs/contracts/storage_and_snapshot_spec.json`](https://github.com/deusmos/cbb26/blob/main/libs/contracts/storage_and_snapshot_spec.json)

| Column | Type | Meaning |
|--------|------|---------|
| `product_id` | TEXT | Coinbase product, e.g. `BTC-USD` |
| `changed_second` | TIMESTAMPTZ | UTC second truncated; primary key with `product_id` |
| `source_sequence_num_start` / `_end` | BIGINT | L2 sequence range incorporated in this second |
| `best_bid` / `best_ask` | NUMERIC | End-of-second BBO after applying `changes` |
| `changes` | JSONB | Array of `[side, price, new_quantity]` — `bid` or `offer`; quantity `0` removes level |
| `change_count` | INTEGER | Length of `changes` array |

**Example `orderbook_second_deltas` row** (sanitized static illustration):

```json
{
  "product_id": "BTC-USD",
  "changed_second": "2024-12-01T12:34:56+00:00",
  "source_sequence_num_start": 9876543210,
  "source_sequence_num_end": 9876543299,
  "best_bid": "96543.21000000",
  "best_ask": "96543.22000000",
  "changes": [
    ["bid", "96540.00", "1.25000000"],
    ["offer", "96543.22", "0.50000000"],
    ["offer", "96544.00", "0"]
  ],
  "change_count": 3
}
```

---

## Repository layout

```text
deusmos/cbb26-timeseries-db/
├── README.md                          ← dataset card (this file on Hub)
├── backup_manifest.json               ← export inventory + restore notes (updated at bootstrap)
├── schema/
│   └── market_data_schema.dump        ← schema-only pg_dump (market_data)
├── migrations/
│   ├── 0001_init.sql
│   ├── 0002_checkpoint_delta_upgrade.sql
│   ├── 0003_replay_anchor_support.sql
│   └── 0004_replay_metadata_window_end_index.sql
└── data/
    └── {YYYY-MM-DD}/
        ├── {PRODUCT}.dump             ← pg_dump -Fc (core-replay tables for that day+product)
        └── {PRODUCT}.json             ← shard sidecar (row counts, sizes)
```

### Naming conventions

- **`{YYYY-MM-DD}`** — UTC calendar **trade date** (inclusive day window `00:00:00` … `23:59:59` UTC).
- **`{PRODUCT}`** — uppercase Coinbase id, e.g. `BTC-USD` (regex `^[A-Z0-9]+-[A-Z0-9]+$`).
- **One Hub commit per shard** during sync upload (rate-limit friendly; ~30 s spacing).

### Manifests and revision pinning

| File | Purpose |
|------|---------|
| `backup_manifest.json` | Dataset-level manifest (`cbb26_timeseries_db_backup_manifest_v2`): scope, table list, row counts, time ranges, restore notes, migration list |
| `data/.../*.json` | Per-shard sidecar with `row_counts` and `dump_size_bytes` |
| **Git revision SHA** | Pin downloads with `HF_TIMESERIES_DATASET_REVISION=<sha>` or `hf download … --revision <sha>` |

There are **no separate checksum files**; verify restores with sidecar `row_counts`, `pg_restore` exit code, and `scripts/smoke_restore_hf_shard.sh`.

---

## Download and restore

### Quick inspect (no Postgres)

```bash
git clone https://github.com/deusmos/cbb26.git && cd cbb26
./examples/download_one_timeseries_shard.sh
```

### Prerequisites

- Docker (for `pg_dump`/`pg_restore` client **Postgres 16** — use image `pgvector/pgvector:pg16` or `timescale/timescaledb:2.14.2-pg16`)
- A running Postgres 16 + TimescaleDB target (see [Run your own collector](#run-your-own-collector-local-docker-stack) below)
- [Hugging Face CLI](https://huggingface.co/docs/huggingface_hub/guides/cli): `uv run hf auth login` or `HF_TOKEN` in environment

### Download

**Full dataset** (large):

```bash
export HF_TOKEN=...   # optional for public repo; required for uploads
uv run hf download deusmos/cbb26-timeseries-db --repo-type dataset --local-dir ./cbb26-timeseries-db
```

**Pin a revision** (recommended for reproducible materialization):

```bash
export HF_TIMESERIES_DATASET_REVISION=b6c9773744ca346dba5c37c05939349f1ae3225e  # example; get latest from Hub
uv run hf download deusmos/cbb26-timeseries-db \
  --repo-type dataset \
  --revision "$HF_TIMESERIES_DATASET_REVISION" \
  --local-dir ./cbb26-timeseries-db
```

**Single day / product**:

```bash
uv run hf download deusmos/cbb26-timeseries-db \
  --repo-type dataset \
  --include "data/2024-12-01/BTC-USD.*" \
  --local-dir ./cbb26-timeseries-db
```

Python (`huggingface_hub`):

```python
import os

from huggingface_hub import snapshot_download

path = snapshot_download(
    repo_id="deusmos/cbb26-timeseries-db",
    repo_type="dataset",
    revision=os.environ["HF_TIMESERIES_DATASET_REVISION"],  # pin SHA
    allow_patterns=["data/2024-12-01/*", "migrations/*", "schema/*"],
)
```

### Restore workflow

1. **Start Timescale** with an empty or compatible database (see collector section).
2. **Apply migrations** if the volume is fresh:

   ```bash
   # migrations are in the downloaded tree under migrations/
   psql -h 127.0.0.1 -U cbb26 -d cbb26 -f migrations/0001_init.sql
   # … or rely on docker-entrypoint-initdb.d on first volume init
   ```

3. **Restore schema** (if needed):

   ```bash
   docker run --rm --network host \
     -e PGPASSWORD="$POSTGRES_PASSWORD" \
     -v "$PWD/cbb26-timeseries-db:/in" \
     pgvector/pgvector:pg16 \
     pg_restore -h 127.0.0.1 -p 5432 -U cbb26 -d cbb26 --schema-only \
     /in/schema/market_data_schema.dump
   ```

4. **Restore one shard** (data-only into staging schema):

   ```bash
   scripts/smoke_restore_hf_shard.sh \
     --shard-dir ./cbb26-timeseries-db \
     --date 2024-12-01 --product BTC-USD
   ```

   Or manually with `pg_restore` + merge SQL (see script for merge statements).

5. **Verify** sidecar expectations — script **fails closed** on row-count mismatch vs sidecar.

> **Replay invariant:** Each shard includes the **baseline replay anchor at or before** `day_start_utc`. Without it, same-day replay cannot be reconstructed.

---

## Run your own collector (local Docker stack)

You can collect the same schema locally and later upload missing shards (see [Contributing](#contributing-missing-shards-and-days)).

### Prerequisites

- Docker + Docker Compose
- Linux or macOS host with ~50+ GiB free for sustained multi-product collection
- Network access to Coinbase Advanced Trade websocket

### 1. Configure environment

From the cbb26 repo root:

```bash
cp .env.example .env
# Edit POSTGRES_PASSWORD, optional ports, and MARKET_COLLECTOR_PRODUCTS
```

Key variables (see `.env.example` and `deploy/compose/slice-a.yml`):

| Variable | Default | Purpose |
|----------|---------|---------|
| `POSTGRES_DB` | `cbb26` | Database name |
| `POSTGRES_USER` | `cbb26` | Database user |
| `POSTGRES_PASSWORD` | `change-me` | **Change in production** |
| `POSTGRES_PORT` | `5432` | Host-published Postgres port |
| `MARKET_COLLECTOR_PRODUCTS` | 20-product CSV | Coinbase products to subscribe |
| `MARKET_COLLECTOR_PORT` | `8080` | Collector HTTP / metrics |
| `TENSOR_MATERIALIZER_PORT` | `8081` | Materializer API |

Inside Compose containers, services use `DB_HOST=timeseries-db` (not `localhost`).

### 2. Start the stack

```bash
scripts/up_slice_a.sh
scripts/check_slice_a.sh
```

Services: `timeseries-db`, `market-collector`, `tensor-materializer`, `prometheus`, `grafana`.

### 3. Verify health

Expected endpoints:

- Collector: `http://localhost:8080/healthz`, `http://localhost:8080/readyz`
- Materializer: `http://localhost:8081/healthz`

After the collector runs, confirm replay rows exist:

```bash
DB_HOST=localhost DB_PORT=5432 uv run python scripts/_timeseries_db_hf_backup.py inventory --scope core-replay
```

Internal runbook: [`docs/runbooks/slice-a.md`](https://github.com/deusmos/cbb26/blob/main/docs/runbooks/slice-a.md).

---

## Contributing missing shards and days

See [`docs/standards/CONTRIBUTING_DATA.md`](https://github.com/deusmos/cbb26/blob/main/docs/standards/CONTRIBUTING_DATA.md) (operator guide).

The dataset grows by **incremental sync** from contributors with a populated Timescale instance. Uploads are **idempotent**: shards already on Hub are skipped.

```bash
export HF_TIMESERIES_DATASET_REPO=deusmos/cbb26-timeseries-db
scripts/upload_timeseries_db_to_hf.sh --sync \
  --start-date 2026-05-22 --end-date 2026-05-31
```

---

## Tools for researchers

This repo is **replay truth**, not pre-rendered tensors. To **see** what NDDS windows look like without restoring Postgres, use the day-corpus tooling:

| Tool | Link |
|------|------|
| Preview PNG + gallery | [`examples/preview_corpus_day.sh`](https://github.com/deusmos/cbb26/blob/main/examples/preview_corpus_day.sh) on [`cbb26-day-corpus-v1`](../cbb26-day-corpus-v1/README.md) |
| PyTorch DataLoader | [`libs/day_raster_corpus/pytorch_loader.py`](https://github.com/deusmos/cbb26/blob/main/libs/day_raster_corpus/pytorch_loader.py) |
| Hub thumbnails | [`previews/`](https://huggingface.co/datasets/deusmos/cbb26-day-corpus-v1/tree/main/previews) on day-corpus |
| Live peek | [HF Space `deusmos/cbb26-corpus-peek`](https://huggingface.co/spaces/deusmos/cbb26-corpus-peek) |

Raw shard preview without Postgres restore is **not shipped in v1** — restore + materialize (Path B) or use day-corpus previews. See [shared FAQ](../_shared/FAQ.md#why-cant-i-preview-timeseries-shards-directly).

---

## FAQ

### Can I use this commercially?

Market data is governed by [Coinbase market data terms](https://www.coinbase.com/legal/market-data-terms). Software and schema in cbb26 are [MIT licensed](https://github.com/deusmos/cbb26/blob/main/LICENSE). Not legal advice.

### Why Postgres dumps not Parquet?

Replay fidelity requires full L2 book state. See [ADR-003](https://github.com/deusmos/cbb26/blob/main/docs/standards/adr/003-pgdump-shards-vs-parquet.md).

### Why two datasets?

Raw replay (this repo) vs materialized NDDS day bundles ([`cbb26-day-corpus-v1`](https://huggingface.co/datasets/deusmos/cbb26-day-corpus-v1)).

### How complete is UTC day X?

**20/20 products** under `data/{YYYY-MM-DD}/`; sidecar `orderbook_second_deltas` ≈ **86400** for a full continuous day.

### How do I cite this?

```bibtex
@dataset{cbb26_timeseries_db,
  title  = {CBB26 Coinbase L2 Order Book Replay Shards},
  author = {deusmos},
  year   = {2026},
  url    = {https://huggingface.co/datasets/deusmos/cbb26-timeseries-db}
}
```

### Is this affiliated with Coinbase?

No. Independent research project using public market feeds.

Full FAQ source: [`docs/datasets/_shared/FAQ.md`](https://github.com/deusmos/cbb26/blob/main/docs/datasets/_shared/FAQ.md).

---

## Licensing and data use

- **Software / schema / scripts:** [MIT License](https://github.com/deusmos/cbb26/blob/main/LICENSE) (cbb26 repository).
- **Market data:** sourced from Coinbase public market feeds. Respect [Coinbase market data terms](https://www.coinbase.com/legal/market-data-terms). Provided for research and reproducibility **without warranty**.

Policy: [`docs/standards/DATA_USE_POLICY.md`](https://github.com/deusmos/cbb26/blob/main/docs/standards/DATA_USE_POLICY.md).

---

## Related (downstream)

Restoring HF shards into local Timescale lets you **materialize new days/products** without operator infrastructure. Pre-built **NDDS day bundles** for cloud training live in **`deusmos/cbb26-day-corpus-v1`**.

```mermaid
flowchart LR
  CB[Coinbase L2 websocket] --> MC[market-collector]
  MC --> TS[(timeseries-db / market_data)]
  TS --> TM[tensor-materializer / materialize scripts]
  TM --> CORP[Corpus artifacts]
  TS --> HF[(HF timeseries shards)]
  CORP --> HFC[(HF day-corpus-v1 NDDS)]
  CORP --> TR[train_latent_encoder.py]
```

Materialization entrypoints: `scripts/materialize_valid_day_bundles.py`, `scripts/materialize_free_tardis_17d_day_bundles.py`. Training: `scripts/train_latent_encoder.py` (v2 contract). Vast/JOJAT runbook: [`docs/runbooks/vast_jojat_training.md`](https://github.com/deusmos/cbb26/blob/main/docs/runbooks/vast_jojat_training.md).

---

## References

| Resource | Location |
|----------|----------|
| **Orderbook data standards (v1)** | `docs/standards/README.md` |
| **Examples** | `examples/download_one_timeseries_shard.sh` |
| cbb26 repo | GitHub `deusmos/cbb26` |
| Upload entrypoint | `scripts/upload_timeseries_db_to_hf.sh` |
| Coverage refresh | `scripts/generate_hf_dataset_coverage.py` |
| Materialized training corpus (NDDS) | [`deusmos/cbb26-day-corpus-v1`](https://huggingface.co/datasets/deusmos/cbb26-day-corpus-v1) |
| Publish this README to Hub | `scripts/publish_timeseries_dataset_readme.sh` |

---

## Changelog

| Date | Notes |
|------|-------|
| 2026-05-25 | A+++ upgrade: decision tree, live coverage, restore smoke enforcement, FAQ, BibTeX |
| 2026-05-25 | Initial public dataset card (shards `2024-12-01`+, 20 products, core-replay export) |