--- 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 **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) | 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` 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]+$`). - **One Hub commit per shard** during sync upload (rate-limit friendly; ~30 s spacing). ### Manifests and revision pinning | File | Purpose | |------|---------| | `backup_manifest.json` | Dataset-level manifest (`cbb26_timeseries_db_backup_manifest_v2`): scope, table list, row counts, time ranges, restore notes, migration list | | `data/.../*.json` | Per-shard sidecar with `row_counts` and `dump_size_bytes` | | **Git revision SHA** | Pin downloads with `HF_TIMESERIES_DATASET_REVISION=` or `hf download … --revision ` | There are **no separate checksum files**; verify restores with sidecar `row_counts`, `pg_restore` exit code, and `scripts/smoke_restore_hf_shard.sh`. --- ## Download and restore ### Quick inspect (no Postgres) ```bash git clone https://github.com/deusmos/cbb26.git && cd cbb26 ./examples/download_one_timeseries_shard.sh ``` ### Prerequisites - Docker (for `pg_dump`/`pg_restore` client **Postgres 16** — use image `pgvector/pgvector:pg16` or `timescale/timescaledb:2.14.2-pg16`) - A running Postgres 16 + TimescaleDB target (see [Run your own collector](#run-your-own-collector-local-docker-stack) below) - [Hugging Face CLI](https://huggingface.co/docs/huggingface_hub/guides/cli): `uv run hf auth login` or `HF_TOKEN` in environment ### Download **Full dataset** (large): ```bash export HF_TOKEN=... # optional for public repo; required for uploads uv run hf download deusmos/cbb26-timeseries-db --repo-type dataset --local-dir ./cbb26-timeseries-db ``` **Pin a revision** (recommended for reproducible materialization): ```bash export HF_TIMESERIES_DATASET_REVISION=b6c9773744ca346dba5c37c05939349f1ae3225e # example; get latest from Hub uv run hf download deusmos/cbb26-timeseries-db \ --repo-type dataset \ --revision "$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) |