DOLPHIN/prod/docs/EXF_V2_DEPLOYMENT_SUMMARY.md

# ExF System v2.0 - Deployment Summary

**Date**: 2026-03-17  
**Status**: ✅ DEPLOYED (with known issues)  
**Components**: 5 files, ~110KB total

---

## Executive Summary

Successfully implemented a complete External Factors (ExF) data pipeline with:

1. **Hot Path**: Hazelcast push every 0.5s for real-time alpha engine
2. **Durability**: Disk persistence every 5min (NPZ format) for backtests
3. **Integrity**: Continuous monitoring with health checks and alerts

---

## Files Delivered

| File | Size | Purpose | Status |
|------|------|---------|--------|
| `exf_fetcher_flow.py` | 12.4 KB | Prefect orchestration flow | ✅ Updated |
| `exf_persistence.py` | 16.9 KB | Disk writer (NPZ format) | ✅ New |
| `exf_integrity_monitor.py` | 15.1 KB | Health monitoring & alerts | ✅ New |
| `test_exf_integration.py` | 6.9 KB | Integration tests | ✅ New |
| `PROD_BRINGUP_GUIDE.md` | 24.5 KB | Operations documentation | ✅ Updated |

**Total**: 75.8 KB new code + documentation

---

## Architecture

```
┌─────────────────────────────────────────────────────────────────────┐
│                        EXF SYSTEM v2.0                              │
├─────────────────────────────────────────────────────────────────────┤
│                                                                     │
│  Data Providers (8)                                                 │
│  ├── Binance (funding, OI, L/S, basis, spread, imbalance)          │
│  ├── Deribit (volatility, funding) ⚠️ HTTP 400                      │
│  ├── FRED (VIX, DXY, rates) ✅                                      │
│  ├── Alternative.me (F&G) ✅                                        │
│  ├── Blockchain.info (hashrate) ⚠️ HTTP 404                         │
│  ├── DeFi Llama (TVL) ✅                                            │
│  └── Coinglass (liquidations) ⚠️ HTTP 500 (needs auth)              │
│                                                                     │
│  RealTimeExFService (28 indicators defined)                         │
│  ├── In-memory cache (<1ms read)                                    │
│  ├── Per-indicator polling (0.5s to 8h intervals)                   │
│  └── Rate limiting per provider                                     │
│                                                                     │
│  Three Parallel Outputs:                                            │
│                                                                     │
│  ┌─────────────────┐  ┌─────────────────┐  ┌─────────────────┐     │
│  │  HAZELCAST      │  │  DISK           │  │  MONITOR        │     │
│  │  (Hot Path)     │  │  (Off Hot Path) │  │  (Background)   │     │
│  │                 │  │                 │  │                 │     │
│  │ Interval: 0.5s  │  │ Interval: 5min  │  │ Interval: 60s   │     │
│  │ Latency: <10ms  │  │ Latency: N/A    │  │ Latency: N/A    │     │
│  │ Format: JSON    │  │ Format: NPZ     │  │ Output: Alerts  │     │
│  │ Key: exf_latest │  │ Path: eigenvalues/YYYY-MM-DD/         │     │
│  │                 │  │                 │  │                 │     │
│  │ Consumer:       │  │ Consumer:       │  │ Actions:        │     │
│  │ Alpha Engine    │  │ Backtests       │  │ Log/Alert       │     │
│  └─────────────────┘  └─────────────────┘  └─────────────────┘     │
│                                                                     │
└─────────────────────────────────────────────────────────────────────┘
```

---

## Indicators Status (28 Defined)

| Category | Indicators | Working | Issues |
|----------|-----------|---------|--------|
| **Binance** (9) | funding_btc, funding_eth, oi_btc, oi_eth, ls_btc, ls_eth, ls_top, taker, basis, spread, imbal_* | ✅ 9/9 | None |
| **Deribit** (4) | dvol_btc, dvol_eth, fund_dbt_btc, fund_dbt_eth | ⚠️ 0/4 | HTTP 400 |
| **FRED** (5) | vix, dxy, us10y, sp500, fedfunds | ✅ 5/5 | None |
| **Sentiment** (1) | fng | ✅ 1/1 | None |
| **On-chain** (1) | hashrate | ⚠️ 0/1 | HTTP 404 |
| **DeFi** (1) | tvl | ✅ 1/1 | None |
| **Liquidations** (4) | liq_vol_24h, liq_long_ratio, liq_z_score, liq_percentile | ⚠️ 0/4 | HTTP 500 |

**Total**: ✅ 16/28 working, ⚠️ 12/28 with issues

---

## ACB Readiness

**ACB-Critical Indicators** (must all be present for alpha engine risk calc):

```python
ACB_KEYS = [
    "funding_btc", "funding_eth",   # ✅ Working
    "dvol_btc", "dvol_eth",        # ⚠️ HTTP 400 (Deribit)
    "fng",                          # ✅ Working
    "vix",                          # ✅ Working
    "ls_btc",                       # ✅ Working
    "taker",                        # ✅ Working
    "oi_btc",                       # ✅ Working
]
```

**Current Status**: 6/9 present → `_acb_ready: False`  
**Impact**: Alpha engine risk sensitivity **degraded** (no volatility overlay)

---

## DOLPHIN Compliance

### NPZ File Format ✅

```python
# Location
/mnt/ng6_data/eigenvalues/{YYYY-MM-DD}/
extf_snapshot_{timestamp}__Indicators.npz

# Contents
{
    "_metadata": json.dumps({
        "_timestamp_utc": "2026-03-17T12:00:00+00:00",
        "_version": "1.0",
        "_staleness_s": {...},
    }),
    "basis": np.array([0.01178]),
    "spread": np.array([0.00143]),
    ...
}

# Checksum
extf_snapshot_{timestamp}__Indicators.npz.sha256
```

### Data Sufficiency Check ✅

```python
sufficiency = {
    'sufficient': True/False,
    'score': 0.0-1.0,  # Overall sufficiency score
    'acb_critical': "6/9",  # ACB indicators present
    'total_indicators': 16,  # All indicators present
    'freshness': 0.95,  # % indicators fresh (<60s)
}
```

---

## Operations

### Start the System

```bash
cd /root/extf_docs

# Full production mode
python exf_fetcher_flow.py --warmup 30

# Test mode (no persistence/monitoring)
python exf_fetcher_flow.py --no-persist --no-monitor --warmup 15
```

### Check Status

```bash
# Health status
python3 << 'EOF'
import hazelcast, json
client = hazelcast.HazelcastClient(cluster_name='dolphin', cluster_members=['localhost:5701'])
data = json.loads(client.get_map("DOLPHIN_FEATURES").get("exf_latest").result())
print(f"ACB Ready: {data.get('_acb_ready')}")
print(f"Indicators: {data.get('_ok_count')}/{data.get('_expected_count')}")
print(f"ACB Present: {data.get('_acb_present')}")
print(f"Missing: {data.get('_acb_missing', [])}")
client.shutdown()
EOF

# Persistence stats
ls -la /mnt/ng6_data/eigenvalues/$(date +%Y-%m-%d)/
```

### Run Integration Tests

```bash
python test_exf_integration.py --duration 30 --test all
```

---

## Known Issues

| Issue | Severity | Indicator | Root Cause | Fix |
|-------|----------|-----------|------------|-----|
| Deribit HTTP 400 | **HIGH** | dvol_btc, dvol_eth, fund_dbt_* | API endpoint changed or auth required | Update Deribit API calls |
| Blockchain 404 | **LOW** | hashrate | Endpoint deprecated | Find alternative API |
| Coinglass 500 | **MED** | liq_* | Needs API key | Add authentication header |

---

## Next Steps

### P0 (Critical)
- [ ] Fix Deribit API endpoints for dvol_btc, dvol_eth
- [ ] Without these, ACB will never be ready

### P1 (High)
- [ ] Add Coinglass API authentication for liquidation data
- [ ] Add redundancy (multiple providers per indicator)

### P2 (Medium)
- [ ] Expand from 28 to 80+ indicators
- [ ] Create Grafana dashboards
- [ ] Add Prometheus metrics endpoint

### P3 (Low)
- [ ] Implement per-indicator optimal lags (needs 80+ days data)
- [ ] Switch to Arrow format for better performance

---

## Monitoring Alerts

The system generates alerts for:

| Alert | Severity | Condition |
|-------|----------|-----------|
| `missing_critical` | **CRITICAL** | ACB indicator missing |
| `hz_connectivity` | **CRITICAL** | Hazelcast disconnected |
| `staleness` | **WARNING** | Indicator stale > 120s |
| `divergence` | **WARNING** | HZ/disk data mismatch > 3 indicators |
| `persist_connectivity` | **WARNING** | Disk writer unavailable |

Alerts are logged to structured JSON and can be integrated with PagerDuty/webhooks.

---

## Summary

✅ **DELIVERED**:
- Complete ExF pipeline (fetch → cache → HZ → disk → monitor)
- 28 indicators configured (16 working)
- NPZ persistence with checksums
- Health monitoring with alerts
- Integration tests
- Comprehensive documentation

⚠️ **BLOCKING ISSUES**:
- Deribit API returns 400 (affects ACB readiness)
- Without dvol_btc/dvol_eth, `_acb_ready` stays `False`

**Recommendation**: Fix Deribit integration before full production deployment.

---

*Generated: 2026-03-17*