# 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*