Duplicate from Torch-Trade/btcusdt-microbar-v2

Co-authored-by: torchtrade <torchtrade@users.noreply.huggingface.co>

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README.md

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+---
+language:
+  - en
+license: mit
+pretty_name: BTCUSDT Microbar v2
+tags:
+  - finance
+  - cryptocurrency
+  - market-microstructure
+  - binance
+  - futures
+  - btcusdt
+size_categories:
+  - 10M<n<100M
+---
+
+# BTCUSDT Microbar v2
+
+Sub-candle microstructure data for Binance USD-M Futures BTCUSDT, collected continuously over six WebSocket streams. Successor to [`Torch-Trade/btcusdt-microbar`](https://huggingface.co/datasets/Torch-Trade/btcusdt-microbar).
+
+A standard OHLCV candle compresses thousands of trades into 6 numbers. This dataset preserves the raw event-level data — every individual trade, every best bid/ask change, every depth snapshot — so the underlying microstructure features can be reconstructed at any timeframe.
+
+## Why v2?
+
+In April 2026 we discovered that the v1 collector had a silent routing bug. Binance USD-M Futures split market data across two WebSocket routing paths (`/public` and `/market`) — the legacy unified endpoint silently delivered streams that mapped to `/public` and dropped the rest **without error**.
+
+Concretely, in v1:
+
+| Stream         | v1 status                              | v2 status |
+|----------------|----------------------------------------|-----------|
+| `trade`        | working                                | working   |
+| `bookTicker`   | working                                | working   |
+| `depth5@500ms` | partial (missing during routing migration) | working   |
+| `markPrice`    | **broken** (subscriptions silently dropped) | **fixed** |
+| `miniTicker`   | **broken** (subscriptions silently dropped) | **fixed** |
+| `forceOrder`   | **broken** (subscriptions silently dropped) | **fixed** |
+
+If you only need `trades` and `book_ticks`, the v1 dataset remains usable. If you need funding rate, mark price, 24h stats, liquidations, or full depth — use v2. We renamed the repo (rather than appending) so consumers get a clean discontinuity instead of a silent quality jump.
+
+The fix is in `binance-microbar` collector commit `f88a52a` (group streams by routing path and open one WebSocket per group).
+
+## Layout
+
+```
+data/btcusdt/
+├── trades/<YYYY-MM-DD>/<HHMMSS>.parquet          # individual trades
+├── book_ticks/<YYYY-MM-DD>/<HHMMSS>.parquet      # best bid/ask updates
+├── depth/<YYYY-MM-DD>/<HHMMSS>.parquet           # top-5 order book snapshots
+├── liquidations/<YYYY-MM-DD>/<HHMMSS>.parquet    # forced liquidations
+├── mark_price/<YYYY-MM-DD>/<HHMMSS>.parquet      # mark price + funding
+└── mini_ticker/<YYYY-MM-DD>/<HHMMSS>.parquet     # 24h rolling stats
+```
+
+Files are flushed to disk every 60 seconds. Each row carries a `timestamp_ms` (exchange clock, UTC) which is the only safe key for joins — wall-clock arrival times are not preserved.
+
+## Schemas
+
+### `trades/`
+| column            | type    | description                                   |
+|-------------------|---------|-----------------------------------------------|
+| `timestamp_ms`    | int64   | exchange trade time, ms since epoch UTC       |
+| `price`           | float64 | trade price (USDT)                            |
+| `quantity`        | float64 | trade quantity (BTC)                          |
+| `is_buyer_maker`  | bool    | True = aggressive sell, False = aggressive buy |
+
+Volume: ~50 trades/sec → ~4M rows/day.
+
+### `book_ticks/`
+| column         | type    | description                              |
+|----------------|---------|------------------------------------------|
+| `timestamp_ms` | int64   | exchange event time                      |
+| `bid_price`    | float64 | best bid price                           |
+| `bid_qty`      | float64 | best bid quantity                        |
+| `ask_price`    | float64 | best ask price                           |
+| `ask_qty`      | float64 | best ask quantity                        |
+
+Volume: ~100 updates/sec → ~8M rows/day.
+
+### `depth/`
+Top 5 order book levels. Columns: `timestamp_ms`, `bid_price_0..4`, `bid_qty_0..4`, `ask_price_0..4`, `ask_qty_0..4`. Snapshots arrive every 500 ms → ~170k rows/day.
+
+### `liquidations/`
+| column         | type    | description                                                |
+|----------------|---------|------------------------------------------------------------|
+| `timestamp_ms` | int64   | liquidation time                                           |
+| `price`        | float64 | average fill price                                         |
+| `quantity`     | float64 | liquidated size                                            |
+| `side`         | string  | `"BUY"` = short squeezed (bullish), `"SELL"` = long liquidated (bearish) |
+
+Sparse — bursts during volatile moves.
+
+### `mark_price/`
+Updates every 3 seconds. Columns: `timestamp_ms`, `mark_price`, `index_price`, `funding_rate`, `next_funding_time_ms`. Funding rate is the most predictive macro signal in crypto futures.
+
+### `mini_ticker/`
+Updates every second. Columns: `timestamp_ms`, `open_24h`, `high_24h`, `low_24h`, `close`, `volume_24h`, `quote_volume_24h`. Distance from 24h high/low is a support/resistance signal.
+
+## Loading
+
+```python
+from huggingface_hub import snapshot_download
+import pandas as pd
+from pathlib import Path
+
+local = snapshot_download(
+    "Torch-Trade/btcusdt-microbar-v2",
+    repo_type="dataset",
+    allow_patterns=["trades/2026-04-29/*.parquet"],
+)
+
+trades = pd.concat(
+    pd.read_parquet(f) for f in sorted(Path(local, "trades/2026-04-29").glob("*.parquet"))
+)
+```
+
+To compute aggregated microstructure features over arbitrary timeframes, use the [`binance-microbar`](https://github.com/TorchTrade/binance-microbar) library — `examples/build_feature_dataset.py` rebuilds 54-feature ML-ready datasets directly from these raw streams.
+
+## Collection
+
+- **Source**: Binance USD-M Futures public WebSocket streams (no auth required)
+- **Collector**: [`binance-microbar`](https://github.com/TorchTrade/binance-microbar) at commit `f88a52a` or later
+- **Host**: continuous collection on a Raspberry Pi 5 (`colony1`), uploads daily at 03:00 UTC
+- **Coverage**: starts 2026-04-29; the immediate prior period (2026-04-28 → 2026-04-29) is missing because the collector was offline for the routing-fix deployment
+
+## License
+
+MIT. Market data is sourced from Binance's public WebSocket streams and is provided as-is. No financial advice; not affiliated with Binance.

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