---
project: anomaly-atlas
document: expA_data_reality/analysis
author: Simon-Pierre Boucher
contact: contact@spboucher.ai
data_source: hfmarketdata.io
created: 2026-08-12
modified: 2026-08-12
status: reviewed
---

# Analysis — expA_data_reality

Run: `results/expA_data_reality/20260812T054515Z/results.json`
(hardware manifest embedded; 54 network requests on first pass, 100 % cache
hits on re-run — the reproducibility anchor works).

## What was established

1. **Granularity is real.** 1-minute bars are served for every advertised
   class; 1min is the floor. Options are daily chain snapshots (17 columns,
   with bid/ask/IV/Greeks/OI) over 67 quarters, 2010_q1 → 2026_q3_partial.
2. **Depth.** stock/etf 1min from Jan 2000 (26+ years); futures & index from
   Jan 2008; fx from 2010; crypto from Apr 2013. Archive lags a few days
   (equities ended previous Friday on run date) — not a live feed.
3. **Timestamps** are US/Eastern wall-clock, bar-start labeled, no TZ marker.
   Sessions: equities 04:00–19:59 ET, fx Sun 17:00 → Fri 16:59, futures ≈24 h,
   crypto 24/7, SPX prints until 16:20. Cross-asset closes are therefore
   non-synchronous **by construction**.
4. **Bars exist only where trades occurred** — no zero-volume placeholders.
   Liquid RTH is complete (390/390); an illiquid name printed 38 bars/day.
5. **Daily ≠ aggregated 1min.** Daily bars are RTH-only with the official
   auction close (312.41 vs 312.49) and include auction/consolidated volume
   missing from 1min bars (46.1 M vs 34.7 M extended / 25.7 M RTH).
6. **Adjustments verified** on the AAPL 4:1 split (exact), and `adj_splitdiv`
   re-bases the whole history to the build date — adjusted series are not
   point-in-time stable.
7. **Limits.** Hard 50 000-row JSON cap (pagination verified: 218 006 rows of
   SPY 1min/2020, 0 dupes, monotonic); no rate limiting observed; 0.08–0.22 s
   small-request latency.

## Interpretation (confidence framing)

No anomaly is claimed; Level n/a. The experiment succeeded by its own
criterion: every downstream-critical property was pinned down. Items 3–6 are
direct seeds for the artifact taxonomy — each is a mechanism that can
manufacture a fake anomaly (spurious lead-lag from non-synchronous sessions;
spurious autocorrelation from stale prints; phantom overnight returns from
auction-vs-last-bar close mismatch; look-ahead from rolling adjustment).

## Verdict

**Complete.** Proceed to expB_artifact_baselines (measure the artifact nulls);
in parallel, Phase 1 literature work can start. Everything downstream must
join bars explicitly on time with declared staleness rules — never implicit
LOCF — and must state which close (auction vs last-bar) it uses.