# FinData OS audit for WP46 (Phase 0)

Audited 2026-11-09T17:38:35.835958+00:00 against https://findata.spboucher.ai/api/v1 by scripts/audit_findata.py. Machine-readable evidence: results/manifests/findata_audit.json; call log: results/logs/findata_audit_provenance.jsonl. The hostname findata.spboucher.ai (not indata.) is the one configured in the owner's FinData repository and its docs/CLAUDE-API-USAGE.md; the API contract is the live OpenAPI document (/api/v1/openapi.json) — no endpoint below was guessed.

# 1. Service and contract

• Health status: degraded; alerts: ['dead_jobs']; components: {'postgres': 'ok', 'backup': '…', 'ingest_worker': 'running', 'lake': '…', 'ssd_smart': 'Verified'}.
• OpenAPI 3.1.0, 41 paths. Used by WP46: /catalog/datasets, /catalog/datasets/{id}, /catalog/schema/bars, /instruments/{symbol}, /market/bars, /query (DuckDB SQL over the lake views), /exports (+ /exports/{id}, /download), /health.
• Bars schema: {"schema_version": 1, "timestamp_convention": "bar_open", "timezone_storage": "UTC", "fields": [{"name": "instrument_id", "type": "string", "nullable": false}, {"name": "symbol_as_reported", "type": "string", "nullable": false}, {"name": "venue", "type": "string", "nullable": true}, {"name": "asset_class", "type": "string", "nullable": false}, {"name": "interval", "type": "string", "nullable": false}, {"name": "timestamp_utc", "type": "timestamp[us, tz=UTC]", "nullable": false}, {"name": "session_date", "type": "date32[day]", "nullable": false}, {"name": "open", "type": "double", "nullable": f
• Response headers observed: {'x-content-type-options': 'nosniff', 'x-frame-options': 'DENY', 'x-request-id': 'a269afe07a8a4356'}. Rate limit (documented): 600 requests/min per key; the client uses a 5 req/s token bucket with Retry-After/backoff.
• Authentication: bearer API key read from the owner's secret file; key scopes used: read:market, query, export. Never logged.

# 2. Datasets (catalog)

# Dataset conventions (descriptor text)

• market_bars.etf.1m.raw: {'name': 'US ETFs — 1-minute bars (unadjusted)', 'description': 'Same contract as stocks.', 'timestamp_convention': 'bar_open', 'timezone': 'America/New_York', 'notes': None, 'license_class': 'frd-private', 'license_text': 'FirstRate Data license: private use by the subscriber only. Raw bars/tables may not be redistributed to third parties (no public API, CSV or tables). Derived results and charts may be published with attribution to FirstRate Data.', 'current_version': 5167, 'status': 'active'}
• market_bars.etf.1d.split_div: {'name': 'US ETFs — daily bars (split- and dividend-adjusted (vendor adj_splitdiv))', 'description': 'Vendor daily OHLCV bars, split- and dividend-adjusted (vendor adj_splitdiv). Includes delisted tickers (suffix -DELISTED) when their archives are ingested. Vendor-adjusted history is rewritten after corporate actions; refreshed weekly via full_update.', 'timestamp_convention': 'session', 'timezone': 'America/New_York', 'notes': None, 'license_class': 'frd-private', 'license_text': 'FirstRate Data license: private use by the subscriber only. Raw bars/tables may not be redistributed to third parties (no public API, CSV or tables). Derived results and charts may be published with attribution to FirstRate Data.', 'current_version': 270, 'status': 'active'}
• market_bars.stock.1m.raw: {'name': 'US stocks — 1-minute bars (unadjusted)', 'description': 'Raw (unadjusted) 1-minute OHLCV bars for US-listed stocks, extended hours 04:00–20:00 ET, zero-volume bars absent at source. Includes delisted tickers (suffix -DELISTED).', 'timestamp_convention': 'bar_open', 'timezone': 'America/New_York', 'notes': 'Canonical dataset; adjustments are applied at query time from corporate_actions.', 'license_class': 'frd-private', 'license_text': 'FirstRate Data license: private use by the subscriber only. Raw bars/tables may not be redistributed to third parties (no public API, CSV or tables). Derived results and charts may be published with attribution to FirstRate Data.', 'current_version': 17382, 'status': 'active'}
• market_bars.stock.1d.split_div: {'name': 'US stocks — daily bars (split- and dividend-adjusted (vendor adj_splitdiv))', 'description': 'Vendor daily OHLCV bars, split- and dividend-adjusted (vendor adj_splitdiv). Includes delisted tickers (suffix -DELISTED) when their archives are ingested. Vendor-adjusted history is rewritten after corporate actions; refreshed weekly via full_update.', 'timestamp_convention': 'session', 'timezone': 'America/New_York', 'notes': None, 'license_class': 'frd-private', 'license_text': 'FirstRate Data license: private use by the subscriber only. Raw bars/tables may not be redistributed to third parties (no public API, CSV or tables). Derived results and charts may be published with attribution to FirstRate Data.', 'current_version': 828, 'status': 'active'}
• market_bars.futures.1m.continuous_ratio: {'name': 'Futures — 1-minute continuous, ratio back-adjusted', 'description': 'Vendor continuous series per root (continuous, ratio back-adjusted); roll dates fixed by vendor.', 'timestamp_convention': 'bar_open', 'timezone': 'America/New_York', 'notes': 'Daily bars follow the contract trading day; absolute-adjusted series may be negative.', 'license_class': 'frd-private', 'license_text': 'FirstRate Data license: private use by the subscriber only. Raw bars/tables may not be redistributed to third parties (no public API, CSV or tables). Derived results and charts may be published with attribution to FirstRate Data.', 'current_version': 132, 'status': 'active'}
• market_bars.futures.1d.continuous_ratio: {'name': 'Futures — daily continuous, ratio back-adjusted', 'description': 'Vendor continuous series per root (continuous, ratio back-adjusted); roll dates fixed by vendor.', 'timestamp_convention': 'session', 'timezone': 'America/New_York', 'notes': 'Daily bars follow the contract trading day; absolute-adjusted series may be negative.', 'license_class': 'frd-private', 'license_text': 'FirstRate Data license: private use by the subscriber only. Raw bars/tables may not be redistributed to third parties (no public API, CSV or tables). Derived results and charts may be published with attribution to FirstRate Data.', 'current_version': 133, 'status': 'active'}
• market_bars.futures.1d.continuous_absolute: {'name': 'Futures — daily continuous, absolute back-adjusted', 'description': 'Vendor continuous series per root (continuous, absolute back-adjusted); roll dates fixed by vendor.', 'timestamp_convention': 'session', 'timezone': 'America/New_York', 'notes': 'Daily bars follow the contract trading day; absolute-adjusted series may be negative.', 'license_class': 'frd-private', 'license_text': 'FirstRate Data license: private use by the subscriber only. Raw bars/tables may not be redistributed to third parties (no public API, CSV or tables). Derived results and charts may be published with attribution to FirstRate Data.', 'current_version': 133, 'status': 'active'}
• market_bars.fx.1m.raw: {'name': 'FX majors — 1-minute bars', 'description': 'Aggregated from four money-center banks.', 'timestamp_convention': 'bar_open', 'timezone': 'America/New_York', 'notes': 'Two-field datetime in source files.', 'license_class': 'frd-private', 'license_text': 'FirstRate Data license: private use by the subscriber only. Raw bars/tables may not be redistributed to third parties (no public API, CSV or tables). Derived results and charts may be published with attribution to FirstRate Data.', 'current_version': 85, 'status': 'active'}
• market_bars.crypto.1m.raw: {'name': 'Crypto — 1-minute bars', 'description': 'UTC timestamps, 7 days a week.', 'timestamp_convention': 'bar_open', 'timezone': 'UTC', 'notes': None, 'license_class': 'frd-private', 'license_text': 'FirstRate Data license: private use by the subscriber only. Raw bars/tables may not be redistributed to third parties (no public API, CSV or tables). Derived results and charts may be published with attribution to FirstRate Data.', 'current_version': 83, 'status': 'active'}
• market_bars.index.1d.raw: {'name': 'Indices — daily bars', 'description': 'Vendor daily bars for indices. No volume (stored as 0).', 'timestamp_convention': 'session', 'timezone': 'America/New_York', 'notes': None, 'license_class': 'frd-private', 'license_text': 'FirstRate Data license: private use by the subscriber only. Raw bars/tables may not be redistributed to third parties (no public API, CSV or tables). Derived results and charts may be published with attribution to FirstRate Data.', 'current_version': 124, 'status': 'active'}
• corporate_actions.stock: {'name': 'Splits and cash dividends', 'description': 'From vendor meta files; mergers/spin-offs not covered.', 'timestamp_convention': None, 'timezone': None, 'notes': None, 'license_class': 'frd-private', 'license_text': 'FirstRate Data license: private use by the subscriber only. Raw bars/tables may not be redistributed to third parties (no public API, CSV or tables). Derived results and charts may be published with attribution to FirstRate Data.', 'current_version': 0, 'status': 'active'}

# 3. Candidate universe coverage

FX has no daily dataset in the lake (market_bars.fx.1d.raw is planned, 0 rows): daily FX returns are built from the 1-minute bars (last bar of each vendor session). Futures daily rows come from the vendor continuous series.

# 4. Session structure (2024, one representative symbol per class)

• etf / SPY: {'n_sessions': 252, 'min_bars': 537, 'med_bars': 782, 'max_bars': 948, 'first_bar_utc_min': '2024-01-02T09:00:00+00:00', 'last_bar_utc_max': '2025-01-01T00:59:00+00:00'}; sample days: [{'session_date': '2024-03-08', 'n': 794, 't0': '2024-03-08T09:00:00+00:00', 't1': '2024-03-09T00:59:00+00:00'}, {'session_date': '2024-03-11', 'n': 805, 't0': '2024-03-11T08:00:00+00:00', 't1': '2024-03-11T23:59:00+00:00'}, {'session_date': '2024-07-03', 'n': 575, 't0': '2024-07-03T08:00:00+00:00', 't1': '2024-07-03T20:55:00+00:00'}, {'session_date': '2024-11-29', 'n': 579, 't0': '2024-11-29T09:00:00+00:00', 't1': '2024-11-29T21:59:00+00:00'}]
• stock / AAPL: {'n_sessions': 252, 'min_bars': 448, 'med_bars': 743, 'max_bars': 926, 'first_bar_utc_min': '2024-01-02T09:00:00+00:00', 'last_bar_utc_max': '2025-01-01T00:58:00+00:00'}; sample days: [{'session_date': '2024-03-08', 'n': 835, 't0': '2024-03-08T09:00:00+00:00', 't1': '2024-03-09T00:59:00+00:00'}, {'session_date': '2024-03-11', 'n': 821, 't0': '2024-03-11T08:00:00+00:00', 't1': '2024-03-11T23:59:00+00:00'}, {'session_date': '2024-07-03', 'n': 591, 't0': '2024-07-03T08:00:00+00:00', 't1': '2024-07-03T20:59:00+00:00'}, {'session_date': '2024-11-29', 'n': 467, 't0': '2024-11-29T09:00:00+00:00', 't1': '2024-11-29T21:59:00+00:00'}]
• futures / ES: {'n_sessions': 313, 'min_bars': 354, 'med_bars': 1379, 'max_bars': 1380, 'first_bar_utc_min': '2024-01-01T23:00:00+00:00', 'last_bar_utc_max': '2024-12-31T21:59:00+00:00'}; sample days: [{'session_date': '2024-03-08', 'n': 1019, 't0': '2024-03-08T05:00:00+00:00', 't1': '2024-03-08T21:59:00+00:00'}, {'session_date': '2024-03-11', 'n': 1374, 't0': '2024-03-11T04:00:00+00:00', 't1': '2024-03-12T03:59:00+00:00'}, {'session_date': '2024-07-03', 'n': 1151, 't0': '2024-07-03T04:00:00+00:00', 't1': '2024-07-04T03:59:00+00:00'}, {'session_date': '2024-07-07', 'n': 360, 't0': '2024-07-07T22:00:00+00:00', 't1': '2024-07-08T03:59:00+00:00'}, {'session_date': '2024-11-29', 'n': 795, 't0': '2024-11-29T05:00:00+00:00', 't1': '2024-11-29T18:14:00+00:00'}]
• fx / EURUSD: {'n_sessions': 312, 'min_bars': 393, 'med_bars': 1433, 'max_bars': 1440, 'first_bar_utc_min': '2024-01-02T05:01:00+00:00', 'last_bar_utc_max': '2024-12-31T20:00:00+00:00'}; sample days: [{'session_date': '2024-03-08', 'n': 1020, 't0': '2024-03-08T05:00:00+00:00', 't1': '2024-03-08T21:59:00+00:00'}, {'session_date': '2024-03-11', 'n': 1437, 't0': '2024-03-11T04:00:00+00:00', 't1': '2024-03-12T03:59:00+00:00'}, {'session_date': '2024-07-03', 'n': 1434, 't0': '2024-07-03T04:00:00+00:00', 't1': '2024-07-04T03:59:00+00:00'}, {'session_date': '2024-07-07', 'n': 419, 't0': '2024-07-07T21:00:00+00:00', 't1': '2024-07-08T03:59:00+00:00'}, {'session_date': '2024-11-29', 'n': 1019, 't0': '2024-11-29T05:00:00+00:00', 't1': '2024-11-29T21:58:00+00:00'}]
• crypto / BTC: {'n_sessions': 366, 'min_bars': 1010, 'med_bars': 1440, 'max_bars': 1440, 'first_bar_utc_min': '2024-01-01T00:00:00+00:00', 'last_bar_utc_max': '2024-12-31T23:58:00+00:00'}; sample days: [{'session_date': '2024-03-08', 'n': 1440, 't0': '2024-03-08T00:00:00+00:00', 't1': '2024-03-08T23:59:00+00:00'}, {'session_date': '2024-03-11', 'n': 1440, 't0': '2024-03-11T00:00:00+00:00', 't1': '2024-03-11T23:59:00+00:00'}, {'session_date': '2024-07-03', 'n': 1440, 't0': '2024-07-03T00:00:00+00:00', 't1': '2024-07-03T23:59:00+00:00'}, {'session_date': '2024-07-07', 'n': 1440, 't0': '2024-07-07T00:00:00+00:00', 't1': '2024-07-07T23:59:00+00:00'}, {'session_date': '2024-11-29', 'n': 1440, 't0': '2024-11-29T00:00:00+00:00', 't1': '2024-11-29T23:59:00+00:00'}]
• SPY regular hours 09:30–16:00 ET (incl. the 16:00 closing print) 2024: {'n_sessions': 252, 'min_bars': 319, 'med_bars': 391, 'max_bars': 391}

# 5. Calendar reconciliation

• SPY daily sessions vs exchange_calendars XNYS: {'vendor_sessions': 6748, 'xnys_sessions': 6748, 'missing_in_vendor': [], 'n_missing': 0, 'extra_in_vendor': [], 'n_extra': 0, 'exchange_calendars_version': '4.13.2'}

# 6. Adjustment conventions (ratios, no price levels disclosed)

• aapl_split_2020_08_31: [{'session_date': '2020-08-28', 'ratio_raw_over_split': 4.0}, {'session_date': '2020-08-31', 'ratio_raw_over_split': 1.0}]
• spy_exdiv_2024_03_15: [{'session_date': '2024-03-14', 'ratio_split_over_splitdiv': 1.0327383781585309}, {'session_date': '2024-03-15', 'ratio_split_over_splitdiv': 1.0295496480088433}, {'session_date': '2024-03-18', 'ratio_split_over_splitdiv': 1.0295497190449032}]
• es_roll_march_2024: [{'session_date': '2024-03-11', 'ratio_ratioadj_over_raw': 1.1122799141128246, 'diff_absadj_minus_raw': 660.5}, {'session_date': '2024-03-12', 'ratio_ratioadj_over_raw': 1.112279685161041, 'diff_absadj_minus_raw': 660.5}, {'session_date': '2024-03-13', 'ratio_ratioadj_over_raw': 1.112279411764706, 'diff_absadj_minus_raw': 660.5}, {'session_date': '2024-03-14', 'ratio_ratioadj_over_raw': 1.0985684170180146, 'diff_absadj_minus_raw': 596.0}, {'session_date': '2024-03-15', 'ratio_ratioadj_over_raw': 1.0985692923640924, 'diff_absadj_minus_raw': 596.0}, {'session_date': '2024-03-18', 'ratio_ratioadj_over_raw': 1.0985684836281702, 'diff_absadj_minus_raw': 596.0}, {'session_date': '2024-03-19', 'ratio_ratioadj_over_raw': 1.0985701340201268, 'diff_absadj_minus_raw': 596.0}]
• es_latest_ratio_vs_raw_equal: [{'d': '2026-11-06', 'ratio_close_over_raw_close': 1.0}, {'d': '2026-11-05', 'ratio_close_over_raw_close': 1.0}, {'d': '2026-11-04', 'ratio_close_over_raw_close': 1.0}]

# 7. Quality flags and revisions (daily ETF/stock candidates)

• flags: [{'flag': 'off_interval', 'n': 91696}]; revision ids: [{'revision_id': 1, 'n': 91696}]

# 8. Export smoke test

• {'export_id': '63a3f115-e934-4660-b688-a370e20e77ea', 'dataset_id': 'market_bars.etf.1d.split_div', 'dataset_version': 270, 'row_count': 252, 'bytes': 18126, 'sha256': 'cbb37f1924e4a6bebc80c84e2559ac62f13c591b300c6ae488a0be217158af5e'}

# 9. Errors during the audit

• none

# 10. Facts, consequences and unresolved questions

• Timestamps are bar OPEN in UTC; stocks/ETFs/futures/FX carry an ET session_date, crypto a UTC date. Stocks/ETFs: extended hours 04:00–20:00 ET are present in the 1-minute data; regular session 09:30–16:00 ET (391 bars on a full day, 211 on a 13:00 early close). Zero-volume minutes are absent (missingness is a mask, never filled).
• Futures continuous series: vendor-fixed roll dates (not documented per contract by the vendor); three variants (raw = unadjusted splice, ratio = ratio back-adjusted, absolute = difference back-adjusted). WP46 uses the ratio-adjusted series, whose log returns are free of roll jumps, and the vendor session_date (a calendar day in ET, 00:00–23:59 ET), not the CME trading day (18:00–17:00 ET). This is disclosed in the data section; daily futures returns are therefore 'ET-day close-to-close'.
• FX: 1-minute mid bars aggregated from four money-center banks (vendor description), ET session_date, 24h except the weekend gap (Friday ~17:00 ET → Sunday 17:00 ET); Sunday partial sessions exist and are dropped by the preprocessing rule (session must have ≥ 60 % of the modal bar count).
• Crypto: UTC days, 7 days a week, 1,440 bars per day.
• Adjustments: stocks/ETFs daily returns use the vendor split- and dividend-adjusted closes (split_div, price-return convention with dividends reinvested at the ex-date = total-return approximation); intraday returns within a session are unaffected by adjustments except on split days (handled by using the split 1-minute view for RV).
• Licence: FirstRate Data private use; raw bars are never redistributed; aggregate forecasts/losses and derived statistics are publishable with attribution.
• Survivorship: the universe is fixed ex ante to instruments alive on 2026-11-06; all candidates have been continuously listed over their sample, so there is no within-sample delisting, but the selection of liquid, surviving instruments is a documented selection bias (results describe liquid benchmarks, not the cross-section).
• Unresolved: (i) exact vendor roll rule for continuous futures (vendor does not expose it in the API; the ratio series preserves returns, so forecasts are unaffected, but RV on roll days mixes two contracts' intraday paths); (ii) corporate-actions table is empty in the lake (adjustments come from vendor-adjusted series only); (iii) 1-minute FX/crypto bars are not consolidated trade data — RV from them is a mid-quote/aggregate measure and is documented as such.