Faza 5.2 — multi-exchange sanity check

2026-05-20 infra

Bybit i OKX 0.006% spread vs Binance, Kraken 0.025%, Binance.US 0.078% — sve ispod 0.1% praga. Pooling više berzi je bezbedan.

↑ Svi izveštaji ← Faza 4 — precompute feature-a Faza 5.1 — schema migracija za exchange →

TL;DR — GO za multi-exchange roll-out

Svih 4 testiranih CEX-ova (Binance.US, Kraken, OKX, Bybit) vraćaju BTC daily klines koji se razlikuju < 0.1% mean spread od Binance baseline-a. Bezbedno za multi-source pooling.

Setup

1y BTC daily klines (2025-05-21 → 2026-05-20) preko ccxt
Berze: binance, binanceus, kraken, coinbase, okx, bybit
Skripta: tools/analysis/faza5_sanity_check.py

Rezultati

Row counts + range coverage

Exchange	Symbol	Rows	Range
binance	BTC/USDT	365	full 1y
binanceus	BTC/USDT	365	full 1y
kraken	BTC/USDT	365	full 1y
coinbase	BTC/USD	—	ERROR (requires apiKey čak za public data)
okx	BTC/USDT	300	start 2025-07-25 (listing date)
bybit	BTC/USDT	365	full 1y

Spread vs Binance (close-to-close, % razlika po danu)

Exchange	Days overlap	Max %	p99 %	p50 %	Mean %
bybit	365	0.032	0.021	0.005	0.006
okx	300	0.031	0.021	0.005	0.006
kraken	365	0.153	0.103	0.017	0.025
binanceus	365	0.490	0.352	0.047	0.078

Time alignment

Exchange	Missing days	Extra days
binanceus	0	0
kraken	0	0
okx	65	0 (listing počeo kasnije)
bybit	0	0

Tumačenje

Sve 4 berze su DOVOLJNO bliske Binance-u za pooling.

Bybit + OKX (0.006% spread) — practical clones — verovatno isti market makeri, isti arbitrage
Kraken (0.025% spread) — independent CEX sa zasebnom likvidnošću, ali još uvek vrlo blisko
Binance.US (0.078% spread) — najveći drift jer ima zasebnu USD likvidnost i regulatorne razlike, ali still well < 0.1% threshold

OKX listing kasniji od 2025-07-25 — sugeriše da treba per-exchange listing-date detection u future churn job-u; ne diskvalifikuje pool.

Coinbase fails sa auth requirement — može da se reši preko Coinbase Advanced API ključa, ali za sada SKIP (već imamo 4 working berze).

Implikacije za Fazu 5 (next steps)

Schema migracija je BEZBEDNA — pooled klines neće dati netačne signale (spread < 0.1% je manji od trading fee-ova 0.1-0.2%)
Per-generator exchange config može default-ovati na binance — drugi izvori su backup/redundancy
Cross-venue arbitrage generator ima validnu osnovu — sub-0.1% spread normalan, > 0.3% jednodnevni outlier (max kod Binance.US) mogao biti signal
Coinbase može sačekati — fokus na bybit + kraken kao prva dva alternativna izvora

Sledeći koraci u Fazi 5

✅ Sanity-check (gotov, PASS)
Schema migracija — exchange kolona u klines + features PRIMARY KEY (sa backup-om DB-a)
CCXTScanner enhancement — paginated fetch_ohlcv sa since + per-symbol mapping BTCUSDT ↔ BTC/USDT
KlinesProvider.get(exchange, symbol, ...) API
Per-generator manifest "exchange": "binance" polje (default)
(Opciono) Cross-venue arbitrage POC generator
(Opciono) Coinbase Advanced API integracija

Provenance

Skripta: tools/analysis/faza5_sanity_check.py
Plan: docs/plans/PLAN_2026-05-20_klines_cache_primary.md Faza 5
CCXT version: native u containeru (ccxt.async_support)

Izvor: crypto_scanner/reports/analysis/2026-05-20_faza5_sanity_check.md