{
  "generated_at": "2026-04-15T16:56:15.564135+00:00",
  "date": "2026-03-06",
  "verdict": "failed",
  "parallelism": {
    "workers": 16,
    "note": "Used process-level parallelism for permutation significance tests. The DBN scan itself remained single-process and chunked because the compressed file scan is effectively serial/decompression-bound."
  },
  "sources": {
    "databento_cbbo_file": "data/cbbo_1s_data/spxw_cbbo_1s_2026-03-06.dbn.zst",
    "trace_strike_gex_file": "data/trace_api/intradayStrikeGEX_2026-03-06.parquet"
  },
  "scan_stats": {
    "cbbo_file": "data/cbbo_1s_data/spxw_cbbo_1s_2026-03-06.dbn.zst",
    "instrument_count_parsed": 17560,
    "chunks_scanned": 150,
    "rows_scanned": 299753505,
    "rows_kept_exact_second": 15490,
    "chunk_rows": 2000000
  },
  "sessions": [
    {
      "session": "first_available",
      "trace_time": "2026-03-06T08:00:00-05:00",
      "databento_time": "2026-03-06T13:00:01+00:00",
      "note": "Databento cbbo file starts at 08:00:01 ET in the local file, so the TRACE 01:50 ET morning anchor is unavailable from local Databento data.",
      "trace_rows": 122,
      "databento_rows": 0,
      "databento_strikes": 0,
      "spot_from_put_call_parity": null,
      "best_candidate_surface": null,
      "best_candidate_metrics": null,
      "all_candidate_metrics": {}
    },
    {
      "session": "afternoon_close",
      "trace_time": "2026-03-06T16:00:00-05:00",
      "databento_time": "2026-03-06T21:00:00+00:00",
      "note": "Exact afternoon close match between local Databento cbbo and TRACE holdout timestamp.",
      "trace_rows": 134,
      "databento_rows": 15490,
      "databento_strikes": 653,
      "spot_from_put_call_parity": 6748.601146408976,
      "best_candidate_surface": "all_quote_notional",
      "best_candidate_metrics": {
        "n_common_strikes": 134,
        "n_surface_strikes": 653,
        "n_trace_strikes": 134,
        "coverage_vs_trace": 1.0,
        "pearson_signed_vs_trace_mm_total": -0.148382453397731,
        "spearman_signed_vs_trace_mm_total": -0.057334879487275406,
        "pearson_vs_trace_abs_mm_total": 0.3776380688702293,
        "spearman_vs_trace_abs_mm_total": 0.4324667389867704,
        "permutation_p_signed": 0.0795,
        "permutation_p_abs": 0.0
      },
      "all_candidate_metrics": {
        "all_quote_notional": {
          "n_common_strikes": 134,
          "n_surface_strikes": 653,
          "n_trace_strikes": 134,
          "coverage_vs_trace": 1.0,
          "pearson_signed_vs_trace_mm_total": -0.148382453397731,
          "spearman_signed_vs_trace_mm_total": -0.057334879487275406,
          "pearson_vs_trace_abs_mm_total": 0.3776380688702293,
          "spearman_vs_trace_abs_mm_total": 0.4324667389867704,
          "permutation_p_signed": 0.0795,
          "permutation_p_abs": 0.0
        },
        "quote_imbalance": {
          "n_common_strikes": 134,
          "n_surface_strikes": 653,
          "n_trace_strikes": 134,
          "coverage_vs_trace": 1.0,
          "pearson_signed_vs_trace_mm_total": -0.24147462084638438,
          "spearman_signed_vs_trace_mm_total": -0.16217907953964514,
          "pearson_vs_trace_abs_mm_total": -0.053468305377947355,
          "spearman_vs_trace_abs_mm_total": -0.14322123717253335,
          "permutation_p_signed": 0.005,
          "permutation_p_abs": 0.5435
        },
        "quote_count": {
          "n_common_strikes": 134,
          "n_surface_strikes": 653,
          "n_trace_strikes": 134,
          "coverage_vs_trace": 1.0,
          "pearson_signed_vs_trace_mm_total": -0.15017785906992367,
          "spearman_signed_vs_trace_mm_total": -0.08095522703952304,
          "pearson_vs_trace_abs_mm_total": 0.36134688672445386,
          "spearman_vs_trace_abs_mm_total": 0.46099559928020867,
          "permutation_p_signed": 0.081,
          "permutation_p_abs": 0.0
        },
        "spread_sum": {
          "n_common_strikes": 134,
          "n_surface_strikes": 653,
          "n_trace_strikes": 134,
          "coverage_vs_trace": 1.0,
          "pearson_signed_vs_trace_mm_total": 0.1753019428521091,
          "spearman_signed_vs_trace_mm_total": 0.1919627326560834,
          "pearson_vs_trace_abs_mm_total": 0.1509601925043908,
          "spearman_vs_trace_abs_mm_total": 0.20322722630874823,
          "permutation_p_signed": 0.049,
          "permutation_p_abs": 0.0895
        },
        "mid_sum": {
          "n_common_strikes": 134,
          "n_surface_strikes": 653,
          "n_trace_strikes": 134,
          "coverage_vs_trace": 1.0,
          "pearson_signed_vs_trace_mm_total": -0.12332014245693286,
          "spearman_signed_vs_trace_mm_total": -0.06058180276562053,
          "pearson_vs_trace_abs_mm_total": 0.3431112125432989,
          "spearman_vs_trace_abs_mm_total": 0.3948004339206225,
          "permutation_p_signed": 0.157,
          "permutation_p_abs": 0.0
        },
        "gamma_mass": {
          "n_common_strikes": 134,
          "n_surface_strikes": 653,
          "n_trace_strikes": 134,
          "coverage_vs_trace": 1.0,
          "pearson_signed_vs_trace_mm_total": -0.1372739576402645,
          "spearman_signed_vs_trace_mm_total": -0.07496103442686318,
          "pearson_vs_trace_abs_mm_total": 0.2668135023865802,
          "spearman_vs_trace_abs_mm_total": 0.3366351201386551,
          "permutation_p_signed": 0.113,
          "permutation_p_abs": 0.0005
        },
        "gamma_mass_0dte": {
          "n_common_strikes": 134,
          "n_surface_strikes": 653,
          "n_trace_strikes": 134,
          "coverage_vs_trace": 1.0,
          "pearson_signed_vs_trace_mm_total": -0.09739301987133808,
          "spearman_signed_vs_trace_mm_total": -0.1545217730229812,
          "pearson_vs_trace_abs_mm_total": 0.065954325448381,
          "spearman_vs_trace_abs_mm_total": 0.08803015407963596,
          "permutation_p_signed": 0.1365,
          "permutation_p_abs": 0.123
        }
      }
    }
  ],
  "bottom_line": {
    "recreated_signed_trace_mm_gamma": false,
    "best_useful_partial_recreation": "quote-derived strike-intensity surface",
    "why_not_full_recreation": "local Databento cbbo quotes contain displayed prices and sizes but not the position inventory needed to reconstruct TRACE signed MM gamma"
  }
}