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    market data integrity validator

    1

    Validate market data integrity by detecting sequence gaps, stale timestamps, and crossed quotes in feed exports.

    $15

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    market data integrity validator

    market data integrity validator

    Example session with this skill installed

    Validate the attached quote stream for BTC-USDT and ETH-USDT from the Binance export. The expected as-of time is 2024-05-20T10:00:00Z. Check for gaps and stale quotes.

    • Read your context and instructions
    • Compiled the market data integrity
    • Generated the document

    The market data integrity check is complete. I have analyzed the quote stream for two symbols, identifying significant sequence gaps in the BTC-USDT feed and three stale quotes in the ETH-USDT feed.

    Market Data Validation Report

    MetricBTC-USDT (Binance)ETH-USDT (Binance)
    Total Messages15,40212,890
    Chronological Gaps4 (Totaling 122ms)0
    Sequence Violations12 (Dropped packets)0
    Stale Timestamps03 (>500ms old)
    Crossed Quotes1 (Bid > Ask at 10:00:04)0
    Integrity Score92.4%99.8%

    Detailed Findings

    BTC-USDT Sequence Jump: A major sequence break occurred between sequence IDs 88294 and 88307. This indicates a burst of packet loss at the ingest layer.

    ETH-USDT Latency: Three quotes showed a server_t vs receipt_t delta exceeding the 500ms threshold. These occurred during a period of high volatility at 09:58:12Z.

    Crossed Quote: A single instance where Bid (67050.5) exceeded Ask (67049.0) was detected in the BTC feed; likely a venue matching engine artifact or malformed export line.

    {
  "report_version": "1.0.2",
  "as_of": "2024-05-20T10:00:00Z",
  "summary": {
    "status": "WARNING",
    "critical_issues": 2
  },
  "recommendations": [
    "Resubscribe to BTC-USDT to reset sequence counters.",
    "Investigate local network jitter for ETH-USDT stale receipt times."
  ]
}

    Next steps

    1. Review the specific sequence IDs in the report.json to correlate with network logs.
    2. Filter the BTC-USDT dataset to remove the crossed quote entry before starting backtesting.
    3. Check feed handler logs for the 10:00:04Z timestamp.

    market-data-integrity-validator.pdf

    PDF · document

    Generated

    Example file from a real run - the skill writes it into your workspace.

    Connects securely to your tools. The creator never sees your data.

    What you get

    Detect sequence gaps and dropped packets in historical market data feeds.Identify stale or future-dated quotes that distort trading signals.Flag crossed quotes where bid prices exceed ask prices in the order book.Verify feed inventory against expected venue symbols and message counts.

    About this skill

    The problem

    Corrupted market data feeds lead to bad fills and broken backtests. Identifying chronological gaps, stale timestamps, or crossed quotes manually in high-volume JSON or CSV exports is nearly impossible.

    What it does

    • Detects stale, future, and out-of-sequence timestamps against a defined as-of time.
    • Identifies sequence number gaps and duplicates while preserving original receipt order.
    • Validates bid/ask spreads to flag crossed quotes or anomalous pricing data.
    • Audits feed inventory by comparing observed streams against expected venue symbols.
    • Provides resubscription recommendations based on detected data integrity failures.

    Frameworks & tools

    Python 3 for analysis scripts, JSON/CSV for data input and reporting.

    Why this beats prompting it yourself

    General LLMs often try to "fix" data by sorting it, which hides the very sequence errors you need to find. This skill enforces strict receipt-order preservation and applies venue-specific sequence logic that basic prompts ignore.

    Use cases

    • Post-mortem analysis of trading slippage caused by data lag.
    • Pre-processing historical market data before running backtests.
    • Validating the integrity of a new third-party data provider's API export.

    Known limitations

    Handles top-of-book quotes only. Does not include live WebSocket connectivity, exchange snapshot resync, or automated trading kill-switch logic.

    How to install

    Works the same in every agent - Claude, Cursor, Codex, Copilot and 20+ more.

    ~30 seconds
    1. 1

      Download the ZIP

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    2. 2

      Unzip into your skills folder

      Every agent reads skills from one folder on your machine. Drop the unzipped folder in there.

    3. 3

      Ask your agent to use it

      Restart the agent if it was already running. It picks the skill up automatically - no config needed.

    Skills folder by agent

    Click the path to copy it. Create the folder if it does not exist yet.

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    Recently published to Agensi

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    Trust & safety

    Security scanned

    Verified clean 13 days ago

    • Passed all security checks, Safe to install

    Needs access to

    Alpaca

    Listed13 days ago

    What's inside

    Frequently Asked Questions