TA-Futures -- Data Inventory (Mar 28, 2026)

Status: FULLY BUILT -- Polygon ETF proxy data flowing, all indicators + proprietary metrics computing

Data Source

• Polygon.io REST API -- 12 ETF proxies x 6 timeframes
• Replaced Yahoo Finance snapshots (panel-mandated: Yahoo provided summaries not OHLCV)
• ETF proxies: SPY (ES), QQQ (NQ), USO (CL), GLD (GC), TLT (ZB), UNG (NG), SLV (SI), CPER (HG), CORN (ZC), SOYB (ZS), DBA, DBC
• OHLCV with volume collected on cron, stored as ta-futures-ohlcv

Active Indicators (ta-core shared library)

All 15 standard indicators computing:

• RSI, MACD, ATR, Bollinger Bands, Keltner Channels, Stochastic, ADX
• VWAP (RTH-anchored), OBV, CMF
• SMA, EMA, Pivot Points
• Dual SuperTrend (10/2 + 10/3) with flip detection + outcome backfill
• Volume analysis

Active Signal Engines (ta-core shared)

• RSI cross signals: 8 pairs, 16 lines, dual stop tracking (initial + trailing)
• Pullback monitor: 5 methods x multiple parameter sets
• S&R Zone Engine: 6 methods (multi-touch, polarity flip, period H/L, volume profile, order blocks, liquidity sweeps), scoring 0-100+, decay + lifecycle
• Closed-period structure: candle anatomy + structure score
• Regime detection: Hurst exponent + autocorrelation + volatility clustering + ATR forecast
• Liquidity sweep detection (stop-hunt patterns)
• Fair value gap detection (body gaps + fill tracking)
• Order block detection (last opposing candle before impulse >2 ATR)
• Candlestick patterns at zones (6 patterns, zone-triggered only)
• RSI divergences (4 types + z-score strength)
• Confluence scoring (-35 to +35 composite)
• Additional entry signals (5 types)

Futures-Specific Active

• Volume Profile (POC/VAH/VAL from ETF proxy volume data)
• RTH/ETH session tagging (regular vs extended hours regime detection)
• COT positioning (from existing CFTC data, aligned to price levels)
• Seasonal patterns (5-year day-of-year average with current deviation)
• TSV -- Term Structure Velocity (contango/backwardation rate of change)
• SDZ -- Seasonal Deviation Z-Score
• IMSG -- Inter-Market Stress Gauge (cross-commodity correlation breakdown)
• CCC -- Commodity Curve Carry (roll yield proxy)
• CCSS -- Cross-Commodity Spreads (crack spread, gold/silver ratio, etc.)

Proprietary Metrics

Cross-Market (shared data layer)

• FRED yields (treasury_daily)
• VIX
• Synthetic DXY
• Economic calendar
• EIA energy data (from existing energy desk collection)

Foundation Models

• Chronos-T5 ensemble (Small + Base) -- running on Python sidecar port 5050

Lead-Lag Analysis

• Cross-commodity correlation active (energy, metals, agriculture clusters)

Still Pending / Needs External Data

• Weather/NOAA data for agricultural commodities (ZC, ZS)
• EIA/USDA report parser (structured extraction from report PDFs)
• Satellite/shipping data (alt data -- future roadmap)
• S&R methods not yet built: Fibonacci, round numbers, ZigZag, dynamic-to-static (4 of 10 deferred)

Target Instruments (ETF Proxies)