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benchmark: q7 ground truth - #104

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GnaneshGnani wants to merge 10 commits into
debs_q6from
debs_q7
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GnaneshGnani wants to merge 10 commits into
debs_q6from
debs_q7

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@GnaneshGnani

@GnaneshGnani GnaneshGnani commented Apr 1, 2026

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Q7 — TWAP mean proxy (DDSketch p50)

Adds ground truth and 60-minute accuracy benchmark for Q7: time-weighted average price (TWAP) approximated via DDSketch median.

Benchmark results

Setup: Day 08-11-21, data_filtered, accuracy_sla=0.01, 12 × 5-min windows
Sketch: DDSketch, relative_accuracy=0.01, quantile [0.5]
Metric: fraction of symbols where |sketch_p50 − exact_mean| / |exact_mean| < 2%.

Windows Pass rate Verdict
12 (09:00–10:00 CET) 12 / 12 ✅ Perfect — every window scores ≥ 99.88%

DDSketch p50 is an excellent mean proxy for this unimodal, near-symmetric intraday price distribution. All 12 windows score between 0.9988 and 1.0000.

Cumulative: Q1: 11/12 ⚠️ | Q3: not run | Q4: 12/12 ✅ | Q5: 3/12 ⚠️ | Q6: 12/12 ✅ | Q7: 12/12 ✅

See results/benchmarking.md for per-window breakdown.

@zzylol

zzylol commented Jun 14, 2026

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Closing — this branch is conflicting with main (badly diverged, ~32k-line deletions) and predates the consolidated multi-sketch + latency eval harness merged in #494, which redid this ground-truth work. Please reopen and rebase if any ground truth here is still needed.

@zzylol zzylol closed this Jun 14, 2026
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zzylol deleted the debs_q7 branch July 17, 2026 20:07
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2 participants