market-data

Market Data Setup

Guide the user through importing market data so other skills (DC analysis, health checks, replay) have the data they need.

When This Skill Triggers

• enrich_trades returns warnings about missing market data
• analyze_regime_performance returns "No trades matched to market data"
• replay_trade returns 0 minute bars / $0 P&L
• batch_exit_analysis returns mostly noTrigger with $0 P&L
• User says "import market data", "set up market data", "I need VIX data", etc.

Step 1: Diagnose What's Missing

Ask the user what they're trying to do, then check what data exists:

-- Check daily data coverage
SELECT ticker, COUNT(*) as rows,
  MIN(date) as earliest, MAX(date) as latest
FROM market.daily GROUP BY ticker ORDER BY ticker

-- Check intraday data coverage
SELECT
  CASE WHEN ticker LIKE 'SPX%' OR ticker LIKE 'SPXW%' THEN 'SPX options'
       WHEN ticker LIKE 'QQQ%' THEN 'QQQ options'
       WHEN ticker = 'SPX' THEN 'SPX underlying'
       ELSE ticker END as category,
  COUNT(DISTINCT ticker) as tickers,
  COUNT(*) as total_bars
FROM market.intraday GROUP BY category

-- Check context derived (regime/term structure)
SELECT COUNT(*) as rows, MIN(date) as earliest, MAX(date) as latest
FROM market._context_derived

Present what's available and what's missing for their goal.

Step 2: Determine the Right Import

For Regime Analysis (VIX regimes, term structure, enriched trades)

Minimum needed: Daily OHLCV for the underlying + VIX context (VIX/VIX9D/VIX3M)

What to import	Tool	Example
Underlying daily (SPX)	import_from_api	ticker: "SPX", target_table: "daily"
Underlying daily (QQQ)	import_from_api	ticker: "QQQ", target_table: "daily"
VIX context (all 3 tickers)	import_from_api	ticker: "VIX", target_table: "context"
Enrichment (RSI, Vol_Regime, etc.)	enrich_market_data	Auto-runs after import, or manual

Order matters: Import daily first, then context, then enrichment runs automatically.