wave_signals_v4

Dataset scope

• MES tick data: datasets/MES/tick_data/mes_ticks_part0001.csv to datasets/MES/tick_data/mes_ticks_part0104.csv (fields: timestamp,last,volume,bid,ask,side,contract,source).
  • Date range: 2025-01-01 17:00:00.024 to 2025-07-01 23:58:10.624
• MNQ tick data: datasets/MNQ/tick_data/mnq_ticks_part0001.csv to datasets/MNQ/tick_data/mnq_ticks_part0124.csv (fields: timestamp,last,volume,bid,ask,side,contract,source).
  • Date range: 2024-03-12 17:00:00.032 to 2026-01-14 22:39:28.120
• MNQ 233-tick bars: datasets/MNQ/tick_data/mnq_233tick.csv (fields: timestamp,open,high,low,close,volume,tick_count,contract,source).
  • Date range: 2024-03-12 17:00:32.540 to 2026-01-14 22:39:24.016

Sprint train/test split (locked)

• Instrument: MES tick data (OU mean-reversion sprint).
• Train: 2025-01-01 through 2025-02-28 (inclusive).
• Test: 2025-03-01 through 2025-03-13 (inclusive).

Notes:

• Timestamps are vendor raw; standardize to UTC during ingest (see docs/assumptions.md).
• Current ingest uses MES 03-25 only, which ends on 2025-03-13; revisit if we add the next contract.