/crypto-vol-scanner

name: crypto-vol-scanner
description: Surface 24h crypto volatility and microstructure anomalies across a universe (default top 10) as a Bloomberg crypto desk / Cheddar-Flow-for-crypto-style stream. Per-name: realized vol spike (vs 30d distribution), volume anomaly (vs 30d avg), cross-exchange basis (max bid-ask divergence across Coinbase / Binance / Kraken / Bitstamp / Bitfinex), and 24h move z-score. Ranked by composite impact. Real-time on Currencies Business; spot-snapshot accurate within seconds across all paid tiers.

crypto-vol-scanner

You hand over a crypto universe and a window. The skill pulls each name's current snapshot, last 200 ticks across exchanges, and 30 days of hourly

• daily aggregates, computes realized vol against the trailing 30-day

distribution, flags volume anomalies, surfaces cross-exchange basis when prints disagree, z-scores the 24h move against the trailing daily return distribution, ranks every name by a composite impact score, and emits a stream of the most notable events.

This is the workflow a crypto desk runs at the open. Ten names, four signal types, ranked by what actually moved or is acting weird right now. Unlike a CoinGecko screener or TradingView heatmap, crypto-vol- scanner ranks by statistical context (percentiles, z-scores, multipliers against trailing distributions) rather than absolute move size, and ships the methodology alongside the output.

First crypto skill in the suite. Validates a third asset class beyond stocks and options.

When to invoke

• A crypto trader is starting their session and wants the universe's

vol + volume + basis state

• A PM is asking "what's the action in crypto today"
• The user says "scan crypto vol", "any crypto anomalies", "what's

weird in crypto right now"

• A discretionary trader is hunting for setups: vol spikes that precede

trend resumption, persistent cross-exchange basis that signals exchange-specific flow

What you need

• A crypto universe (default: BTC, ETH, SOL, XRP, ADA, DOGE, AVAX,

LINK, DOT, POL). POL is the new ticker for the former MATIC; the skill auto-substitutes

• `MASSIVE_API_KEY` exported in the environment
• Crypto Starter or higher (Currencies Business covers it). All paid

tiers return real-time spot and tick-level trades

The skill runs at two fidelity tiers.

• **Tier A (Currencies Business or Crypto Developer):** Real-time

spot, tick-level trades for cross-exchange basis, full 30d hourly and daily aggregate history. Sub-second updates on the snapshot. This is the default tier.

• **Tier B (Crypto Starter):** Same data shapes, but trade history

may be 15-min delayed depending on plan specifics. The methodology is identical; only the snapshot freshness differs. Volume and vol numbers are computed from historical aggregates, which are stable.

What you get back

Two output layers from one analysis.

**Layer 1: canonical JSON** matching [`output-schema.json`](./output-schema.json). Per-event fields: ticker, base_currency, quote_currency, signal_type (vol_spike | volume_anomaly | cross_exchange | tail_move | quiet | combined), realized_vol_pct, vol_percentile_ttm, vol_vs_avg_ratio, volume_24h_usd, volume_vs_avg_ratio, move_24h_pct, move_zscore, basis_bps (when cross-exchange), exchanges_compared, context_line. UIs, alert pipelines, and downstream agents consume this.

**Layer 2: rendered stream** in Bloomberg crypto desk / Cheddar-Flow- for-crypto style. Three lines per event, optional `↳` continuation line. Format rules in [`references/rendering.md`](./references/rendering.md). Compact, scanable, key:value pairs. Claude Code users read this.

How it works

1. For each ticker in the universe, pull the bulk snapshot via `/v2/snapshot/locale/global/markets/crypto/tickers?tickers=X:BTCUSD,X:ETHUSD,...`. The `prevDay` block is the "last 24h" reference (last completed UTC day); `lastTrade.p` is current spot. POL is auto-substituted for the deprecated MATIC ticker. 2. For each ticker, pull `/v2/aggs/ticker/{X:BASEUSD}/range/1/day/{from}/{to}` over the trailing TTM. Used for the 30-day daily-return distribution and the trailing 30d daily-volume baseline. See [`references/move-zscore.md`](./references/move-zscore.md). 3. For each ticker, pull `/v2/aggs/ticker/{X:BASEUSD}/range/1/hour/{from}/{to}` over the trailing 32 days. Used to compute current 24h realized vol (close-to-close log returns, annualized × sqrt(365 × 24)) and to build the trailing 30-day rolling-24h realized-vol distribution. Methodology in [`references/realized-vol-methodology.md`](./references/realized-vol-methodology.md). 4. For each ticker, compute volume anomaly per [`references/volume-anomalies.md`](./references/volume-anomalies.md): `prevDay.v * prevDay.vw` (USD) vs trailing 30d daily-volume average from the daily aggs. Threshold for flagging: > 2x. 5. For each ticker, pull `/v3/trades/{X:BASEUSD}?limit=200&order=desc` and group by exchange (Coinbase=1, Bitfinex=2, Bitstamp=6, Binance=10, Kraken=23). Compute the max minus min of the per-exchange most-recent price as the cross-exchange basis in bps. Methodology and caveats in [`references/cross-exchange-basis.md`](./references/cross-exchange-basis.md). 6. Compose per-ticker signals. Tag the dominant signal type (`vol_spike`, `volume_anomaly`, `cross_exchange`, `tail_move`, `quiet`, or `combined` when multiple fire). Rank by composite impact = max(vol_zscore, volume_zscore, abs(move_zscore), basis_bps_zscore) per [`references/signal-ranking.md`](./references/signal-ranking.md). Emit the top N (default 15).

Foundations used

• [`massive-api-patterns`](../massive-api-patterns) for REST auth,

rate-limit handling, pagination, and the best-price fallback chain for spot

Output mode: stream

Stream mode is the format Bloomberg's crypto desk pages, Cheddar Flow, and Coinbase Institutional desk reports converge on for "here's what's weird right now": per-event bl