one day of sample data and my brain already wants to overfit it
So I grabbed that one-day Coinbase sample file from the downloads section, the one-minute one with the fifty-odd pairs, dropped it in the crypto folder, renamed it like the instructions said and it loaded first try. Which is already better than my usual record with anything involving folders.
Here's my problem, and it's a me problem not a file problem. I ran a dumb mean reversion idea across the whole thing in about ten minutes and it looked... fine? Good, even. And I could feel my hands wanting to go turn it on. That is exactly the move that has cost me the most money over the years. One clean-looking result on a tiny window and suddenly I'm an expert on crypto microstructure. It's a single 24 hour window. Whatever regime that day was in, my parameters are now shaped like it and I'll never know until it bleeds.
So what I'm actually asking: what do people use the one-day sample for, in practice? My read is it's a plumbing test — does the file load, does my strategy code run end to end without throwing, do the columns I think exist actually exist. Not a research dataset. Is that the right way to hold it, or am I being needlessly gloomy?
Second thing. There's a pile of columns per row, ten levels of book on each side plus the split buy/sell volume and the trade strength thing. Way more per row than I expected for a sample. Has anyone actually built anything off the depth levels at one minute resolution, or is the book snapshot at a minute boundary too stale to mean much? I genuinely don't know if I'm looking at useful information or at something that will just give me a new and exciting way to lose.