Match basket marginals to the correlation market pools

README.md

@@ -203,4 +203,6 @@ npm run smoke:production -- https://YOUR-API-HOST https://YOUR-SITE.vercel.app
 
 When basket legs request an `intervalMin`, both marginals must come from priced markets for that exact interval. Missing or unpriced requested windows return `insufficient_data`; aggregate sentiment and other intervals cannot substitute. If those marginals exist but correlation covers a different interval, the result is `independence_only` with a null adjusted probability. An independent estimate is not evidence that the two events are independent.
 
+When several pools share that interval, the basket selects the correlation snapshot's pool when it is still priced. If a snapshot pool is no longer present among the priced markets, the basket reports the independent estimate and withholds the correlation adjustment. Matching interval alone does not establish matching event identity.
+
 Run the deterministic engine regression suite with `npm ci && npm test`. Live API and production smoke scripts remain separate because they depend on external market data.

src/signals/basket.mjs

@@ -18,12 +18,14 @@ async function resolveDependencies(deps) {
 function selectWindow(sentiment, correlation, side, preferredWindowMin = null) {
   if (!Array.isArray(sentiment.windows) || !sentiment.windows.length) return null;
 
+  const pool = side === "A" ? correlation?.marketPoolA : correlation?.marketPoolB;
+
   if (Number.isFinite(preferredWindowMin)) {
-    const requested = sentiment.windows.find((window) => window.intervalMin === preferredWindowMin && Number.isFinite(window.impliedProbabilityRaw));
+    const matching = sentiment.windows.filter((window) => window.intervalMin === preferredWindowMin && Number.isFinite(window.impliedProbabilityRaw));
+    const requested = matching.find((window) => pool && window.pool?.toLowerCase() === pool.toLowerCase()) || matching[0];
     return requested || null;
   }
 
-  const pool = side === "A" ? correlation?.marketPoolA : correlation?.marketPoolB;
   if (pool) {
     const exactPool = sentiment.windows.find((window) => window.pool?.toLowerCase() === pool.toLowerCase());
     if (exactPool) return exactPool;
@@ -97,12 +99,18 @@ export async function priceBasket({ legs }, deps = {}) {
 
   const correlationWindowMismatch = preferredMarketWindowMin !== null
     && correlation.marketWindowMin !== preferredMarketWindowMin;
-  if (correlation.status !== "ok" || correlation.correlation === null || correlationWindowMismatch) {
+  const correlationPoolMismatch = [
+    [correlation.marketPoolA, marginalA.window?.pool],
+    [correlation.marketPoolB, marginalB.window?.pool],
+  ].some(([correlationPool, pricedPool]) => correlationPool && pricedPool && correlationPool.toLowerCase() !== pricedPool.toLowerCase());
+  if (correlation.status !== "ok" || correlation.correlation === null || correlationWindowMismatch || correlationPoolMismatch) {
     return {
       status: "independence_only",
       note: correlationWindowMismatch
         ? "Requested market prices are usable, but correlation does not cover the requested event window"
-        : "DreamDEX prices are usable, but current candle history is too asynchronous/sparse for a defensible correlation adjustment",
+        : correlationPoolMismatch
+          ? "Market prices are usable, but correlation was measured from a different market pool"
+          : "DreamDEX prices are usable, but current candle history is too asynchronous/sparse for a defensible correlation adjustment",
       ...base,
       adjustedProbability: null,
       pricingDifference: null,

test/basket-live-fallback.test.mjs

@@ -97,3 +97,28 @@ test('explicit window withholds adjustment from a different correlation window',
   assert.deepEqual(result.legs.map(leg => leg.intervalMin), [60, 60]);
   assert.ok(Math.abs(result.independentProbability - 0.0371) < 1e-12);
 });
+
+test('explicit window never applies correlation from different pools at the same interval', async () => {
+  const result = await priceBasket({ legs: [
+    { asset: 'BTC', intervalMin: 60 }, { asset: 'ETH', intervalMin: 60 },
+  ] }, {
+    getAssetSentiment: async asset => asset === 'BTC' ? {
+      ...btc, windows: [{ ...btc.windows[2], pool: '0xbtc-current', impliedProbabilityRaw: 0.8 }, { ...btc.windows[2], pool: '0xbtc-old', impliedProbabilityRaw: 0.1 }],
+    } : eth,
+    calculateAssetCorrelation: async () => ({ status: 'ok', correlation: 0.8, qualityScore: 1, confidence: 'high', marketWindowMin: 60, marketPoolA: '0xbtc-old', marketPoolB: '0xeth60' }),
+  });
+  assert.equal(result.legs[0].pool, '0xbtc-old');
+  assert.equal(result.legs[0].probability, 0.1);
+  assert.equal(result.status, 'ok');
+});
+
+test('correlation is withheld if its pool is absent from the priced sentiment snapshot', async () => {
+  const result = await priceBasket({ legs: [
+    { asset: 'BTC', intervalMin: 60 }, { asset: 'ETH', intervalMin: 60 },
+  ] }, {
+    getAssetSentiment: async asset => asset === 'BTC' ? btc : eth,
+    calculateAssetCorrelation: async () => ({ status: 'ok', correlation: 0.8, qualityScore: 1, confidence: 'high', marketWindowMin: 60, marketPoolA: '0xbtc-old', marketPoolB: '0xeth60' }),
+  });
+  assert.equal(result.status, 'independence_only');
+  assert.equal(result.adjustedProbability, null);
+});