We wish you a very successful 2026! 2025 was an exceptionally busy year for us. In January, we decided to "open up", and become the first provider of factors-as-a-service in the rapidly maturing digital assets space. Before looking ahead, we want to share some insight into what often stays invisible: the work required at Unravel to surface reliable cross-sectional alpha factors.
The infrastructure behind Unravel
We ingest data from more than 20 exchanges, often across 10 distinct channels per exchange, while continuously adapting to frequent API changes. Today, we store over 150 TB of data, ingest roughly 20 GB per day, and process millions of messages per second. To make this possible, we invested heavily in building high-performance connectors and running hundreds of (redundant) instances to work around rate limits and ensure uninterrupted data collection. Redundancy is essential because single Websocket connections are insufficient. Daily and unexpected disconnects must be handled without data gaps. This introduces another challenge: duplicate data, which must be resolved at the finest granularity, down to individual trades and order book updates. For efficient processing, we rewrote message broker clients and heavily modified a streaming engine, deploying it across a multi-node cluster with frequent checkpointing. This allows processing to resume immediately on another node in the event of failure. There is significantly more complexity behind this, but that is a story for another time. Alongside this, we built a massively parallel query engine that allows us to experiment with new factors at roughly 100x lower cost and 10x higher speed than BigQuery or ClickHouse. We are now using this engine as the foundation for new products and capabilities. For model portfolio construction, we run approximately 50 large compute instances in parallel across two completely independent infrastructure providers, supporting close to one thousand portfolio variations.
What's coming in 2026?
In Q1, we will begin serving aggregate derivatives data with unprecedented level of accuracy. Our objective is to make backtesting 10-50x more data-efficient by delivering realistic tick bars and order book depth metrics, enabling "good-enough" market replay without months of data engineering or the need to ingest terabytes of raw data. For exclusive early-access, please drop us a line at mark@unravel.finance. By the end of 2026, our goal is simple: there should be no meaningful alternative other than Unravel for crypto market data, derivatives analytics, and alpha factors. First of all, we are moving away from the "wait until all data is available" model and toward incremental updates, making most portfolio weights available with lower latency. The immediate next step is to introduce hourly updates for our live endpoints, detailed below.
Imminent changes to the live endpoints
Starting on 14 January at 12:00 UTC, the following endpoints will return the latest available weights, calculated hourly, with 10 minute latency:
- portfolio/factors-live
- portfolio/live-weights
- portfolio/risk-overlay-live
- risk-regime-live Weights calculated at 00:00 UTC will be available by 00:10 UTC and will be refreshed hourly thereafter, with the next update at 01:10 UTC. The previous 23:55 UTC weight calculation will be removed to avoid ambiguity. All other endpoints serving historical data will remain unchanged and will continue to provide end-of-day (EOD) weights.
Should I rebalance every hour?
No. This change does not turn the model portfolios into hourly strategies. Doing so would require careful consideration of turnover and transaction costs. The update enables rebalancing at any time using the most recent data, while the historical weights endpoint will continue to serve EOD weights, as before.
How to prepare for this change?
If you currently rebalance around 00:15 UTC, no changes are required. You can begin querying the APIs from 00:10 UTC onward. If you prefer weights that remain stable throughout the day, use the final row from the corresponding historical endpoints, accessible from 00:10 UTC. If you rebalanced before midnight, we recommend moving to an after-midnight schedule.
Why is this useful?
There are cases where occasional, intra-day rebalancing is required. This is our first step in serving more granular data.
When will hourly historical weights be available?
We are in in the process of replacing certain end-of-day-only data sources with fully internal approximations. Based on current progress, we expect to offer historical alpha factor weights at higher granularity in Q1, covering more than 80 percent of the existing catalog. Keep tuned for further updates! For questions on implementation or assistance with integration, please contact us at support@unravel.finance.
The Unravel Team