# LIMITATIONS.md — What this dataset can and cannot support

**Date:** 2026-07-13 (Stage A). To be revised after full-sample audit.

## 1. OHLCV is not microstructure data

The dataset contains one-minute OHLCV bars only. It does **not** contain quotes, bid–ask spreads, order-book depth, order imbalance, trade direction, hidden liquidity, venue identifiers, or execution costs. Consequences:

- Liquidity is never observed; only **OHLCV-based liquidity proxies** (Amihud-type ratios, high–low range, zero-return/stale-price frequency, volume shocks) are available. All claims must be phrased as proxies.
- Price discovery mechanisms (quote updates vs trades) cannot be separated.
- Trade direction and order-flow imbalance are unobservable; signed-flow contagion channels cannot be tested directly.
- Effective spreads / transaction costs are not measurable; any economic-value exercise must use assumed, conservative cost schedules.

## 2. The panel is trade-conditional

Zero-volume bars do not exist in the data: a missing minute means "no reported trade in that minute." Therefore:

- Missingness is informative (illiquidity), not random; imputation would destroy the object of interest.
- "No recorded bar" must be distinguished from "zero return" throughout (flag, don't fill).
- Sparse names have few bars per day (2025-12 cross-ticker median: 5.5 RTH bars/day); minute-level propagation analysis is only meaningful within a liquidity-screened universe, with breadth denominators restricted to *eligible* (actively trading) securities.

## 3. Identity and corporate actions

- Securities are identified by **ticker only**. No CUSIP/PERMNO. Ticker reuse and renames mean long horizons cannot be treated as one security without a spell map; conservative analyses run within continuous ticker episodes.
- Prices are **unadjusted** (BRK.A at 771k confirms raw levels). Splits/dividends are not flagged; split detection near rational ratios, exclusion windows, and robustness to close-to-close vs open-to-close returns are mandatory.
- Security type (common stock, ETF, ADR, preferred, warrant, fund, OTC) is not labeled; the 2025 file plainly includes large OTC/foreign coverage (23k tickers). External classification or suffix heuristics required; residual misclassification will remain and must be bounded via robustness (ETF/ADR exclusions).

## 4. Coverage is time-varying by construction

- Universe: ~8.3k tickers (1992) → ~8.1k (2009) → ~23.1k (2025); the 2020s expansion largely reflects OTC coverage, not market growth. Secular comparisons must hold the universe definition fixed (e.g., top-N by lagged dollar volume) or results will mechanically reflect coverage changes. This is itself a falsification test (CLAUDE.md §16).
- Extended-hours coverage grows over time (0% pre-market rows in 1992-06 vs 4.9% in 2025-12); RTH-only is the only decade-comparable baseline.
- 1990s bar density for small caps is low; whether this is source coverage or true sparsity is unresolved (external validation planned).

## 5. Provenance and licensing

- Upstream is Finnhub via a third-party repackager; no checksums against the original archives, no revision history for corrections, and **no license on the card**. Data errors of the source (bad prints, missing halts, venue scope) cannot be independently ruled out; cross-validation against reference daily data (volume, close) is planned for a sample of names.
- Whether bars are consolidated-tape or single-venue is unknown (open question; affects volume levels and off-hours prints).

## 6. Inference consequences

- One-minute returns of sparse names are contaminated by bid–ask bounce and stale prices; robust/quantile methods and liquidity screens are required.
- Common-information contamination (macro news moving everything at once) is the central identification threat; OHLCV alone cannot label news — scheduled-announcement windows and placebo designs stand in (CLAUDE.md §12).
- Nothing in the data supports direct causal claims about algorithmic/high-frequency trading; only association with market-structure eras, with explicit competing explanations.