harmonisation standard UQO WP (2026-10-17)
WP 15 : version working paper UQO (paper/main.tex sur le gabarit, cover WP 15, aer), versions IRFA conservées, README et .gitignore standard, briefs déplacés dans docs/, artefacts LaTeX nettoyés. Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
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.env.example
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| 1 | +# Copy to .env and fill in. Never commit .env. | |
| 2 | +HF_TOKEN= # Hugging Face token (optional; faster authenticated downloads) | |
| 3 | +IFRAG_DATA_ROOT= # override data/ location (optional; defaults to repo-relative) | |
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.gitignore
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| 1 | +# Raw data & large artifacts — never committed (see docs/DATA_AUDIT.md for provenance) | |
| 2 | +data/raw/ | |
| 3 | +data/interim/ | |
| 4 | +data/processed/ | |
| 5 | +data/external/ | |
| 6 | +*.parquet | |
| 7 | +!data/manifests/*.parquet | |
| 8 | +outputs/models/ | |
| 9 | +outputs/estimates/ | |
| 10 | + | |
| 11 | +# Python | |
| 12 | +__pycache__/ | |
| 13 | +*.pyc | |
| 14 | +.pytest_cache/ | |
| 15 | +.venv/ | |
| 16 | +*.egg-info/ | |
| 17 | +.cache/ | |
| 18 | +.env | |
| 19 | +.ipynb_checkpoints/ | |
| 20 | + | |
| 21 | +# LaTeX build artifacts (paper/*.pdf and appendix/internet_appendix.pdf ARE committed) | |
| 22 | +paper/*.aux | |
| 23 | +paper/*.log | |
| 24 | +paper/*.out | |
| 25 | +paper/*.toc | |
| 26 | +paper/*.lof | |
| 27 | +paper/*.lot | |
| 28 | +paper/*.fls | |
| 29 | +paper/*.fdb_latexmk | |
| 30 | +paper/*.bbl | |
| 31 | +paper/*.blg | |
| 32 | +paper/*.spl | |
| 33 | +paper/*.synctex.gz | |
| 34 | +paper/*.run.xml | |
| 35 | +paper/*.bcf | |
| 36 | +appendix/*.aux | |
| 37 | +appendix/*.log | |
| 38 | +appendix/*.out | |
| 39 | +appendix/*.toc | |
| 40 | +appendix/*.fls | |
| 41 | +appendix/*.fdb_latexmk | |
| 42 | +appendix/*.bbl | |
| 43 | +appendix/*.blg | |
| 44 | +appendix/*.synctex.gz | |
| 45 | +outputs/release/*.aux | |
| 46 | +outputs/release/*.log | |
| 47 | +outputs/release/*.fls | |
| 48 | +outputs/release/*.fdb_latexmk | |
| 49 | + | |
| 50 | +# Logs | |
| 51 | +logs/ | |
| 52 | +*.log | |
| 53 | + | |
| 54 | +# macOS | |
| 55 | +.DS_Store | |
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CITATION.cff
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| 1 | +cff-version: 1.2.0 | |
| 2 | +title: "Faster, Wider, More Fragile? The Evolution of Intraday Shock Propagation in U.S. Equity Markets" | |
| 3 | +message: "Research in progress; please contact the author before citing." | |
| 4 | +type: software | |
| 5 | +authors: | |
| 6 | + - family-names: Boucher | |
| 7 | + given-names: Simon-Pierre | |
| 8 | +version: 0.1.0 | |
| 9 | +date-released: 2026-07-13 | |
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LICENSE
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| 1 | +MIT License | |
| 2 | + | |
| 3 | +Copyright (c) 2026 Simon-Pierre Boucher | |
| 4 | + | |
| 5 | +Permission is hereby granted, free of charge, to any person obtaining a copy | |
| 6 | +of this software and associated documentation files (the "Software"), to deal | |
| 7 | +in the Software without restriction, including without limitation the rights | |
| 8 | +to use, copy, modify, merge, publish, distribute, sublicense, and/or sell | |
| 9 | +copies of the Software, and to permit persons to whom the Software is | |
| 10 | +furnished to do so, subject to the following conditions: | |
| 11 | + | |
| 12 | +The above copyright notice and this permission notice shall be included in all | |
| 13 | +copies or substantial portions of the Software. | |
| 14 | + | |
| 15 | +THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR | |
| 16 | +IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, | |
| 17 | +FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE | |
| 18 | +AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER | |
| 19 | +LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, | |
| 20 | +OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE | |
| 21 | +SOFTWARE. | |
| 22 | + | |
| 23 | +NOTE: This license covers the research code and documentation only. The | |
| 24 | +underlying market data (mito0o852/OHLCV-1m, sourced from Finnhub) is NOT | |
| 25 | +distributed with this repository and carries its own (unspecified) terms; see | |
| 26 | +docs/DATA_AUDIT.md §1. | |
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Makefile
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| 1 | +PY := python3 | |
| 2 | + | |
| 3 | +probe: | |
| 4 | + $(PY) -m intraday_fragility.cli probe-data | |
| 5 | + | |
| 6 | +download-pilot: | |
| 7 | + $(PY) scripts/00_download_pilot.py | |
| 8 | + | |
| 9 | +audit-pilot: | |
| 10 | + $(PY) scripts/01_pilot_audit.py | |
| 11 | + | |
| 12 | +download-full: | |
| 13 | + $(PY) -m intraday_fragility.cli download --start 1992-01 --end 2026-03 | |
| 14 | + | |
| 15 | +verify-data: | |
| 16 | + $(PY) -m intraday_fragility.cli verify-download | |
| 17 | + | |
| 18 | +audit-raw: | |
| 19 | + $(PY) -m intraday_fragility.cli audit-raw | |
| 20 | + | |
| 21 | +pilot-figures: | |
| 22 | + $(PY) scripts/02_pilot_figures_tables.py | |
| 23 | + | |
| 24 | +test: | |
| 25 | + $(PY) -m pytest -q | |
| 26 | + | |
| 27 | +paper: | |
| 28 | + cd paper && latexmk -pdf -interaction=nonstopmode main.tex | |
| 29 | + | |
| 30 | +appendix: | |
| 31 | + cd appendix && latexmk -pdf -interaction=nonstopmode internet_appendix.tex | |
| 32 | + | |
| 33 | +# later stages (build-panel, build-features, detect-shocks, estimate-*, figures, | |
| 34 | +# tables, validate, release) are added as their scripts land. | |
| 35 | + | |
| 36 | +.PHONY: probe download-pilot audit-pilot download-full verify-data audit-raw \ | |
| 37 | + pilot-figures test paper appendix | |
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README.md
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| 1 | +<!-- Author: Simon-Pierre Boucher — simon-pierre.boucher@uqo.ca --> | |
| 2 | +# ⚡ Faster, Wider, More Fragile? | |
| 3 | + | |
| 4 | +**UQO Working Paper No. 15** — *The Evolution of Intraday Shock Propagation in U.S. Equity Markets, 1992–2026* | |
| 5 | + | |
| 6 | +[-b31b1b?logo=latex&logoColor=white)](paper/main.pdf) | |
| 7 | +[-b31b1b?logo=latex&logoColor=white)](paper/main_irfa.pdf) | |
| 8 | +[](pyproject.toml) | |
| 9 | +[](docs/DATA_AUDIT.md) | |
| 10 | +[-2e7d32)](scripts/) | |
| 11 | +[](https://uqo.ca) | |
| 12 | +[](mailto:simon-pierre.boucher@uqo.ca) | |
| 13 | + | |
| 14 | +> **TL;DR** — Using 7.69 billion one-minute bars on the full listed *and delisted* U.S. equity | |
| 15 | +> cross-section (1992–2026), we track how intraday shocks propagate. (1) Markets absorb | |
| 16 | +> idiosyncratic shocks: across 1.85 million isolated ±6σ minute events, abnormal market-wide | |
| 17 | +> propagation against matched within-stock placebos is economically zero at 1–120 minutes, in every | |
| 18 | +> decade. (2) Transmission is concentrated and intensifying: the shocked stock's twenty closest | |
| 19 | +> lagged-correlation neighbours respond strongly (+64×10⁻⁴ abnormal jump probability at five | |
| 20 | +> minutes) and this network channel tripled from the 1990s (+28) to the 2020s (+90) while | |
| 21 | +> market-wide spillover stayed at zero. (3) Tail synchronisation migrated to the market-wide | |
| 22 | +> minute: ordinary extreme minute returns became 108× rarer than in the 1990s, the Epps curve | |
| 23 | +> flattened (one-minute pairwise correlation 0.004 in 1996 vs 0.30 in 2015), and severe co-jump | |
| 24 | +> minutes spike by orders of magnitude in 2008 and 2020. Modern markets absorb the idiosyncratic | |
| 25 | +> and transmit the systemic. | |
| 26 | + | |
| 27 | +--- | |
| 28 | + | |
| 29 | +## 📌 Status | |
| 30 | + | |
| 31 | +| Item | Value | | |
| 32 | +|---|---| | |
| 33 | +| Version | 1.0 (July 2026) — UQO working-paper cover added 2026-10-17 | | |
| 34 | +| SSRN | not yet submitted | | |
| 35 | +| Journal | *International Review of Financial Analysis* — submission package ready in `outputs/release/` (manuscript, anonymous manuscript, highlights, cover letter, title page, online appendix), **not yet submitted** (`outputs/release/submission_checklist.md`: online appendix and data-licence note still open) | | |
| 36 | +| Code & data | reproducible from `scripts/` (see Quick start); raw minute bars (88 GB) not redistributed | | |
| 37 | + | |
| 38 | +## 🎯 What this paper does | |
| 39 | + | |
| 40 | +Has the U.S. equity market become faster, wider and more fragile at the intraday horizon? The | |
| 41 | +paper answers with the longest and broadest minute-level panel assembled to date — every listed | |
| 42 | +and delisted common stock from 1992 to 2026 — and three complementary measurement devices: | |
| 43 | + | |
| 44 | +1. **Shock-propagation event studies**: 1.85 million isolated ±6σ one-minute events, each matched to | |
| 45 | + a within-stock placebo minute, tracked at horizons of 1 to 120 minutes for breadth (share of other | |
| 46 | + stocks jumping), gradient (response by liquidity/size tier) and network response (twenty nearest | |
| 47 | + lagged-correlation neighbours); | |
| 48 | +2. **Epps curves**: pairwise correlation as a function of sampling interval, by year; | |
| 49 | +3. **Co-jump counts**: the number of stocks with extreme minute returns in the same minute, with a | |
| 50 | + severity scale calibrated on calm, GFC and COVID periods. | |
| 51 | + | |
| 52 | +All headline numbers are macro-generated from machine-readable registries | |
| 53 | +(`paper/results_macros.tex`, built by `scripts/15_build_results_macros.py`); no number is hand-typed. | |
| 54 | + | |
| 55 | +## 🏆 Headline results | |
| 56 | + | |
| 57 | +| Object | Estimate | | |
| 58 | +|---|---| | |
| 59 | +| Panel | 7,686,275,524 bars, 81,306 tickers, 221,957 listing spells | | |
| 60 | +| Isolated ±6σ events (real / placebo) | 1,854,384 / 1,766,058 | | |
| 61 | +| Abnormal market-wide breadth, 5 min / 30 min | −1.04 (0.90) / −3.10 (1.01) ×10⁻⁴ — zero | | |
| 62 | +| Network response (20 neighbours), 5 / 15 / 30 min | +64.0 (1.8) / +55.4 (1.8) / +49.6 (1.8) ×10⁻⁴ | | |
| 63 | +| Network response by decade (5 min) | 1990s +28 → 2000s +30 → 2010s +81 → 2020s +90 | | |
| 64 | +| Extreme minute returns (>1%), 1990s → 2010s | 518 → 4.8 per million (÷108) | | |
| 65 | +| Epps: 1-min correlation, 1996 / 2015 / 2024 | 0.004 / 0.30 / 0.21 | | |
| 66 | +| Severe co-jump minutes, calm / GFC / COVID | 3.5 / 9.3 / 6.4 per 10,000 ; COVID severe share 83.7 % vs 9.53 % pre-COVID | | |
| 67 | +| Robustness (Table VIII) | 11 designs incl. placebo-network falsification, month-cluster bootstrap, post-decimalisation | | |
| 68 | + | |
| 69 | +## 🗂 Repository layout | |
| 70 | + | |
| 71 | +``` | |
| 72 | +intraday-fragility/ | |
| 73 | +├── config/ # all parameters (YAML) — no magic constants in code | |
| 74 | +├── src/intraday_fragility/ # package: download, audit, cleaning, features, shocks, networks, econometrics, tables, figures | |
| 75 | +├── scripts/ # 00_download_pilot … 16_robustness (numbered pipeline) | |
| 76 | +├── tests/ # pytest (7 tests) | |
| 77 | +├── data/ # manifests only (raw bars never committed) | |
| 78 | +├── outputs/ | |
| 79 | +│ ├── estimates/ # machine-readable estimates (707 MB, not committed) | |
| 80 | +│ ├── diagnostics/ # audit JSON reports | |
| 81 | +│ ├── figures/, tables/ # generated figures (PDF+PNG with source CSV) and LaTeX tables | |
| 82 | +│ └── release/ # IRFA submission package (manuscript, anonymous, highlights, cover letter, title page, online appendix) | |
| 83 | +├── appendix/ # Internet Appendix (internet_appendix.tex → .pdf) | |
| 84 | +├── docs/ # DATA_AUDIT, DATA_DICTIONARY, DECISION_LOG, EMPIRICAL_DESIGN, LIMITATIONS, LITERATURE_MAP, REPRODUCIBILITY, COMPUTE_LOG | |
| 85 | +├── logs/ # pipeline logs | |
| 86 | +├── STATUS.md # stage-by-stage progress log | |
| 87 | +└── paper/ | |
| 88 | + ├── main.tex # UQO working-paper version (template cover) → main.pdf | |
| 89 | + ├── main_irfa.tex # journal version (elsarticle, IRFA) → main_irfa.pdf | |
| 90 | + ├── main_irfa_anon.tex # anonymous journal version → main_irfa_anon.pdf | |
| 91 | + ├── highlights.tex # Elsevier highlights | |
| 92 | + ├── sections/, figures/, tables/, bibliography/references.bib, results_macros.tex | |
| 93 | +``` | |
| 94 | + | |
| 95 | +## 🚀 Quick start | |
| 96 | + | |
| 97 | +```bash | |
| 98 | +uv sync # or: pip install -e . | |
| 99 | +python -m intraday_fragility.cli probe-data | |
| 100 | +python -m intraday_fragility.cli download --start 1992-01 --end 2026-03 # 411 monthly parquet files, 87.7 GB | |
| 101 | +python -m intraday_fragility.cli verify-download | |
| 102 | +make # runs scripts/00 … 16 in order (see Makefile) | |
| 103 | +python scripts/15_build_results_macros.py # → paper/results_macros.tex | |
| 104 | +cd paper && make # UQO WP → main.pdf | |
| 105 | +cd paper && latexmk -pdf main_irfa.tex main_irfa_anon.tex # journal + anonymous versions | |
| 106 | +``` | |
| 107 | + | |
| 108 | +Full download and cleaning run on the MacLustr cluster (see `docs/COMPUTE_LOG.md`); the | |
| 109 | +estimation stages run on a 64 GB Apple-silicon node. | |
| 110 | + | |
| 111 | +## 🗃 Data | |
| 112 | + | |
| 113 | +Minute-level OHLCV bars from the Hugging Face dataset `mito0o852/OHLCV-1m`, pinned at revision | |
| 114 | +`776328445b7ac6e7815ef3a483e9c8ded1eb6d56` (411 monthly Parquet files, 87.7 GB, 1992-01 → 2026-03, | |
| 115 | +no missing months; upstream source Finnhub.io per the dataset card). Schema: UTC bar-start | |
| 116 | +timestamp, unadjusted OHLC, integer volume, ticker; **no zero-volume bars** (missing minute = no | |
| 117 | +trade). Delisted securities are present (only 22–26 % of 1992 tickers survive). Cleaning: exchange | |
| 118 | +calendar truncation, split/reverse-split screens (6,944 events), OHLC-violation and duplicate | |
| 119 | +screens, corporate-action filters before any variance-based measure. Full audit: | |
| 120 | +`docs/DATA_AUDIT.md`; variable definitions: `docs/DATA_DICTIONARY.md`. The dataset card carries no | |
| 121 | +licence — the raw data are therefore not redistributed (`docs/LIMITATIONS.md`). | |
| 122 | + | |
| 123 | +## 🔬 Methodology | |
| 124 | + | |
| 125 | +1. **Universe & cleaning** (`scripts/04`–`08`, `src/…/cleaning.py`): monthly audits, split refinement, clean minute panel by listing spell. | |
| 126 | +2. **Aggregates** (`09`–`10`): extreme-return frequencies, realised variance, Epps curves, staleness. | |
| 127 | +3. **Shock detection & propagation** (`11`–`14`, `src/…/shocks.py`, `networks.py`): isolated ±6σ events, matched within-stock placebos, breadth / gradient / network responses at 1–120 min, difference-in-differences by decade. | |
| 128 | +4. **Co-jumps** (`13`–`14`): market-wide extreme-minute counts and severity regimes. | |
| 129 | +5. **Inference** (`src/…/econometrics.py`): event-clustered and month-cluster bootstrap standard errors. | |
| 130 | +6. **Robustness** (`16`): 11 designs — post-decimalisation, mid-day, ex-announcement, calm/crisis, |z| ≥ 8/12, ex-non-common, placebo network. | |
| 131 | +7. **Reporting** (`15`, `src/…/tables.py`, `figures.py`): results macros, LaTeX tables, CVD-safe vector figures. | |
| 132 | + | |
| 133 | +## 🖼 Figures & tables inventory | |
| 134 | + | |
| 135 | +| Figure | Content | | |
| 136 | +|---|---| | |
| 137 | +| `figP1_coverage`, `figP2_seasonality` | pilot coverage and intraday seasonality | | |
| 138 | +| `figE1_coverage` … `figE9_splits` | universe coverage, survivorship, seasonality, concentration, extreme minutes, realised variance, staleness, Epps curves, splits | | |
| 139 | +| `figF1_irf_decade` | propagation impulse responses by decade | | |
| 140 | +| `figF2_evolution` | evolution of breadth vs network channel | | |
| 141 | +| `figF3_gradient_state` | response gradient by liquidity tier and market state | | |
| 142 | +| `figF4_network` | nearest-neighbour network response | | |
| 143 | +| `figF5_cojumps` | co-jump counts and severity regimes | | |
| 144 | + | |
| 145 | +Tables (`paper/tables/*.tex`): data audit, sample cascade, propagation estimates by horizon and decade, gradient, network, co-jumps, Epps, robustness battery (Table VIII). | |
| 146 | + | |
| 147 | +## ⚠️ Limitations | |
| 148 | + | |
| 149 | +- Bars are trade-conditional (no zero-volume bars) and the venue scope (consolidated vs single venue) is not documented upstream. | |
| 150 | +- Security-type classification relies on suffix heuristics; non-common securities are excluded in robustness only. | |
| 151 | +- Data licence unspecified on the dataset card: research use with citation, no redistribution of derived minute data. | |
| 152 | +- Extended online appendix tables still to be finalised before journal submission. | |
| 153 | + | |
| 154 | +## 📝 Citation | |
| 155 | + | |
| 156 | +```bibtex | |
| 157 | +@techreport{boucher2026fragile, | |
| 158 | + author = {Boucher, Simon-Pierre}, | |
| 159 | + title = {Faster, Wider, More Fragile? The Evolution of Intraday Shock Propagation in U.S. Equity Markets, 1992--2026}, | |
| 160 | + institution = {Universit\'e du Qu\'ebec en Outaouais, D\'epartement des sciences administratives}, | |
| 161 | + type = {Working Paper}, | |
| 162 | + number = {15}, | |
| 163 | + year = {2026}, | |
| 164 | + month = {July} | |
| 165 | +} | |
| 166 | +``` | |
| 167 | + | |
| 168 | +## 👤 Author & contact | |
| 169 | + | |
| 170 | +**Simon-Pierre Boucher** — Département des sciences administratives, | |
| 171 | +Université du Québec en Outaouais (UQO), Gatineau, QC. | |
| 172 | +📧 [simon-pierre.boucher@uqo.ca](mailto:simon-pierre.boucher@uqo.ca) | |
| 173 | + | |
| 174 | +## 🗒 Notes | |
| 175 | + | |
| 176 | +- Numbering: the project was first filed as `UQO_WP_001`; it is **Working Paper No. 15** since 2026-10-17 (No. 1 is the amenity-capitalisation paper). | |
| 177 | +- `paper/main.tex` (UQO cover, template of `Recherche-UQO/_modele-working-paper`) was created on 2026-10-17 from the IRFA manuscript; the pre-existing skeleton (“Preliminary — do not cite”) was discarded. Scientific content is identical to `main_irfa.tex`; only the cover, bibliography style (`aer`) and layout differ. | |
| 178 | +- Three PDFs are committed on purpose: `main.pdf` (working paper), `main_irfa.pdf` (journal), `main_irfa_anon.pdf` (anonymous review copy). | |
| 179 | +- `outputs/estimates/` (707 MB) is excluded from git; regenerate with the pipeline. | |
| 180 | +- Original project brief: `docs/PROMPT_INITIAL_CLAUDE.md`; development conventions: `docs/CLAUDE.md`. | |
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STATUS.md
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| 1 | +# STATUS.md — Stages A–F2 complete; IRFA submission package assembled | |
| 2 | + | |
| 3 | +**Date:** 2026-07-13 | |
| 4 | + | |
| 5 | +## Completed work | |
| 6 | + | |
| 7 | +1. **Project scaffold** per protocol §2: package (`src/intraday_fragility/`), configs, | |
| 8 | + scripts, tests (7 passing), Makefile, `uv.lock`, docs, LaTeX tree. | |
| 9 | +2. **Dataset probe (Stage A):** `mito0o852/OHLCV-1m` pinned at revision | |
| 10 | + `776328445b7ac6e7815ef3a483e9c8ded1eb6d56`; inventory of 411 monthly Parquet | |
| 11 | + files (87.7 GB), 1992-01→2026-03, **no missing months** | |
| 12 | + (`data/manifests/repo_inventory.json`). | |
| 13 | +3. **Pilot download** (1992-06, 2009-06, 2025-12; sha256 in | |
| 14 | + `data/manifests/pilot_downloads.json`) and **pilot audit** | |
| 15 | + (`scripts/01_pilot_audit.py`, JSON reports in `outputs/diagnostics/`, | |
| 16 | + logs in `logs/audit/`). | |
| 17 | +4. **Docs:** `DATA_AUDIT.md`, `LIMITATIONS.md`, `DECISION_LOG.md`, | |
| 18 | + `DATA_DICTIONARY.md`, `COMPUTE_LOG.md`, `EMPIRICAL_DESIGN.md`, | |
| 19 | + `REPRODUCIBILITY.md`, `LITERATURE_MAP.md` (candidates, none verified yet). | |
| 20 | +5. **Pilot figures** (coverage, intraday seasonality; PDF+PNG; source data in | |
| 21 | + `outputs/figures/data/`) and **summary-statistics LaTeX table** | |
| 22 | + (`outputs/tables/tabP1_pilot_summary.{tex,csv}`). | |
| 23 | +6. **Compiling LaTeX skeletons:** `paper/main.pdf` and | |
| 24 | + `appendix/internet_appendix.pdf` build cleanly with the Data section drafted | |
| 25 | + from verified audit facts only. | |
| 26 | +7. **Stage B COMPLETE** (user instruction 2026-07-13: proceed with all data): | |
| 27 | + all 411 monthly files downloaded (82 GB on disk), each verified against its | |
| 28 | + LFS sha256 at download time; manifest `data/manifests/raw_files.{json,parquet,csv}`. | |
| 29 | + Post-hoc full re-verification + per-file audit (row counts, duplicates, | |
| 30 | + timestamp bounds) running (`verify-download` + `audit-raw`). | |
| 31 | +8. **Literature review complete and massive:** 110 references verified at DOI | |
| 32 | + level via OpenAlex/Crossref (two passes, 9 verification agents); | |
| 33 | + `paper/sections/02_literature.tex` fully written (10 subsections organized | |
| 34 | + around the contribution); documented novelty scan 2018–2026 supports | |
| 35 | + positioning; manuscript compiles at 20 pages, 111 bib entries, 0 unresolved | |
| 36 | + citations. See `docs/LITERATURE_MAP.md`. | |
| 37 | + | |
| 38 | +9. **Stage C COMPLETE** (full-sample raw audit, 7.69B rows): perfect XNYS calendar | |
| 39 | + match (0 missing/0 extra sessions, 0 weekend rows); DST confirmed clean (flat | |
| 40 | + RTH share across calendar months); 100 OHLC violations total (1.3 per 10^8, | |
| 41 | + concentrated 1993–95); 10,128 duplicate keys; 0 zero/negative volume. Daily | |
| 42 | + ticker-day panel built (`data/metadata/daily/`, 411 files). 442k split-candidate | |
| 43 | + ticker-days flagged (over-inclusive by design). 81,306 tickers, 221,957 spells | |
| 44 | + (36% of tickers multi-spell → spell = identity unit). Coverage regime change in | |
| 45 | + 2020 (+10,965 entries, OTC expansion) identified as mandatory robustness axis. | |
| 46 | + See DATA_AUDIT.md Stage C section, outputs/diagnostics/stage_c/. | |
| 47 | + | |
| 48 | +10. **Stage D COMPLETE** (clean panel + universes + splits): | |
| 49 | + * 6,944 high-confidence split events (4,819 fwd / 2,125 rev), ±1-day exclusion | |
| 50 | + windows (20,662 ticker-days) — `outputs/diagnostics/stage_d/`; | |
| 51 | + * monthly universes with strictly lagged screens (top500/1000/3000 by prior-month | |
| 52 | + dollar volume; price/density screens; non-common ticker heuristic) — | |
| 53 | + `data/metadata/universe_monthly.parquet` (4.44M rows); | |
| 54 | + * clean minute panel `data/processed/minute/year=/month=/` (411 files, ~62 GB zstd): | |
| 55 | + raw row total matches manifest EXACTLY (7,686,275,524); 10,128 duplicate rows | |
| 56 | + merged per logged rule; sessions labelled with true XNYS closes (early-close | |
| 57 | + truncation verified on 2025-12-24); flag_ohlc=100, split-window rows=4.30M; | |
| 58 | + dedup verified (2020-03 spot check). RTH = 96.7% of rows. | |
| 59 | + | |
| 60 | +11. **Stage E COMPLETE** (descriptive evidence): 9 JF-style figures (E1–E9, PDF+PNG, | |
| 61 | + all with source CSVs in outputs/figures/data/) + Table I (sample construction by | |
| 62 | + decade) + Table II (summary stats by decade, top-1000). Aggregates in | |
| 63 | + outputs/diagnostics/stage_e/ (411 monthly minute-level aggregate files on the | |
| 64 | + lagged top-1000 universe + Epps curves for 1996/2005/2015/2024). | |
| 65 | + Headline descriptive facts (verified from saved outputs): | |
| 66 | + * Extreme one-minute returns (|r|>1%) fell ~100× in frequency from the 1990s to | |
| 67 | + the 2010s on the top-1000 universe, with sharp spikes in 2008 and 2020 — | |
| 68 | + the paper's central tension in one figure (figE5). | |
| 69 | + * The Epps effect has essentially disappeared: mean pairwise 1-minute correlation | |
| 70 | + was ≈0.00 in 1996 (vs 0.16 at 30-min) but ≈0.21–0.30 in 2015/2024 with a nearly | |
| 71 | + flat curve — cross-stock information incorporation is now sub-minute (figE8). | |
| 72 | + * Intraday |return| and range shifted down decade by decade; volume concentrates | |
| 73 | + increasingly at the close in recent decades (figE3). | |
| 74 | + * CAVEAT for interpretation: pre-2001 minute returns embed 1/8–1/16 tick bounce; | |
| 75 | + the 1990s "extreme" frequency partly reflects mechanical bid-ask bounce. | |
| 76 | + Robustness planned: midpoint proxy, coarser sampling, range-based measures. | |
| 77 | + | |
| 78 | +12. **Stage F baseline COMPLETE**: 1,854,384 real shock events (|z|≥6, isolated) + | |
| 79 | + 1,766,058 matched placebos, 410 months, lagged top-500 universe | |
| 80 | + (outputs/estimates/events/, 410 files). Baseline result (Table IV, figs F1–F3, | |
| 81 | + registry stage_f_baseline.json): **average abnormal propagation ≈ 0** — | |
| 82 | + ΔΔbreadth between −1 and −3 ×10⁻⁴ across h∈{1..120} with day-block bootstrap | |
| 83 | + SEs ≈ 1×10⁻⁵…1.5×10⁻⁴; no decade positive; weak insignificant positive gradient | |
| 84 | + for |z|>12. Honest interpretation: isolated idiosyncratic shocks are absorbed. | |
| 85 | + Falsification good news: pre-shock outcomes ≈ post placebo levels (no leakage). | |
| 86 | + Next (protocol-specified): cumulative breadth through h, network-weighted | |
| 87 | + receivers, and the common-shock (simultaneous-extreme) sample as separate object. | |
| 88 | + | |
| 89 | +13. **Stage F2 COMPLETE — the paper's headline mechanism found**: neighbor−non-neighbor | |
| 90 | + ΔΔ breadth = +64.0 (SE 1.9) ×10⁻⁴ at h=5 (t≈34), decaying to +49.6 at h=30; | |
| 91 | + **tripled across eras** (+28 in 1992–99 / +30 in 2000–09 → +81 in 2010s / +90 in | |
| 92 | + 2020s). Market-wide cumulative remains null. Co-jump measure corrected to | |
| 93 | + severe-synchronization (>10% of names): crisis spikes 2008/2020; severity 9.3% | |
| 94 | + (2008) / 6.4% (2020) vs 3.5% calm. Placebo-network falsification passes (−2.7±2.8). | |
| 95 | +14. **Robustness battery (Table VIII)**: null + network channel stable across | |
| 96 | + post-decimalization, mid-day, ex-announcement windows, calm/crisis, |z|≥8/12, | |
| 97 | + ex-non-common, month-cluster bootstrap. Network diff declines with magnitude | |
| 98 | + (+64→+34) — documented. | |
| 99 | +15. **IRFA submission package** (outputs/release/): manuscript_irfa.pdf (elsarticle, | |
| 100 | + 38 pp, 0 unresolved refs, elsarticle-harv bib), highlights.pdf, cover_letter.pdf, | |
| 101 | + online_appendix.pdf, submission_checklist.md. All numbers macro-generated | |
| 102 | + (48 macros). Provenance framed as Finnhub.io-sourced aggregation (user directive). | |
| 103 | + | |
| 104 | +## Key findings (verified) | |
| 105 | + | |
| 106 | +- Schema uniform: `timestamp` (ns, UTC, bar-start), OHLC (USD, **unadjusted**), | |
| 107 | + `volume` (shares, integer-valued), `ticker`. No nulls. | |
| 108 | +- Timestamps are true UTC; DST handled correctly (09:30 ET session start maps to | |
| 109 | + 13:30 UTC in June, 14:30 UTC in December). | |
| 110 | +- Zero OHLC violations in 58.8M pilot bars; 14 benign duplicate pairs (OTC only). | |
| 111 | +- **No zero-volume bars: missing minute = no trade.** Trade-conditional panel. | |
| 112 | +- Liquid names complete (390 bars/day); sparse tail is huge in 2025 (23k tickers, | |
| 113 | + median 5.5 bars/day — OTC expansion). | |
| 114 | +- Delisted securities present (only 22–26% of 1992 tickers persist). | |
| 115 | +- Early-close days handled by data; sessions must be truncated by exchange calendar. | |
| 116 | +- Unscreened minute-return SD is outlier-dominated (splits/bad prints) ⇒ | |
| 117 | + corporate-action screens are prerequisites for variance-based measures. | |
| 118 | + | |
| 119 | +## Quality control | |
| 120 | + | |
| 121 | +- `uv run pytest`: 7/7 pass. | |
| 122 | +- Both LaTeX documents compile (TeX Live 2026). | |
| 123 | +- Figures validated for CVD safety (palette validator) + grayscale line styles. | |
| 124 | + | |
| 125 | +## Unresolved issues / decisions requiring attention | |
| 126 | + | |
| 127 | +1. **Data license unspecified** on the HF card (Finnhub-sourced). Research use with | |
| 128 | + citation documented; public redistribution of derived *data* deferred until | |
| 129 | + clarified. (DATA_AUDIT §1) | |
| 130 | +2. Venue scope of bars (consolidated vs single venue) unknown — Stage C probe planned. | |
| 131 | +3. Security-type classification requires an external reference or suffix heuristics. | |
| 132 | +4. Literature map has candidates only; verification pass (DOI-level) still to do. | |
| 133 | + | |
| 134 | +## Next commands | |
| 135 | + | |
| 136 | +```bash | |
| 137 | +# when download finishes: | |
| 138 | +PYTHONPATH=src uv run python -m intraday_fragility.cli verify-download | |
| 139 | +PYTHONPATH=src uv run python -m intraday_fragility.cli audit-raw # fills manifest row counts | |
| 140 | +# then Stage C full raw audit scripts (04–07) | |
| 141 | +``` | |
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appendix/internet_appendix.tex
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| 1 | +\documentclass[12pt]{article} | |
| 2 | +\makeatletter\def\input@path{{../paper/}}\makeatother | |
| 3 | +\input{../paper/preamble} | |
| 4 | +\graphicspath{{figures/}{../paper/figures/}} | |
| 5 | + | |
| 6 | +\title{Online Appendix for\\ ``Faster, Wider, More Fragile? The Evolution of | |
| 7 | +Intraday Shock Propagation in U.S.\ Equity Markets, 1992--2026''} | |
| 8 | +\author{} | |
| 9 | +\date{} | |
| 10 | + | |
| 11 | +\begin{document} | |
| 12 | +\maketitle | |
| 13 | +\tableofcontents | |
| 14 | +\clearpage | |
| 15 | + | |
| 16 | +\section{Extended data audit} | |
| 17 | +\label{app:audit} | |
| 18 | + | |
| 19 | +\paragraph{Provenance and snapshot.} The data are one-minute OHLCV bars | |
| 20 | +originally sourced from Finnhub.io and aggregated into 411 monthly files | |
| 21 | +(January 1992--March 2026). The exact byte-level snapshot is pinned: every | |
| 22 | +file's SHA-256 checksum was verified at download against the archive's | |
| 23 | +metadata and re-verified after the full download; the manifest (per-file | |
| 24 | +checksum, byte size, row count, column schema, timestamp bounds, symbol | |
| 25 | +count, duplicate count) accompanies the replication package. | |
| 26 | + | |
| 27 | +\paragraph{Calendar and timezone.} Observed trading dates match the official | |
| 28 | +XNYS calendar exactly over the full sample: zero missing sessions, zero dates | |
| 29 | +outside the calendar, zero weekend observations. Timestamps are UTC at | |
| 30 | +bar-start; mapping to Eastern Time was verified empirically on both sides of | |
| 31 | +every daylight-saving transition (the regular session opens at 13:30 UTC in | |
| 32 | +summer months and 14:30 UTC in winter months throughout). The regular-hours | |
| 33 | +share of bars by calendar month is flat (96.75\%--97.09\%), ruling out any | |
| 34 | +DST mishandling: an offset error would displace roughly 15\% of session rows | |
| 35 | +in March and November. Early-closing sessions are truncated at the true | |
| 36 | +exchange close; residual post-close prints (7.3\% of morning volume on | |
| 37 | +2025-12-24 versus 60.4\% on the adjacent full day) are labelled after-hours. | |
| 38 | + | |
| 39 | +\paragraph{Integrity.} Across \DataRows{} bars: \DataOHLCViol{} OHLC-impossible | |
| 40 | +bars (1.3 per $10^8$, concentrated 1993--1995), zero non-positive prices, zero | |
| 41 | +zero-volume or negative-volume bars, \DataDupKeys{} duplicate ticker-minute | |
| 42 | +keys (1.3 per million; merged as open=first, high=max, low=min, close=last, | |
| 43 | +volume=sum). Prices are unadjusted for corporate actions; volumes are in | |
| 44 | +shares (verified against public daily volumes for benchmark securities). | |
| 45 | + | |
| 46 | +\paragraph{Identity and survivorship.} The panel spans \DataTickers{} tickers | |
| 47 | +forming \DataSpells{} continuous spells (a gap exceeding 30 calendar days | |
| 48 | +starts a new spell); \DataMultiSpellTickers{} tickers have multiple spells, so | |
| 49 | +all long-horizon statements operate within spells. Delisted securities are | |
| 50 | +present throughout (exits run 800--1,600 per year); the single discrete | |
| 51 | +coverage expansion (2020, over-the-counter names) is absorbed by fixed-rule | |
| 52 | +lagged universes. | |
| 53 | + | |
| 54 | +\paragraph{Corporate actions.} A conservative overnight-ratio screen | |
| 55 | +(canonical ratios $\{2,\dots,8,10,20,3/2\}$ and inverses, $\pm1.5\%$ | |
| 56 | +tolerance, both-day dollar volume $\ge \$50{,}000$, prior close $\ge \$1$) | |
| 57 | +detects \NSplitEvents{} events (\NSplitFwd{} splits, \NSplitRev{} reverse | |
| 58 | +splits); event days $\pm1$ trading day are excluded from every return-based | |
| 59 | +statistic. | |
| 60 | + | |
| 61 | +\section{Additional descriptive evidence} | |
| 62 | +\label{app:descriptive} | |
| 63 | + | |
| 64 | +Figures~\ref{fig:app_survivorship}--\ref{fig:app_splits} complement the | |
| 65 | +descriptive results of the main text: universe entry/exit dynamics, dollar | |
| 66 | +volume concentration, the cross-section of realized volatility, the | |
| 67 | +stale-price share, and the time series of detected corporate-action events. | |
| 68 | +Table~\ref{tab:summary_by_decade} reports decade-level summary statistics for | |
| 69 | +the top-1000 universe. | |
| 70 | + | |
| 71 | +\begin{figure}[h] | |
| 72 | +\centering | |
| 73 | +\includegraphics[width=\textwidth]{figE2_survivorship.pdf} | |
| 74 | +\caption{\textbf{Universe dynamics.} (a) Active symbols per year; (b) entries | |
| 75 | +and exits. The shaded band marks the 2020 source-coverage expansion.} | |
| 76 | +\label{fig:app_survivorship} | |
| 77 | +\end{figure} | |
| 78 | + | |
| 79 | +\begin{figure}[h] | |
| 80 | +\centering | |
| 81 | +\includegraphics[width=\textwidth]{figE4_concentration.pdf} | |
| 82 | +\caption{\textbf{Concentration of trading.} (a) Share of aggregate dollar | |
| 83 | +volume of the top 1\% and 5\% of symbols; (b) Herfindahl index of dollar | |
| 84 | +volume.} | |
| 85 | +\label{fig:app_concentration} | |
| 86 | +\end{figure} | |
| 87 | + | |
| 88 | +\begin{figure}[h] | |
| 89 | +\centering | |
| 90 | +\includegraphics[width=.6\textwidth]{figE6_rv.pdf} | |
| 91 | +\caption{\textbf{Cross-section of realized volatility.} Median, interquartile | |
| 92 | +range, and 95th percentile of daily 5-minute realized volatility, lagged | |
| 93 | +top-1000 universe.} | |
| 94 | +\label{fig:app_rv} | |
| 95 | +\end{figure} | |
| 96 | + | |
| 97 | +\begin{figure}[h] | |
| 98 | +\centering | |
| 99 | +\includegraphics[width=.6\textwidth]{figE7_staleness.pdf} | |
| 100 | +\caption{\textbf{Stale-price share.} Percentage of one-minute returns exactly | |
| 101 | +zero, lagged top-1000 universe.} | |
| 102 | +\label{fig:app_staleness} | |
| 103 | +\end{figure} | |
| 104 | + | |
| 105 | +\begin{figure}[h] | |
| 106 | +\centering | |
| 107 | +\includegraphics[width=.6\textwidth]{figE9_splits.pdf} | |
| 108 | +\caption{\textbf{Detected corporate-action events per year.} Forward splits | |
| 109 | +(up) and reverse splits (down) from the overnight-ratio screen.} | |
| 110 | +\label{fig:app_splits} | |
| 111 | +\end{figure} | |
| 112 | + | |
| 113 | +\input{tables/table2_summary_by_decade} | |
| 114 | + | |
| 115 | +\clearpage | |
| 116 | +\section{Additional propagation results} | |
| 117 | +\label{app:propagation} | |
| 118 | + | |
| 119 | +Figure~\ref{fig:app_evolution} shows the year-by-year evolution of abnormal | |
| 120 | +market-wide breadth at $h=5$ and $h=30$ with 95\% day-block bootstrap bands: | |
| 121 | +the market-wide null holds in essentially every year, not merely on average. | |
| 122 | +Figure~\ref{fig:app_pilot} reproduces the pilot-sample intraday seasonality | |
| 123 | +used in the initial data audit. | |
| 124 | + | |
| 125 | +\begin{figure}[h] | |
| 126 | +\centering | |
| 127 | +\includegraphics[width=.62\textwidth]{figF2_evolution.pdf} | |
| 128 | +\caption{\textbf{Evolution of abnormal market-wide propagation.} | |
| 129 | +$\Delta\Delta$ breadth by year at $h=5$ and $h=30$ minutes, with 95\% | |
| 130 | +day-block bootstrap intervals.} | |
| 131 | +\label{fig:app_evolution} | |
| 132 | +\end{figure} | |
| 133 | + | |
| 134 | +\begin{figure}[h] | |
| 135 | +\centering | |
| 136 | +\includegraphics[width=\textwidth]{figP2_seasonality.pdf} | |
| 137 | +\caption{\textbf{Pilot-sample intraday seasonality} (June 1992, June 2009, | |
| 138 | +December 2025; top-500 by within-month dollar volume).} | |
| 139 | +\label{fig:app_pilot} | |
| 140 | +\end{figure} | |
| 141 | + | |
| 142 | +\input{tables/tabP1_pilot_summary} | |
| 143 | + | |
| 144 | +\clearpage | |
| 145 | +\section{Computational details and reproducibility} | |
| 146 | +\label{app:compute} | |
| 147 | + | |
| 148 | +The pipeline is deterministic end-to-end. All parameters live in versioned | |
| 149 | +configuration files; the global seed (20260713) governs placebo draws and | |
| 150 | +bootstrap resampling; every table and figure is generated by a numbered | |
| 151 | +script from machine-readable intermediate results, and every numerical claim | |
| 152 | +in the manuscript resolves to a macro generated from those results---no | |
| 153 | +number is typed by hand. The full run comprises: download and checksum | |
| 154 | +verification (411 files); per-month integrity audit and daily metadata | |
| 155 | +construction; clean-panel construction (duplicate resolution, session | |
| 156 | +labelling with true exchange closes, integrity and corporate-action flags); | |
| 157 | +universe construction with strictly lagged screens; descriptive aggregation; | |
| 158 | +shock detection and outcome measurement (\NEventsReal{} events, | |
| 159 | +\NEventsPlacebo{} placebos); network and co-jump measurement; and estimation. | |
| 160 | +End-to-end wall-clock time is approximately six hours on a single | |
| 161 | +consumer-grade machine (Apple Silicon, 4 parallel workers); peak memory is | |
| 162 | +below 8~GB per worker because every stage operates month-by-month on | |
| 163 | +partitioned columnar files. | |
| 164 | + | |
| 165 | +\end{document} | |
added
appendix/tables/tabP1_pilot_summary.tex
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| 1 | +% Auto-generated by scripts/02_pilot_figures_tables.py — do not edit numbers by hand. | |
| 2 | +\begin{table}[t] | |
| 3 | +\centering | |
| 4 | +\begin{adjustbox}{max width=\textwidth} | |
| 5 | +\begin{threeparttable} | |
| 6 | +\caption{Summary statistics, pilot months} | |
| 7 | +\label{tab:pilot_summary} | |
| 8 | +\small | |
| 9 | +\begin{tabular}{llrrrrrrrr} | |
| 10 | +\toprule | |
| 11 | +Month & Variable & Mean & SD & p1 & p5 & p50 & p95 & p99 & $N$ \\ | |
| 12 | +\midrule | |
| 13 | +June 1992 & Minute log return (bps) & -0.17 & 255.04 & -145.99 & -66.01 & 0.00 & 63.90 & 145.28 & 1,374,563 \\ | |
| 14 | + & High--low log range (bps) & 12.57 & 230.25 & 0.00 & 0.00 & 0.00 & 63.09 & 155.85 & 1,385,486 \\ | |
| 15 | + & Dollar volume per bar (\$000) & 140.01 & 824.08 & 1.86 & 3.06 & 31.32 & 579.15 & 1,561.88 & 1,385,486 \\ | |
| 16 | + & Valid RTH bars per stock-day & 126.84 & 79.58 & 19.00 & 35.00 & 107.00 & 303.00 & 369.00 & 10,923 \\ | |
| 17 | +\addlinespace | |
| 18 | +June 2009 & Minute log return (bps) & -0.16 & 1,172.84 & -38.30 & -19.51 & 0.00 & 19.18 & 37.47 & 4,190,657 \\ | |
| 19 | + & High--low log range (bps) & 28.67 & 945.13 & 0.00 & 0.00 & 9.49 & 36.04 & 65.47 & 4,201,656 \\ | |
| 20 | + & Dollar volume per bar (\$000) & 886.22 & 19,849.91 & 9.21 & 28.84 & 285.18 & 2,807.64 & 8,382.52 & 4,201,656 \\ | |
| 21 | + & Valid RTH bars per stock-day & 382.00 & 31.56 & 270.00 & 357.00 & 389.00 & 390.00 & 390.00 & 10,999 \\ | |
| 22 | +\addlinespace | |
| 23 | +December 2025 & Minute log return (bps) & -0.02 & 10.72 & -32.15 & -14.12 & 0.00 & 14.02 & 31.78 & 3,904,759 \\ | |
| 24 | + & High--low log range (bps) & 8.33 & 12.25 & 0.00 & 0.00 & 4.66 & 28.94 & 57.64 & 3,915,747 \\ | |
| 25 | + & Dollar volume per bar (\$000) & 2,833.57 & 13,640.57 & 58.50 & 142.61 & 846.13 & 8,849.93 & 37,017.92 & 3,915,747 \\ | |
| 26 | + & Valid RTH bars per stock-day & 356.37 & 53.42 & 166.00 & 223.00 & 383.00 & 390.00 & 390.00 & 10,988 \\ | |
| 27 | +\bottomrule | |
| 28 | +\end{tabular} | |
| 29 | +\begin{tablenotes}[flushleft]\footnotesize | |
| 30 | +\item Notes: Regular trading hours (09:30--16:00 ET, exchange calendar) for the top 500 securities by within-month dollar volume in each pilot month of the pinned Finnhub.io minute-bar aggregation. Minute log returns use consecutive same-day closes; the high--low range is $\log(H)-\log(L)$ per one-minute bar; bars exist only for minutes with at least one reported trade. Prices are unadjusted for splits; the pilot is descriptive and imposes no corporate-action screens. | |
| 31 | +\end{tablenotes} | |
| 32 | +\end{threeparttable} | |
| 33 | +\end{adjustbox} | |
| 34 | +\end{table} | |
| \ No newline at end of file | ||
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appendix/tables/table2_summary_by_decade.tex
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| 1 | +% Auto-generated by scripts/10_stage_e_figures.py — do not edit numbers. | |
| 2 | +\begin{table}[t]\centering\begin{adjustbox}{max width=\textwidth} | |
| 3 | +\begin{threeparttable} | |
| 4 | +\caption{Summary statistics by decade, top-1000 universe} | |
| 5 | +\label{tab:summary_by_decade} | |
| 6 | +\small\begin{tabular}{llrrrrrrrr} | |
| 7 | +\toprule | |
| 8 | +Decade & Variable & Mean & SD & p1 & p5 & p50 & p95 & p99 & $N$ \\ | |
| 9 | +\midrule | |
| 10 | +1992–1999 & Minute log return (bps) & -0.17 & 90.42 & -158.31 & -65.57 & 0.00 & 65.09 & 157.48 & 8,844,318 \\ | |
| 11 | + & High--low log range (bps) & 17.60 & 93.48 & 0.00 & 0.00 & 0.00 & 83.22 & 190.48 & 8,890,611 \\ | |
| 12 | + & Dollar volume per bar (\$000) & 228.72 & 910.93 & 1.60 & 3.12 & 42.09 & 948.24 & 2,942.87 & 8,890,611 \\ | |
| 13 | +\addlinespace | |
| 14 | +2000–2009 & Minute log return (bps) & -0.04 & 333.07 & -61.16 & -23.50 & 0.00 & 23.17 & 60.61 & 21,554,950 \\ | |
| 15 | + & High--low log range (bps) & 14.42 & 348.96 & 0.00 & 0.00 & 5.26 & 47.73 & 113.00 & 21,619,622 \\ | |
| 16 | + & Dollar volume per bar (\$000) & 386.36 & 23,791.54 & 2.30 & 5.35 & 87.62 & 1,315.95 & 4,372.70 & 21,619,622 \\ | |
| 17 | +\addlinespace | |
| 18 | +2010–2019 & Minute log return (bps) & -0.01 & 45.04 & -26.39 & -12.54 & 0.00 & 12.49 & 26.21 & 23,038,817 \\ | |
| 19 | + & High--low log range (bps) & 7.26 & 64.62 & 0.00 & 0.00 & 4.62 & 22.26 & 42.64 & 23,103,541 \\ | |
| 20 | + & Dollar volume per bar (\$000) & 586.51 & 3,504.50 & 5.11 & 14.99 & 173.84 & 1,939.16 & 6,120.19 & 23,103,541 \\ | |
| 21 | +\addlinespace | |
| 22 | +2020–2026 & Minute log return (bps) & 0.00 & 13.10 & -36.19 & -17.14 & 0.00 & 17.17 & 36.24 & 22,114,997 \\ | |
| 23 | + & High--low log range (bps) & 9.47 & 14.11 & 0.00 & 0.00 & 5.85 & 30.53 & 59.57 & 22,180,658 \\ | |
| 24 | + & Dollar volume per bar (\$000) & 1,338.66 & 7,744.21 & 15.80 & 41.87 & 337.03 & 4,125.48 & 16,852.31 & 22,180,658 \\ | |
| 25 | +\bottomrule\end{tabular} | |
| 26 | +\begin{tablenotes}[flushleft]\footnotesize | |
| 27 | +\item Notes: Regular trading hours, lagged top-1000 dollar-volume universe, | |
| 28 | +OHLC-violation and split-window rows excluded. Statistics from a stratified | |
| 29 | +three-months-per-decade sample (Mar/Jun/Sep of an early, middle, and late | |
| 30 | +year); full-decade moments in the Internet Appendix. | |
| 31 | +\end{tablenotes}\end{threeparttable} | |
| 32 | +\end{adjustbox}\end{table} | |
| \ No newline at end of file | ||
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config/base.yaml
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| 1 | +# Global project parameters. Every analysis parameter lives in config/, never in code. | |
| 2 | +project: intraday-fragility | |
| 3 | +dataset: | |
| 4 | + id: mito0o852/OHLCV-1m | |
| 5 | + revision: "776328445b7ac6e7815ef3a483e9c8ded1eb6d56" # pinned 2026-07-13 | |
| 6 | + repo_type: dataset | |
| 7 | + file_pattern: "data/ohlcv_{year:04d}-{month:02d}.parquet" | |
| 8 | + first_month: "1992-01" | |
| 9 | + last_month: "2026-03" | |
| 10 | +timezone: | |
| 11 | + source: UTC # verified empirically (DATA_AUDIT.md §4) | |
| 12 | + exchange: America/New_York | |
| 13 | +session: | |
| 14 | + regular_open: "09:30" # ET | |
| 15 | + regular_close: "16:00" # ET | |
| 16 | + calendar: XNYS # exchange-calendars code; truncates half-days | |
| 17 | +seed: 20260713 | |
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config/paths.yaml
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| 1 | +# All paths repo-relative; override root with IFRAG_DATA_ROOT env var. | |
| 2 | +data_root: data | |
| 3 | +raw: data/raw | |
| 4 | +manifests: data/manifests | |
| 5 | +interim: data/interim | |
| 6 | +processed: data/processed | |
| 7 | +external: data/external | |
| 8 | +metadata: data/metadata | |
| 9 | +logs: logs | |
| 10 | +outputs: outputs | |
| 11 | +diagnostics: outputs/diagnostics | |
| 12 | +estimates: outputs/estimates | |
| 13 | +figures: outputs/figures | |
| 14 | +figure_data: outputs/figures/data | |
| 15 | +tables: outputs/tables | |
added
config/sample_filters.yaml
+19 −0
@@ -0,0 +1,19 @@ | ||
| 1 | +# Sample construction filters (CLAUDE.md §6). All liquidity screens use LAGGED data only. | |
| 2 | +baseline: | |
| 3 | + session: regular_hours_only # 09:30-16:00 ET, calendar-truncated half days | |
| 4 | + min_price_lagged: 5.0 # USD, prior-month median close | |
| 5 | + min_bars_per_day_lagged: 100 # prior-month median RTH bars/day | |
| 6 | + min_history_days: 60 | |
| 7 | + exclude_suspected_split_window_days: 1 # +/- days around detected split jumps | |
| 8 | + duplicate_rule: aggregate # volume-sum, max(high), min(low), first open, last close | |
| 9 | +universes: | |
| 10 | + all_instruments: {} | |
| 11 | + liquid_top500: { rank_by: lagged_dollar_volume, top_n: 500 } | |
| 12 | + liquid_top1000: { rank_by: lagged_dollar_volume, top_n: 1000 } | |
| 13 | + liquid_top3000: { rank_by: lagged_dollar_volume, top_n: 3000 } | |
| 14 | +periods: | |
| 15 | + pre_decimalization: ["1992-01", "2001-01"] | |
| 16 | + post_decimal_pre_regnms: ["2001-02", "2007-02"] | |
| 17 | + regnms_to_2019: ["2007-03", "2019-12"] | |
| 18 | + modern: ["2020-01", "2026-03"] | |
| 19 | + # NOTE: period cuts are provisional; main analyses use flexible year effects (CLAUDE.md §13) | |
added
config/shock_definitions.yaml
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| 1 | +# Shock definitions (CLAUDE.md §8). Placeholder values pending Stage F calibration. | |
| 2 | +residualization: | |
| 3 | + market_proxy: value_weighted_universe_leave_one_out | |
| 4 | + sector_proxy: sector_leave_one_out # requires security master sector map | |
| 5 | + seasonality: minute_of_day_lagged_63d | |
| 6 | +thresholds: | |
| 7 | + quantiles: [0.99, 0.995, 0.999] | |
| 8 | + robust_sd_multiples: [4, 5, 6] | |
| 9 | +horizons_minutes: [1, 2, 5, 10, 15, 30, 60, 120] | |
| 10 | +isolation: | |
| 11 | + max_abs_market_return_z: 1.0 | |
| 12 | + max_simultaneous_shock_share: 0.02 | |
| 13 | + exclude_macro_windows: true | |
added
docs/CLAUDE.md
+2165 −0
@@ -0,0 +1,2165 @@ | ||
| 1 | +# CLAUDE.md — Intraday Market Fragility Research Program | |
| 2 | + | |
| 3 | +## 0. Role, mission, and non-negotiable standard | |
| 4 | + | |
| 5 | +You are the lead research engineer, empirical asset-pricing researcher, market-microstructure specialist, econometrician, data auditor, and academic writer for a high-frequency finance project intended to reach the submission standard of **The Journal of Finance (JF)**. | |
| 6 | + | |
| 7 | +Your mission is to design, execute, document, and write a complete, reproducible research paper based primarily on the Hugging Face dataset: | |
| 8 | + | |
| 9 | +- Dataset identifier: `mito0o852/OHLCV-1m` | |
| 10 | +- Claimed content: U.S. equity OHLCV bars at one-minute frequency | |
| 11 | +- Claimed coverage: 1992–2026 | |
| 12 | +- Claimed storage: monthly Parquet files | |
| 13 | +- Claimed original source: Finnhub | |
| 14 | + | |
| 15 | +The provisional paper title is: | |
| 16 | + | |
| 17 | +> **Faster, Wider, More Fragile? The Evolution of Intraday Shock Propagation in U.S. Equity Markets** | |
| 18 | + | |
| 19 | +The central research question is: | |
| 20 | + | |
| 21 | +> **How have the speed, breadth, persistence, and asymmetry of intraday shock propagation across U.S. equities evolved over the past three decades, and under which market conditions does an initially idiosyncratic shock become sectoral or market-wide?** | |
| 22 | + | |
| 23 | +The central economic hypothesis is: | |
| 24 | + | |
| 25 | +> **Modern markets may absorb ordinary shocks more efficiently while transmitting extreme shocks more rapidly and discontinuously.** | |
| 26 | + | |
| 27 | +This is not a generic machine-learning forecasting project. The paper must make a clear contribution to finance by documenting new economic facts, proposing transparent measures of intraday contagion and fragility, testing economic mechanisms, distinguishing common information from genuine propagation, and establishing robustness through credible empirical designs. | |
| 28 | + | |
| 29 | +The final output must be: | |
| 30 | + | |
| 31 | +1. fully reproducible; | |
| 32 | +2. empirically honest; | |
| 33 | +3. economically motivated; | |
| 34 | +4. methodologically rigorous; | |
| 35 | +5. written in polished academic English; | |
| 36 | +6. formatted as a complete LaTeX submission package; | |
| 37 | +7. accompanied by a detailed Internet Appendix; | |
| 38 | +8. accompanied by code, logs, manifests, tables, figures, and machine-readable results; | |
| 39 | +9. prepared to the standard expected in a top finance journal; | |
| 40 | +10. explicit about every limitation imposed by OHLCV data. | |
| 41 | + | |
| 42 | +Never fabricate data, results, citations, institutional details, variable definitions, statistical significance, sample sizes, or conclusions. Never write a result in the paper before it has been generated and verified from a saved machine-readable output. | |
| 43 | + | |
| 44 | +--- | |
| 45 | + | |
| 46 | +# 1. Research philosophy | |
| 47 | + | |
| 48 | +## 1.1 The paper must answer an economic question | |
| 49 | + | |
| 50 | +The main contribution cannot be “a large model predicts one-minute returns.” Prediction may support the analysis, but the paper must answer: | |
| 51 | + | |
| 52 | +- When does a local shock spread? | |
| 53 | +- How rapidly does it spread? | |
| 54 | +- How broadly does it spread? | |
| 55 | +- How persistent is the propagation? | |
| 56 | +- Is propagation asymmetric for negative and positive shocks? | |
| 57 | +- Has propagation changed over time? | |
| 58 | +- Is the change gradual, nonlinear, or concentrated around market-structure transitions? | |
| 59 | +- Which securities become transmitters, bridges, absorbers, or amplifiers? | |
| 60 | +- Is the observed comovement genuine propagation or simultaneous exposure to common news? | |
| 61 | +- Does market efficiency in normal periods coexist with fragility in the tails? | |
| 62 | + | |
| 63 | +## 1.2 Distinguish observed liquidity from liquidity proxies | |
| 64 | + | |
| 65 | +The dataset contains OHLCV bars, not necessarily: | |
| 66 | + | |
| 67 | +- quotes; | |
| 68 | +- bid-ask spreads; | |
| 69 | +- order-book depth; | |
| 70 | +- order imbalance; | |
| 71 | +- trades and quotes; | |
| 72 | +- market-order direction; | |
| 73 | +- hidden liquidity; | |
| 74 | +- venue-level fragmentation; | |
| 75 | +- execution costs. | |
| 76 | + | |
| 77 | +Therefore: | |
| 78 | + | |
| 79 | +- Do not claim to observe liquidity directly. | |
| 80 | +- Use terms such as “OHLCV-based liquidity proxy,” “trading-activity shock,” “price-discontinuity proxy,” or “latent market fragility.” | |
| 81 | +- Treat the high-low range, zero-return frequency, volume shocks, price impact proxies, and realized volatility as imperfect proxies. | |
| 82 | +- Include a dedicated limitations section. | |
| 83 | +- If quote or trade data are later added, treat that as an extension, not as information already present. | |
| 84 | + | |
| 85 | +## 1.3 Prediction is not identification | |
| 86 | + | |
| 87 | +Every analysis must distinguish: | |
| 88 | + | |
| 89 | +1. contemporaneous co-movement; | |
| 90 | +2. predictive lead-lag; | |
| 91 | +3. propagation conditional on observed information; | |
| 92 | +4. causal propagation; | |
| 93 | +5. structural counterfactual simulation. | |
| 94 | + | |
| 95 | +Do not use causal language unless the design supports it. Use “association,” “predictive propagation,” or “network response” for observational results. Reserve “causal” for clearly defended event-based or quasi-experimental designs. | |
| 96 | + | |
| 97 | +--- | |
| 98 | + | |
| 99 | +# 2. Project organization | |
| 100 | + | |
| 101 | +Create the following project structure at the repository root: | |
| 102 | + | |
| 103 | +```text | |
| 104 | +intraday-fragility/ | |
| 105 | +├── CLAUDE.md | |
| 106 | +├── README.md | |
| 107 | +├── LICENSE | |
| 108 | +├── CITATION.cff | |
| 109 | +├── pyproject.toml | |
| 110 | +├── uv.lock | |
| 111 | +├── environment.yml | |
| 112 | +├── .env.example | |
| 113 | +├── .gitignore | |
| 114 | +├── Makefile | |
| 115 | +├── config/ | |
| 116 | +│ ├── base.yaml | |
| 117 | +│ ├── paths.yaml | |
| 118 | +│ ├── sample_filters.yaml | |
| 119 | +│ ├── shock_definitions.yaml | |
| 120 | +│ ├── models.yaml | |
| 121 | +│ ├── figures.yaml | |
| 122 | +│ └── tables.yaml | |
| 123 | +├── data/ | |
| 124 | +│ ├── raw/ | |
| 125 | +│ ├── manifests/ | |
| 126 | +│ ├── interim/ | |
| 127 | +│ ├── processed/ | |
| 128 | +│ ├── external/ | |
| 129 | +│ └── metadata/ | |
| 130 | +├── logs/ | |
| 131 | +│ ├── download/ | |
| 132 | +│ ├── audit/ | |
| 133 | +│ ├── preprocessing/ | |
| 134 | +│ ├── estimation/ | |
| 135 | +│ └── paper/ | |
| 136 | +├── notebooks/ | |
| 137 | +│ ├── 00_dataset_discovery.ipynb | |
| 138 | +│ ├── 01_small_sample_audit.ipynb | |
| 139 | +│ ├── 02_intraday_patterns.ipynb | |
| 140 | +│ └── 03_prototype_results.ipynb | |
| 141 | +├── src/ | |
| 142 | +│ └── intraday_fragility/ | |
| 143 | +│ ├── __init__.py | |
| 144 | +│ ├── cli.py | |
| 145 | +│ ├── paths.py | |
| 146 | +│ ├── logging_utils.py | |
| 147 | +│ ├── download.py | |
| 148 | +│ ├── manifest.py | |
| 149 | +│ ├── schema.py | |
| 150 | +│ ├── calendars.py | |
| 151 | +│ ├── corporate_actions.py | |
| 152 | +│ ├── identifiers.py | |
| 153 | +│ ├── universe.py | |
| 154 | +│ ├── cleaning.py | |
| 155 | +│ ├── features.py | |
| 156 | +│ ├── shocks.py | |
| 157 | +│ ├── networks.py | |
| 158 | +│ ├── contagion.py | |
| 159 | +│ ├── econometrics.py | |
| 160 | +│ ├── inference.py | |
| 161 | +│ ├── robustness.py | |
| 162 | +│ ├── simulations.py | |
| 163 | +│ ├── figures.py | |
| 164 | +│ ├── tables.py | |
| 165 | +│ ├── latex.py | |
| 166 | +│ └── validation.py | |
| 167 | +├── scripts/ | |
| 168 | +│ ├── 00_probe_hf_dataset.py | |
| 169 | +│ ├── 01_download_hf_data.py | |
| 170 | +│ ├── 02_build_raw_manifest.py | |
| 171 | +│ ├── 03_audit_schema.py | |
| 172 | +│ ├── 04_audit_market_calendar.py | |
| 173 | +│ ├── 05_audit_prices_and_volume.py | |
| 174 | +│ ├── 06_detect_corporate_actions.py | |
| 175 | +│ ├── 07_construct_security_master.py | |
| 176 | +│ ├── 08_build_clean_minute_panel.py | |
| 177 | +│ ├── 09_build_daily_metadata.py | |
| 178 | +│ ├── 10_construct_features.py | |
| 179 | +│ ├── 11_detect_shocks.py | |
| 180 | +│ ├── 12_estimate_networks.py | |
| 181 | +│ ├── 13_measure_propagation.py | |
| 182 | +│ ├── 14_run_baseline_regressions.py | |
| 183 | +│ ├── 15_run_event_studies.py | |
| 184 | +│ ├── 16_run_robustness.py | |
| 185 | +│ ├── 17_run_placebos.py | |
| 186 | +│ ├── 18_build_figures.py | |
| 187 | +│ ├── 19_build_tables.py | |
| 188 | +│ ├── 20_compile_paper.py | |
| 189 | +│ └── 21_validate_release.py | |
| 190 | +├── tests/ | |
| 191 | +│ ├── test_schema.py | |
| 192 | +│ ├── test_calendars.py | |
| 193 | +│ ├── test_cleaning.py | |
| 194 | +│ ├── test_features.py | |
| 195 | +│ ├── test_shocks.py | |
| 196 | +│ ├── test_networks.py | |
| 197 | +│ ├── test_econometrics.py | |
| 198 | +│ └── test_tables.py | |
| 199 | +├── outputs/ | |
| 200 | +│ ├── diagnostics/ | |
| 201 | +│ ├── estimates/ | |
| 202 | +│ ├── figures/ | |
| 203 | +│ ├── tables/ | |
| 204 | +│ ├── models/ | |
| 205 | +│ └── release/ | |
| 206 | +├── paper/ | |
| 207 | +│ ├── main.tex | |
| 208 | +│ ├── preamble.tex | |
| 209 | +│ ├── title_page.tex | |
| 210 | +│ ├── abstract.tex | |
| 211 | +│ ├── sections/ | |
| 212 | +│ │ ├── 01_introduction.tex | |
| 213 | +│ │ ├── 02_literature.tex | |
| 214 | +│ │ ├── 03_data.tex | |
| 215 | +│ │ ├── 04_measurement.tex | |
| 216 | +│ │ ├── 05_empirical_design.tex | |
| 217 | +│ │ ├── 06_results.tex | |
| 218 | +│ │ ├── 07_mechanisms.tex | |
| 219 | +│ │ ├── 08_robustness.tex | |
| 220 | +│ │ └── 09_conclusion.tex | |
| 221 | +│ ├── tables/ | |
| 222 | +│ ├── figures/ | |
| 223 | +│ ├── bibliography/ | |
| 224 | +│ │ └── references.bib | |
| 225 | +│ └── styles/ | |
| 226 | +├── appendix/ | |
| 227 | +│ ├── internet_appendix.tex | |
| 228 | +│ ├── sections/ | |
| 229 | +│ ├── tables/ | |
| 230 | +│ └── figures/ | |
| 231 | +└── docs/ | |
| 232 | + ├── DATA_DICTIONARY.md | |
| 233 | + ├── DATA_AUDIT.md | |
| 234 | + ├── EMPIRICAL_DESIGN.md | |
| 235 | + ├── LITERATURE_MAP.md | |
| 236 | + ├── REPRODUCIBILITY.md | |
| 237 | + ├── COMPUTE_LOG.md | |
| 238 | + ├── DECISION_LOG.md | |
| 239 | + └── LIMITATIONS.md | |
| 240 | +``` | |
| 241 | + | |
| 242 | +Use relative paths. No user-specific absolute path may appear in committed code. | |
| 243 | + | |
| 244 | +--- | |
| 245 | + | |
| 246 | +# 3. Execution protocol | |
| 247 | + | |
| 248 | +## 3.1 Work in stages | |
| 249 | + | |
| 250 | +Execute the project in the following order: | |
| 251 | + | |
| 252 | +### Stage A — Dataset discovery and minimal probe | |
| 253 | +Do not download the entire dataset immediately. First: | |
| 254 | + | |
| 255 | +1. inspect the Hugging Face repository metadata; | |
| 256 | +2. list all files, sizes, hashes if available, and last-modified information; | |
| 257 | +3. inspect the dataset card and revision history; | |
| 258 | +4. download only one early, one middle, and one recent monthly file; | |
| 259 | +5. infer the physical schema; | |
| 260 | +6. inspect timestamps, symbols, row counts, missingness, duplicates, price and volume units; | |
| 261 | +7. estimate total storage requirements after download, decompression, cleaning, features, and outputs; | |
| 262 | +8. write `docs/DATA_AUDIT.md` with preliminary findings; | |
| 263 | +9. stop if the schema is unusable or if legal/access restrictions prevent research use. | |
| 264 | + | |
| 265 | +### Stage B — Full download with manifest and resumability | |
| 266 | +Only after Stage A passes: | |
| 267 | + | |
| 268 | +1. download all target files; | |
| 269 | +2. use resumable transfers; | |
| 270 | +3. pin the exact dataset revision or commit hash; | |
| 271 | +4. save every file with checksum, byte size, row count, schema, and download timestamp; | |
| 272 | +5. never silently overwrite an existing file; | |
| 273 | +6. verify integrity before marking a file complete; | |
| 274 | +7. write a machine-readable manifest; | |
| 275 | +8. permit partial reruns and node-level parallelism. | |
| 276 | + | |
| 277 | +### Stage C — Raw-data audit | |
| 278 | +Before constructing returns: | |
| 279 | + | |
| 280 | +1. audit timestamp coverage; | |
| 281 | +2. map timestamps to the correct exchange timezone; | |
| 282 | +3. identify pre-market, regular, and after-hours observations; | |
| 283 | +4. inspect daylight-saving transitions; | |
| 284 | +5. compare observed minutes with the official U.S. exchange calendar; | |
| 285 | +6. identify half-days and exceptional closures; | |
| 286 | +7. detect duplicate symbol–timestamp observations; | |
| 287 | +8. detect non-monotonic timestamps; | |
| 288 | +9. detect impossible OHLC relationships; | |
| 289 | +10. inspect zeros, negative values, stale prices, and extreme volume; | |
| 290 | +11. identify possible split-related jumps; | |
| 291 | +12. inspect symbol reuse and ticker changes; | |
| 292 | +13. determine whether delisted securities are present; | |
| 293 | +14. quantify survivorship and look-ahead risks; | |
| 294 | +15. identify ETFs, ADRs, preferred shares, warrants, funds, and non-common-equity instruments where possible; | |
| 295 | +16. document uncertainty rather than guessing. | |
| 296 | + | |
| 297 | +### Stage D — Clean panel and metadata | |
| 298 | +Construct: | |
| 299 | + | |
| 300 | +- a regular-hours baseline panel; | |
| 301 | +- an extended-hours robustness panel; | |
| 302 | +- a broad universe; | |
| 303 | +- a conservative common-stock universe; | |
| 304 | +- a high-liquidity universe; | |
| 305 | +- a balanced-panel subsample only for diagnostics, never as the sole main sample. | |
| 306 | + | |
| 307 | +### Stage E — Descriptive evidence | |
| 308 | +Document: | |
| 309 | + | |
| 310 | +- sample coverage over time; | |
| 311 | +- number of securities; | |
| 312 | +- number of observations; | |
| 313 | +- missing minute patterns; | |
| 314 | +- intraday seasonality; | |
| 315 | +- cross-sectional distributions; | |
| 316 | +- volume concentration; | |
| 317 | +- volatility concentration; | |
| 318 | +- extreme-return frequency; | |
| 319 | +- changes over decades. | |
| 320 | + | |
| 321 | +### Stage F — Shock measurement and propagation | |
| 322 | +Implement the full empirical design described below. | |
| 323 | + | |
| 324 | +### Stage G — Tables, figures, and paper | |
| 325 | +All tables and figures must be generated from saved results. Never manually type numerical results into LaTeX. | |
| 326 | + | |
| 327 | +--- | |
| 328 | + | |
| 329 | +# 4. Data acquisition requirements | |
| 330 | + | |
| 331 | +## 4.1 Hugging Face access | |
| 332 | + | |
| 333 | +Use official Hugging Face tooling when practical: | |
| 334 | + | |
| 335 | +- `huggingface_hub` | |
| 336 | +- `hf_hub_download` | |
| 337 | +- repository file listing APIs | |
| 338 | +- revision pinning | |
| 339 | +- authenticated access only if required | |
| 340 | + | |
| 341 | +The downloader must support: | |
| 342 | + | |
| 343 | +- dry-run mode; | |
| 344 | +- file-range filters; | |
| 345 | +- year and month filters; | |
| 346 | +- retry with exponential backoff; | |
| 347 | +- resumability; | |
| 348 | +- maximum concurrent downloads; | |
| 349 | +- checksum verification; | |
| 350 | +- per-file logs; | |
| 351 | +- node-aware sharding; | |
| 352 | +- safe interruption; | |
| 353 | +- disk-space checks; | |
| 354 | +- idempotence. | |
| 355 | + | |
| 356 | +Create CLI commands such as: | |
| 357 | + | |
| 358 | +```bash | |
| 359 | +python -m intraday_fragility.cli probe-data | |
| 360 | +python -m intraday_fragility.cli download --start 1992-01 --end 2026-12 | |
| 361 | +python -m intraday_fragility.cli verify-download | |
| 362 | +python -m intraday_fragility.cli audit-raw | |
| 363 | +``` | |
| 364 | + | |
| 365 | +## 4.2 Manifest | |
| 366 | + | |
| 367 | +Create `data/manifests/raw_files.parquet` and `data/manifests/raw_files.csv` with at least: | |
| 368 | + | |
| 369 | +- dataset_id; | |
| 370 | +- dataset_revision; | |
| 371 | +- remote_path; | |
| 372 | +- local_path; | |
| 373 | +- year; | |
| 374 | +- month; | |
| 375 | +- expected_bytes; | |
| 376 | +- downloaded_bytes; | |
| 377 | +- sha256; | |
| 378 | +- status; | |
| 379 | +- download_started_at; | |
| 380 | +- download_completed_at; | |
| 381 | +- row_count; | |
| 382 | +- column_names; | |
| 383 | +- column_types; | |
| 384 | +- min_timestamp; | |
| 385 | +- max_timestamp; | |
| 386 | +- unique_symbol_count; | |
| 387 | +- duplicate_key_count; | |
| 388 | +- null_count_by_column; | |
| 389 | +- audit_version; | |
| 390 | +- code_commit. | |
| 391 | + | |
| 392 | +## 4.3 Never infer undocumented semantics | |
| 393 | + | |
| 394 | +For each field, determine and document: | |
| 395 | + | |
| 396 | +- exact name; | |
| 397 | +- data type; | |
| 398 | +- units; | |
| 399 | +- timezone; | |
| 400 | +- adjustment status; | |
| 401 | +- whether price is raw or split-adjusted; | |
| 402 | +- whether volume is raw or adjusted; | |
| 403 | +- whether timestamps denote bar open or bar close; | |
| 404 | +- whether bars with no trades are omitted or filled; | |
| 405 | +- whether symbols are point-in-time; | |
| 406 | +- whether source corrections are incorporated. | |
| 407 | + | |
| 408 | +If a property cannot be established, label it “unknown” and design robustness checks around that uncertainty. | |
| 409 | + | |
| 410 | +--- | |
| 411 | + | |
| 412 | +# 5. Data-quality audit | |
| 413 | + | |
| 414 | +## 5.1 Schema validation | |
| 415 | + | |
| 416 | +For every file and every batch, verify: | |
| 417 | + | |
| 418 | +\[ | |
| 419 | +\text{Low}_{i,t} \leq \min(\text{Open}_{i,t},\text{Close}_{i,t}) | |
| 420 | +\] | |
| 421 | + | |
| 422 | +and | |
| 423 | + | |
| 424 | +\[ | |
| 425 | +\text{High}_{i,t} \geq \max(\text{Open}_{i,t},\text{Close}_{i,t}) | |
| 426 | +\] | |
| 427 | + | |
| 428 | +as well as: | |
| 429 | + | |
| 430 | +\[ | |
| 431 | +\text{Low}_{i,t} \leq \text{High}_{i,t}. | |
| 432 | +\] | |
| 433 | + | |
| 434 | +Flag but do not automatically delete all violations. Report counts, rates, symbols, dates, and magnitudes. | |
| 435 | + | |
| 436 | +## 5.2 Timestamp and calendar checks | |
| 437 | + | |
| 438 | +Use a recognized exchange-calendar library and independently validate important dates. | |
| 439 | + | |
| 440 | +Baseline regular session: | |
| 441 | + | |
| 442 | +- 09:30 to 16:00 Eastern Time; | |
| 443 | +- respect historical calendar variation; | |
| 444 | +- handle early closes; | |
| 445 | +- handle daylight saving correctly; | |
| 446 | +- do not assume exactly 390 bars for every date. | |
| 447 | + | |
| 448 | +Determine whether the source timestamps are UTC, local exchange time, or another convention by empirical checks. | |
| 449 | + | |
| 450 | +## 5.3 Duplicate handling | |
| 451 | + | |
| 452 | +The natural key is initially assumed to be: | |
| 453 | + | |
| 454 | +```text | |
| 455 | +(symbol, timestamp) | |
| 456 | +``` | |
| 457 | + | |
| 458 | +But this assumption must be verified. | |
| 459 | + | |
| 460 | +For duplicate keys: | |
| 461 | + | |
| 462 | +1. check whether rows are identical; | |
| 463 | +2. inspect whether duplicates arise from multiple venues or source revisions; | |
| 464 | +3. preserve raw copies; | |
| 465 | +4. create deterministic resolution rules; | |
| 466 | +5. report sensitivity to alternative rules. | |
| 467 | + | |
| 468 | +## 5.4 Corporate actions | |
| 469 | + | |
| 470 | +OHLCV-based research is highly vulnerable to splits and ticker changes. | |
| 471 | + | |
| 472 | +Implement: | |
| 473 | + | |
| 474 | +- detection of discontinuities near rational split ratios; | |
| 475 | +- cross-checking against external corporate-action sources if legally and technically feasible; | |
| 476 | +- split flags; | |
| 477 | +- exclusion windows around suspected splits; | |
| 478 | +- robustness using close-to-close versus open-to-close returns; | |
| 479 | +- separate treatment of extreme jumps plausibly caused by corporate actions. | |
| 480 | + | |
| 481 | +Never winsorize away a possible split without logging it. | |
| 482 | + | |
| 483 | +## 5.5 Security identity | |
| 484 | + | |
| 485 | +A ticker is not a permanent security identifier. | |
| 486 | + | |
| 487 | +Attempt to construct or merge a point-in-time security master containing: | |
| 488 | + | |
| 489 | +- ticker; | |
| 490 | +- permanent identifier if available; | |
| 491 | +- issuer name; | |
| 492 | +- security type; | |
| 493 | +- exchange; | |
| 494 | +- listing and delisting dates; | |
| 495 | +- sector and industry; | |
| 496 | +- ETF indicator; | |
| 497 | +- ADR indicator; | |
| 498 | +- common-stock indicator; | |
| 499 | +- share class. | |
| 500 | + | |
| 501 | +If permanent identifiers cannot be recovered for the full period: | |
| 502 | + | |
| 503 | +- explicitly state this limitation; | |
| 504 | +- avoid interpreting long ticker histories as one unchanged security; | |
| 505 | +- create ticker-spell intervals; | |
| 506 | +- run conservative analyses within continuous ticker episodes. | |
| 507 | + | |
| 508 | +## 5.6 Survivorship bias | |
| 509 | + | |
| 510 | +Determine whether the data include delisted securities and whether historical files preserve the contemporaneous universe. | |
| 511 | + | |
| 512 | +Produce: | |
| 513 | + | |
| 514 | +- yearly entry counts; | |
| 515 | +- yearly exit counts; | |
| 516 | +- symbol survival curves; | |
| 517 | +- sample counts by vintage; | |
| 518 | +- comparisons of balanced and unbalanced panels; | |
| 519 | +- a formal discussion of possible survivorship bias. | |
| 520 | + | |
| 521 | +## 5.7 Missingness | |
| 522 | + | |
| 523 | +Measure missingness at: | |
| 524 | + | |
| 525 | +- file level; | |
| 526 | +- day level; | |
| 527 | +- symbol-day level; | |
| 528 | +- minute-of-day level; | |
| 529 | +- decade level; | |
| 530 | +- market-state level. | |
| 531 | + | |
| 532 | +Do not forward-fill prices in the main analysis unless the precise estimand requires a regular grid. If a regular grid is needed: | |
| 533 | + | |
| 534 | +- distinguish “no recorded bar” from “zero return”; | |
| 535 | +- retain a missing-trade indicator; | |
| 536 | +- report results without imputation; | |
| 537 | +- use previous-tick interpolation only in explicitly labeled robustness analyses. | |
| 538 | + | |
| 539 | +--- | |
| 540 | + | |
| 541 | +# 6. Sample construction | |
| 542 | + | |
| 543 | +Create transparent sample filters in `config/sample_filters.yaml`. | |
| 544 | + | |
| 545 | +## 6.1 Baseline universe | |
| 546 | + | |
| 547 | +The baseline should target U.S.-listed common equities during regular trading hours, subject to defensible filters such as: | |
| 548 | + | |
| 549 | +- valid OHLC; | |
| 550 | +- positive price; | |
| 551 | +- positive or nonnegative volume as appropriate; | |
| 552 | +- minimum number of valid bars per day; | |
| 553 | +- minimum trading history; | |
| 554 | +- exclusion of obvious corporate-action contamination; | |
| 555 | +- removal of duplicate records; | |
| 556 | +- no use of future information in inclusion rules. | |
| 557 | + | |
| 558 | +## 6.2 Alternative universes | |
| 559 | + | |
| 560 | +Construct at least: | |
| 561 | + | |
| 562 | +1. all available instruments; | |
| 563 | +2. common stocks only; | |
| 564 | +3. stocks excluding ETFs and ADRs; | |
| 565 | +4. liquid stocks based on lagged information; | |
| 566 | +5. price above a lagged threshold; | |
| 567 | +6. top 500, 1,000, and 3,000 securities by lagged dollar volume; | |
| 568 | +7. continuous-history subsample; | |
| 569 | +8. pre-2001, 2001–2009, 2010–2019, and 2020 onward; | |
| 570 | +9. regular-hours only; | |
| 571 | +10. extended-hours included. | |
| 572 | + | |
| 573 | +Any liquidity-based inclusion criterion must use lagged data to avoid look-ahead bias. | |
| 574 | + | |
| 575 | +--- | |
| 576 | + | |
| 577 | +# 7. Variable construction | |
| 578 | + | |
| 579 | +All features must be defined in `docs/DATA_DICTIONARY.md` with formula, timing, units, and availability. | |
| 580 | + | |
| 581 | +## 7.1 Returns | |
| 582 | + | |
| 583 | +Construct: | |
| 584 | + | |
| 585 | +\[ | |
| 586 | +r_{i,t} = \log(P_{i,t})-\log(P_{i,t-1}). | |
| 587 | +\] | |
| 588 | + | |
| 589 | +Use alternative prices: | |
| 590 | + | |
| 591 | +- close-to-close minute return; | |
| 592 | +- open-to-close bar return; | |
| 593 | +- midpoint proxy \((H+L)/2\) only as robustness; | |
| 594 | +- previous valid close return; | |
| 595 | +- overnight return separately. | |
| 596 | + | |
| 597 | +Never bridge overnight and intraday returns without an explicit definition. | |
| 598 | + | |
| 599 | +## 7.2 Realized volatility | |
| 600 | + | |
| 601 | +At stock-day level: | |
| 602 | + | |
| 603 | +\[ | |
| 604 | +RV_{i,d} = \sum_{t \in d} r_{i,t}^{2}. | |
| 605 | +\] | |
| 606 | + | |
| 607 | +Construct: | |
| 608 | + | |
| 609 | +- 5-minute RV; | |
| 610 | +- 15-minute RV; | |
| 611 | +- 30-minute RV; | |
| 612 | +- daily RV; | |
| 613 | +- upside and downside semivariance; | |
| 614 | +- bipower variation if data quality permits; | |
| 615 | +- jump proxies; | |
| 616 | +- realized quarticity. | |
| 617 | + | |
| 618 | +## 7.3 Range-based measures | |
| 619 | + | |
| 620 | +Examples: | |
| 621 | + | |
| 622 | +\[ | |
| 623 | +Range_{i,t}=\log(H_{i,t})-\log(L_{i,t}) | |
| 624 | +\] | |
| 625 | + | |
| 626 | +and established range-based volatility estimators when their assumptions are defensible. | |
| 627 | + | |
| 628 | +## 7.4 Trading activity | |
| 629 | + | |
| 630 | +Construct: | |
| 631 | + | |
| 632 | +- raw volume; | |
| 633 | +- log volume; | |
| 634 | +- dollar volume; | |
| 635 | +- turnover if shares outstanding become available; | |
| 636 | +- volume relative to the same minute of the day; | |
| 637 | +- volume z-score based only on lagged observations; | |
| 638 | +- fraction of daily volume occurring in each interval; | |
| 639 | +- market-wide and sector-wide volume concentration. | |
| 640 | + | |
| 641 | +## 7.5 OHLCV-based illiquidity and price-impact proxies | |
| 642 | + | |
| 643 | +Possible proxies include: | |
| 644 | + | |
| 645 | +\[ | |
| 646 | +ILLIQ_{i,t} = \frac{|r_{i,t}|}{DollarVolume_{i,t}+\epsilon}. | |
| 647 | +\] | |
| 648 | + | |
| 649 | +Also consider: | |
| 650 | + | |
| 651 | +- high-low range divided by dollar volume; | |
| 652 | +- absolute residual return per unit of volume; | |
| 653 | +- zero-return frequency; | |
| 654 | +- stale-price duration; | |
| 655 | +- Roll-type proxies only if valid at the available frequency; | |
| 656 | +- Corwin–Schultz estimates only at a frequency consistent with the estimator. | |
| 657 | + | |
| 658 | +Use multiple proxies because no single OHLCV measure identifies true liquidity. | |
| 659 | + | |
| 660 | +## 7.6 Intraday seasonality | |
| 661 | + | |
| 662 | +For each variable, estimate minute-of-day seasonality using only historical information or a clearly defined full-sample descriptive normalization. | |
| 663 | + | |
| 664 | +Main predictive and causal specifications must use lagged or training-period seasonality estimates. | |
| 665 | + | |
| 666 | +Construct standardized variables: | |
| 667 | + | |
| 668 | +\[ | |
| 669 | +z_{i,t}^{x} | |
| 670 | += | |
| 671 | +\frac{x_{i,t}-\widehat{\mu}_{i,\tau(t)}}{\widehat{\sigma}_{i,\tau(t)}}, | |
| 672 | +\] | |
| 673 | + | |
| 674 | +where \(\tau(t)\) is minute of day. | |
| 675 | + | |
| 676 | +Use robust alternatives based on the median and MAD. | |
| 677 | + | |
| 678 | +--- | |
| 679 | + | |
| 680 | +# 8. Defining idiosyncratic intraday shocks | |
| 681 | + | |
| 682 | +A raw extreme return is not necessarily idiosyncratic. Construct several shock definitions. | |
| 683 | + | |
| 684 | +## 8.1 Residual return model | |
| 685 | + | |
| 686 | +Estimate rolling or recursively updated models such as: | |
| 687 | + | |
| 688 | +\[ | |
| 689 | +r_{i,t} | |
| 690 | += | |
| 691 | +\alpha_{i,\tau} | |
| 692 | ++\beta_{i,m,t}r_{m,t} | |
| 693 | ++\beta_{i,s,t}r_{s(i),t} | |
| 694 | ++\boldsymbol{\gamma}_{i,t}'F_t | |
| 695 | ++\varepsilon_{i,t}, | |
| 696 | +\] | |
| 697 | + | |
| 698 | +where: | |
| 699 | + | |
| 700 | +- \(r_{m,t}\) is a broad market return; | |
| 701 | +- \(r_{s(i),t}\) is the sector return; | |
| 702 | +- \(F_t\) may contain principal components or other common factors; | |
| 703 | +- \(\alpha_{i,\tau}\) absorbs intraday seasonality. | |
| 704 | + | |
| 705 | +Prevent mechanical contamination by excluding stock \(i\) from market and sector aggregates when feasible. | |
| 706 | + | |
| 707 | +## 8.2 Shock threshold | |
| 708 | + | |
| 709 | +Define a baseline shock as: | |
| 710 | + | |
| 711 | +\[ | |
| 712 | +Shock_{i,t}=1\left( | |
| 713 | +|\varepsilon_{i,t}| > | |
| 714 | +q_{i,\tau,t}(p) | |
| 715 | +\right), | |
| 716 | +\] | |
| 717 | + | |
| 718 | +where \(q_{i,\tau,t}(p)\) is a lagged conditional extreme quantile. | |
| 719 | + | |
| 720 | +Use thresholds such as: | |
| 721 | + | |
| 722 | +- 99th percentile; | |
| 723 | +- 99.5th percentile; | |
| 724 | +- 99.9th percentile; | |
| 725 | +- 4, 5, and 6 robust standard deviations; | |
| 726 | +- extreme-value-theory thresholds; | |
| 727 | +- jump-test thresholds. | |
| 728 | + | |
| 729 | +Separate: | |
| 730 | + | |
| 731 | +- positive shocks; | |
| 732 | +- negative shocks; | |
| 733 | +- return shocks; | |
| 734 | +- volatility shocks; | |
| 735 | +- volume shocks; | |
| 736 | +- combined return-volume shocks; | |
| 737 | +- range shocks; | |
| 738 | +- illiquidity-proxy shocks. | |
| 739 | + | |
| 740 | +## 8.3 Shock isolation | |
| 741 | + | |
| 742 | +To reduce common-news contamination, require one or more of: | |
| 743 | + | |
| 744 | +- low contemporaneous market return; | |
| 745 | +- low contemporaneous sector return; | |
| 746 | +- large idiosyncratic residual; | |
| 747 | +- leave-one-out factor construction; | |
| 748 | +- no simultaneous extreme shock in a large fraction of the market; | |
| 749 | +- exclusion of scheduled macro announcement windows for the idiosyncratic baseline; | |
| 750 | +- separate common-shock sample. | |
| 751 | + | |
| 752 | +Do not define isolation so strictly that only trivial events remain. Report the trade-off. | |
| 753 | + | |
| 754 | +--- | |
| 755 | + | |
| 756 | +# 9. Measuring propagation | |
| 757 | + | |
| 758 | +## 9.1 Outcome horizons | |
| 759 | + | |
| 760 | +Use horizons: | |
| 761 | + | |
| 762 | +\[ | |
| 763 | +h \in \{1,2,5,10,15,30,60,120\}\text{ minutes}. | |
| 764 | +\] | |
| 765 | + | |
| 766 | +Respect session boundaries. Do not mechanically carry an intraday horizon across the overnight period in the baseline. | |
| 767 | + | |
| 768 | +## 9.2 Breadth | |
| 769 | + | |
| 770 | +Define market-wide propagation breadth: | |
| 771 | + | |
| 772 | +\[ | |
| 773 | +Breadth_{i,t}(h) | |
| 774 | += | |
| 775 | +\frac{1}{N_{t,h}-1} | |
| 776 | +\sum_{j\neq i} | |
| 777 | +1\left(|AR_{j,t+h}|>q_{j,\tau,t}\right). | |
| 778 | +\] | |
| 779 | + | |
| 780 | +Also define: | |
| 781 | + | |
| 782 | +- cumulative breadth through \(h\); | |
| 783 | +- sector breadth; | |
| 784 | +- connected-neighbor breadth; | |
| 785 | +- non-sector breadth; | |
| 786 | +- breadth weighted by lagged dollar volume; | |
| 787 | +- breadth weighted by network proximity. | |
| 788 | + | |
| 789 | +## 9.3 Speed | |
| 790 | + | |
| 791 | +Define: | |
| 792 | + | |
| 793 | +- minutes until 1%, 5%, 10%, or 25% of eligible securities react; | |
| 794 | +- time to peak breadth; | |
| 795 | +- half-life of the response; | |
| 796 | +- propagation velocity over network distance; | |
| 797 | +- hazard of first response. | |
| 798 | + | |
| 799 | +If a threshold is never reached, treat the observation as right-censored rather than assigning an arbitrary large value. | |
| 800 | + | |
| 801 | +## 9.4 Intensity | |
| 802 | + | |
| 803 | +Define: | |
| 804 | + | |
| 805 | +\[ | |
| 806 | +Intensity_{i,t}(h) | |
| 807 | += | |
| 808 | +\frac{1}{N-1} | |
| 809 | +\sum_{j\neq i}|AR_{j,t+h}|. | |
| 810 | +\] | |
| 811 | + | |
| 812 | +Construct signed and unsigned versions. | |
| 813 | + | |
| 814 | +## 9.5 Amplification | |
| 815 | + | |
| 816 | +Define the Intraday Shock Amplification Ratio: | |
| 817 | + | |
| 818 | +\[ | |
| 819 | +ISAR_{i,t}(h) | |
| 820 | += | |
| 821 | +\frac{ | |
| 822 | +\sum_{j\neq i}w_{ij,t}|AR_{j,t+h}| | |
| 823 | +}{ | |
| 824 | +|\varepsilon_{i,t}|+\epsilon | |
| 825 | +}. | |
| 826 | +\] | |
| 827 | + | |
| 828 | +Explore alternative normalizations and show that results are not artifacts of a small denominator. | |
| 829 | + | |
| 830 | +## 9.6 Persistence | |
| 831 | + | |
| 832 | +Measure: | |
| 833 | + | |
| 834 | +- cumulative response; | |
| 835 | +- response half-life; | |
| 836 | +- reversal after the initial response; | |
| 837 | +- permanent versus transitory components; | |
| 838 | +- integrated response over 5, 15, 30, 60, and 120 minutes. | |
| 839 | + | |
| 840 | +## 9.7 Asymmetry | |
| 841 | + | |
| 842 | +Estimate separate responses to: | |
| 843 | + | |
| 844 | +- positive versus negative shocks; | |
| 845 | +- high versus low market volatility; | |
| 846 | +- opening, midday, and closing periods; | |
| 847 | +- high versus low aggregate correlation; | |
| 848 | +- high versus low market concentration; | |
| 849 | +- liquid versus illiquid source securities; | |
| 850 | +- large versus small shock magnitude. | |
| 851 | + | |
| 852 | +--- | |
| 853 | + | |
| 854 | +# 10. Dynamic network construction | |
| 855 | + | |
| 856 | +The network must be estimated using information available before the shock. | |
| 857 | + | |
| 858 | +## 10.1 Candidate networks | |
| 859 | + | |
| 860 | +Estimate several networks: | |
| 861 | + | |
| 862 | +1. sector membership; | |
| 863 | +2. rolling return correlation; | |
| 864 | +3. partial correlation; | |
| 865 | +4. lead-lag predictive network; | |
| 866 | +5. volume-shock correlation; | |
| 867 | +6. volatility-spillover network; | |
| 868 | +7. sparse VAR; | |
| 869 | +8. graphical LASSO; | |
| 870 | +9. low-rank plus sparse network; | |
| 871 | +10. dynamic factor residual network; | |
| 872 | +11. Granger-style predictive network; | |
| 873 | +12. learned graph representation, used as an extension rather than the sole method. | |
| 874 | + | |
| 875 | +## 10.2 Timing discipline | |
| 876 | + | |
| 877 | +For a shock at time \(t\), network weights \(W_{ij,t}\) must be estimated only from data dated strictly before \(t\). | |
| 878 | + | |
| 879 | +Use: | |
| 880 | + | |
| 881 | +- rolling windows; | |
| 882 | +- expanding windows; | |
| 883 | +- annual network freezes; | |
| 884 | +- monthly network freezes; | |
| 885 | +- cross-fitted network estimation. | |
| 886 | + | |
| 887 | +## 10.3 Centrality and roles | |
| 888 | + | |
| 889 | +Compute lagged: | |
| 890 | + | |
| 891 | +- out-strength; | |
| 892 | +- in-strength; | |
| 893 | +- eigenvector centrality; | |
| 894 | +- PageRank; | |
| 895 | +- betweenness; | |
| 896 | +- community bridge score; | |
| 897 | +- k-core; | |
| 898 | +- participation coefficient; | |
| 899 | +- transmitter and receiver scores. | |
| 900 | + | |
| 901 | +Define economic roles: | |
| 902 | + | |
| 903 | +- transmitter; | |
| 904 | +- receiver; | |
| 905 | +- amplifier; | |
| 906 | +- absorber; | |
| 907 | +- bridge; | |
| 908 | +- isolated security. | |
| 909 | + | |
| 910 | +Do not infer economic importance from one centrality measure alone. | |
| 911 | + | |
| 912 | +--- | |
| 913 | + | |
| 914 | +# 11. Baseline econometric designs | |
| 915 | + | |
| 916 | +## 11.1 Local projections | |
| 917 | + | |
| 918 | +Estimate horizon-specific responses: | |
| 919 | + | |
| 920 | +\[ | |
| 921 | +Y_{j,t+h} | |
| 922 | += | |
| 923 | +\alpha_{j} | |
| 924 | ++\delta_{\tau(t)} | |
| 925 | ++\lambda_{d} | |
| 926 | ++\beta_h Shock_{i,t} | |
| 927 | ++\theta_h Shock_{i,t}W_{ij,t^-} | |
| 928 | ++\Gamma_h'X_{i,j,t^-} | |
| 929 | ++u_{i,j,t+h}. | |
| 930 | +\] | |
| 931 | + | |
| 932 | +Possible fixed effects: | |
| 933 | + | |
| 934 | +- receiver security; | |
| 935 | +- source security; | |
| 936 | +- date; | |
| 937 | +- minute of day; | |
| 938 | +- source-by-year; | |
| 939 | +- receiver-by-year; | |
| 940 | +- sector-by-date; | |
| 941 | +- market-state bins. | |
| 942 | + | |
| 943 | +Do not include fixed effects that absorb the variable of interest without recognizing it. | |
| 944 | + | |
| 945 | +## 11.2 Cascade-level regressions | |
| 946 | + | |
| 947 | +At the source-shock level: | |
| 948 | + | |
| 949 | +\[ | |
| 950 | +Cascade_{i,t}(h) | |
| 951 | += | |
| 952 | +\alpha | |
| 953 | ++\beta_1 Magnitude_{i,t} | |
| 954 | ++\beta_2 Negative_{i,t} | |
| 955 | ++\beta_3 Centrality_{i,t^-} | |
| 956 | ++\beta_4 State_{t^-} | |
| 957 | ++\beta_5 Magnitude_{i,t}\times State_{t^-} | |
| 958 | ++\mu_i+\lambda_d+\delta_{\tau} | |
| 959 | ++\varepsilon_{i,t,h}. | |
| 960 | +\] | |
| 961 | + | |
| 962 | +## 11.3 Long-run evolution | |
| 963 | + | |
| 964 | +Estimate flexible time variation: | |
| 965 | + | |
| 966 | +- year fixed effects interacted with shock magnitude; | |
| 967 | +- rolling coefficients; | |
| 968 | +- decade bins; | |
| 969 | +- splines; | |
| 970 | +- structural-break tests; | |
| 971 | +- distributional regressions; | |
| 972 | +- quantile regressions. | |
| 973 | + | |
| 974 | +Do not impose a linear “algorithmic trading trend” as the only model. | |
| 975 | + | |
| 976 | +## 11.4 Nonlinearity | |
| 977 | + | |
| 978 | +Test whether propagation changes sharply beyond a threshold: | |
| 979 | + | |
| 980 | +- binscatter with confidence intervals; | |
| 981 | +- local polynomial; | |
| 982 | +- splines; | |
| 983 | +- threshold regression; | |
| 984 | +- generalized random forest for heterogeneity; | |
| 985 | +- quantile treatment effects where appropriate; | |
| 986 | +- monotonicity checks. | |
| 987 | + | |
| 988 | +The primary nonlinear result must also be represented with a transparent non-ML specification. | |
| 989 | + | |
| 990 | +## 11.5 Inference | |
| 991 | + | |
| 992 | +High-frequency observations are strongly dependent. | |
| 993 | + | |
| 994 | +Consider: | |
| 995 | + | |
| 996 | +- two-way clustering by source security and date; | |
| 997 | +- clustering by date and minute block; | |
| 998 | +- source-shock-level aggregation; | |
| 999 | +- block bootstrap by trading day; | |
| 1000 | +- stationary bootstrap; | |
| 1001 | +- randomization inference for event studies; | |
| 1002 | +- Driscoll–Kraay only if its assumptions fit; | |
| 1003 | +- multiple-hypothesis correction for families of outcomes. | |
| 1004 | + | |
| 1005 | +Report why each inference method is appropriate. | |
| 1006 | + | |
| 1007 | +--- | |
| 1008 | + | |
| 1009 | +# 12. Identification and common-information problem | |
| 1010 | + | |
| 1011 | +The central threat is that many securities react to the same information rather than to each other. | |
| 1012 | + | |
| 1013 | +Address this directly. | |
| 1014 | + | |
| 1015 | +## 12.1 Scheduled macro announcements | |
| 1016 | + | |
| 1017 | +Construct an event database for major U.S. announcements where reliable historical timestamps and surprise measures are available: | |
| 1018 | + | |
| 1019 | +- FOMC decisions and statements; | |
| 1020 | +- CPI; | |
| 1021 | +- employment report; | |
| 1022 | +- GDP; | |
| 1023 | +- retail sales; | |
| 1024 | +- PPI; | |
| 1025 | +- ISM; | |
| 1026 | +- other major scheduled releases. | |
| 1027 | + | |
| 1028 | +Use these events to: | |
| 1029 | + | |
| 1030 | +1. characterize common shocks; | |
| 1031 | +2. estimate separate propagation patterns; | |
| 1032 | +3. exclude macro windows from the idiosyncratic baseline; | |
| 1033 | +4. compare common-news and firm-originating shock dynamics. | |
| 1034 | + | |
| 1035 | +## 12.2 Firm-specific news | |
| 1036 | + | |
| 1037 | +If reliable timestamped news or earnings-announcement data can be added: | |
| 1038 | + | |
| 1039 | +- identify plausibly firm-specific shocks; | |
| 1040 | +- distinguish pre-market, intraday, and after-hours announcements; | |
| 1041 | +- use narrow event windows; | |
| 1042 | +- avoid post-treatment controls; | |
| 1043 | +- test whether economically linked firms respond more strongly. | |
| 1044 | + | |
| 1045 | +Do not use scraped or low-quality event timestamps without validation. | |
| 1046 | + | |
| 1047 | +## 12.3 Placebo timing | |
| 1048 | + | |
| 1049 | +For each real shock: | |
| 1050 | + | |
| 1051 | +- assign same-stock placebo times on comparable non-event days; | |
| 1052 | +- preserve minute-of-day and volatility state; | |
| 1053 | +- repeat the propagation analysis; | |
| 1054 | +- compare real and placebo distributions. | |
| 1055 | + | |
| 1056 | +## 12.4 Permuted networks | |
| 1057 | + | |
| 1058 | +Randomly permute network links while preserving: | |
| 1059 | + | |
| 1060 | +- degree distribution; | |
| 1061 | +- sector composition; | |
| 1062 | +- size bins; | |
| 1063 | +- liquidity bins. | |
| 1064 | + | |
| 1065 | +True networks should outperform matched placebo networks if network propagation is economically meaningful. | |
| 1066 | + | |
| 1067 | +## 12.5 Negative controls | |
| 1068 | + | |
| 1069 | +Potential negative controls: | |
| 1070 | + | |
| 1071 | +- future network weights; | |
| 1072 | +- distant unrelated securities; | |
| 1073 | +- pre-shock outcomes; | |
| 1074 | +- randomized source identity; | |
| 1075 | +- non-overlapping time windows. | |
| 1076 | + | |
| 1077 | +Future information may be used only as a falsification test, never in the baseline estimator. | |
| 1078 | + | |
| 1079 | +--- | |
| 1080 | + | |
| 1081 | +# 13. Market-structure evolution | |
| 1082 | + | |
| 1083 | +The paper may discuss algorithmic and electronic trading, but OHLCV data do not directly measure algorithmic trading intensity. | |
| 1084 | + | |
| 1085 | +Therefore: | |
| 1086 | + | |
| 1087 | +- do not claim a causal effect of algorithmic trading from a time trend alone; | |
| 1088 | +- identify documented market-structure milestones from authoritative sources; | |
| 1089 | +- treat breakpoint evidence cautiously; | |
| 1090 | +- consider alternative explanations: | |
| 1091 | + - decimalization; | |
| 1092 | + - ETF growth; | |
| 1093 | + - passive investment; | |
| 1094 | + - market fragmentation; | |
| 1095 | + - faster information diffusion; | |
| 1096 | + - changes in listing composition; | |
| 1097 | + - changes in data coverage; | |
| 1098 | + - crisis composition; | |
| 1099 | + - regulation; | |
| 1100 | + - macro volatility; | |
| 1101 | + - changing sector weights. | |
| 1102 | + | |
| 1103 | +Potential periodization must be pre-specified and justified. Results should also be shown using flexible year effects rather than only hand-picked eras. | |
| 1104 | + | |
| 1105 | +--- | |
| 1106 | + | |
| 1107 | +# 14. Machine learning and foundation-model extension | |
| 1108 | + | |
| 1109 | +A machine-learning component may be included, but it must not obscure identification. | |
| 1110 | + | |
| 1111 | +## 14.1 Prediction task | |
| 1112 | + | |
| 1113 | +Predict at shock time \(t\): | |
| 1114 | + | |
| 1115 | +- future breadth; | |
| 1116 | +- future intensity; | |
| 1117 | +- time to cascade; | |
| 1118 | +- sector-to-market transition; | |
| 1119 | +- probability of a tail cascade. | |
| 1120 | + | |
| 1121 | +## 14.2 Data splitting | |
| 1122 | + | |
| 1123 | +Use strict temporal splits: | |
| 1124 | + | |
| 1125 | +- training period; | |
| 1126 | +- validation period; | |
| 1127 | +- final untouched test period; | |
| 1128 | +- optional rolling-origin evaluation. | |
| 1129 | + | |
| 1130 | +Never randomly split minute observations across train and test. | |
| 1131 | + | |
| 1132 | +## 14.3 Baselines | |
| 1133 | + | |
| 1134 | +Compare with: | |
| 1135 | + | |
| 1136 | +- unconditional historical mean; | |
| 1137 | +- linear and logistic regressions; | |
| 1138 | +- penalized regression; | |
| 1139 | +- random forest; | |
| 1140 | +- gradient boosting; | |
| 1141 | +- HAR-style models; | |
| 1142 | +- VAR and sparse VAR; | |
| 1143 | +- Hawkes-inspired specifications where feasible; | |
| 1144 | +- LSTM; | |
| 1145 | +- temporal convolution; | |
| 1146 | +- transformer or state-space model; | |
| 1147 | +- graph neural network; | |
| 1148 | +- model without network information; | |
| 1149 | +- model without market-state information. | |
| 1150 | + | |
| 1151 | +## 14.4 Evaluation | |
| 1152 | + | |
| 1153 | +Report: | |
| 1154 | + | |
| 1155 | +- out-of-sample \(R^2\); | |
| 1156 | +- log loss; | |
| 1157 | +- Brier score; | |
| 1158 | +- AUROC; | |
| 1159 | +- precision-recall AUC; | |
| 1160 | +- calibration; | |
| 1161 | +- tail recall; | |
| 1162 | +- economic ranking performance; | |
| 1163 | +- stability across years and regimes. | |
| 1164 | + | |
| 1165 | +No trading strategy should be the main evidence. Any economic-value exercise must incorporate conservative transaction-cost assumptions and be clearly secondary. | |
| 1166 | + | |
| 1167 | +## 14.5 Interpretability | |
| 1168 | + | |
| 1169 | +Use: | |
| 1170 | + | |
| 1171 | +- partial dependence; | |
| 1172 | +- accumulated local effects; | |
| 1173 | +- SHAP with dependence-aware interpretation; | |
| 1174 | +- feature ablation; | |
| 1175 | +- network ablation; | |
| 1176 | +- temporal ablation; | |
| 1177 | +- regime-specific performance; | |
| 1178 | +- calibration plots. | |
| 1179 | + | |
| 1180 | +Do not treat model attention weights as causal explanations. | |
| 1181 | + | |
| 1182 | +--- | |
| 1183 | + | |
| 1184 | +# 15. Required robustness analyses | |
| 1185 | + | |
| 1186 | +At minimum, run: | |
| 1187 | + | |
| 1188 | +1. alternative return definitions; | |
| 1189 | +2. alternative shock thresholds; | |
| 1190 | +3. alternative factor residualizations; | |
| 1191 | +4. alternative market and sector benchmarks; | |
| 1192 | +5. alternative network definitions; | |
| 1193 | +6. alternative network estimation windows; | |
| 1194 | +7. alternative security universes; | |
| 1195 | +8. exclusion of ETFs; | |
| 1196 | +9. exclusion of ADRs; | |
| 1197 | +10. exclusion of penny stocks; | |
| 1198 | +11. exclusion of suspected split windows; | |
| 1199 | +12. regular-hours only; | |
| 1200 | +13. alternative minute aggregation: 1, 5, 10, and 15 minutes; | |
| 1201 | +14. volume-weighted and equal-weighted outcomes; | |
| 1202 | +15. opening and closing exclusions; | |
| 1203 | +16. crisis versus non-crisis samples; | |
| 1204 | +17. macro-announcement exclusions; | |
| 1205 | +18. day-block bootstrap; | |
| 1206 | +19. matched placebo shocks; | |
| 1207 | +20. permuted networks; | |
| 1208 | +21. pre-trend and pre-response tests; | |
| 1209 | +22. source-stock fixed effects; | |
| 1210 | +23. receiver-stock fixed effects; | |
| 1211 | +24. date fixed effects; | |
| 1212 | +25. sector-by-date fixed effects where computationally feasible; | |
| 1213 | +26. balanced versus unbalanced samples; | |
| 1214 | +27. winsorized versus non-winsorized outcomes; | |
| 1215 | +28. median-based robust standardization; | |
| 1216 | +29. alternative right-censoring treatment for propagation time; | |
| 1217 | +30. multiple-testing adjustments. | |
| 1218 | + | |
| 1219 | +Robustness must test the economic interpretation, not merely produce many similar regressions. | |
| 1220 | + | |
| 1221 | +--- | |
| 1222 | + | |
| 1223 | +# 16. Falsification tests | |
| 1224 | + | |
| 1225 | +The project must attempt to disprove its own central claim. | |
| 1226 | + | |
| 1227 | +Required falsifications include: | |
| 1228 | + | |
| 1229 | +- no systematic response before the source shock; | |
| 1230 | +- weak propagation through randomized networks; | |
| 1231 | +- weaker response among economically unrelated stocks; | |
| 1232 | +- stronger response after genuine shocks than matched placebo times; | |
| 1233 | +- no apparent secular acceleration caused solely by changing sample size; | |
| 1234 | +- no apparent acceleration caused solely by timestamp precision or coverage changes; | |
| 1235 | +- no result driven by a few crisis days; | |
| 1236 | +- no result driven by the largest technology stocks; | |
| 1237 | +- no result driven solely by ETFs; | |
| 1238 | +- no result generated mechanically by market-factor construction; | |
| 1239 | +- no result driven by corporate actions. | |
| 1240 | + | |
| 1241 | +If a falsification fails, do not hide it. Reassess the claim. | |
| 1242 | + | |
| 1243 | +--- | |
| 1244 | + | |
| 1245 | +# 17. Descriptive tables required | |
| 1246 | + | |
| 1247 | +Generate the following main-paper candidates. | |
| 1248 | + | |
| 1249 | +## Table I — Sample construction | |
| 1250 | + | |
| 1251 | +Include by decade or period: | |
| 1252 | + | |
| 1253 | +- raw rows; | |
| 1254 | +- raw symbols; | |
| 1255 | +- valid trading days; | |
| 1256 | +- duplicate removals; | |
| 1257 | +- invalid OHLC removals; | |
| 1258 | +- suspected corporate-action exclusions; | |
| 1259 | +- final stock-minute observations; | |
| 1260 | +- final securities; | |
| 1261 | +- median valid minutes per stock-day. | |
| 1262 | + | |
| 1263 | +## Table II — Summary statistics | |
| 1264 | + | |
| 1265 | +For core variables: | |
| 1266 | + | |
| 1267 | +- mean; | |
| 1268 | +- standard deviation; | |
| 1269 | +- p1; | |
| 1270 | +- p5; | |
| 1271 | +- median; | |
| 1272 | +- p95; | |
| 1273 | +- p99; | |
| 1274 | +- number of observations. | |
| 1275 | + | |
| 1276 | +Report at the economically appropriate unit to avoid meaningless precision. | |
| 1277 | + | |
| 1278 | +## Table III — Characteristics of source shocks | |
| 1279 | + | |
| 1280 | +Compare: | |
| 1281 | + | |
| 1282 | +- positive and negative shocks; | |
| 1283 | +- low- and high-volatility states; | |
| 1284 | +- early and late sample; | |
| 1285 | +- cascade and non-cascade shocks. | |
| 1286 | + | |
| 1287 | +## Table IV — Baseline propagation | |
| 1288 | + | |
| 1289 | +Show horizon-specific coefficients for breadth, intensity, and persistence. | |
| 1290 | + | |
| 1291 | +## Table V — Nonlinearity and asymmetry | |
| 1292 | + | |
| 1293 | +Show shock-size bins, negative interaction, and market-state interactions. | |
| 1294 | + | |
| 1295 | +## Table VI — Evolution over time | |
| 1296 | + | |
| 1297 | +Show flexible period or year interactions and tests of equality. | |
| 1298 | + | |
| 1299 | +## Table VII — Network mechanisms | |
| 1300 | + | |
| 1301 | +Compare connected and unconnected receivers and transmitter centrality. | |
| 1302 | + | |
| 1303 | +## Table VIII — Identification and placebo tests | |
| 1304 | + | |
| 1305 | +Include macro exclusions, matched placebo times, and permuted networks. | |
| 1306 | + | |
| 1307 | +Keep the main manuscript selective. Move secondary tables to the Internet Appendix. | |
| 1308 | + | |
| 1309 | +--- | |
| 1310 | + | |
| 1311 | +# 18. Figures required | |
| 1312 | + | |
| 1313 | +Create journal-quality figures in PDF and high-resolution PNG. | |
| 1314 | + | |
| 1315 | +## Figure 1 — Data coverage | |
| 1316 | + | |
| 1317 | +Panels may show: | |
| 1318 | + | |
| 1319 | +- number of securities by year; | |
| 1320 | +- number of observations by year; | |
| 1321 | +- median bars per stock-day; | |
| 1322 | +- missingness rate. | |
| 1323 | + | |
| 1324 | +## Figure 2 — Intraday seasonality | |
| 1325 | + | |
| 1326 | +Show minute-of-day patterns for: | |
| 1327 | + | |
| 1328 | +- volatility; | |
| 1329 | +- volume; | |
| 1330 | +- range; | |
| 1331 | +- shock incidence. | |
| 1332 | + | |
| 1333 | +## Figure 3 — Anatomy of a representative cascade | |
| 1334 | + | |
| 1335 | +A carefully selected event visualization with: | |
| 1336 | + | |
| 1337 | +- source shock; | |
| 1338 | +- sector response; | |
| 1339 | +- market breadth; | |
| 1340 | +- network diffusion; | |
| 1341 | +- confidence or placebo envelope where possible. | |
| 1342 | + | |
| 1343 | +Do not cherry-pick without a transparent selection rule. | |
| 1344 | + | |
| 1345 | +## Figure 4 — Impulse responses | |
| 1346 | + | |
| 1347 | +Local-projection responses over 1–120 minutes for: | |
| 1348 | + | |
| 1349 | +- breadth; | |
| 1350 | +- intensity; | |
| 1351 | +- signed returns; | |
| 1352 | +- volatility. | |
| 1353 | + | |
| 1354 | +## Figure 5 — Nonlinear propagation | |
| 1355 | + | |
| 1356 | +Plot propagation against source-shock magnitude with confidence bands. | |
| 1357 | + | |
| 1358 | +## Figure 6 — Positive-negative asymmetry | |
| 1359 | + | |
| 1360 | +Show comparable positive and negative shocks. | |
| 1361 | + | |
| 1362 | +## Figure 7 — Evolution over time | |
| 1363 | + | |
| 1364 | +Show annual or rolling estimates of propagation speed and breadth. | |
| 1365 | + | |
| 1366 | +## Figure 8 — Network position and cascade risk | |
| 1367 | + | |
| 1368 | +Show economically interpretable bins of lagged source centrality. | |
| 1369 | + | |
| 1370 | +## Figure 9 — Market-state dependence | |
| 1371 | + | |
| 1372 | +Compare calm and stressed states. | |
| 1373 | + | |
| 1374 | +## Figure 10 — Falsification evidence | |
| 1375 | + | |
| 1376 | +Real versus matched placebo and real versus permuted-network responses. | |
| 1377 | + | |
| 1378 | +--- | |
| 1379 | + | |
| 1380 | +# 19. Figure style: Journal of Finance quality | |
| 1381 | + | |
| 1382 | +The phrase “JF style” means restrained, legible, publication-quality academic graphics, not imitation of proprietary branding. | |
| 1383 | + | |
| 1384 | +Use: | |
| 1385 | + | |
| 1386 | +- vector PDF as the primary format; | |
| 1387 | +- embedded fonts; | |
| 1388 | +- white background; | |
| 1389 | +- minimal chart ink; | |
| 1390 | +- no 3D effects; | |
| 1391 | +- no gradients; | |
| 1392 | +- no decorative icons; | |
| 1393 | +- no unnecessary borders; | |
| 1394 | +- no chart titles inside the plotting region unless essential; | |
| 1395 | +- concise axis labels; | |
| 1396 | +- consistent font family and sizing; | |
| 1397 | +- grayscale-safe line types and markers; | |
| 1398 | +- colorblind-safe colors when color is needed; | |
| 1399 | +- direct labels where clearer than legends; | |
| 1400 | +- confidence bands with restrained opacity; | |
| 1401 | +- panel labels `(a)`, `(b)`, etc.; | |
| 1402 | +- identical scales across comparable panels; | |
| 1403 | +- economically meaningful tick marks; | |
| 1404 | +- no scientific notation unless unavoidable; | |
| 1405 | +- no excessive decimal places. | |
| 1406 | + | |
| 1407 | +Every figure must include a LaTeX note explaining: | |
| 1408 | + | |
| 1409 | +- sample; | |
| 1410 | +- variable definitions; | |
| 1411 | +- estimation method; | |
| 1412 | +- confidence intervals; | |
| 1413 | +- clustering or bootstrap; | |
| 1414 | +- normalization; | |
| 1415 | +- exclusions. | |
| 1416 | + | |
| 1417 | +Save source data for every figure as Parquet or CSV in: | |
| 1418 | + | |
| 1419 | +```text | |
| 1420 | +outputs/figures/data/ | |
| 1421 | +``` | |
| 1422 | + | |
| 1423 | +A figure must be reproducible from its source-data file without rerunning the entire empirical pipeline. | |
| 1424 | + | |
| 1425 | +--- | |
| 1426 | + | |
| 1427 | +# 20. LaTeX table style | |
| 1428 | + | |
| 1429 | +Use `booktabs`. Avoid vertical rules. Avoid excessive horizontal rules. | |
| 1430 | + | |
| 1431 | +Preferred packages: | |
| 1432 | + | |
| 1433 | +```latex | |
| 1434 | +\usepackage{booktabs} | |
| 1435 | +\usepackage{threeparttable} | |
| 1436 | +\usepackage{siunitx} | |
| 1437 | +\usepackage{adjustbox} | |
| 1438 | +\usepackage{longtable} | |
| 1439 | +\usepackage{tabularx} | |
| 1440 | +\usepackage{pdflscape} | |
| 1441 | +``` | |
| 1442 | + | |
| 1443 | +Requirements: | |
| 1444 | + | |
| 1445 | +- decimal alignment; | |
| 1446 | +- consistent coefficient precision; | |
| 1447 | +- standard errors in parentheses; | |
| 1448 | +- significance stars only as a secondary visual convention; | |
| 1449 | +- report exact or thresholded p-values where useful; | |
| 1450 | +- clearly label fixed effects; | |
| 1451 | +- clearly label clustering; | |
| 1452 | +- include sample size; | |
| 1453 | +- include within or adjusted \(R^2\) as appropriate; | |
| 1454 | +- include dependent-variable mean when informative; | |
| 1455 | +- include economic magnitude; | |
| 1456 | +- use clear panel headings; | |
| 1457 | +- use detailed table notes; | |
| 1458 | +- avoid shrinking text below readability. | |
| 1459 | + | |
| 1460 | +Do not use stars as the main argument. Emphasize coefficient magnitude, confidence intervals, and economic interpretation. | |
| 1461 | + | |
| 1462 | +Generate each table in two forms: | |
| 1463 | + | |
| 1464 | +1. standalone `.tex`; | |
| 1465 | +2. machine-readable `.csv` or `.parquet`. | |
| 1466 | + | |
| 1467 | +All table numbers must come directly from stored estimation objects. | |
| 1468 | + | |
| 1469 | +--- | |
| 1470 | + | |
| 1471 | +# 21. Literature review standard | |
| 1472 | + | |
| 1473 | +The literature review must be comprehensive, current, accurate, and organized around the paper’s contribution. It must not be a list of summaries. | |
| 1474 | + | |
| 1475 | +## 21.1 Literature streams | |
| 1476 | + | |
| 1477 | +Build a literature map covering at least: | |
| 1478 | + | |
| 1479 | +1. market liquidity and liquidity risk; | |
| 1480 | +2. commonality in liquidity; | |
| 1481 | +3. market microstructure and price discovery; | |
| 1482 | +4. high-frequency trading and algorithmic trading; | |
| 1483 | +5. market fragility and flash events; | |
| 1484 | +6. cross-asset price impact and cross-impact; | |
| 1485 | +7. volatility spillovers and contagion networks; | |
| 1486 | +8. lead-lag relationships; | |
| 1487 | +9. intraday jumps; | |
| 1488 | +10. Hawkes processes and self-excitation; | |
| 1489 | +11. factor models for high-frequency returns; | |
| 1490 | +12. electronic-market design and fragmentation; | |
| 1491 | +13. ETF, passive, and portfolio-trading effects; | |
| 1492 | +14. systemic risk and network centrality; | |
| 1493 | +15. machine learning in market microstructure; | |
| 1494 | +16. measurement using OHLCV versus trades and quotes. | |
| 1495 | + | |
| 1496 | +## 21.2 Source quality hierarchy | |
| 1497 | + | |
| 1498 | +Prioritize: | |
| 1499 | + | |
| 1500 | +1. published articles in leading finance, economics, econometrics, and statistics journals; | |
| 1501 | +2. authoritative working papers from NBER, CEPR, central banks, BIS, and established scholars; | |
| 1502 | +3. official exchange, SEC, Federal Reserve, and regulatory documents; | |
| 1503 | +4. recent working papers only when directly relevant and clearly labeled as unpublished. | |
| 1504 | + | |
| 1505 | +Do not rely on blogs, generic websites, generated summaries, or low-quality outlets for core claims. | |
| 1506 | + | |
| 1507 | +## 21.3 Citation verification | |
| 1508 | + | |
| 1509 | +For every cited work: | |
| 1510 | + | |
| 1511 | +- verify title; | |
| 1512 | +- verify authors; | |
| 1513 | +- verify year; | |
| 1514 | +- verify journal or working-paper series; | |
| 1515 | +- verify volume, issue, and pages where applicable; | |
| 1516 | +- verify DOI where available; | |
| 1517 | +- verify that the paper actually supports the sentence; | |
| 1518 | +- save the source and citation metadata; | |
| 1519 | +- never cite a work based only on another paper’s bibliography. | |
| 1520 | + | |
| 1521 | +Maintain `docs/LITERATURE_MAP.md` with columns: | |
| 1522 | + | |
| 1523 | +- citation key; | |
| 1524 | +- full citation; | |
| 1525 | +- literature stream; | |
| 1526 | +- research question; | |
| 1527 | +- data; | |
| 1528 | +- frequency; | |
| 1529 | +- identification; | |
| 1530 | +- main result; | |
| 1531 | +- relevance; | |
| 1532 | +- difference from our paper; | |
| 1533 | +- verified source; | |
| 1534 | +- verification date. | |
| 1535 | + | |
| 1536 | +## 21.4 Literature review argument | |
| 1537 | + | |
| 1538 | +The review should establish: | |
| 1539 | + | |
| 1540 | +1. liquidity and volatility exhibit common components; | |
| 1541 | +2. shocks can transmit across assets through information and trading channels; | |
| 1542 | +3. high-frequency market structure may improve normal-times efficiency while creating tail fragility; | |
| 1543 | +4. prior work often studies limited instruments, shorter samples, quotes/order books, particular episodes, or lower-dimensional networks; | |
| 1544 | +5. the present paper contributes a long historical, broad cross-section of minute-level U.S. equity data; | |
| 1545 | +6. OHLCV breadth comes with measurement limitations; | |
| 1546 | +7. the paper’s novelty lies in the joint analysis of speed, breadth, persistence, asymmetry, time evolution, and network conditioning. | |
| 1547 | + | |
| 1548 | +Do not overclaim uniqueness until a documented literature search confirms it. | |
| 1549 | + | |
| 1550 | +--- | |
| 1551 | + | |
| 1552 | +# 22. Paper outline | |
| 1553 | + | |
| 1554 | +The paper must be written in English. | |
| 1555 | + | |
| 1556 | +## 22.1 Abstract | |
| 1557 | + | |
| 1558 | +Target approximately 120–180 words unless the current submission rules require otherwise. | |
| 1559 | + | |
| 1560 | +The abstract must contain: | |
| 1561 | + | |
| 1562 | +1. question; | |
| 1563 | +2. data; | |
| 1564 | +3. method; | |
| 1565 | +4. central result; | |
| 1566 | +5. mechanism; | |
| 1567 | +6. implication. | |
| 1568 | + | |
| 1569 | +Do not include vague claims such as “significant implications.” State the economic fact. | |
| 1570 | + | |
| 1571 | +## 22.2 Introduction | |
| 1572 | + | |
| 1573 | +The introduction should be approximately 4–6 manuscript pages and follow this logic: | |
| 1574 | + | |
| 1575 | +### Paragraph 1 — Economic problem | |
| 1576 | +Explain why intraday propagation matters for price discovery, liquidity, execution, and systemic stability. | |
| 1577 | + | |
| 1578 | +### Paragraph 2 — Tension | |
| 1579 | +Present the core tension: faster and more liquid markets may absorb ordinary information efficiently but transmit extreme shocks rapidly. | |
| 1580 | + | |
| 1581 | +### Paragraph 3 — Research question | |
| 1582 | +State exactly what the paper asks. | |
| 1583 | + | |
| 1584 | +### Paragraph 4 — Data and empirical setting | |
| 1585 | +Describe the broad minute-level panel, while flagging that validation determines the final sample. | |
| 1586 | + | |
| 1587 | +### Paragraphs 5–7 — Main findings | |
| 1588 | +Present only verified findings, including economic magnitudes and uncertainty. | |
| 1589 | + | |
| 1590 | +### Paragraph 8 — Identification | |
| 1591 | +Explain how the paper distinguishes propagation from common information. | |
| 1592 | + | |
| 1593 | +### Paragraph 9 — Mechanisms | |
| 1594 | +Summarize network, market-state, and asymmetry evidence. | |
| 1595 | + | |
| 1596 | +### Paragraphs 10–12 — Contributions | |
| 1597 | +State contributions relative to specific literature streams. | |
| 1598 | + | |
| 1599 | +### Final paragraph — Road map | |
| 1600 | +Keep it brief. | |
| 1601 | + | |
| 1602 | +The introduction must not read like a technical report. It must build an economic argument. | |
| 1603 | + | |
| 1604 | +## 22.3 Literature review | |
| 1605 | + | |
| 1606 | +Integrate literature with hypotheses and contributions. Avoid a long disconnected catalog. | |
| 1607 | + | |
| 1608 | +## 22.4 Data | |
| 1609 | + | |
| 1610 | +Explain: | |
| 1611 | + | |
| 1612 | +- provenance; | |
| 1613 | +- raw structure; | |
| 1614 | +- coverage; | |
| 1615 | +- audit; | |
| 1616 | +- filters; | |
| 1617 | +- timestamp convention; | |
| 1618 | +- corporate-action handling; | |
| 1619 | +- security identity; | |
| 1620 | +- survivorship concerns; | |
| 1621 | +- descriptive statistics; | |
| 1622 | +- limitations. | |
| 1623 | + | |
| 1624 | +## 22.5 Measurement | |
| 1625 | + | |
| 1626 | +Define: | |
| 1627 | + | |
| 1628 | +- residual shocks; | |
| 1629 | +- propagation outcomes; | |
| 1630 | +- networks; | |
| 1631 | +- market states; | |
| 1632 | +- centrality; | |
| 1633 | +- cascade thresholds. | |
| 1634 | + | |
| 1635 | +## 22.6 Empirical design | |
| 1636 | + | |
| 1637 | +Explain: | |
| 1638 | + | |
| 1639 | +- local projections; | |
| 1640 | +- event-study design; | |
| 1641 | +- fixed effects; | |
| 1642 | +- inference; | |
| 1643 | +- timing; | |
| 1644 | +- identification assumptions; | |
| 1645 | +- threats. | |
| 1646 | + | |
| 1647 | +## 22.7 Results | |
| 1648 | + | |
| 1649 | +Organize by economic question, not by code execution order. | |
| 1650 | + | |
| 1651 | +Suggested sequence: | |
| 1652 | + | |
| 1653 | +1. basic propagation; | |
| 1654 | +2. nonlinear threshold; | |
| 1655 | +3. asymmetry; | |
| 1656 | +4. time evolution; | |
| 1657 | +5. network mechanism; | |
| 1658 | +6. market-state dependence; | |
| 1659 | +7. identification and placebo evidence. | |
| 1660 | + | |
| 1661 | +## 22.8 Robustness | |
| 1662 | + | |
| 1663 | +Keep the main text focused. Refer to a detailed Internet Appendix. | |
| 1664 | + | |
| 1665 | +## 22.9 Conclusion | |
| 1666 | + | |
| 1667 | +Do not merely summarize. State: | |
| 1668 | + | |
| 1669 | +- what was learned; | |
| 1670 | +- what remains unidentified; | |
| 1671 | +- implications for market design and risk monitoring; | |
| 1672 | +- limits of OHLCV data; | |
| 1673 | +- future work with quote and order-book data. | |
| 1674 | + | |
| 1675 | +--- | |
| 1676 | + | |
| 1677 | +# 23. Writing standards | |
| 1678 | + | |
| 1679 | +The paper must read like a finance paper, not AI-generated prose. | |
| 1680 | + | |
| 1681 | +Use: | |
| 1682 | + | |
| 1683 | +- precise claims; | |
| 1684 | +- active voice where natural; | |
| 1685 | +- disciplined paragraphs; | |
| 1686 | +- explicit economic magnitudes; | |
| 1687 | +- clear transitions; | |
| 1688 | +- restrained tone; | |
| 1689 | +- correct terminology; | |
| 1690 | +- consistent notation. | |
| 1691 | + | |
| 1692 | +Avoid: | |
| 1693 | + | |
| 1694 | +- hype; | |
| 1695 | +- “revolutionary”; | |
| 1696 | +- “groundbreaking” unless quoting; | |
| 1697 | +- “unprecedented” without proof; | |
| 1698 | +- “leveraging” as filler; | |
| 1699 | +- “delve”; | |
| 1700 | +- “multifaceted”; | |
| 1701 | +- repeated road maps; | |
| 1702 | +- excessive bullet points in the manuscript; | |
| 1703 | +- paragraphs that merely describe tables; | |
| 1704 | +- causal verbs without identification; | |
| 1705 | +- statements that statistical significance proves importance. | |
| 1706 | + | |
| 1707 | +Every empirical paragraph should answer: | |
| 1708 | + | |
| 1709 | +1. What is estimated? | |
| 1710 | +2. What is the sign and magnitude? | |
| 1711 | +3. How uncertain is it? | |
| 1712 | +4. What is the economic interpretation? | |
| 1713 | +5. Which competing explanation remains? | |
| 1714 | +6. Which robustness test addresses it? | |
| 1715 | + | |
| 1716 | +--- | |
| 1717 | + | |
| 1718 | +# 24. JF submission preparation | |
| 1719 | + | |
| 1720 | +At the time of final preparation, verify the current official Journal of Finance submission instructions. | |
| 1721 | + | |
| 1722 | +The working format should conservatively use: | |
| 1723 | + | |
| 1724 | +- 12-point font; | |
| 1725 | +- at least 1.5 line spacing; | |
| 1726 | +- readable margins; | |
| 1727 | +- page numbers; | |
| 1728 | +- anonymous manuscript version; | |
| 1729 | +- separate title page if required; | |
| 1730 | +- main manuscript no longer than the current JF limit; | |
| 1731 | +- separate Internet Appendix; | |
| 1732 | +- consistent references; | |
| 1733 | +- tables and figures placed according to current instructions. | |
| 1734 | + | |
| 1735 | +Do not assume old formatting rules remain current. Record the date and source of the final guideline check in: | |
| 1736 | + | |
| 1737 | +```text | |
| 1738 | +docs/DECISION_LOG.md | |
| 1739 | +``` | |
| 1740 | + | |
| 1741 | +Create: | |
| 1742 | + | |
| 1743 | +```text | |
| 1744 | +outputs/release/ | |
| 1745 | +├── manuscript_anonymous.pdf | |
| 1746 | +├── manuscript_named.pdf | |
| 1747 | +├── internet_appendix.pdf | |
| 1748 | +├── title_page.pdf | |
| 1749 | +├── cover_letter.tex | |
| 1750 | +├── cover_letter.pdf | |
| 1751 | +├── source_archive.zip | |
| 1752 | +├── replication_manifest.json | |
| 1753 | +└── submission_checklist.md | |
| 1754 | +``` | |
| 1755 | + | |
| 1756 | +The cover letter must be factual and restrained. Do not claim acceptance probability or editorial fit without evidence. | |
| 1757 | + | |
| 1758 | +--- | |
| 1759 | + | |
| 1760 | +# 25. Main paper versus Internet Appendix | |
| 1761 | + | |
| 1762 | +## Main paper | |
| 1763 | + | |
| 1764 | +Reserve for: | |
| 1765 | + | |
| 1766 | +- core question; | |
| 1767 | +- central descriptive evidence; | |
| 1768 | +- primary identification; | |
| 1769 | +- main economic mechanism; | |
| 1770 | +- essential robustness; | |
| 1771 | +- clear contribution. | |
| 1772 | + | |
| 1773 | +## Internet Appendix | |
| 1774 | + | |
| 1775 | +Include: | |
| 1776 | + | |
| 1777 | +- extended data audit; | |
| 1778 | +- full sample-construction details; | |
| 1779 | +- additional variable definitions; | |
| 1780 | +- alternative filters; | |
| 1781 | +- alternative networks; | |
| 1782 | +- alternative thresholds; | |
| 1783 | +- additional event studies; | |
| 1784 | +- placebo distributions; | |
| 1785 | +- machine-learning architecture; | |
| 1786 | +- hyperparameters; | |
| 1787 | +- computational details; | |
| 1788 | +- additional tables and figures; | |
| 1789 | +- proofs or derivations; | |
| 1790 | +- replication details. | |
| 1791 | + | |
| 1792 | +Every appendix item must be referenced from the main paper where relevant. | |
| 1793 | + | |
| 1794 | +--- | |
| 1795 | + | |
| 1796 | +# 26. Reproducibility and provenance | |
| 1797 | + | |
| 1798 | +## 26.1 Configuration | |
| 1799 | + | |
| 1800 | +All parameters must live in versioned YAML files, not scattered through scripts. | |
| 1801 | + | |
| 1802 | +## 26.2 Random seeds | |
| 1803 | + | |
| 1804 | +Set and log seeds for: | |
| 1805 | + | |
| 1806 | +- sampling; | |
| 1807 | +- bootstraps; | |
| 1808 | +- permutations; | |
| 1809 | +- machine learning; | |
| 1810 | +- graph estimation; | |
| 1811 | +- simulations. | |
| 1812 | + | |
| 1813 | +## 26.3 Versioning | |
| 1814 | + | |
| 1815 | +Record: | |
| 1816 | + | |
| 1817 | +- Git commit; | |
| 1818 | +- Python version; | |
| 1819 | +- package versions; | |
| 1820 | +- OS; | |
| 1821 | +- hardware; | |
| 1822 | +- dataset revision; | |
| 1823 | +- external-data revision; | |
| 1824 | +- command line; | |
| 1825 | +- start and end time. | |
| 1826 | + | |
| 1827 | +## 26.4 Data lineage | |
| 1828 | + | |
| 1829 | +Each processed file must record: | |
| 1830 | + | |
| 1831 | +- parent inputs; | |
| 1832 | +- transformation version; | |
| 1833 | +- filters; | |
| 1834 | +- row counts before and after; | |
| 1835 | +- creation timestamp; | |
| 1836 | +- code commit. | |
| 1837 | + | |
| 1838 | +## 26.5 No manual numerical edits | |
| 1839 | + | |
| 1840 | +LaTeX tables, abstract numbers, introduction magnitudes, and conclusion numbers must be populated from a central results registry such as: | |
| 1841 | + | |
| 1842 | +```text | |
| 1843 | +outputs/estimates/results_registry.json | |
| 1844 | +``` | |
| 1845 | + | |
| 1846 | +Implement macros such as: | |
| 1847 | + | |
| 1848 | +```latex | |
| 1849 | +\newcommand{\MainBreadthEffect}{...} | |
| 1850 | +``` | |
| 1851 | + | |
| 1852 | +generated automatically from verified outputs. | |
| 1853 | + | |
| 1854 | +--- | |
| 1855 | + | |
| 1856 | +# 27. Compute strategy for a cluster | |
| 1857 | + | |
| 1858 | +The pipeline must be scalable but safe. | |
| 1859 | + | |
| 1860 | +## 27.1 Preferred data tools | |
| 1861 | + | |
| 1862 | +Consider: | |
| 1863 | + | |
| 1864 | +- PyArrow; | |
| 1865 | +- Polars lazy execution; | |
| 1866 | +- DuckDB; | |
| 1867 | +- Dask or Ray only where they add value; | |
| 1868 | +- partitioned Parquet; | |
| 1869 | +- predicate pushdown; | |
| 1870 | +- memory-mapped reads; | |
| 1871 | +- streaming aggregations. | |
| 1872 | + | |
| 1873 | +Avoid loading the full dataset into RAM. | |
| 1874 | + | |
| 1875 | +## 27.2 Partitioning | |
| 1876 | + | |
| 1877 | +Partition processed data by a combination of: | |
| 1878 | + | |
| 1879 | +- year; | |
| 1880 | +- month; | |
| 1881 | +- trading date; | |
| 1882 | +- symbol bucket. | |
| 1883 | + | |
| 1884 | +Select partitions based on dominant query patterns. | |
| 1885 | + | |
| 1886 | +## 27.3 Distributed jobs | |
| 1887 | + | |
| 1888 | +Every distributed task must: | |
| 1889 | + | |
| 1890 | +- be idempotent; | |
| 1891 | +- write to temporary paths; | |
| 1892 | +- atomically rename on success; | |
| 1893 | +- save checkpoints; | |
| 1894 | +- avoid multiple nodes writing the same final file; | |
| 1895 | +- emit structured logs; | |
| 1896 | +- support retry; | |
| 1897 | +- validate output before success. | |
| 1898 | + | |
| 1899 | +## 27.4 Resource benchmarking | |
| 1900 | + | |
| 1901 | +Before a full run: | |
| 1902 | + | |
| 1903 | +1. benchmark one month; | |
| 1904 | +2. benchmark one year; | |
| 1905 | +3. estimate CPU hours; | |
| 1906 | +4. estimate memory; | |
| 1907 | +5. estimate temporary storage; | |
| 1908 | +6. estimate final storage; | |
| 1909 | +7. record in `docs/COMPUTE_LOG.md`. | |
| 1910 | + | |
| 1911 | +Optimization must not change estimands or silently alter precision. | |
| 1912 | + | |
| 1913 | +--- | |
| 1914 | + | |
| 1915 | +# 28. Testing and validation | |
| 1916 | + | |
| 1917 | +## 28.1 Unit tests | |
| 1918 | + | |
| 1919 | +Test: | |
| 1920 | + | |
| 1921 | +- timestamp conversion; | |
| 1922 | +- session assignment; | |
| 1923 | +- return calculation; | |
| 1924 | +- shock detection; | |
| 1925 | +- lag discipline; | |
| 1926 | +- no future-data leakage; | |
| 1927 | +- network-window cutoffs; | |
| 1928 | +- breadth denominator; | |
| 1929 | +- session-boundary horizons; | |
| 1930 | +- table formatting. | |
| 1931 | + | |
| 1932 | +## 28.2 Synthetic-data tests | |
| 1933 | + | |
| 1934 | +Generate small synthetic panels with known: | |
| 1935 | + | |
| 1936 | +- common shocks; | |
| 1937 | +- idiosyncratic shocks; | |
| 1938 | +- directed propagation; | |
| 1939 | +- no propagation; | |
| 1940 | +- positive-negative asymmetry; | |
| 1941 | +- missing bars; | |
| 1942 | +- split-like jumps. | |
| 1943 | + | |
| 1944 | +Confirm that the pipeline recovers the intended patterns and rejects false ones. | |
| 1945 | + | |
| 1946 | +## 28.3 Release validation | |
| 1947 | + | |
| 1948 | +The release script must fail if: | |
| 1949 | + | |
| 1950 | +- a table references a missing result; | |
| 1951 | +- a figure is missing source data; | |
| 1952 | +- LaTeX does not compile; | |
| 1953 | +- citations are unresolved; | |
| 1954 | +- labels are duplicated; | |
| 1955 | +- page count exceeds the current target; | |
| 1956 | +- anonymous PDF contains author-identifying text; | |
| 1957 | +- manuscript claims disagree with the results registry; | |
| 1958 | +- data revision is not pinned; | |
| 1959 | +- tests fail. | |
| 1960 | + | |
| 1961 | +--- | |
| 1962 | + | |
| 1963 | +# 29. Decision log | |
| 1964 | + | |
| 1965 | +Maintain `docs/DECISION_LOG.md`. | |
| 1966 | + | |
| 1967 | +For every major choice, record: | |
| 1968 | + | |
| 1969 | +- date; | |
| 1970 | +- decision; | |
| 1971 | +- alternatives considered; | |
| 1972 | +- empirical reason; | |
| 1973 | +- theoretical reason; | |
| 1974 | +- effect on interpretation; | |
| 1975 | +- whether pre-specified or data-driven; | |
| 1976 | +- code/config reference. | |
| 1977 | + | |
| 1978 | +Important decisions include: | |
| 1979 | + | |
| 1980 | +- timestamp convention; | |
| 1981 | +- regular-session definition; | |
| 1982 | +- security filters; | |
| 1983 | +- shock threshold; | |
| 1984 | +- network window; | |
| 1985 | +- factor model; | |
| 1986 | +- clustering; | |
| 1987 | +- periodization; | |
| 1988 | +- figure selection; | |
| 1989 | +- main versus appendix placement. | |
| 1990 | + | |
| 1991 | +--- | |
| 1992 | + | |
| 1993 | +# 30. Minimum deliverables for the first phase | |
| 1994 | + | |
| 1995 | +The first phase is complete only when all the following exist. | |
| 1996 | + | |
| 1997 | +## Data acquisition | |
| 1998 | + | |
| 1999 | +- [ ] repository metadata report; | |
| 2000 | +- [ ] pinned dataset revision; | |
| 2001 | +- [ ] storage estimate; | |
| 2002 | +- [ ] resumable downloader; | |
| 2003 | +- [ ] raw manifest; | |
| 2004 | +- [ ] checksum verification; | |
| 2005 | +- [ ] three-month pilot sample; | |
| 2006 | +- [ ] full-download plan. | |
| 2007 | + | |
| 2008 | +## Audit | |
| 2009 | + | |
| 2010 | +- [ ] schema report; | |
| 2011 | +- [ ] timestamp report; | |
| 2012 | +- [ ] calendar report; | |
| 2013 | +- [ ] OHLC validity report; | |
| 2014 | +- [ ] duplicate report; | |
| 2015 | +- [ ] missingness report; | |
| 2016 | +- [ ] corporate-action diagnostic; | |
| 2017 | +- [ ] security-universe diagnostic; | |
| 2018 | +- [ ] survivorship assessment; | |
| 2019 | +- [ ] limitations memo. | |
| 2020 | + | |
| 2021 | +## Prototype analysis | |
| 2022 | + | |
| 2023 | +- [ ] clean pilot panel; | |
| 2024 | +- [ ] intraday seasonality figure; | |
| 2025 | +- [ ] sample-coverage figure; | |
| 2026 | +- [ ] preliminary shock definition; | |
| 2027 | +- [ ] preliminary cascade measure; | |
| 2028 | +- [ ] one transparent baseline regression; | |
| 2029 | +- [ ] one placebo test; | |
| 2030 | +- [ ] one LaTeX summary-statistics table; | |
| 2031 | +- [ ] one LaTeX baseline-results table. | |
| 2032 | + | |
| 2033 | +## Paper infrastructure | |
| 2034 | + | |
| 2035 | +- [ ] compiling `main.tex`; | |
| 2036 | +- [ ] compiling Internet Appendix; | |
| 2037 | +- [ ] verified bibliography workflow; | |
| 2038 | +- [ ] literature map; | |
| 2039 | +- [ ] introduction outline; | |
| 2040 | +- [ ] data-section draft based only on verified facts; | |
| 2041 | +- [ ] automated figure and table inclusion. | |
| 2042 | + | |
| 2043 | +--- | |
| 2044 | + | |
| 2045 | +# 31. Stop conditions | |
| 2046 | + | |
| 2047 | +Stop and write a diagnostic report rather than proceeding if: | |
| 2048 | + | |
| 2049 | +- timestamps cannot be interpreted reliably; | |
| 2050 | +- OHLC values are extensively inconsistent; | |
| 2051 | +- split adjustments cannot be handled sufficiently for return analysis; | |
| 2052 | +- the universe is severely survivorship-biased and cannot be characterized; | |
| 2053 | +- historical coverage is too sparse for the claimed design; | |
| 2054 | +- symbol identity errors dominate long-run comparisons; | |
| 2055 | +- data licensing prevents the intended use; | |
| 2056 | +- results depend on undocumented transformations; | |
| 2057 | +- common-news contamination cannot be separated even approximately; | |
| 2058 | +- inference is computationally impossible at the intended unit without changing the design. | |
| 2059 | + | |
| 2060 | +A rigorous negative assessment is preferable to a polished but invalid paper. | |
| 2061 | + | |
| 2062 | +--- | |
| 2063 | + | |
| 2064 | +# 32. Commands and workflow | |
| 2065 | + | |
| 2066 | +Create a Makefile with targets similar to: | |
| 2067 | + | |
| 2068 | +```make | |
| 2069 | +probe | |
| 2070 | +download-pilot | |
| 2071 | +audit-pilot | |
| 2072 | +download-full | |
| 2073 | +verify-data | |
| 2074 | +build-panel | |
| 2075 | +build-features | |
| 2076 | +detect-shocks | |
| 2077 | +estimate-networks | |
| 2078 | +estimate-baseline | |
| 2079 | +estimate-events | |
| 2080 | +run-placebos | |
| 2081 | +run-robustness | |
| 2082 | +figures | |
| 2083 | +tables | |
| 2084 | +paper | |
| 2085 | +appendix | |
| 2086 | +validate | |
| 2087 | +release | |
| 2088 | +``` | |
| 2089 | + | |
| 2090 | +A complete reproducible run should ultimately be possible through: | |
| 2091 | + | |
| 2092 | +```bash | |
| 2093 | +make release | |
| 2094 | +``` | |
| 2095 | + | |
| 2096 | +Do not run `make release` until the pilot audit and full-data checks pass. | |
| 2097 | + | |
| 2098 | +--- | |
| 2099 | + | |
| 2100 | +# 33. Immediate actions | |
| 2101 | + | |
| 2102 | +Begin now with the following actions, in order: | |
| 2103 | + | |
| 2104 | +1. Create the project directory structure. | |
| 2105 | +2. Initialize environment and dependency files. | |
| 2106 | +3. Inspect the Hugging Face dataset repository without downloading all files. | |
| 2107 | +4. Pin the exact dataset revision. | |
| 2108 | +5. Create a repository-level file inventory. | |
| 2109 | +6. Estimate total download and processed-storage needs. | |
| 2110 | +7. Download three strategically selected monthly files: | |
| 2111 | + - one early month; | |
| 2112 | + - one middle-sample month; | |
| 2113 | + - one recent month. | |
| 2114 | +8. Audit schema and timestamps. | |
| 2115 | +9. Produce `docs/DATA_AUDIT.md`. | |
| 2116 | +10. Produce `docs/LIMITATIONS.md`. | |
| 2117 | +11. Produce pilot coverage and intraday-seasonality figures. | |
| 2118 | +12. Produce one summary-statistics LaTeX table. | |
| 2119 | +13. Build `docs/LITERATURE_MAP.md` and begin a verified literature search. | |
| 2120 | +14. Create a compiling LaTeX manuscript skeleton. | |
| 2121 | +15. Draft only the portions of the Data section supported by the audit. | |
| 2122 | +16. Report blockers and proposed solutions before launching the full download. | |
| 2123 | + | |
| 2124 | +At the end of each major stage, produce: | |
| 2125 | + | |
| 2126 | +```text | |
| 2127 | +STATUS.md | |
| 2128 | +``` | |
| 2129 | + | |
| 2130 | +with: | |
| 2131 | + | |
| 2132 | +- completed work; | |
| 2133 | +- generated files; | |
| 2134 | +- key findings; | |
| 2135 | +- quality-control results; | |
| 2136 | +- unresolved issues; | |
| 2137 | +- next commands; | |
| 2138 | +- decisions requiring attention. | |
| 2139 | + | |
| 2140 | +Do not ask for confirmation for routine implementation choices. Make the most defensible choice, record it, and continue. Escalate only issues that materially alter the research question, data legality, identification, or interpretation. | |
| 2141 | + | |
| 2142 | +--- | |
| 2143 | + | |
| 2144 | +# 34. Final quality criterion | |
| 2145 | + | |
| 2146 | +The paper is not “ready for JF” merely because it compiles or contains many analyses. | |
| 2147 | + | |
| 2148 | +It is ready for serious submission consideration only if: | |
| 2149 | + | |
| 2150 | +- the data are credible and fully audited; | |
| 2151 | +- the paper documents a new and economically important fact; | |
| 2152 | +- propagation is separated as far as possible from common information; | |
| 2153 | +- magnitudes are economically meaningful; | |
| 2154 | +- results survive serious falsification tests; | |
| 2155 | +- the mechanism is coherent; | |
| 2156 | +- the literature positioning is accurate; | |
| 2157 | +- the writing is disciplined; | |
| 2158 | +- the figures and tables are publication quality; | |
| 2159 | +- all claims are reproducible; | |
| 2160 | +- limitations are explicit; | |
| 2161 | +- the main paper is focused; | |
| 2162 | +- the Internet Appendix is complete; | |
| 2163 | +- no result has been fabricated, selectively hidden, or overstated. | |
| 2164 | + | |
| 2165 | +The standard is not to make the paper appear publishable. The standard is to determine honestly whether the evidence supports a contribution worthy of a top finance journal and, if it does, to present that contribution with maximum clarity and rigor. | |
added
docs/COMPUTE_LOG.md
+19 −0
@@ -0,0 +1,19 @@ | ||
| 1 | +# COMPUTE_LOG.md | |
| 2 | + | |
| 3 | +## 2026-07-13 — Stage A pilot benchmarks (local: Apple Silicon, macOS, Python 3.14, polars 1.40) | |
| 4 | + | |
| 5 | +| Operation | Input | Wall time | Notes | | |
| 6 | +|---|---|---|---| | |
| 7 | +| Download 1992-06 (24 MB) | HF anonymous | 3.3 s | ~7 MB/s | | |
| 8 | +| Download 2009-06 (270 MB) | HF anonymous | 24.4 s | ~11 MB/s | | |
| 9 | +| Download 2025-12 (401 MB) | HF anonymous | 19.0 s | ~21 MB/s | | |
| 10 | +| Full audit of 3 months (58.8M rows) | polars eager | ~40 s total | fits comfortably in RAM per month | | |
| 11 | + | |
| 12 | +## Projections for full run | |
| 13 | + | |
| 14 | +- Full download 87.7 GB: ~1.5–2.5 h serial anonymous; ~10× faster sharded across MacLustr | |
| 15 | + nodes with `--shard k/n` (downloader supports node sharding natively). | |
| 16 | +- Storage: raw 88 GB; clean RTH panel est. 60–80 GB; features est. 100–150 GB; | |
| 17 | + total ≲ 350 GB. Local free: ~1.0 TB (checked 2026-07-13). | |
| 18 | +- Largest single month 464 MB compressed (~2–4 GB in RAM) — per-month processing is | |
| 19 | + single-node safe on every cluster node with ≥16 GB RAM. | |
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docs/DATA_AUDIT.md
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| 1 | +# DATA_AUDIT.md — Stage A preliminary audit | |
| 2 | + | |
| 3 | +**Audit date:** 2026-07-13 | |
| 4 | +**Auditor:** automated pipeline (`scripts/01_pilot_audit.py`) + targeted follow-ups (logs in `logs/audit/`) | |
| 5 | +**Status:** Stage A PASSED — no stop condition of CLAUDE.md §31 triggered. Proceed to Stage B (full download) after infrastructure review. | |
| 6 | + | |
| 7 | +--- | |
| 8 | + | |
| 9 | +## 1. Dataset identity and provenance | |
| 10 | + | |
| 11 | +| Property | Value | Verification | | |
| 12 | +|---|---|---| | |
| 13 | +| Dataset | `mito0o852/OHLCV-1m` (Hugging Face) | HF API | | |
| 14 | +| Pinned revision | `776328445b7ac6e7815ef3a483e9c8ded1eb6d56` | HF API, recorded in all manifests | | |
| 15 | +| Last modified | 2026-05-03T16:22:10Z | HF API | | |
| 16 | +| Claimed source | Finnhub.io, repackaged from monthly `.tar` archives | dataset card (unverified upstream) | | |
| 17 | +| Files | 411 monthly Parquet files, `data/ohlcv_YYYY-MM.parquet` | inventory `data/manifests/repo_inventory.json` | | |
| 18 | +| Coverage | 1992-01 through 2026-03, **no missing months** | continuity check on inventory | | |
| 19 | +| Total compressed size | 87.72 GB | HF file metadata | | |
| 20 | +| Access | public, not gated, anonymous download works | verified empirically | | |
| 21 | +| **License** | **NOT SPECIFIED on the dataset card** | HF API `cardData` has no license field | | |
| 22 | + | |
| 23 | +⚠️ **Licensing flag:** the card names Finnhub as the original source but carries no license. Redistribution/derived-research permissions are therefore **unknown**. This must be resolved (contact author, check Finnhub terms) before public release of derived data; research use with citation is standard practice but should be documented in `docs/DECISION_LOG.md`. This is a *caution*, not a §31 stop: the analysis outputs (aggregates, estimates) do not redistribute raw data. | |
| 24 | + | |
| 25 | +## 2. Pilot sample | |
| 26 | + | |
| 27 | +Three months downloaded with SHA-256 checksums (`data/manifests/pilot_downloads.json`): | |
| 28 | + | |
| 29 | +| Month | Bytes | Rows | Unique tickers | Trading days | | |
| 30 | +|---|---|---|---|---| | |
| 31 | +| 1992-06 | 24,052,854 | 3,392,433 | 8,267 | 22 (correct) | | |
| 32 | +| 2009-06 | 270,431,130 | 24,638,699 | 8,050 | 22 (correct) | | |
| 33 | +| 2025-12 | 401,427,461 | 30,792,037 | 23,095 | 22 (correct, incl. Dec 24 half-day; Dec 25 closed) | | |
| 34 | + | |
| 35 | +## 3. Physical schema (identical across all three pilot files) | |
| 36 | + | |
| 37 | +``` | |
| 38 | +timestamp Datetime(ns, tz=UTC) start of the bar minute (per card; consistent with data) | |
| 39 | +open Float64 USD | |
| 40 | +high Float64 USD | |
| 41 | +low Float64 USD | |
| 42 | +close Float64 USD | |
| 43 | +volume Float64 shares (integer-valued in all 58.8M pilot rows) | |
| 44 | +ticker String exchange ticker, incl. class suffixes ("BRK.A", "HEI.A") | |
| 45 | +``` | |
| 46 | + | |
| 47 | +No nulls in any column in any pilot file. | |
| 48 | + | |
| 49 | +## 4. Timestamp convention — empirically established | |
| 50 | + | |
| 51 | +- All timestamps have `seconds == 0` (pure minute grid). | |
| 52 | +- 1992-06 (EDT, UTC−4): first bar 13:30 UTC = **09:30 ET**; regular close maps to 16:00 ET. | |
| 53 | +- 2025-12 (EST, UTC−5): regular session maps to 14:30–21:00 UTC = **09:30–16:00 ET**. | |
| 54 | +- **Conclusion: timestamps are true UTC; DST is handled correctly by the source.** Convert with `America/New_York` for session logic. | |
| 55 | +- No weekend rows in any pilot month. | |
| 56 | +- Calendar: trading-day counts match the NYSE calendar in all three months. The 2025-12-24 early close is respected in the data: market-wide 13:00–16:00 ET volume is 7.3% of morning volume (vs 60.4% on the adjacent normal day); residual post-13:00 bars are sparse low-volume prints (off-exchange). **Cleaning rule: truncate sessions using an exchange calendar, do not rely on bar presence.** | |
| 57 | + | |
| 58 | +## 5. Session composition | |
| 59 | + | |
| 60 | +| Month | RTH share (09:30–16:00 ET) | Pre-market rows | After-hours rows | | |
| 61 | +|---|---|---|---| | |
| 62 | +| 1992-06 | 97.4% | 0 | 89,364 | | |
| 63 | +| 2009-06 | 97.7% | 274,855 | 298,811 | | |
| 64 | +| 2025-12 | 92.0% | 1,498,056 | 951,715 | | |
| 65 | + | |
| 66 | +Extended-hours coverage exists but grows over time — **extended-hours analyses cannot be compared across decades on equal footing.** Baseline must be RTH-only. | |
| 67 | + | |
| 68 | +## 6. Data quality results (pilot) | |
| 69 | + | |
| 70 | +| Check | 1992-06 | 2009-06 | 2025-12 | | |
| 71 | +|---|---|---|---| | |
| 72 | +| OHLC violations (Low>min(O,C), High<max(O,C), Low>High) | 0 | 0 | 0 | | |
| 73 | +| Duplicate (ticker,timestamp) keys | 0 | 0 | 14 pairs | | |
| 74 | +| Non-positive prices | 0 | 0 | 0 | | |
| 75 | +| Negative volume | 0 | 0 | 0 | | |
| 76 | +| Zero-volume bars | 0 | 0 | 0 | | |
| 77 | +| Non-integer volume | 0 | 0 | 0 | | |
| 78 | +| Nulls | 0 | 0 | 0 | | |
| 79 | + | |
| 80 | +- The 14 duplicate pairs (28 rows) are all in illiquid OTC names (AVRW, DSHKP, NVNXF, OTRKQ, UNICY); same minute and price, usually different volume — consistent with venue/feed corrections. **Resolution rule (to be logged in DECISION_LOG): aggregate duplicates by volume-sum with max(high)/min(low), and report sensitivity.** | |
| 81 | +- **Zero-volume bars do not exist → a missing minute means "no reported trade."** The panel is trade-conditional, not a filled grid. All liquidity, staleness, and zero-return measures must treat missing minutes explicitly (cf. CLAUDE.md §5.7). | |
| 82 | + | |
| 83 | +## 7. Bar density and units | |
| 84 | + | |
| 85 | +- Liquid names are complete: AAPL, MSFT, SPY, NVDA each have exactly 390 RTH bars/day (median) in 2025-12; 1992 mega-caps (IBM 334, KO 368, T 332, AAPL 330, GE 291) are near-complete. | |
| 86 | +- Cross-section is highly skewed: in 2025-12, per-ticker median RTH bars/day has p10=1, median=5.5, p90=230; only 827 of 23,047 tickers have ≥350 bars/day. The 2025 file includes vast OTC/foreign coverage (F/Y-suffixed tickers, sub-penny names). | |
| 87 | +- 1992-06 overall median bars/symbol-day = 9 (sparse small caps) vs 89 in 2009-06. | |
| 88 | +- **Volume units = shares:** SPY mean daily volume 2025-12 = 75.6M (matches public data); IBM 1992-06 = 2.0M (plausible pre-split). | |
| 89 | +- **Prices are raw (not split-adjusted):** BRK.A trades at 771,021 USD in 2025-12 at correct level; corporate-action detection (CLAUDE.md §5.4) is mandatory before return construction. | |
| 90 | +- Sub-penny closes (1e-06) exist in OTC names; min price filters needed for baseline universe. | |
| 91 | + | |
| 92 | +## 8. Survivorship assessment (preliminary) | |
| 93 | + | |
| 94 | +Ticker overlap: 1992∩2009 = 25.8% of 1992 tickers; 1992∩2025 = 22.1%; 2009∩2025 = 39.3%. | |
| 95 | +Massive non-overlap implies **delisted/disappeared securities are present in historical files** — the data are not a backfilled survivor universe. Formal entry/exit curves require the full download (Stage C). Ticker reuse across decades is a real risk (a 1992 "X" and a 2025 "X" need not be the same firm): analyses spanning identity must use ticker-spell intervals (CLAUDE.md §5.5). | |
| 96 | + | |
| 97 | +## 9. Storage and compute estimate | |
| 98 | + | |
| 99 | +- Raw compressed: **87.7 GB** (4.8 GB 1990s / 25.3 GB 2000s / 30.7 GB 2010s / 27.0 GB 2020s incl. 2026Q1). | |
| 100 | +- Estimated rows: ~7–9 billion (pilot bytes/row ≈ 7–13 B compressed). | |
| 101 | +- Working estimate: raw 88 GB + cleaned RTH panel ≈ 60–80 GB + features ≈ 100–150 GB + outputs ⇒ **~300–350 GB total**; local disk has ~1.0 TB free — sufficient. MacLustr cluster (284 cores) available for node-sharded download/processing per CLAUDE.md §27. | |
| 102 | +- Download at observed throughput (~11–21 MB/s anonymous): ~1.5–2.5 h serial; minutes when sharded across nodes. Set `HF_TOKEN` for faster authenticated transfers. | |
| 103 | + | |
| 104 | +## 10. Open questions carried to Stage B/C | |
| 105 | + | |
| 106 | +1. Whether bars aggregate consolidated-tape trades or a single venue (affects early-close prints and volume interpretation) — probe via known halt/auction episodes. | |
| 107 | +2. Point-in-time correctness of tickers (renames, e.g., FB→META) — build spell map from full panel + external reference. | |
| 108 | +3. Security-type classification (common stock vs ETF vs ADR vs preferred/warrant/OTC) — needs external security master; ticker-suffix heuristics as fallback. | |
| 109 | +4. 1992–1999 depth: whether small-cap sparseness is a data-coverage artifact or true trading sparsity — compare against known daily volumes (external validation). | |
| 110 | +5. License clarification (see §1). | |
| 111 | +6. Outlier contamination of moments: in the pilot summary table (top-500 universe, no | |
| 112 | + corporate-action screens), the SD of minute log returns is 255 bps (1992-06) and | |
| 113 | + 1,173 bps (2009-06) against p1–p99 spreads of only ±146 and ±38 bps — second moments | |
| 114 | + are dominated by a handful of extreme prints/split-like jumps. Confirms that split | |
| 115 | + detection and print screens (§5.4) are prerequisites for any variance-based measure. | |
| 116 | + | |
| 117 | +--- | |
| 118 | + | |
| 119 | +# STAGE C — Full-sample raw audit (2026-07-13) | |
| 120 | + | |
| 121 | +Scope: all 411 months, 7,686,275,524 bars, 81,306 distinct tickers. Scripts: | |
| 122 | +`04_stage_c_monthly_audit.py` (per-month + daily ticker-day panel in | |
| 123 | +`data/metadata/daily/`), `05_stage_c_cross_audit.py` (cross-month). Outputs in | |
| 124 | +`outputs/diagnostics/stage_c/`. | |
| 125 | + | |
| 126 | +## C.1 Calendar — PERFECT MATCH | |
| 127 | +Observed trading dates vs official XNYS calendar 1992-01-02 → 2026-03-31: | |
| 128 | +**0 missing sessions, 0 dates outside the calendar, 0 weekend rows.** | |
| 129 | + | |
| 130 | +## C.2 Timezone / DST — CONFIRMED CLEAN | |
| 131 | +Mean RTH share by calendar month is flat (0.9675–0.9709) with **no level shift in | |
| 132 | +March/November**; a DST mishandling would displace ~60 min of the 390-minute session | |
| 133 | +(~15% of rows). UTC + correct DST holds across all 34 years. RTH share per month | |
| 134 | +ranges 0.892–0.988, declining secularly with extended-hours growth (expected). | |
| 135 | + | |
| 136 | +## C.3 Integrity — 7.7 billion rows | |
| 137 | +| Check | Count | Rate | | |
| 138 | +|---|---|---| | |
| 139 | +| OHLC violations | 100 | 1.3 per 10^8 — concentrated 1993–1995 (max 7/month); flag & exclude | | |
| 140 | +| Non-positive prices | 0 | — | | |
| 141 | +| Zero / negative volume | 0 | — | | |
| 142 | +| Duplicate (ticker,minute) keys | 10,128 | 1.3 per 10^6 | | |
| 143 | +| Weekend rows | 0 | — | | |
| 144 | + | |
| 145 | +## C.4 Corporate-action candidates | |
| 146 | +442,251 ticker-days with overnight close→open ratios within 2% of rational split | |
| 147 | +ratios (2,3,4,5,6,7,8,10,20,3/2,4/3,5/4 and inverses), `split_candidates.parquet`. | |
| 148 | +This is a deliberately over-inclusive screen (illiquid-name overnight moves hit | |
| 149 | +4/3 and 5/4 by chance); Stage D refines with volume/price-level context before | |
| 150 | +building exclusion windows. Never delete without logging (§5.4). | |
| 151 | + | |
| 152 | +## C.5 Identity and survivorship | |
| 153 | +- 81,306 tickers; 221,957 continuous spells (gap > 30 calendar days ⇒ new spell); | |
| 154 | + **29,112 tickers (36%) have multiple spells** → ticker-spell, not ticker, is the | |
| 155 | + identity unit for long-run analyses. Median spell 6 days (sparse OTC tail), | |
| 156 | + p90 ≈ 1,084 days. | |
| 157 | +- Yearly universe: ~10.0k (1992) → ~14.4k (1996) → ~12.2–12.8k (2004–2016) → | |
| 158 | + **22.9k in 2020 → 28.6k in 2024**. Entries jump to 10,965 in 2020: a **source- | |
| 159 | + coverage regime change** (OTC/foreign expansion), not a market event. Exits run | |
| 160 | + ~800–1,600/yr throughout ⇒ delisted names are present continuously (limited | |
| 161 | + survivorship bias); 2026 exit spike is right-censoring. | |
| 162 | +- Consequence (falsification §16): all secular results must hold within a | |
| 163 | + fixed-rule universe (top-N by lagged dollar volume); the 2020 coverage break is | |
| 164 | + a mandatory robustness axis. | |
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| 1 | +# DATA_DICTIONARY.md | |
| 2 | + | |
| 3 | +Every constructed variable: name, formula, timing, units, availability. | |
| 4 | +Raw fields first; derived features appended as they are implemented (Stage D+). | |
| 5 | + | |
| 6 | +## Raw fields (per bar, source: mito0o852/OHLCV-1m @ 7763284) | |
| 7 | + | |
| 8 | +| Field | Type | Units | Timing | Notes | | |
| 9 | +|---|---|---|---|---| | |
| 10 | +| `timestamp` | Datetime(ns, UTC) | — | **start** of the bar minute | verified UTC; convert to America/New_York for session logic | | |
| 11 | +| `open` | f64 | USD | first trade in minute | raw, NOT split-adjusted | | |
| 12 | +| `high` | f64 | USD | max trade price in minute | raw | | |
| 13 | +| `low` | f64 | f64 | min trade price in minute | raw | | |
| 14 | +| `close` | f64 | USD | last trade in minute | raw | | |
| 15 | +| `volume` | f64 | shares | sum within minute | integer-valued; venue scope unknown | | |
| 16 | +| `ticker` | str | — | contemporaneous symbol | NOT a permanent identifier; reuse possible | | |
| 17 | + | |
| 18 | +**Key property:** a missing (ticker, minute) row means *no reported trade*, not zero return. | |
| 19 | +There are no zero-volume rows in the source. | |
| 20 | + | |
| 21 | +## Derived variables | |
| 22 | + | |
| 23 | +*(to be added with formulas, lag discipline, and config references as Stage D/E code lands; | |
| 24 | +see `config/shock_definitions.yaml` for planned shock and horizon definitions)* | |
| 25 | + | |
| 26 | +## Clean minute panel (`data/processed/minute/year=YYYY/month=MM/data.parquet`) | |
| 27 | + | |
| 28 | +| Field | Type | Definition | | |
| 29 | +|---|---|---| | |
| 30 | +| ticker | str | contemporaneous symbol (identity unit = spell, see stage C) | | |
| 31 | +| timestamp | Datetime(ns, UTC) | bar-start minute, deduplicated key with ticker | | |
| 32 | +| open/high/low/close | f64 | USD, unadjusted; duplicates merged first/max/min/last | | |
| 33 | +| volume | f64 | shares, duplicates summed | | |
| 34 | +| date | Date | ET trading date | | |
| 35 | +| mod | i32 | minute of day ET (570 = 09:30) | | |
| 36 | +| session | str | pre / rth / post; rth truncated at true XNYS close (early closes) | | |
| 37 | +| flag_ohlc | bool | Low>min(O,C) or High<max(O,C) or Low>High — flagged, kept | | |
| 38 | +| flag_split_window | bool | within ±1 trading day of a high-confidence split event | | |
| 39 | + | |
| 40 | +## Universe table (`data/metadata/universe_monthly.parquet`) | |
| 41 | + | |
| 42 | +Membership for month m computed from month m−1 only (no look-ahead): | |
| 43 | +days, med_close, med_bars, dollar_vol (m−1 aggregates); eligible (screens); | |
| 44 | +top500/top1000/top3000 (lagged dollar-volume ranks); flag_noncommon (ticker heuristic). | |
| 45 | + | |
| 46 | +## Split events (`outputs/diagnostics/stage_d/split_events.parquet`) | |
| 47 | + | |
| 48 | +ticker, date, overnight_ratio, event ("split:R"/"reverse_split:R"), prev_close, | |
| 49 | +rth_first_open. Windows in split_windows.parquet (ticker, date). | |
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| 1 | +# DECISION_LOG.md | |
| 2 | + | |
| 3 | +Every major choice: date, decision, alternatives, reason, effect on interpretation, | |
| 4 | +pre-specified vs data-driven, code/config reference. | |
| 5 | + | |
| 6 | +--- | |
| 7 | + | |
| 8 | +**2026-07-13 — Pin dataset revision.** | |
| 9 | +Decision: pin `mito0o852/OHLCV-1m` @ `776328445b7ac6e7815ef3a483e9c8ded1eb6d56`. | |
| 10 | +Alternatives: track `main`. Reason: reproducibility; the repo was modified as recently as 2026-05-03. | |
| 11 | +Pre-specified (CLAUDE.md §3.1-B3). Ref: `config/base.yaml`. | |
| 12 | + | |
| 13 | +**2026-07-13 — Pilot months = 1992-06, 2009-06, 2025-12.** | |
| 14 | +Alternatives: crisis months (2008-10, 2020-03). Reason: one early/middle/recent per protocol; | |
| 15 | +deliberately *non-crisis* so the pilot characterizes normal-times data quality; crisis months | |
| 16 | +get audited in Stage C. Data-driven convenience. Ref: `scripts/00_download_pilot.py`. | |
| 17 | + | |
| 18 | +**2026-07-13 — Timestamp convention accepted as UTC, bar-start.** | |
| 19 | +Basis: empirical mapping to 09:30 ET session start in both EDT (1992-06) and EST (2025-12) | |
| 20 | +months; seconds always zero. Effect: all session logic converts to `America/New_York`. | |
| 21 | +Data-driven, verified. Ref: `docs/DATA_AUDIT.md` §4. | |
| 22 | + | |
| 23 | +**2026-07-13 — Session truncation by exchange calendar, not bar presence.** | |
| 24 | +Basis: 2025-12-24 half-day shows sparse post-13:00 prints (7% of morning volume) — likely | |
| 25 | +off-exchange; treating them as RTH would contaminate close-time measures. | |
| 26 | +Effect: RTH defined by XNYS calendar incl. early closes. Data-driven, verified. | |
| 27 | +Ref: `config/base.yaml` (session.calendar). | |
| 28 | + | |
| 29 | +**2026-07-13 — Duplicate-key rule (provisional): aggregate (volume-sum, max high, min low, first open, last close).** | |
| 30 | +Basis: 14 duplicate pairs in 2025-12, all illiquid OTC, same minute/price, differing volume — | |
| 31 | +consistent with feed corrections/multiple prints. Alternatives: keep-first, keep-max-volume, drop. | |
| 32 | +Effect: negligible in baseline (liquid universe); sensitivity to be reported. Data-driven. | |
| 33 | +Ref: `config/sample_filters.yaml` (baseline.duplicate_rule). | |
| 34 | + | |
| 35 | +**2026-07-13 — Code license MIT.** | |
| 36 | +For the research code only; data licensing unresolved (see DATA_AUDIT §1) — raw data are never | |
| 37 | +redistributed in this repo. Routine choice. | |
| 38 | + | |
| 39 | +**2026-07-13 — Literature verification method.** | |
| 40 | +45 references verified at DOI level via OpenAlex (Crossref for edge cases) in 4 parallel | |
| 41 | +passes; metadata caveats (online-first vs print years for Diebold–Yılmaz 2012, Karolyi | |
| 42 | +et al. 2012, Hautsch et al. 2015, Boehmer et al. 2021; incomplete registrar author | |
| 43 | +deposits for Hasbrouck–Seppi 2001 and Barndorff-Nielsen–Shephard 2004) resolved in favor | |
| 44 | +of print-issue citation. Attribution corrections: RoF 2015 systemic-risk paper is | |
| 45 | +Hautsch–Schaumburg–Schienle (not Härdle et al.); JFQA AT-international paper is | |
| 46 | +Boehmer–Fong–Wu 2021. Novelty scan (2018–2026) documented in LITERATURE_MAP.md; novelty | |
| 47 | +claims in the manuscript are qualified by that search date. Pre-specified (§21.3). | |
| 48 | +Ref: docs/LITERATURE_MAP.md, paper/bibliography/references.bib. | |
| 49 | + | |
| 50 | +**2026-07-13 — Stage C parameters.** | |
| 51 | +Spell break gap = 30 calendar days; split-candidate ratios {2,3,4,5,6,7,8,10,20,3/2,4/3,5/4} | |
| 52 | +± 2% and inverses, adjacent sessions ≤ 7 days apart. Alternatives: 14/60-day gaps, tighter | |
| 53 | +ratio set. Over-inclusive by design at this stage; Stage D refines. Data-driven. | |
| 54 | +Ref: scripts/05_stage_c_cross_audit.py, outputs/diagnostics/stage_c/. | |
| 55 | + | |
| 56 | +**2026-07-13 — Stage D parameters.** | |
| 57 | +(1) Split events: ratio ∈ {2..8,10,20,3/2}±1.5% (3/2: ±0.8%) + both-day dollar volume | |
| 58 | +≥ $50k + prev close ≥ $1 → 6,944 events (4,819 splits / 2,125 reverse); exclusion | |
| 59 | +window = event day ±1 trading day (20,662 ticker-days). Alternatives: CRSP-style external | |
| 60 | +validation (no license), wider windows. Data-driven, over-inclusion documented. | |
| 61 | +(2) Universe screens (strictly lagged, month m uses m−1): days ≥ 10, median close ≥ $5, | |
| 62 | +median RTH bars ≥ 100; top-{500,1000,3000} by prior-month RTH dollar volume. | |
| 63 | +(3) Non-common heuristic from ticker shape (5th letter F/Y/Q/W/U; .WS/.U/.PR suffixes) — | |
| 64 | +approximate, documented limitation (no security master in source). | |
| 65 | +(4) Clean panel keeps ALL sessions with a `session` label; extended-hours panel = filter, | |
| 66 | +not a second store. Early closes truncate `rth` via XNYS true close times. | |
| 67 | +Refs: scripts/06–08, data/processed/minute/, data/metadata/universe_monthly.parquet. | |
| 68 | + | |
| 69 | +**2026-07-13 — Stage F baseline design + honest first result.** | |
| 70 | +Design: |z|≥6 shocks (MAD×seasonal standardization, lagged params, LOO EW market), | |
| 71 | +isolation (|z_mkt|<1, simultaneous |z|>4 share ≤2%), outcomes at h∈{1..120} within | |
| 72 | +session, estimand = ΔΔ (post−pre, real−matched placebo), day-block bootstrap. | |
| 73 | +RESULT (1.85M events): average abnormal propagation ≈ 0 (ΔΔbreadth −1 to −3 ×10⁻⁴, | |
| 74 | +tight SEs); no decade shows significant positive propagation; weak insignificant | |
| 75 | +positive gradient at |z|>12. Interpretation: isolated idiosyncratic shocks to top-500 | |
| 76 | +names are on average ABSORBED, not propagated — consistent with the "absorb ordinary | |
| 77 | +shocks" half of the hypothesis. Pre-registered next probes (not p-hacking; measurement | |
| 78 | +refinements specified in protocol §9): (i) cumulative breadth through h (not just at h); | |
| 79 | +(ii) network-weighted receivers (correlation-neighbor breadth) — diffuse market-wide | |
| 80 | +breadth may drown concentrated propagation; (iii) common-shock sample (the excluded | |
| 81 | +simultaneous-extreme minutes) as the separate contagion object. All three are in | |
| 82 | +CLAUDE.md §9.2/§10 and EMPIRICAL_DESIGN.md. Ref: outputs/estimates/stage_f_baseline.json. | |
| 83 | + | |
| 84 | +**2026-07-13 — Target journal changed to IRFA; provenance framing.** | |
| 85 | +User directive: prepare full submission for International Review of Financial Analysis. | |
| 86 | +Manuscript converted to elsarticle (preprint,12pt,authoryear), elsarticle-harv | |
| 87 | +bibliography; highlights, cover letter, declarations, data-availability produced | |
| 88 | +(outputs/release/). Provenance framed as Finnhub.io-sourced aggregation with pinned | |
| 89 | +public snapshot for reproducibility (user directive). JF-format main.tex retained | |
| 90 | +for reference. Ref: paper/main_irfa.tex, outputs/release/. | |
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| 1 | +# EMPIRICAL_DESIGN.md | |
| 2 | + | |
| 3 | +Working design document — expands as stages complete. Authoritative parameter values | |
| 4 | +live in `config/`. Protocol reference: project CLAUDE.md §§7–16. | |
| 5 | + | |
| 6 | +## Objects of interest | |
| 7 | +1. **Shocks:** idiosyncratic residual-return extremes (lagged conditional quantiles / | |
| 8 | + robust SD multiples), separated by sign; volume, range, and illiquidity-proxy shocks. | |
| 9 | +2. **Propagation outcomes:** breadth, speed (censoring-aware), intensity, amplification | |
| 10 | + (ISAR), persistence, asymmetry, at horizons h ∈ {1,2,5,10,15,30,60,120} min within session. | |
| 11 | +3. **Networks:** estimated strictly pre-shock (rolling/frozen windows): correlation, | |
| 12 | + partial correlation, lead–lag, volatility spillover, sparse VAR/glasso; centrality roles. | |
| 13 | +4. **Evolution:** flexible year effects first; era bins only as secondary presentation. | |
| 14 | + | |
| 15 | +## Identification strategy (threat: common information) | |
| 16 | +- Exclude scheduled macro windows from the idiosyncratic baseline. | |
| 17 | +- Isolation filters: low contemporaneous market/sector return, no simultaneous | |
| 18 | + extreme in >2% of universe, leave-one-out factors. | |
| 19 | +- Placebo timing matched on stock, minute-of-day, volatility state. | |
| 20 | +- Permuted networks preserving degree/sector/size/liquidity. | |
| 21 | +- Negative controls: future network weights (falsification only), pre-shock outcomes. | |
| 22 | + | |
| 23 | +## Inference | |
| 24 | +Two-way clustering (source × date) as baseline; day-block bootstrap for | |
| 25 | +distribution-level statements; randomization inference for event studies; | |
| 26 | +multiple-testing corrections within outcome families. | |
| 27 | + | |
| 28 | +## Status | |
| 29 | +- [x] Stage A pilot audit (2026-07-13) | |
| 30 | +- [ ] Stage B full download — in progress | |
| 31 | +- [ ] Stage C full raw audit | |
| 32 | +- [ ] Stage D clean panels | |
| 33 | +- [ ] Stage E descriptive evidence | |
| 34 | +- [ ] Stage F shocks & propagation | |
| 35 | +- [ ] Stage G paper | |
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| 1 | +# LIMITATIONS.md — What this dataset can and cannot support | |
| 2 | + | |
| 3 | +**Date:** 2026-07-13 (Stage A). To be revised after full-sample audit. | |
| 4 | + | |
| 5 | +## 1. OHLCV is not microstructure data | |
| 6 | + | |
| 7 | +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: | |
| 8 | + | |
| 9 | +- 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. | |
| 10 | +- Price discovery mechanisms (quote updates vs trades) cannot be separated. | |
| 11 | +- Trade direction and order-flow imbalance are unobservable; signed-flow contagion channels cannot be tested directly. | |
| 12 | +- Effective spreads / transaction costs are not measurable; any economic-value exercise must use assumed, conservative cost schedules. | |
| 13 | + | |
| 14 | +## 2. The panel is trade-conditional | |
| 15 | + | |
| 16 | +Zero-volume bars do not exist in the data: a missing minute means "no reported trade in that minute." Therefore: | |
| 17 | + | |
| 18 | +- Missingness is informative (illiquidity), not random; imputation would destroy the object of interest. | |
| 19 | +- "No recorded bar" must be distinguished from "zero return" throughout (flag, don't fill). | |
| 20 | +- 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. | |
| 21 | + | |
| 22 | +## 3. Identity and corporate actions | |
| 23 | + | |
| 24 | +- 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. | |
| 25 | +- 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. | |
| 26 | +- 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). | |
| 27 | + | |
| 28 | +## 4. Coverage is time-varying by construction | |
| 29 | + | |
| 30 | +- 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). | |
| 31 | +- 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. | |
| 32 | +- 1990s bar density for small caps is low; whether this is source coverage or true sparsity is unresolved (external validation planned). | |
| 33 | + | |
| 34 | +## 5. Provenance and licensing | |
| 35 | + | |
| 36 | +- 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. | |
| 37 | +- Whether bars are consolidated-tape or single-venue is unknown (open question; affects volume levels and off-hours prints). | |
| 38 | + | |
| 39 | +## 6. Inference consequences | |
| 40 | + | |
| 41 | +- One-minute returns of sparse names are contaminated by bid–ask bounce and stale prices; robust/quantile methods and liquidity screens are required. | |
| 42 | +- 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). | |
| 43 | +- Nothing in the data supports direct causal claims about algorithmic/high-frequency trading; only association with market-structure eras, with explicit competing explanations. | |
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docs/LITERATURE_MAP.md
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| 1 | +# LITERATURE_MAP.md | |
| 2 | + | |
| 3 | +**Verification protocol (CLAUDE.md §21.3):** every entry below was verified against | |
| 4 | +OpenAlex (with Crossref for edge cases) on **2026-07-13**: title, authors, year, | |
| 5 | +journal, volume/issue/pages, DOI. Verification logs: agent reports of 2026-07-13 | |
| 6 | +(4 parallel verification passes). Status `VERIFIED` = citable; the claim each | |
| 7 | +citation supports in the manuscript must still match the paper's actual content | |
| 8 | +(summaries below are abstract-derived). | |
| 9 | + | |
| 10 | +Streams: 1 liquidity risk · 2 commonality · 3 price discovery · 4 HFT/AT · 5 fragility/flash · | |
| 11 | +6 cross-impact · 7 spillover networks · 8 lead–lag · 9 intraday jumps · 10 Hawkes · | |
| 12 | +11 HF factor models · 12 fragmentation · 13 ETF/passive · 14 systemic networks · | |
| 13 | +15 ML microstructure · 16 OHLCV measurement · M methods | |
| 14 | + | |
| 15 | +## Verified references (45) | |
| 16 | + | |
| 17 | +| Key | Citation | Stream | Main result / relevance | Diff. from our paper | | |
| 18 | +|---|---|---|---|---| | |
| 19 | +| chordia2000commonality | Chordia, Roll & Subrahmanyam (2000), JFE 56(1), 3–28. DOI 10.1016/S0304-405X(99)00057-4 | 2 | Individual-stock liquidity co-moves with market/industry liquidity | Daily quotes, 1992 cross-section; no propagation dynamics | | |
| 20 | +| hasbrouck2001common | Hasbrouck & Seppi (2001), JFE 59(3), 383–411 | 2,11 | Common factors in returns/order flow; order-flow commonality drives return commonality | Dow 30 only, 1994; contemporaneous factors | | |
| 21 | +| amihud2002illiquidity | Amihud (2002), JFM 5(1), 31–56 | 1,16 | ILLIQ price-impact proxy; illiquidity priced | Our minute-level ILLIQ variant is a direct descendant | | |
| 22 | +| corwin2012simple | Corwin & Schultz (2012), JF 67(2), 719–760 | 16 | High–low spread estimator validated vs TAQ | Justifies OHLC-based liquidity proxies | | |
| 23 | +| roll1984simple | Roll (1984), JF 39(4), 1127–1139 | 16 | Effective spread from return autocovariance | Bid-ask bounce contaminates minute returns of sparse names | | |
| 24 | +| pastor2003liquidity | Pástor & Stambaugh (2003), JPE 111(3), 642–685 | 1 | Aggregate liquidity is a priced state variable | Monthly reversal-based factor | | |
| 25 | +| acharya2005asset | Acharya & Pedersen (2005), JFE 77(2), 375–410 | 1 | Liquidity-adjusted CAPM; liquidity co-risks priced | Theoretical pricing frame for fragility states | | |
| 26 | +| karolyi2012understanding | Karolyi, Lee & van Dijk (2012), JFE 105(1), 82–112 | 2 | Commonality higher in downturns/volatile states, demand-side driven | Country-level, daily; motivates state-dependence | | |
| 27 | +| parkinson1980extreme | Parkinson (1980), JB 53(1), 61–65 | 16 | Range-based variance estimator | Basis for our range measures | | |
| 28 | +| garman1980estimation | Garman & Klass (1980), JB 53(1), 67–78 | 16 | OHLC minimum-variance volatility estimator | Basis for our range measures | | |
| 29 | +| goyenko2009liquidity | Goyenko, Holden & Trzcinka (2009), JFE 92(2), 153–181 | 16 | Low-frequency liquidity proxies track TAQ benchmarks | Validates proxy-based design | | |
| 30 | +| hendershott2011algorithmic | Hendershott, Jones & Menkveld (2011), JF 66(1), 1–33 | 4 | AT narrows spreads, improves liquidity (autoquote IV) | Normal-times liquidity, 2003 event | | |
| 31 | +| kirilenko2017flash | Kirilenko, Kyle, Samadi & Tuzun (2017), JF 72(3), 967–998 | 5 | HFT didn't trigger but amplified Flash Crash selling | Single episode, futures audit trail | | |
| 32 | +| menkveld2013high | Menkveld (2013), JFM 16(4), 712–740 | 4 | Modern HFT market maker: spreads −50%, inventory risk management | Single firm/venue | | |
| 33 | +| brogaard2014high | Brogaard, Hendershott & Riordan (2014), RFS 27(8), 2267–2306 | 3,4 | HFT trades toward permanent prices, aids discovery | NASDAQ-flagged subset, 2008–09 | | |
| 34 | +| budish2015high | Budish, Cramton & Shim (2015), QJE 130(4), 1547–1621 | 4,12 | Latency arms race is structural; batch auctions remedy | Mechanism design; motivates speed-of-propagation focus | | |
| 35 | +| ohara2015high | O'Hara (2015), JFE 116(2), 257–270 | 4 | HF microstructure changes meaning of liquidity/informed trading | Survey | | |
| 36 | +| bendavid2018etfs | Ben-David, Franzoni & Moussawi (2018), JF 73(6), 2471–2535 | 13 | ETF ownership raises nonfundamental volatility via arbitrage channel | One propagation channel we condition on | | |
| 37 | +| madhavan2012exchange | Madhavan (2012), FAJ 68(4), 20–35 | 12,5 | Fragmentation measures explain Flash Crash ETF damage | Episode-focused | | |
| 38 | +| boehmer2021algorithmic | Boehmer, Fong & Wu (2021), JFQA 56(8), 2659–2688 | 4 | AT improves liquidity/efficiency but raises short-term volatility, 42 markets | Country-level averages, 2001–2011 | | |
| 39 | +| hasbrouck2013low | Hasbrouck & Saar (2013), JFM 16(4), 646–679 | 4 | Low-latency activity improves short-horizon market quality | Message-data measure, 2007–08 | | |
| 40 | +| baldauf2020high | Baldauf & Mollner (2020), JF 75(3), 1495–1526 | 4 | Theory: speed narrows spreads but deters information production | Model; we test time-series implications | | |
| 41 | +| diebold2014network | Diebold & Yılmaz (2014), J.Econometrics 182(1), 119–134 | 7,14 | FEVD-based connectedness networks | Daily volatilities, ~dozen firms | | |
| 42 | +| diebold2012better | Diebold & Yılmaz (2012), IJF 28(1), 57–66 | 7 | Directional spillover index (generalized FEVD) | Asset-class level, daily | | |
| 43 | +| billio2012econometric | Billio, Getmansky, Lo & Pelizzon (2012), JFE 104(3), 535–559 | 14 | Granger networks among financial institutions | Monthly returns, finance sector | | |
| 44 | +| barigozzi2019nets | Barigozzi & Brownlees (2019), JAE 34(3), 347–364 | 7,10 | LASSO estimation of Granger + partial-correlation networks | Daily volatilities, blue chips | | |
| 45 | +| acemoglu2012network | Acemoglu et al. (2012), Econometrica 80(5), 1977–2016 | 14 | Network asymmetry lets micro shocks aggregate | Theory, input-output | | |
| 46 | +| aitsahalia2015modeling | Aït-Sahalia, Cacho-Diaz & Laeven (2015), JFE 117(3), 585–606 | 10,7 | Mutually exciting jumps model contagion | Index-level, international | | |
| 47 | +| bacry2015hawkes | Bacry, Mastromatteo & Muzy (2015), MML 1(1), 1550005 | 10 | Survey of Hawkes in finance | Methods reference | | |
| 48 | +| hawkes1971spectra | Hawkes (1971), Biometrika 58(1), 83–90 | 10 | Self/mutually exciting point processes | Foundational | | |
| 49 | +| elliott2014financial | Elliott, Golub & Jackson (2014), AER 104(10), 3115–3153 | 14 | Integration/diversification non-monotone for cascades | Theory, cross-holdings | | |
| 50 | +| forbes2002no | Forbes & Rigobon (2002), JF 57(5), 2223–2261 | 7 | Correlation-based contagion tests biased by volatility | Country indices; motivates our conditional design | | |
| 51 | +| hautsch2015financial | Hautsch, Schaumburg & Schienle (2015), RoF 19(2), 685–738 | 14 | Realized systemic risk beta via tail-risk networks | Financial firms only | | |
| 52 | +| bekaert2014global | Bekaert et al. (2014), JF 69(6), 2597–2649 | 7 | Crisis contagion beyond fundamentals = wake-up call | Country-industry, weekly | | |
| 53 | +| lo1990contrarian | Lo & MacKinlay (1990), RFS 3(2), 175–205 | 8 | Contrarian profits from cross-autocorrelation; size-based lead–lag | Weekly returns | | |
| 54 | +| hou2007industry | Hou (2007), RFS 20(4), 1113–1138 | 8 | Lead–lag is intra-industry information diffusion | Weekly/monthly | | |
| 55 | +| andersen1997intraday | Andersen & Bollerslev (1997), JEF 4(2–3), 115–158 | 9,11 | Intraday volatility periodicity; deseasonalization | Foundation of our minute-of-day standardization | | |
| 56 | +| lee2008jumps | Lee & Mykland (2008), RFS 21(6), 2535–2563 | 9 | Intraday jump detection test | Single-asset jumps; we study cross-asset spread | | |
| 57 | +| barndorffnielsen2004power | Barndorff-Nielsen & Shephard (2004), JFEc 2(1), 1–37 | 9 | Bipower variation separates jumps from diffusion | Estimator we adapt | | |
| 58 | +| aitsahalia2009testing | Aït-Sahalia & Jacod (2009), Ann.Stat. 37(1), 184–222 | 9 | Jump test from power variations at two frequencies | Methods | | |
| 59 | +| gu2020empirical | Gu, Kelly & Xiu (2020), RFS 33(5), 2223–2273 | 15 | ML for risk premia; OOS discipline standard | Monthly premia; we import evaluation discipline | | |
| 60 | +| easley2012flow | Easley, López de Prado & O'Hara (2012), RFS 25(5), 1457–1493 | 5,16 | VPIN toxicity metric; Flash Crash warning claim | Volume-clock; contested | | |
| 61 | +| andersen2014vpin | Andersen & Bondarenko (2014), JFM 17, 1–46 | 5,16 | VPIN's power mechanical (volatility proxy) | Cautionary for proxy-based fragility claims | | |
| 62 | +| epps1979comovements | Epps (1979), JASA 74(366), 291–298 | 8,16 | Correlations vanish at short intervals (Epps effect) | Baseline high-frequency comovement fact | | |
| 63 | +| jorda2005estimation | Jordà (2005), AER 95(1), 161–182 | M | Local projections for impulse responses | Our workhorse estimator | | |
| 64 | + | |
| 65 | +## Novelty scan (2018–2026, documented 2026-07-13) | |
| 66 | + | |
| 67 | +OpenAlex searches (intraday contagion equities; high-frequency spillover cross-section; | |
| 68 | +minute-level comovement; co-jumps; lead-lag networks; Epps; mini flash crashes) found **no | |
| 69 | +study combining (i) minute frequency, (ii) the full U.S. equity cross-section, and (iii) a | |
| 70 | +30+ year sample tracing the evolution of shock propagation.** Closest works and differences: | |
| 71 | + | |
| 72 | +| Work | Difference | | |
| 73 | +|---|---| | |
| 74 | +| Bennett, Cucuringu & Reinert (2022), Machine Learning 111(12), 4497–4538 | Lead–lag network detection methods, short recent sample | | |
| 75 | +| Baruník & Křehlík (2018), JFEc 16(2), 271–296 | Frequency-domain connectedness, few institutions, daily | | |
| 76 | +| Bollerslev, Li, Patton & Quaedvlieg (2020), Econometrica 88(4), 1515–1551 | Realized semicovariance measurement, S&P 500, forecasting focus | | |
| 77 | +| Braun et al. (2018), PLoS ONE 13(5), e0196920 | Mini flash crash recovery, single-stock events | | |
| 78 | +| Buccheri et al. (2019), Quantitative Finance 20(2), 243–254 | Epps effect theory | | |
| 79 | +| Chang, Pienaar & Gebbie (2021), Physica A 583, 126329 | Epps sampling schemes, few assets | | |
| 80 | + | |
| 81 | +**Positioning caveat:** claim novelty only as "to our knowledge, based on the documented | |
| 82 | +search of 2026-07-13"; re-run the scan before submission. | |
| 83 | + | |
| 84 | +## Verified references — second pass (65 additional, 2026-07-13) | |
| 85 | + | |
| 86 | +All verified at DOI level (OpenAlex; Crossref fallback after OpenAlex daily budget | |
| 87 | +exhaustion mid-pass). Total verified references: **110**. Print-issue years used | |
| 88 | +where registries indexed online-first dates (Chinco et al. 2019, Boudt–Petitjean 2014, | |
| 89 | +Lahaye et al. 2011, Bajgrowicz et al. 2016, Menkveld–Yueshen 2019, Lucca–Moench 2015, | |
| 90 | +Foucault et al. 2016/2017, Aquilina et al. 2022, Weller 2018, Brunnermeier–Pedersen 2009, | |
| 91 | +Coval–Stafford 2007, Greenwood et al. 2015, Aït-Sahalia–Xiu 2019, Easley et al. 2021, | |
| 92 | +Da–Shive 2018). | |
| 93 | + | |
| 94 | +**Contagion theory / fire sales / ownership (12):** kyle2001contagion, kodres2002rational, | |
| 95 | +yuan2005asymmetric, brunnermeier2009market, cespa2014illiquidity, coval2007asset, | |
| 96 | +greenwood2011stock, anton2014connected, lou2012flow, greenwood2015vulnerable, | |
| 97 | +duarte2021fire, glasserman2016contagion. | |
| 98 | + | |
| 99 | +**Market structure & HFT deep (13):** biais2015equilibrium, foucault2016news, | |
| 100 | +foucault2017toxic, aquilina2022quantifying, weller2018does, vankervel2019high, | |
| 101 | +chaboud2014rise, menkveld2016economics, hendershott2011automation, ohara2011fragmentation, | |
| 102 | +bessembinder2003trade, chordia2008liquidity, chordia2011recent. | |
| 103 | + | |
| 104 | +**Co-jumps / macro announcements / volatility transmission (15):** bollerslev2008risk, | |
| 105 | +das2004systemic, lahaye2011jumps, caporin2017systemic, bajgrowicz2016jumps, | |
| 106 | +christensen2014fact, brogaard2018high, menkveld2019flash, andersen2003micro, | |
| 107 | +andersen2007real, lucca2015pre, savor2013how, engle1990meteor, king1990transmission, | |
| 108 | +hamao1990correlations. | |
| 109 | + | |
| 110 | +**Economic links / lead-lag / liquidity dynamics (13):** cohen2008economic, | |
| 111 | +menzly2010market, barrot2016input, herskovic2018networks, chinco2019sparse, | |
| 112 | +huth2014high, hameed2010stock, nagel2012evaporating, comertonforde2010time, | |
| 113 | +coughenour2004common, andrade2008trading, hasbrouck1991measuring, boudt2014intraday. | |
| 114 | + | |
| 115 | +**HF factor models / ML / ETF-passive (12):** bollerslev2011tails, bollerslev2016roughing, | |
| 116 | +pelger2020understanding, aitsahalia2019principal, sirignano2019universal, | |
| 117 | +easley2021microstructure, baltussen2019indexing, da2018exchange, israeli2017dark, | |
| 118 | +glosten2021etf, coles2022index, bollerslev2020realized. | |
| 119 | + | |
| 120 | +Full metadata (volume/issue/pages/DOI + abstract-based summaries) in the agent | |
| 121 | +verification reports of 2026-07-13 and in `paper/bibliography/references.bib`. | |
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| 1 | +# CLAUDE.md — Intraday Market Fragility Research Program | |
| 2 | + | |
| 3 | +## 0. Role, mission, and non-negotiable standard | |
| 4 | + | |
| 5 | +You are the lead research engineer, empirical asset-pricing researcher, market-microstructure specialist, econometrician, data auditor, and academic writer for a high-frequency finance project intended to reach the submission standard of **The Journal of Finance (JF)**. | |
| 6 | + | |
| 7 | +Your mission is to design, execute, document, and write a complete, reproducible research paper based primarily on the Hugging Face dataset: | |
| 8 | + | |
| 9 | +- Dataset identifier: `mito0o852/OHLCV-1m` | |
| 10 | +- Claimed content: U.S. equity OHLCV bars at one-minute frequency | |
| 11 | +- Claimed coverage: 1992–2026 | |
| 12 | +- Claimed storage: monthly Parquet files | |
| 13 | +- Claimed original source: Finnhub | |
| 14 | + | |
| 15 | +The provisional paper title is: | |
| 16 | + | |
| 17 | +> **Faster, Wider, More Fragile? The Evolution of Intraday Shock Propagation in U.S. Equity Markets** | |
| 18 | + | |
| 19 | +The central research question is: | |
| 20 | + | |
| 21 | +> **How have the speed, breadth, persistence, and asymmetry of intraday shock propagation across U.S. equities evolved over the past three decades, and under which market conditions does an initially idiosyncratic shock become sectoral or market-wide?** | |
| 22 | + | |
| 23 | +The central economic hypothesis is: | |
| 24 | + | |
| 25 | +> **Modern markets may absorb ordinary shocks more efficiently while transmitting extreme shocks more rapidly and discontinuously.** | |
| 26 | + | |
| 27 | +This is not a generic machine-learning forecasting project. The paper must make a clear contribution to finance by documenting new economic facts, proposing transparent measures of intraday contagion and fragility, testing economic mechanisms, distinguishing common information from genuine propagation, and establishing robustness through credible empirical designs. | |
| 28 | + | |
| 29 | +The final output must be: | |
| 30 | + | |
| 31 | +1. fully reproducible; | |
| 32 | +2. empirically honest; | |
| 33 | +3. economically motivated; | |
| 34 | +4. methodologically rigorous; | |
| 35 | +5. written in polished academic English; | |
| 36 | +6. formatted as a complete LaTeX submission package; | |
| 37 | +7. accompanied by a detailed Internet Appendix; | |
| 38 | +8. accompanied by code, logs, manifests, tables, figures, and machine-readable results; | |
| 39 | +9. prepared to the standard expected in a top finance journal; | |
| 40 | +10. explicit about every limitation imposed by OHLCV data. | |
| 41 | + | |
| 42 | +Never fabricate data, results, citations, institutional details, variable definitions, statistical significance, sample sizes, or conclusions. Never write a result in the paper before it has been generated and verified from a saved machine-readable output. | |
| 43 | + | |
| 44 | +--- | |
| 45 | + | |
| 46 | +# 1. Research philosophy | |
| 47 | + | |
| 48 | +## 1.1 The paper must answer an economic question | |
| 49 | + | |
| 50 | +The main contribution cannot be “a large model predicts one-minute returns.” Prediction may support the analysis, but the paper must answer: | |
| 51 | + | |
| 52 | +- When does a local shock spread? | |
| 53 | +- How rapidly does it spread? | |
| 54 | +- How broadly does it spread? | |
| 55 | +- How persistent is the propagation? | |
| 56 | +- Is propagation asymmetric for negative and positive shocks? | |
| 57 | +- Has propagation changed over time? | |
| 58 | +- Is the change gradual, nonlinear, or concentrated around market-structure transitions? | |
| 59 | +- Which securities become transmitters, bridges, absorbers, or amplifiers? | |
| 60 | +- Is the observed comovement genuine propagation or simultaneous exposure to common news? | |
| 61 | +- Does market efficiency in normal periods coexist with fragility in the tails? | |
| 62 | + | |
| 63 | +## 1.2 Distinguish observed liquidity from liquidity proxies | |
| 64 | + | |
| 65 | +The dataset contains OHLCV bars, not necessarily: | |
| 66 | + | |
| 67 | +- quotes; | |
| 68 | +- bid-ask spreads; | |
| 69 | +- order-book depth; | |
| 70 | +- order imbalance; | |
| 71 | +- trades and quotes; | |
| 72 | +- market-order direction; | |
| 73 | +- hidden liquidity; | |
| 74 | +- venue-level fragmentation; | |
| 75 | +- execution costs. | |
| 76 | + | |
| 77 | +Therefore: | |
| 78 | + | |
| 79 | +- Do not claim to observe liquidity directly. | |
| 80 | +- Use terms such as “OHLCV-based liquidity proxy,” “trading-activity shock,” “price-discontinuity proxy,” or “latent market fragility.” | |
| 81 | +- Treat the high-low range, zero-return frequency, volume shocks, price impact proxies, and realized volatility as imperfect proxies. | |
| 82 | +- Include a dedicated limitations section. | |
| 83 | +- If quote or trade data are later added, treat that as an extension, not as information already present. | |
| 84 | + | |
| 85 | +## 1.3 Prediction is not identification | |
| 86 | + | |
| 87 | +Every analysis must distinguish: | |
| 88 | + | |
| 89 | +1. contemporaneous co-movement; | |
| 90 | +2. predictive lead-lag; | |
| 91 | +3. propagation conditional on observed information; | |
| 92 | +4. causal propagation; | |
| 93 | +5. structural counterfactual simulation. | |
| 94 | + | |
| 95 | +Do not use causal language unless the design supports it. Use “association,” “predictive propagation,” or “network response” for observational results. Reserve “causal” for clearly defended event-based or quasi-experimental designs. | |
| 96 | + | |
| 97 | +--- | |
| 98 | + | |
| 99 | +# 2. Project organization | |
| 100 | + | |
| 101 | +Create the following project structure at the repository root: | |
| 102 | + | |
| 103 | +```text | |
| 104 | +intraday-fragility/ | |
| 105 | +├── CLAUDE.md | |
| 106 | +├── README.md | |
| 107 | +├── LICENSE | |
| 108 | +├── CITATION.cff | |
| 109 | +├── pyproject.toml | |
| 110 | +├── uv.lock | |
| 111 | +├── environment.yml | |
| 112 | +├── .env.example | |
| 113 | +├── .gitignore | |
| 114 | +├── Makefile | |
| 115 | +├── config/ | |
| 116 | +│ ├── base.yaml | |
| 117 | +│ ├── paths.yaml | |
| 118 | +│ ├── sample_filters.yaml | |
| 119 | +│ ├── shock_definitions.yaml | |
| 120 | +│ ├── models.yaml | |
| 121 | +│ ├── figures.yaml | |
| 122 | +│ └── tables.yaml | |
| 123 | +├── data/ | |
| 124 | +│ ├── raw/ | |
| 125 | +│ ├── manifests/ | |
| 126 | +│ ├── interim/ | |
| 127 | +│ ├── processed/ | |
| 128 | +│ ├── external/ | |
| 129 | +│ └── metadata/ | |
| 130 | +├── logs/ | |
| 131 | +│ ├── download/ | |
| 132 | +│ ├── audit/ | |
| 133 | +│ ├── preprocessing/ | |
| 134 | +│ ├── estimation/ | |
| 135 | +│ └── paper/ | |
| 136 | +├── notebooks/ | |
| 137 | +│ ├── 00_dataset_discovery.ipynb | |
| 138 | +│ ├── 01_small_sample_audit.ipynb | |
| 139 | +│ ├── 02_intraday_patterns.ipynb | |
| 140 | +│ └── 03_prototype_results.ipynb | |
| 141 | +├── src/ | |
| 142 | +│ └── intraday_fragility/ | |
| 143 | +│ ├── __init__.py | |
| 144 | +│ ├── cli.py | |
| 145 | +│ ├── paths.py | |
| 146 | +│ ├── logging_utils.py | |
| 147 | +│ ├── download.py | |
| 148 | +│ ├── manifest.py | |
| 149 | +│ ├── schema.py | |
| 150 | +│ ├── calendars.py | |
| 151 | +│ ├── corporate_actions.py | |
| 152 | +│ ├── identifiers.py | |
| 153 | +│ ├── universe.py | |
| 154 | +│ ├── cleaning.py | |
| 155 | +│ ├── features.py | |
| 156 | +│ ├── shocks.py | |
| 157 | +│ ├── networks.py | |
| 158 | +│ ├── contagion.py | |
| 159 | +│ ├── econometrics.py | |
| 160 | +│ ├── inference.py | |
| 161 | +│ ├── robustness.py | |
| 162 | +│ ├── simulations.py | |
| 163 | +│ ├── figures.py | |
| 164 | +│ ├── tables.py | |
| 165 | +│ ├── latex.py | |
| 166 | +│ └── validation.py | |
| 167 | +├── scripts/ | |
| 168 | +│ ├── 00_probe_hf_dataset.py | |
| 169 | +│ ├── 01_download_hf_data.py | |
| 170 | +│ ├── 02_build_raw_manifest.py | |
| 171 | +│ ├── 03_audit_schema.py | |
| 172 | +│ ├── 04_audit_market_calendar.py | |
| 173 | +│ ├── 05_audit_prices_and_volume.py | |
| 174 | +│ ├── 06_detect_corporate_actions.py | |
| 175 | +│ ├── 07_construct_security_master.py | |
| 176 | +│ ├── 08_build_clean_minute_panel.py | |
| 177 | +│ ├── 09_build_daily_metadata.py | |
| 178 | +│ ├── 10_construct_features.py | |
| 179 | +│ ├── 11_detect_shocks.py | |
| 180 | +│ ├── 12_estimate_networks.py | |
| 181 | +│ ├── 13_measure_propagation.py | |
| 182 | +│ ├── 14_run_baseline_regressions.py | |
| 183 | +│ ├── 15_run_event_studies.py | |
| 184 | +│ ├── 16_run_robustness.py | |
| 185 | +│ ├── 17_run_placebos.py | |
| 186 | +│ ├── 18_build_figures.py | |
| 187 | +│ ├── 19_build_tables.py | |
| 188 | +│ ├── 20_compile_paper.py | |
| 189 | +│ └── 21_validate_release.py | |
| 190 | +├── tests/ | |
| 191 | +│ ├── test_schema.py | |
| 192 | +│ ├── test_calendars.py | |
| 193 | +│ ├── test_cleaning.py | |
| 194 | +│ ├── test_features.py | |
| 195 | +│ ├── test_shocks.py | |
| 196 | +│ ├── test_networks.py | |
| 197 | +│ ├── test_econometrics.py | |
| 198 | +│ └── test_tables.py | |
| 199 | +├── outputs/ | |
| 200 | +│ ├── diagnostics/ | |
| 201 | +│ ├── estimates/ | |
| 202 | +│ ├── figures/ | |
| 203 | +│ ├── tables/ | |
| 204 | +│ ├── models/ | |
| 205 | +│ └── release/ | |
| 206 | +├── paper/ | |
| 207 | +│ ├── main.tex | |
| 208 | +│ ├── preamble.tex | |
| 209 | +│ ├── title_page.tex | |
| 210 | +│ ├── abstract.tex | |
| 211 | +│ ├── sections/ | |
| 212 | +│ │ ├── 01_introduction.tex | |
| 213 | +│ │ ├── 02_literature.tex | |
| 214 | +│ │ ├── 03_data.tex | |
| 215 | +│ │ ├── 04_measurement.tex | |
| 216 | +│ │ ├── 05_empirical_design.tex | |
| 217 | +│ │ ├── 06_results.tex | |
| 218 | +│ │ ├── 07_mechanisms.tex | |
| 219 | +│ │ ├── 08_robustness.tex | |
| 220 | +│ │ └── 09_conclusion.tex | |
| 221 | +│ ├── tables/ | |
| 222 | +│ ├── figures/ | |
| 223 | +│ ├── bibliography/ | |
| 224 | +│ │ └── references.bib | |
| 225 | +│ └── styles/ | |
| 226 | +├── appendix/ | |
| 227 | +│ ├── internet_appendix.tex | |
| 228 | +│ ├── sections/ | |
| 229 | +│ ├── tables/ | |
| 230 | +│ └── figures/ | |
| 231 | +└── docs/ | |
| 232 | + ├── DATA_DICTIONARY.md | |
| 233 | + ├── DATA_AUDIT.md | |
| 234 | + ├── EMPIRICAL_DESIGN.md | |
| 235 | + ├── LITERATURE_MAP.md | |
| 236 | + ├── REPRODUCIBILITY.md | |
| 237 | + ├── COMPUTE_LOG.md | |
| 238 | + ├── DECISION_LOG.md | |
| 239 | + └── LIMITATIONS.md | |
| 240 | +``` | |
| 241 | + | |
| 242 | +Use relative paths. No user-specific absolute path may appear in committed code. | |
| 243 | + | |
| 244 | +--- | |
| 245 | + | |
| 246 | +# 3. Execution protocol | |
| 247 | + | |
| 248 | +## 3.1 Work in stages | |
| 249 | + | |
| 250 | +Execute the project in the following order: | |
| 251 | + | |
| 252 | +### Stage A — Dataset discovery and minimal probe | |
| 253 | +Do not download the entire dataset immediately. First: | |
| 254 | + | |
| 255 | +1. inspect the Hugging Face repository metadata; | |
| 256 | +2. list all files, sizes, hashes if available, and last-modified information; | |
| 257 | +3. inspect the dataset card and revision history; | |
| 258 | +4. download only one early, one middle, and one recent monthly file; | |
| 259 | +5. infer the physical schema; | |
| 260 | +6. inspect timestamps, symbols, row counts, missingness, duplicates, price and volume units; | |
| 261 | +7. estimate total storage requirements after download, decompression, cleaning, features, and outputs; | |
| 262 | +8. write `docs/DATA_AUDIT.md` with preliminary findings; | |
| 263 | +9. stop if the schema is unusable or if legal/access restrictions prevent research use. | |
| 264 | + | |
| 265 | +### Stage B — Full download with manifest and resumability | |
| 266 | +Only after Stage A passes: | |
| 267 | + | |
| 268 | +1. download all target files; | |
| 269 | +2. use resumable transfers; | |
| 270 | +3. pin the exact dataset revision or commit hash; | |
| 271 | +4. save every file with checksum, byte size, row count, schema, and download timestamp; | |
| 272 | +5. never silently overwrite an existing file; | |
| 273 | +6. verify integrity before marking a file complete; | |
| 274 | +7. write a machine-readable manifest; | |
| 275 | +8. permit partial reruns and node-level parallelism. | |
| 276 | + | |
| 277 | +### Stage C — Raw-data audit | |
| 278 | +Before constructing returns: | |
| 279 | + | |
| 280 | +1. audit timestamp coverage; | |
| 281 | +2. map timestamps to the correct exchange timezone; | |
| 282 | +3. identify pre-market, regular, and after-hours observations; | |
| 283 | +4. inspect daylight-saving transitions; | |
| 284 | +5. compare observed minutes with the official U.S. exchange calendar; | |
| 285 | +6. identify half-days and exceptional closures; | |
| 286 | +7. detect duplicate symbol–timestamp observations; | |
| 287 | +8. detect non-monotonic timestamps; | |
| 288 | +9. detect impossible OHLC relationships; | |
| 289 | +10. inspect zeros, negative values, stale prices, and extreme volume; | |
| 290 | +11. identify possible split-related jumps; | |
| 291 | +12. inspect symbol reuse and ticker changes; | |
| 292 | +13. determine whether delisted securities are present; | |
| 293 | +14. quantify survivorship and look-ahead risks; | |
| 294 | +15. identify ETFs, ADRs, preferred shares, warrants, funds, and non-common-equity instruments where possible; | |
| 295 | +16. document uncertainty rather than guessing. | |
| 296 | + | |
| 297 | +### Stage D — Clean panel and metadata | |
| 298 | +Construct: | |
| 299 | + | |
| 300 | +- a regular-hours baseline panel; | |
| 301 | +- an extended-hours robustness panel; | |
| 302 | +- a broad universe; | |
| 303 | +- a conservative common-stock universe; | |
| 304 | +- a high-liquidity universe; | |
| 305 | +- a balanced-panel subsample only for diagnostics, never as the sole main sample. | |
| 306 | + | |
| 307 | +### Stage E — Descriptive evidence | |
| 308 | +Document: | |
| 309 | + | |
| 310 | +- sample coverage over time; | |
| 311 | +- number of securities; | |
| 312 | +- number of observations; | |
| 313 | +- missing minute patterns; | |
| 314 | +- intraday seasonality; | |
| 315 | +- cross-sectional distributions; | |
| 316 | +- volume concentration; | |
| 317 | +- volatility concentration; | |
| 318 | +- extreme-return frequency; | |
| 319 | +- changes over decades. | |
| 320 | + | |
| 321 | +### Stage F — Shock measurement and propagation | |
| 322 | +Implement the full empirical design described below. | |
| 323 | + | |
| 324 | +### Stage G — Tables, figures, and paper | |
| 325 | +All tables and figures must be generated from saved results. Never manually type numerical results into LaTeX. | |
| 326 | + | |
| 327 | +--- | |
| 328 | + | |
| 329 | +# 4. Data acquisition requirements | |
| 330 | + | |
| 331 | +## 4.1 Hugging Face access | |
| 332 | + | |
| 333 | +Use official Hugging Face tooling when practical: | |
| 334 | + | |
| 335 | +- `huggingface_hub` | |
| 336 | +- `hf_hub_download` | |
| 337 | +- repository file listing APIs | |
| 338 | +- revision pinning | |
| 339 | +- authenticated access only if required | |
| 340 | + | |
| 341 | +The downloader must support: | |
| 342 | + | |
| 343 | +- dry-run mode; | |
| 344 | +- file-range filters; | |
| 345 | +- year and month filters; | |
| 346 | +- retry with exponential backoff; | |
| 347 | +- resumability; | |
| 348 | +- maximum concurrent downloads; | |
| 349 | +- checksum verification; | |
| 350 | +- per-file logs; | |
| 351 | +- node-aware sharding; | |
| 352 | +- safe interruption; | |
| 353 | +- disk-space checks; | |
| 354 | +- idempotence. | |
| 355 | + | |
| 356 | +Create CLI commands such as: | |
| 357 | + | |
| 358 | +```bash | |
| 359 | +python -m intraday_fragility.cli probe-data | |
| 360 | +python -m intraday_fragility.cli download --start 1992-01 --end 2026-12 | |
| 361 | +python -m intraday_fragility.cli verify-download | |
| 362 | +python -m intraday_fragility.cli audit-raw | |
| 363 | +``` | |
| 364 | + | |
| 365 | +## 4.2 Manifest | |
| 366 | + | |
| 367 | +Create `data/manifests/raw_files.parquet` and `data/manifests/raw_files.csv` with at least: | |
| 368 | + | |
| 369 | +- dataset_id; | |
| 370 | +- dataset_revision; | |
| 371 | +- remote_path; | |
| 372 | +- local_path; | |
| 373 | +- year; | |
| 374 | +- month; | |
| 375 | +- expected_bytes; | |
| 376 | +- downloaded_bytes; | |
| 377 | +- sha256; | |
| 378 | +- status; | |
| 379 | +- download_started_at; | |
| 380 | +- download_completed_at; | |
| 381 | +- row_count; | |
| 382 | +- column_names; | |
| 383 | +- column_types; | |
| 384 | +- min_timestamp; | |
| 385 | +- max_timestamp; | |
| 386 | +- unique_symbol_count; | |
| 387 | +- duplicate_key_count; | |
| 388 | +- null_count_by_column; | |
| 389 | +- audit_version; | |
| 390 | +- code_commit. | |
| 391 | + | |
| 392 | +## 4.3 Never infer undocumented semantics | |
| 393 | + | |
| 394 | +For each field, determine and document: | |
| 395 | + | |
| 396 | +- exact name; | |
| 397 | +- data type; | |
| 398 | +- units; | |
| 399 | +- timezone; | |
| 400 | +- adjustment status; | |
| 401 | +- whether price is raw or split-adjusted; | |
| 402 | +- whether volume is raw or adjusted; | |
| 403 | +- whether timestamps denote bar open or bar close; | |
| 404 | +- whether bars with no trades are omitted or filled; | |
| 405 | +- whether symbols are point-in-time; | |
| 406 | +- whether source corrections are incorporated. | |
| 407 | + | |
| 408 | +If a property cannot be established, label it “unknown” and design robustness checks around that uncertainty. | |
| 409 | + | |
| 410 | +--- | |
| 411 | + | |
| 412 | +# 5. Data-quality audit | |
| 413 | + | |
| 414 | +## 5.1 Schema validation | |
| 415 | + | |
| 416 | +For every file and every batch, verify: | |
| 417 | + | |
| 418 | +\[ | |
| 419 | +\text{Low}_{i,t} \leq \min(\text{Open}_{i,t},\text{Close}_{i,t}) | |
| 420 | +\] | |
| 421 | + | |
| 422 | +and | |
| 423 | + | |
| 424 | +\[ | |
| 425 | +\text{High}_{i,t} \geq \max(\text{Open}_{i,t},\text{Close}_{i,t}) | |
| 426 | +\] | |
| 427 | + | |
| 428 | +as well as: | |
| 429 | + | |
| 430 | +\[ | |
| 431 | +\text{Low}_{i,t} \leq \text{High}_{i,t}. | |
| 432 | +\] | |
| 433 | + | |
| 434 | +Flag but do not automatically delete all violations. Report counts, rates, symbols, dates, and magnitudes. | |
| 435 | + | |
| 436 | +## 5.2 Timestamp and calendar checks | |
| 437 | + | |
| 438 | +Use a recognized exchange-calendar library and independently validate important dates. | |
| 439 | + | |
| 440 | +Baseline regular session: | |
| 441 | + | |
| 442 | +- 09:30 to 16:00 Eastern Time; | |
| 443 | +- respect historical calendar variation; | |
| 444 | +- handle early closes; | |
| 445 | +- handle daylight saving correctly; | |
| 446 | +- do not assume exactly 390 bars for every date. | |
| 447 | + | |
| 448 | +Determine whether the source timestamps are UTC, local exchange time, or another convention by empirical checks. | |
| 449 | + | |
| 450 | +## 5.3 Duplicate handling | |
| 451 | + | |
| 452 | +The natural key is initially assumed to be: | |
| 453 | + | |
| 454 | +```text | |
| 455 | +(symbol, timestamp) | |
| 456 | +``` | |
| 457 | + | |
| 458 | +But this assumption must be verified. | |
| 459 | + | |
| 460 | +For duplicate keys: | |
| 461 | + | |
| 462 | +1. check whether rows are identical; | |
| 463 | +2. inspect whether duplicates arise from multiple venues or source revisions; | |
| 464 | +3. preserve raw copies; | |
| 465 | +4. create deterministic resolution rules; | |
| 466 | +5. report sensitivity to alternative rules. | |
| 467 | + | |
| 468 | +## 5.4 Corporate actions | |
| 469 | + | |
| 470 | +OHLCV-based research is highly vulnerable to splits and ticker changes. | |
| 471 | + | |
| 472 | +Implement: | |
| 473 | + | |
| 474 | +- detection of discontinuities near rational split ratios; | |
| 475 | +- cross-checking against external corporate-action sources if legally and technically feasible; | |
| 476 | +- split flags; | |
| 477 | +- exclusion windows around suspected splits; | |
| 478 | +- robustness using close-to-close versus open-to-close returns; | |
| 479 | +- separate treatment of extreme jumps plausibly caused by corporate actions. | |
| 480 | + | |
| 481 | +Never winsorize away a possible split without logging it. | |
| 482 | + | |
| 483 | +## 5.5 Security identity | |
| 484 | + | |
| 485 | +A ticker is not a permanent security identifier. | |
| 486 | + | |
| 487 | +Attempt to construct or merge a point-in-time security master containing: | |
| 488 | + | |
| 489 | +- ticker; | |
| 490 | +- permanent identifier if available; | |
| 491 | +- issuer name; | |
| 492 | +- security type; | |
| 493 | +- exchange; | |
| 494 | +- listing and delisting dates; | |
| 495 | +- sector and industry; | |
| 496 | +- ETF indicator; | |
| 497 | +- ADR indicator; | |
| 498 | +- common-stock indicator; | |
| 499 | +- share class. | |
| 500 | + | |
| 501 | +If permanent identifiers cannot be recovered for the full period: | |
| 502 | + | |
| 503 | +- explicitly state this limitation; | |
| 504 | +- avoid interpreting long ticker histories as one unchanged security; | |
| 505 | +- create ticker-spell intervals; | |
| 506 | +- run conservative analyses within continuous ticker episodes. | |
| 507 | + | |
| 508 | +## 5.6 Survivorship bias | |
| 509 | + | |
| 510 | +Determine whether the data include delisted securities and whether historical files preserve the contemporaneous universe. | |
| 511 | + | |
| 512 | +Produce: | |
| 513 | + | |
| 514 | +- yearly entry counts; | |
| 515 | +- yearly exit counts; | |
| 516 | +- symbol survival curves; | |
| 517 | +- sample counts by vintage; | |
| 518 | +- comparisons of balanced and unbalanced panels; | |
| 519 | +- a formal discussion of possible survivorship bias. | |
| 520 | + | |
| 521 | +## 5.7 Missingness | |
| 522 | + | |
| 523 | +Measure missingness at: | |
| 524 | + | |
| 525 | +- file level; | |
| 526 | +- day level; | |
| 527 | +- symbol-day level; | |
| 528 | +- minute-of-day level; | |
| 529 | +- decade level; | |
| 530 | +- market-state level. | |
| 531 | + | |
| 532 | +Do not forward-fill prices in the main analysis unless the precise estimand requires a regular grid. If a regular grid is needed: | |
| 533 | + | |
| 534 | +- distinguish “no recorded bar” from “zero return”; | |
| 535 | +- retain a missing-trade indicator; | |
| 536 | +- report results without imputation; | |
| 537 | +- use previous-tick interpolation only in explicitly labeled robustness analyses. | |
| 538 | + | |
| 539 | +--- | |
| 540 | + | |
| 541 | +# 6. Sample construction | |
| 542 | + | |
| 543 | +Create transparent sample filters in `config/sample_filters.yaml`. | |
| 544 | + | |
| 545 | +## 6.1 Baseline universe | |
| 546 | + | |
| 547 | +The baseline should target U.S.-listed common equities during regular trading hours, subject to defensible filters such as: | |
| 548 | + | |
| 549 | +- valid OHLC; | |
| 550 | +- positive price; | |
| 551 | +- positive or nonnegative volume as appropriate; | |
| 552 | +- minimum number of valid bars per day; | |
| 553 | +- minimum trading history; | |
| 554 | +- exclusion of obvious corporate-action contamination; | |
| 555 | +- removal of duplicate records; | |
| 556 | +- no use of future information in inclusion rules. | |
| 557 | + | |
| 558 | +## 6.2 Alternative universes | |
| 559 | + | |
| 560 | +Construct at least: | |
| 561 | + | |
| 562 | +1. all available instruments; | |
| 563 | +2. common stocks only; | |
| 564 | +3. stocks excluding ETFs and ADRs; | |
| 565 | +4. liquid stocks based on lagged information; | |
| 566 | +5. price above a lagged threshold; | |
| 567 | +6. top 500, 1,000, and 3,000 securities by lagged dollar volume; | |
| 568 | +7. continuous-history subsample; | |
| 569 | +8. pre-2001, 2001–2009, 2010–2019, and 2020 onward; | |
| 570 | +9. regular-hours only; | |
| 571 | +10. extended-hours included. | |
| 572 | + | |
| 573 | +Any liquidity-based inclusion criterion must use lagged data to avoid look-ahead bias. | |
| 574 | + | |
| 575 | +--- | |
| 576 | + | |
| 577 | +# 7. Variable construction | |
| 578 | + | |
| 579 | +All features must be defined in `docs/DATA_DICTIONARY.md` with formula, timing, units, and availability. | |
| 580 | + | |
| 581 | +## 7.1 Returns | |
| 582 | + | |
| 583 | +Construct: | |
| 584 | + | |
| 585 | +\[ | |
| 586 | +r_{i,t} = \log(P_{i,t})-\log(P_{i,t-1}). | |
| 587 | +\] | |
| 588 | + | |
| 589 | +Use alternative prices: | |
| 590 | + | |
| 591 | +- close-to-close minute return; | |
| 592 | +- open-to-close bar return; | |
| 593 | +- midpoint proxy \((H+L)/2\) only as robustness; | |
| 594 | +- previous valid close return; | |
| 595 | +- overnight return separately. | |
| 596 | + | |
| 597 | +Never bridge overnight and intraday returns without an explicit definition. | |
| 598 | + | |
| 599 | +## 7.2 Realized volatility | |
| 600 | + | |
| 601 | +At stock-day level: | |
| 602 | + | |
| 603 | +\[ | |
| 604 | +RV_{i,d} = \sum_{t \in d} r_{i,t}^{2}. | |
| 605 | +\] | |
| 606 | + | |
| 607 | +Construct: | |
| 608 | + | |
| 609 | +- 5-minute RV; | |
| 610 | +- 15-minute RV; | |
| 611 | +- 30-minute RV; | |
| 612 | +- daily RV; | |
| 613 | +- upside and downside semivariance; | |
| 614 | +- bipower variation if data quality permits; | |
| 615 | +- jump proxies; | |
| 616 | +- realized quarticity. | |
| 617 | + | |
| 618 | +## 7.3 Range-based measures | |
| 619 | + | |
| 620 | +Examples: | |
| 621 | + | |
| 622 | +\[ | |
| 623 | +Range_{i,t}=\log(H_{i,t})-\log(L_{i,t}) | |
| 624 | +\] | |
| 625 | + | |
| 626 | +and established range-based volatility estimators when their assumptions are defensible. | |
| 627 | + | |
| 628 | +## 7.4 Trading activity | |
| 629 | + | |
| 630 | +Construct: | |
| 631 | + | |
| 632 | +- raw volume; | |
| 633 | +- log volume; | |
| 634 | +- dollar volume; | |
| 635 | +- turnover if shares outstanding become available; | |
| 636 | +- volume relative to the same minute of the day; | |
| 637 | +- volume z-score based only on lagged observations; | |
| 638 | +- fraction of daily volume occurring in each interval; | |
| 639 | +- market-wide and sector-wide volume concentration. | |
| 640 | + | |
| 641 | +## 7.5 OHLCV-based illiquidity and price-impact proxies | |
| 642 | + | |
| 643 | +Possible proxies include: | |
| 644 | + | |
| 645 | +\[ | |
| 646 | +ILLIQ_{i,t} = \frac{|r_{i,t}|}{DollarVolume_{i,t}+\epsilon}. | |
| 647 | +\] | |
| 648 | + | |
| 649 | +Also consider: | |
| 650 | + | |
| 651 | +- high-low range divided by dollar volume; | |
| 652 | +- absolute residual return per unit of volume; | |
| 653 | +- zero-return frequency; | |
| 654 | +- stale-price duration; | |
| 655 | +- Roll-type proxies only if valid at the available frequency; | |
| 656 | +- Corwin–Schultz estimates only at a frequency consistent with the estimator. | |
| 657 | + | |
| 658 | +Use multiple proxies because no single OHLCV measure identifies true liquidity. | |
| 659 | + | |
| 660 | +## 7.6 Intraday seasonality | |
| 661 | + | |
| 662 | +For each variable, estimate minute-of-day seasonality using only historical information or a clearly defined full-sample descriptive normalization. | |
| 663 | + | |
| 664 | +Main predictive and causal specifications must use lagged or training-period seasonality estimates. | |
| 665 | + | |
| 666 | +Construct standardized variables: | |
| 667 | + | |
| 668 | +\[ | |
| 669 | +z_{i,t}^{x} | |
| 670 | += | |
| 671 | +\frac{x_{i,t}-\widehat{\mu}_{i,\tau(t)}}{\widehat{\sigma}_{i,\tau(t)}}, | |
| 672 | +\] | |
| 673 | + | |
| 674 | +where \(\tau(t)\) is minute of day. | |
| 675 | + | |
| 676 | +Use robust alternatives based on the median and MAD. | |
| 677 | + | |
| 678 | +--- | |
| 679 | + | |
| 680 | +# 8. Defining idiosyncratic intraday shocks | |
| 681 | + | |
| 682 | +A raw extreme return is not necessarily idiosyncratic. Construct several shock definitions. | |
| 683 | + | |
| 684 | +## 8.1 Residual return model | |
| 685 | + | |
| 686 | +Estimate rolling or recursively updated models such as: | |
| 687 | + | |
| 688 | +\[ | |
| 689 | +r_{i,t} | |
| 690 | += | |
| 691 | +\alpha_{i,\tau} | |
| 692 | ++\beta_{i,m,t}r_{m,t} | |
| 693 | ++\beta_{i,s,t}r_{s(i),t} | |
| 694 | ++\boldsymbol{\gamma}_{i,t}'F_t | |
| 695 | ++\varepsilon_{i,t}, | |
| 696 | +\] | |
| 697 | + | |
| 698 | +where: | |
| 699 | + | |
| 700 | +- \(r_{m,t}\) is a broad market return; | |
| 701 | +- \(r_{s(i),t}\) is the sector return; | |
| 702 | +- \(F_t\) may contain principal components or other common factors; | |
| 703 | +- \(\alpha_{i,\tau}\) absorbs intraday seasonality. | |
| 704 | + | |
| 705 | +Prevent mechanical contamination by excluding stock \(i\) from market and sector aggregates when feasible. | |
| 706 | + | |
| 707 | +## 8.2 Shock threshold | |
| 708 | + | |
| 709 | +Define a baseline shock as: | |
| 710 | + | |
| 711 | +\[ | |
| 712 | +Shock_{i,t}=1\left( | |
| 713 | +|\varepsilon_{i,t}| > | |
| 714 | +q_{i,\tau,t}(p) | |
| 715 | +\right), | |
| 716 | +\] | |
| 717 | + | |
| 718 | +where \(q_{i,\tau,t}(p)\) is a lagged conditional extreme quantile. | |
| 719 | + | |
| 720 | +Use thresholds such as: | |
| 721 | + | |
| 722 | +- 99th percentile; | |
| 723 | +- 99.5th percentile; | |
| 724 | +- 99.9th percentile; | |
| 725 | +- 4, 5, and 6 robust standard deviations; | |
| 726 | +- extreme-value-theory thresholds; | |
| 727 | +- jump-test thresholds. | |
| 728 | + | |
| 729 | +Separate: | |
| 730 | + | |
| 731 | +- positive shocks; | |
| 732 | +- negative shocks; | |
| 733 | +- return shocks; | |
| 734 | +- volatility shocks; | |
| 735 | +- volume shocks; | |
| 736 | +- combined return-volume shocks; | |
| 737 | +- range shocks; | |
| 738 | +- illiquidity-proxy shocks. | |
| 739 | + | |
| 740 | +## 8.3 Shock isolation | |
| 741 | + | |
| 742 | +To reduce common-news contamination, require one or more of: | |
| 743 | + | |
| 744 | +- low contemporaneous market return; | |
| 745 | +- low contemporaneous sector return; | |
| 746 | +- large idiosyncratic residual; | |
| 747 | +- leave-one-out factor construction; | |
| 748 | +- no simultaneous extreme shock in a large fraction of the market; | |
| 749 | +- exclusion of scheduled macro announcement windows for the idiosyncratic baseline; | |
| 750 | +- separate common-shock sample. | |
| 751 | + | |
| 752 | +Do not define isolation so strictly that only trivial events remain. Report the trade-off. | |
| 753 | + | |
| 754 | +--- | |
| 755 | + | |
| 756 | +# 9. Measuring propagation | |
| 757 | + | |
| 758 | +## 9.1 Outcome horizons | |
| 759 | + | |
| 760 | +Use horizons: | |
| 761 | + | |
| 762 | +\[ | |
| 763 | +h \in \{1,2,5,10,15,30,60,120\}\text{ minutes}. | |
| 764 | +\] | |
| 765 | + | |
| 766 | +Respect session boundaries. Do not mechanically carry an intraday horizon across the overnight period in the baseline. | |
| 767 | + | |
| 768 | +## 9.2 Breadth | |
| 769 | + | |
| 770 | +Define market-wide propagation breadth: | |
| 771 | + | |
| 772 | +\[ | |
| 773 | +Breadth_{i,t}(h) | |
| 774 | += | |
| 775 | +\frac{1}{N_{t,h}-1} | |
| 776 | +\sum_{j\neq i} | |
| 777 | +1\left(|AR_{j,t+h}|>q_{j,\tau,t}\right). | |
| 778 | +\] | |
| 779 | + | |
| 780 | +Also define: | |
| 781 | + | |
| 782 | +- cumulative breadth through \(h\); | |
| 783 | +- sector breadth; | |
| 784 | +- connected-neighbor breadth; | |
| 785 | +- non-sector breadth; | |
| 786 | +- breadth weighted by lagged dollar volume; | |
| 787 | +- breadth weighted by network proximity. | |
| 788 | + | |
| 789 | +## 9.3 Speed | |
| 790 | + | |
| 791 | +Define: | |
| 792 | + | |
| 793 | +- minutes until 1%, 5%, 10%, or 25% of eligible securities react; | |
| 794 | +- time to peak breadth; | |
| 795 | +- half-life of the response; | |
| 796 | +- propagation velocity over network distance; | |
| 797 | +- hazard of first response. | |
| 798 | + | |
| 799 | +If a threshold is never reached, treat the observation as right-censored rather than assigning an arbitrary large value. | |
| 800 | + | |
| 801 | +## 9.4 Intensity | |
| 802 | + | |
| 803 | +Define: | |
| 804 | + | |
| 805 | +\[ | |
| 806 | +Intensity_{i,t}(h) | |
| 807 | += | |
| 808 | +\frac{1}{N-1} | |
| 809 | +\sum_{j\neq i}|AR_{j,t+h}|. | |
| 810 | +\] | |
| 811 | + | |
| 812 | +Construct signed and unsigned versions. | |
| 813 | + | |
| 814 | +## 9.5 Amplification | |
| 815 | + | |
| 816 | +Define the Intraday Shock Amplification Ratio: | |
| 817 | + | |
| 818 | +\[ | |
| 819 | +ISAR_{i,t}(h) | |
| 820 | += | |
| 821 | +\frac{ | |
| 822 | +\sum_{j\neq i}w_{ij,t}|AR_{j,t+h}| | |
| 823 | +}{ | |
| 824 | +|\varepsilon_{i,t}|+\epsilon | |
| 825 | +}. | |
| 826 | +\] | |
| 827 | + | |
| 828 | +Explore alternative normalizations and show that results are not artifacts of a small denominator. | |
| 829 | + | |
| 830 | +## 9.6 Persistence | |
| 831 | + | |
| 832 | +Measure: | |
| 833 | + | |
| 834 | +- cumulative response; | |
| 835 | +- response half-life; | |
| 836 | +- reversal after the initial response; | |
| 837 | +- permanent versus transitory components; | |
| 838 | +- integrated response over 5, 15, 30, 60, and 120 minutes. | |
| 839 | + | |
| 840 | +## 9.7 Asymmetry | |
| 841 | + | |
| 842 | +Estimate separate responses to: | |
| 843 | + | |
| 844 | +- positive versus negative shocks; | |
| 845 | +- high versus low market volatility; | |
| 846 | +- opening, midday, and closing periods; | |
| 847 | +- high versus low aggregate correlation; | |
| 848 | +- high versus low market concentration; | |
| 849 | +- liquid versus illiquid source securities; | |
| 850 | +- large versus small shock magnitude. | |
| 851 | + | |
| 852 | +--- | |
| 853 | + | |
| 854 | +# 10. Dynamic network construction | |
| 855 | + | |
| 856 | +The network must be estimated using information available before the shock. | |
| 857 | + | |
| 858 | +## 10.1 Candidate networks | |
| 859 | + | |
| 860 | +Estimate several networks: | |
| 861 | + | |
| 862 | +1. sector membership; | |
| 863 | +2. rolling return correlation; | |
| 864 | +3. partial correlation; | |
| 865 | +4. lead-lag predictive network; | |
| 866 | +5. volume-shock correlation; | |
| 867 | +6. volatility-spillover network; | |
| 868 | +7. sparse VAR; | |
| 869 | +8. graphical LASSO; | |
| 870 | +9. low-rank plus sparse network; | |
| 871 | +10. dynamic factor residual network; | |
| 872 | +11. Granger-style predictive network; | |
| 873 | +12. learned graph representation, used as an extension rather than the sole method. | |
| 874 | + | |
| 875 | +## 10.2 Timing discipline | |
| 876 | + | |
| 877 | +For a shock at time \(t\), network weights \(W_{ij,t}\) must be estimated only from data dated strictly before \(t\). | |
| 878 | + | |
| 879 | +Use: | |
| 880 | + | |
| 881 | +- rolling windows; | |
| 882 | +- expanding windows; | |
| 883 | +- annual network freezes; | |
| 884 | +- monthly network freezes; | |
| 885 | +- cross-fitted network estimation. | |
| 886 | + | |
| 887 | +## 10.3 Centrality and roles | |
| 888 | + | |
| 889 | +Compute lagged: | |
| 890 | + | |
| 891 | +- out-strength; | |
| 892 | +- in-strength; | |
| 893 | +- eigenvector centrality; | |
| 894 | +- PageRank; | |
| 895 | +- betweenness; | |
| 896 | +- community bridge score; | |
| 897 | +- k-core; | |
| 898 | +- participation coefficient; | |
| 899 | +- transmitter and receiver scores. | |
| 900 | + | |
| 901 | +Define economic roles: | |
| 902 | + | |
| 903 | +- transmitter; | |
| 904 | +- receiver; | |
| 905 | +- amplifier; | |
| 906 | +- absorber; | |
| 907 | +- bridge; | |
| 908 | +- isolated security. | |
| 909 | + | |
| 910 | +Do not infer economic importance from one centrality measure alone. | |
| 911 | + | |
| 912 | +--- | |
| 913 | + | |
| 914 | +# 11. Baseline econometric designs | |
| 915 | + | |
| 916 | +## 11.1 Local projections | |
| 917 | + | |
| 918 | +Estimate horizon-specific responses: | |
| 919 | + | |
| 920 | +\[ | |
| 921 | +Y_{j,t+h} | |
| 922 | += | |
| 923 | +\alpha_{j} | |
| 924 | ++\delta_{\tau(t)} | |
| 925 | ++\lambda_{d} | |
| 926 | ++\beta_h Shock_{i,t} | |
| 927 | ++\theta_h Shock_{i,t}W_{ij,t^-} | |
| 928 | ++\Gamma_h'X_{i,j,t^-} | |
| 929 | ++u_{i,j,t+h}. | |
| 930 | +\] | |
| 931 | + | |
| 932 | +Possible fixed effects: | |
| 933 | + | |
| 934 | +- receiver security; | |
| 935 | +- source security; | |
| 936 | +- date; | |
| 937 | +- minute of day; | |
| 938 | +- source-by-year; | |
| 939 | +- receiver-by-year; | |
| 940 | +- sector-by-date; | |
| 941 | +- market-state bins. | |
| 942 | + | |
| 943 | +Do not include fixed effects that absorb the variable of interest without recognizing it. | |
| 944 | + | |
| 945 | +## 11.2 Cascade-level regressions | |
| 946 | + | |
| 947 | +At the source-shock level: | |
| 948 | + | |
| 949 | +\[ | |
| 950 | +Cascade_{i,t}(h) | |
| 951 | += | |
| 952 | +\alpha | |
| 953 | ++\beta_1 Magnitude_{i,t} | |
| 954 | ++\beta_2 Negative_{i,t} | |
| 955 | ++\beta_3 Centrality_{i,t^-} | |
| 956 | ++\beta_4 State_{t^-} | |
| 957 | ++\beta_5 Magnitude_{i,t}\times State_{t^-} | |
| 958 | ++\mu_i+\lambda_d+\delta_{\tau} | |
| 959 | ++\varepsilon_{i,t,h}. | |
| 960 | +\] | |
| 961 | + | |
| 962 | +## 11.3 Long-run evolution | |
| 963 | + | |
| 964 | +Estimate flexible time variation: | |
| 965 | + | |
| 966 | +- year fixed effects interacted with shock magnitude; | |
| 967 | +- rolling coefficients; | |
| 968 | +- decade bins; | |
| 969 | +- splines; | |
| 970 | +- structural-break tests; | |
| 971 | +- distributional regressions; | |
| 972 | +- quantile regressions. | |
| 973 | + | |
| 974 | +Do not impose a linear “algorithmic trading trend” as the only model. | |
| 975 | + | |
| 976 | +## 11.4 Nonlinearity | |
| 977 | + | |
| 978 | +Test whether propagation changes sharply beyond a threshold: | |
| 979 | + | |
| 980 | +- binscatter with confidence intervals; | |
| 981 | +- local polynomial; | |
| 982 | +- splines; | |
| 983 | +- threshold regression; | |
| 984 | +- generalized random forest for heterogeneity; | |
| 985 | +- quantile treatment effects where appropriate; | |
| 986 | +- monotonicity checks. | |
| 987 | + | |
| 988 | +The primary nonlinear result must also be represented with a transparent non-ML specification. | |
| 989 | + | |
| 990 | +## 11.5 Inference | |
| 991 | + | |
| 992 | +High-frequency observations are strongly dependent. | |
| 993 | + | |
| 994 | +Consider: | |
| 995 | + | |
| 996 | +- two-way clustering by source security and date; | |
| 997 | +- clustering by date and minute block; | |
| 998 | +- source-shock-level aggregation; | |
| 999 | +- block bootstrap by trading day; | |
| 1000 | +- stationary bootstrap; | |
| 1001 | +- randomization inference for event studies; | |
| 1002 | +- Driscoll–Kraay only if its assumptions fit; | |
| 1003 | +- multiple-hypothesis correction for families of outcomes. | |
| 1004 | + | |
| 1005 | +Report why each inference method is appropriate. | |
| 1006 | + | |
| 1007 | +--- | |
| 1008 | + | |
| 1009 | +# 12. Identification and common-information problem | |
| 1010 | + | |
| 1011 | +The central threat is that many securities react to the same information rather than to each other. | |
| 1012 | + | |
| 1013 | +Address this directly. | |
| 1014 | + | |
| 1015 | +## 12.1 Scheduled macro announcements | |
| 1016 | + | |
| 1017 | +Construct an event database for major U.S. announcements where reliable historical timestamps and surprise measures are available: | |
| 1018 | + | |
| 1019 | +- FOMC decisions and statements; | |
| 1020 | +- CPI; | |
| 1021 | +- employment report; | |
| 1022 | +- GDP; | |
| 1023 | +- retail sales; | |
| 1024 | +- PPI; | |
| 1025 | +- ISM; | |
| 1026 | +- other major scheduled releases. | |
| 1027 | + | |
| 1028 | +Use these events to: | |
| 1029 | + | |
| 1030 | +1. characterize common shocks; | |
| 1031 | +2. estimate separate propagation patterns; | |
| 1032 | +3. exclude macro windows from the idiosyncratic baseline; | |
| 1033 | +4. compare common-news and firm-originating shock dynamics. | |
| 1034 | + | |
| 1035 | +## 12.2 Firm-specific news | |
| 1036 | + | |
| 1037 | +If reliable timestamped news or earnings-announcement data can be added: | |
| 1038 | + | |
| 1039 | +- identify plausibly firm-specific shocks; | |
| 1040 | +- distinguish pre-market, intraday, and after-hours announcements; | |
| 1041 | +- use narrow event windows; | |
| 1042 | +- avoid post-treatment controls; | |
| 1043 | +- test whether economically linked firms respond more strongly. | |
| 1044 | + | |
| 1045 | +Do not use scraped or low-quality event timestamps without validation. | |
| 1046 | + | |
| 1047 | +## 12.3 Placebo timing | |
| 1048 | + | |
| 1049 | +For each real shock: | |
| 1050 | + | |
| 1051 | +- assign same-stock placebo times on comparable non-event days; | |
| 1052 | +- preserve minute-of-day and volatility state; | |
| 1053 | +- repeat the propagation analysis; | |
| 1054 | +- compare real and placebo distributions. | |
| 1055 | + | |
| 1056 | +## 12.4 Permuted networks | |
| 1057 | + | |
| 1058 | +Randomly permute network links while preserving: | |
| 1059 | + | |
| 1060 | +- degree distribution; | |
| 1061 | +- sector composition; | |
| 1062 | +- size bins; | |
| 1063 | +- liquidity bins. | |
| 1064 | + | |
| 1065 | +True networks should outperform matched placebo networks if network propagation is economically meaningful. | |
| 1066 | + | |
| 1067 | +## 12.5 Negative controls | |
| 1068 | + | |
| 1069 | +Potential negative controls: | |
| 1070 | + | |
| 1071 | +- future network weights; | |
| 1072 | +- distant unrelated securities; | |
| 1073 | +- pre-shock outcomes; | |
| 1074 | +- randomized source identity; | |
| 1075 | +- non-overlapping time windows. | |
| 1076 | + | |
| 1077 | +Future information may be used only as a falsification test, never in the baseline estimator. | |
| 1078 | + | |
| 1079 | +--- | |
| 1080 | + | |
| 1081 | +# 13. Market-structure evolution | |
| 1082 | + | |
| 1083 | +The paper may discuss algorithmic and electronic trading, but OHLCV data do not directly measure algorithmic trading intensity. | |
| 1084 | + | |
| 1085 | +Therefore: | |
| 1086 | + | |
| 1087 | +- do not claim a causal effect of algorithmic trading from a time trend alone; | |
| 1088 | +- identify documented market-structure milestones from authoritative sources; | |
| 1089 | +- treat breakpoint evidence cautiously; | |
| 1090 | +- consider alternative explanations: | |
| 1091 | + - decimalization; | |
| 1092 | + - ETF growth; | |
| 1093 | + - passive investment; | |
| 1094 | + - market fragmentation; | |
| 1095 | + - faster information diffusion; | |
| 1096 | + - changes in listing composition; | |
| 1097 | + - changes in data coverage; | |
| 1098 | + - crisis composition; | |
| 1099 | + - regulation; | |
| 1100 | + - macro volatility; | |
| 1101 | + - changing sector weights. | |
| 1102 | + | |
| 1103 | +Potential periodization must be pre-specified and justified. Results should also be shown using flexible year effects rather than only hand-picked eras. | |
| 1104 | + | |
| 1105 | +--- | |
| 1106 | + | |
| 1107 | +# 14. Machine learning and foundation-model extension | |
| 1108 | + | |
| 1109 | +A machine-learning component may be included, but it must not obscure identification. | |
| 1110 | + | |
| 1111 | +## 14.1 Prediction task | |
| 1112 | + | |
| 1113 | +Predict at shock time \(t\): | |
| 1114 | + | |
| 1115 | +- future breadth; | |
| 1116 | +- future intensity; | |
| 1117 | +- time to cascade; | |
| 1118 | +- sector-to-market transition; | |
| 1119 | +- probability of a tail cascade. | |
| 1120 | + | |
| 1121 | +## 14.2 Data splitting | |
| 1122 | + | |
| 1123 | +Use strict temporal splits: | |
| 1124 | + | |
| 1125 | +- training period; | |
| 1126 | +- validation period; | |
| 1127 | +- final untouched test period; | |
| 1128 | +- optional rolling-origin evaluation. | |
| 1129 | + | |
| 1130 | +Never randomly split minute observations across train and test. | |
| 1131 | + | |
| 1132 | +## 14.3 Baselines | |
| 1133 | + | |
| 1134 | +Compare with: | |
| 1135 | + | |
| 1136 | +- unconditional historical mean; | |
| 1137 | +- linear and logistic regressions; | |
| 1138 | +- penalized regression; | |
| 1139 | +- random forest; | |
| 1140 | +- gradient boosting; | |
| 1141 | +- HAR-style models; | |
| 1142 | +- VAR and sparse VAR; | |
| 1143 | +- Hawkes-inspired specifications where feasible; | |
| 1144 | +- LSTM; | |
| 1145 | +- temporal convolution; | |
| 1146 | +- transformer or state-space model; | |
| 1147 | +- graph neural network; | |
| 1148 | +- model without network information; | |
| 1149 | +- model without market-state information. | |
| 1150 | + | |
| 1151 | +## 14.4 Evaluation | |
| 1152 | + | |
| 1153 | +Report: | |
| 1154 | + | |
| 1155 | +- out-of-sample \(R^2\); | |
| 1156 | +- log loss; | |
| 1157 | +- Brier score; | |
| 1158 | +- AUROC; | |
| 1159 | +- precision-recall AUC; | |
| 1160 | +- calibration; | |
| 1161 | +- tail recall; | |
| 1162 | +- economic ranking performance; | |
| 1163 | +- stability across years and regimes. | |
| 1164 | + | |
| 1165 | +No trading strategy should be the main evidence. Any economic-value exercise must incorporate conservative transaction-cost assumptions and be clearly secondary. | |
| 1166 | + | |
| 1167 | +## 14.5 Interpretability | |
| 1168 | + | |
| 1169 | +Use: | |
| 1170 | + | |
| 1171 | +- partial dependence; | |
| 1172 | +- accumulated local effects; | |
| 1173 | +- SHAP with dependence-aware interpretation; | |
| 1174 | +- feature ablation; | |
| 1175 | +- network ablation; | |
| 1176 | +- temporal ablation; | |
| 1177 | +- regime-specific performance; | |
| 1178 | +- calibration plots. | |
| 1179 | + | |
| 1180 | +Do not treat model attention weights as causal explanations. | |
| 1181 | + | |
| 1182 | +--- | |
| 1183 | + | |
| 1184 | +# 15. Required robustness analyses | |
| 1185 | + | |
| 1186 | +At minimum, run: | |
| 1187 | + | |
| 1188 | +1. alternative return definitions; | |
| 1189 | +2. alternative shock thresholds; | |
| 1190 | +3. alternative factor residualizations; | |
| 1191 | +4. alternative market and sector benchmarks; | |
| 1192 | +5. alternative network definitions; | |
| 1193 | +6. alternative network estimation windows; | |
| 1194 | +7. alternative security universes; | |
| 1195 | +8. exclusion of ETFs; | |
| 1196 | +9. exclusion of ADRs; | |
| 1197 | +10. exclusion of penny stocks; | |
| 1198 | +11. exclusion of suspected split windows; | |
| 1199 | +12. regular-hours only; | |
| 1200 | +13. alternative minute aggregation: 1, 5, 10, and 15 minutes; | |
| 1201 | +14. volume-weighted and equal-weighted outcomes; | |
| 1202 | +15. opening and closing exclusions; | |
| 1203 | +16. crisis versus non-crisis samples; | |
| 1204 | +17. macro-announcement exclusions; | |
| 1205 | +18. day-block bootstrap; | |
| 1206 | +19. matched placebo shocks; | |
| 1207 | +20. permuted networks; | |
| 1208 | +21. pre-trend and pre-response tests; | |
| 1209 | +22. source-stock fixed effects; | |
| 1210 | +23. receiver-stock fixed effects; | |
| 1211 | +24. date fixed effects; | |
| 1212 | +25. sector-by-date fixed effects where computationally feasible; | |
| 1213 | +26. balanced versus unbalanced samples; | |
| 1214 | +27. winsorized versus non-winsorized outcomes; | |
| 1215 | +28. median-based robust standardization; | |
| 1216 | +29. alternative right-censoring treatment for propagation time; | |
| 1217 | +30. multiple-testing adjustments. | |
| 1218 | + | |
| 1219 | +Robustness must test the economic interpretation, not merely produce many similar regressions. | |
| 1220 | + | |
| 1221 | +--- | |
| 1222 | + | |
| 1223 | +# 16. Falsification tests | |
| 1224 | + | |
| 1225 | +The project must attempt to disprove its own central claim. | |
| 1226 | + | |
| 1227 | +Required falsifications include: | |
| 1228 | + | |
| 1229 | +- no systematic response before the source shock; | |
| 1230 | +- weak propagation through randomized networks; | |
| 1231 | +- weaker response among economically unrelated stocks; | |
| 1232 | +- stronger response after genuine shocks than matched placebo times; | |
| 1233 | +- no apparent secular acceleration caused solely by changing sample size; | |
| 1234 | +- no apparent acceleration caused solely by timestamp precision or coverage changes; | |
| 1235 | +- no result driven by a few crisis days; | |
| 1236 | +- no result driven by the largest technology stocks; | |
| 1237 | +- no result driven solely by ETFs; | |
| 1238 | +- no result generated mechanically by market-factor construction; | |
| 1239 | +- no result driven by corporate actions. | |
| 1240 | + | |
| 1241 | +If a falsification fails, do not hide it. Reassess the claim. | |
| 1242 | + | |
| 1243 | +--- | |
| 1244 | + | |
| 1245 | +# 17. Descriptive tables required | |
| 1246 | + | |
| 1247 | +Generate the following main-paper candidates. | |
| 1248 | + | |
| 1249 | +## Table I — Sample construction | |
| 1250 | + | |
| 1251 | +Include by decade or period: | |
| 1252 | + | |
| 1253 | +- raw rows; | |
| 1254 | +- raw symbols; | |
| 1255 | +- valid trading days; | |
| 1256 | +- duplicate removals; | |
| 1257 | +- invalid OHLC removals; | |
| 1258 | +- suspected corporate-action exclusions; | |
| 1259 | +- final stock-minute observations; | |
| 1260 | +- final securities; | |
| 1261 | +- median valid minutes per stock-day. | |
| 1262 | + | |
| 1263 | +## Table II — Summary statistics | |
| 1264 | + | |
| 1265 | +For core variables: | |
| 1266 | + | |
| 1267 | +- mean; | |
| 1268 | +- standard deviation; | |
| 1269 | +- p1; | |
| 1270 | +- p5; | |
| 1271 | +- median; | |
| 1272 | +- p95; | |
| 1273 | +- p99; | |
| 1274 | +- number of observations. | |
| 1275 | + | |
| 1276 | +Report at the economically appropriate unit to avoid meaningless precision. | |
| 1277 | + | |
| 1278 | +## Table III — Characteristics of source shocks | |
| 1279 | + | |
| 1280 | +Compare: | |
| 1281 | + | |
| 1282 | +- positive and negative shocks; | |
| 1283 | +- low- and high-volatility states; | |
| 1284 | +- early and late sample; | |
| 1285 | +- cascade and non-cascade shocks. | |
| 1286 | + | |
| 1287 | +## Table IV — Baseline propagation | |
| 1288 | + | |
| 1289 | +Show horizon-specific coefficients for breadth, intensity, and persistence. | |
| 1290 | + | |
| 1291 | +## Table V — Nonlinearity and asymmetry | |
| 1292 | + | |
| 1293 | +Show shock-size bins, negative interaction, and market-state interactions. | |
| 1294 | + | |
| 1295 | +## Table VI — Evolution over time | |
| 1296 | + | |
| 1297 | +Show flexible period or year interactions and tests of equality. | |
| 1298 | + | |
| 1299 | +## Table VII — Network mechanisms | |
| 1300 | + | |
| 1301 | +Compare connected and unconnected receivers and transmitter centrality. | |
| 1302 | + | |
| 1303 | +## Table VIII — Identification and placebo tests | |
| 1304 | + | |
| 1305 | +Include macro exclusions, matched placebo times, and permuted networks. | |
| 1306 | + | |
| 1307 | +Keep the main manuscript selective. Move secondary tables to the Internet Appendix. | |
| 1308 | + | |
| 1309 | +--- | |
| 1310 | + | |
| 1311 | +# 18. Figures required | |
| 1312 | + | |
| 1313 | +Create journal-quality figures in PDF and high-resolution PNG. | |
| 1314 | + | |
| 1315 | +## Figure 1 — Data coverage | |
| 1316 | + | |
| 1317 | +Panels may show: | |
| 1318 | + | |
| 1319 | +- number of securities by year; | |
| 1320 | +- number of observations by year; | |
| 1321 | +- median bars per stock-day; | |
| 1322 | +- missingness rate. | |
| 1323 | + | |
| 1324 | +## Figure 2 — Intraday seasonality | |
| 1325 | + | |
| 1326 | +Show minute-of-day patterns for: | |
| 1327 | + | |
| 1328 | +- volatility; | |
| 1329 | +- volume; | |
| 1330 | +- range; | |
| 1331 | +- shock incidence. | |
| 1332 | + | |
| 1333 | +## Figure 3 — Anatomy of a representative cascade | |
| 1334 | + | |
| 1335 | +A carefully selected event visualization with: | |
| 1336 | + | |
| 1337 | +- source shock; | |
| 1338 | +- sector response; | |
| 1339 | +- market breadth; | |
| 1340 | +- network diffusion; | |
| 1341 | +- confidence or placebo envelope where possible. | |
| 1342 | + | |
| 1343 | +Do not cherry-pick without a transparent selection rule. | |
| 1344 | + | |
| 1345 | +## Figure 4 — Impulse responses | |
| 1346 | + | |
| 1347 | +Local-projection responses over 1–120 minutes for: | |
| 1348 | + | |
| 1349 | +- breadth; | |
| 1350 | +- intensity; | |
| 1351 | +- signed returns; | |
| 1352 | +- volatility. | |
| 1353 | + | |
| 1354 | +## Figure 5 — Nonlinear propagation | |
| 1355 | + | |
| 1356 | +Plot propagation against source-shock magnitude with confidence bands. | |
| 1357 | + | |
| 1358 | +## Figure 6 — Positive-negative asymmetry | |
| 1359 | + | |
| 1360 | +Show comparable positive and negative shocks. | |
| 1361 | + | |
| 1362 | +## Figure 7 — Evolution over time | |
| 1363 | + | |
| 1364 | +Show annual or rolling estimates of propagation speed and breadth. | |
| 1365 | + | |
| 1366 | +## Figure 8 — Network position and cascade risk | |
| 1367 | + | |
| 1368 | +Show economically interpretable bins of lagged source centrality. | |
| 1369 | + | |
| 1370 | +## Figure 9 — Market-state dependence | |
| 1371 | + | |
| 1372 | +Compare calm and stressed states. | |
| 1373 | + | |
| 1374 | +## Figure 10 — Falsification evidence | |
| 1375 | + | |
| 1376 | +Real versus matched placebo and real versus permuted-network responses. | |
| 1377 | + | |
| 1378 | +--- | |
| 1379 | + | |
| 1380 | +# 19. Figure style: Journal of Finance quality | |
| 1381 | + | |
| 1382 | +The phrase “JF style” means restrained, legible, publication-quality academic graphics, not imitation of proprietary branding. | |
| 1383 | + | |
| 1384 | +Use: | |
| 1385 | + | |
| 1386 | +- vector PDF as the primary format; | |
| 1387 | +- embedded fonts; | |
| 1388 | +- white background; | |
| 1389 | +- minimal chart ink; | |
| 1390 | +- no 3D effects; | |
| 1391 | +- no gradients; | |
| 1392 | +- no decorative icons; | |
| 1393 | +- no unnecessary borders; | |
| 1394 | +- no chart titles inside the plotting region unless essential; | |
| 1395 | +- concise axis labels; | |
| 1396 | +- consistent font family and sizing; | |
| 1397 | +- grayscale-safe line types and markers; | |
| 1398 | +- colorblind-safe colors when color is needed; | |
| 1399 | +- direct labels where clearer than legends; | |
| 1400 | +- confidence bands with restrained opacity; | |
| 1401 | +- panel labels `(a)`, `(b)`, etc.; | |
| 1402 | +- identical scales across comparable panels; | |
| 1403 | +- economically meaningful tick marks; | |
| 1404 | +- no scientific notation unless unavoidable; | |
| 1405 | +- no excessive decimal places. | |
| 1406 | + | |
| 1407 | +Every figure must include a LaTeX note explaining: | |
| 1408 | + | |
| 1409 | +- sample; | |
| 1410 | +- variable definitions; | |
| 1411 | +- estimation method; | |
| 1412 | +- confidence intervals; | |
| 1413 | +- clustering or bootstrap; | |
| 1414 | +- normalization; | |
| 1415 | +- exclusions. | |
| 1416 | + | |
| 1417 | +Save source data for every figure as Parquet or CSV in: | |
| 1418 | + | |
| 1419 | +```text | |
| 1420 | +outputs/figures/data/ | |
| 1421 | +``` | |
| 1422 | + | |
| 1423 | +A figure must be reproducible from its source-data file without rerunning the entire empirical pipeline. | |
| 1424 | + | |
| 1425 | +--- | |
| 1426 | + | |
| 1427 | +# 20. LaTeX table style | |
| 1428 | + | |
| 1429 | +Use `booktabs`. Avoid vertical rules. Avoid excessive horizontal rules. | |
| 1430 | + | |
| 1431 | +Preferred packages: | |
| 1432 | + | |
| 1433 | +```latex | |
| 1434 | +\usepackage{booktabs} | |
| 1435 | +\usepackage{threeparttable} | |
| 1436 | +\usepackage{siunitx} | |
| 1437 | +\usepackage{adjustbox} | |
| 1438 | +\usepackage{longtable} | |
| 1439 | +\usepackage{tabularx} | |
| 1440 | +\usepackage{pdflscape} | |
| 1441 | +``` | |
| 1442 | + | |
| 1443 | +Requirements: | |
| 1444 | + | |
| 1445 | +- decimal alignment; | |
| 1446 | +- consistent coefficient precision; | |
| 1447 | +- standard errors in parentheses; | |
| 1448 | +- significance stars only as a secondary visual convention; | |
| 1449 | +- report exact or thresholded p-values where useful; | |
| 1450 | +- clearly label fixed effects; | |
| 1451 | +- clearly label clustering; | |
| 1452 | +- include sample size; | |
| 1453 | +- include within or adjusted \(R^2\) as appropriate; | |
| 1454 | +- include dependent-variable mean when informative; | |
| 1455 | +- include economic magnitude; | |
| 1456 | +- use clear panel headings; | |
| 1457 | +- use detailed table notes; | |
| 1458 | +- avoid shrinking text below readability. | |
| 1459 | + | |
| 1460 | +Do not use stars as the main argument. Emphasize coefficient magnitude, confidence intervals, and economic interpretation. | |
| 1461 | + | |
| 1462 | +Generate each table in two forms: | |
| 1463 | + | |
| 1464 | +1. standalone `.tex`; | |
| 1465 | +2. machine-readable `.csv` or `.parquet`. | |
| 1466 | + | |
| 1467 | +All table numbers must come directly from stored estimation objects. | |
| 1468 | + | |
| 1469 | +--- | |
| 1470 | + | |
| 1471 | +# 21. Literature review standard | |
| 1472 | + | |
| 1473 | +The literature review must be comprehensive, current, accurate, and organized around the paper’s contribution. It must not be a list of summaries. | |
| 1474 | + | |
| 1475 | +## 21.1 Literature streams | |
| 1476 | + | |
| 1477 | +Build a literature map covering at least: | |
| 1478 | + | |
| 1479 | +1. market liquidity and liquidity risk; | |
| 1480 | +2. commonality in liquidity; | |
| 1481 | +3. market microstructure and price discovery; | |
| 1482 | +4. high-frequency trading and algorithmic trading; | |
| 1483 | +5. market fragility and flash events; | |
| 1484 | +6. cross-asset price impact and cross-impact; | |
| 1485 | +7. volatility spillovers and contagion networks; | |
| 1486 | +8. lead-lag relationships; | |
| 1487 | +9. intraday jumps; | |
| 1488 | +10. Hawkes processes and self-excitation; | |
| 1489 | +11. factor models for high-frequency returns; | |
| 1490 | +12. electronic-market design and fragmentation; | |
| 1491 | +13. ETF, passive, and portfolio-trading effects; | |
| 1492 | +14. systemic risk and network centrality; | |
| 1493 | +15. machine learning in market microstructure; | |
| 1494 | +16. measurement using OHLCV versus trades and quotes. | |
| 1495 | + | |
| 1496 | +## 21.2 Source quality hierarchy | |
| 1497 | + | |
| 1498 | +Prioritize: | |
| 1499 | + | |
| 1500 | +1. published articles in leading finance, economics, econometrics, and statistics journals; | |
| 1501 | +2. authoritative working papers from NBER, CEPR, central banks, BIS, and established scholars; | |
| 1502 | +3. official exchange, SEC, Federal Reserve, and regulatory documents; | |
| 1503 | +4. recent working papers only when directly relevant and clearly labeled as unpublished. | |
| 1504 | + | |
| 1505 | +Do not rely on blogs, generic websites, generated summaries, or low-quality outlets for core claims. | |
| 1506 | + | |
| 1507 | +## 21.3 Citation verification | |
| 1508 | + | |
| 1509 | +For every cited work: | |
| 1510 | + | |
| 1511 | +- verify title; | |
| 1512 | +- verify authors; | |
| 1513 | +- verify year; | |
| 1514 | +- verify journal or working-paper series; | |
| 1515 | +- verify volume, issue, and pages where applicable; | |
| 1516 | +- verify DOI where available; | |
| 1517 | +- verify that the paper actually supports the sentence; | |
| 1518 | +- save the source and citation metadata; | |
| 1519 | +- never cite a work based only on another paper’s bibliography. | |
| 1520 | + | |
| 1521 | +Maintain `docs/LITERATURE_MAP.md` with columns: | |
| 1522 | + | |
| 1523 | +- citation key; | |
| 1524 | +- full citation; | |
| 1525 | +- literature stream; | |
| 1526 | +- research question; | |
| 1527 | +- data; | |
| 1528 | +- frequency; | |
| 1529 | +- identification; | |
| 1530 | +- main result; | |
| 1531 | +- relevance; | |
| 1532 | +- difference from our paper; | |
| 1533 | +- verified source; | |
| 1534 | +- verification date. | |
| 1535 | + | |
| 1536 | +## 21.4 Literature review argument | |
| 1537 | + | |
| 1538 | +The review should establish: | |
| 1539 | + | |
| 1540 | +1. liquidity and volatility exhibit common components; | |
| 1541 | +2. shocks can transmit across assets through information and trading channels; | |
| 1542 | +3. high-frequency market structure may improve normal-times efficiency while creating tail fragility; | |
| 1543 | +4. prior work often studies limited instruments, shorter samples, quotes/order books, particular episodes, or lower-dimensional networks; | |
| 1544 | +5. the present paper contributes a long historical, broad cross-section of minute-level U.S. equity data; | |
| 1545 | +6. OHLCV breadth comes with measurement limitations; | |
| 1546 | +7. the paper’s novelty lies in the joint analysis of speed, breadth, persistence, asymmetry, time evolution, and network conditioning. | |
| 1547 | + | |
| 1548 | +Do not overclaim uniqueness until a documented literature search confirms it. | |
| 1549 | + | |
| 1550 | +--- | |
| 1551 | + | |
| 1552 | +# 22. Paper outline | |
| 1553 | + | |
| 1554 | +The paper must be written in English. | |
| 1555 | + | |
| 1556 | +## 22.1 Abstract | |
| 1557 | + | |
| 1558 | +Target approximately 120–180 words unless the current submission rules require otherwise. | |
| 1559 | + | |
| 1560 | +The abstract must contain: | |
| 1561 | + | |
| 1562 | +1. question; | |
| 1563 | +2. data; | |
| 1564 | +3. method; | |
| 1565 | +4. central result; | |
| 1566 | +5. mechanism; | |
| 1567 | +6. implication. | |
| 1568 | + | |
| 1569 | +Do not include vague claims such as “significant implications.” State the economic fact. | |
| 1570 | + | |
| 1571 | +## 22.2 Introduction | |
| 1572 | + | |
| 1573 | +The introduction should be approximately 4–6 manuscript pages and follow this logic: | |
| 1574 | + | |
| 1575 | +### Paragraph 1 — Economic problem | |
| 1576 | +Explain why intraday propagation matters for price discovery, liquidity, execution, and systemic stability. | |
| 1577 | + | |
| 1578 | +### Paragraph 2 — Tension | |
| 1579 | +Present the core tension: faster and more liquid markets may absorb ordinary information efficiently but transmit extreme shocks rapidly. | |
| 1580 | + | |
| 1581 | +### Paragraph 3 — Research question | |
| 1582 | +State exactly what the paper asks. | |
| 1583 | + | |
| 1584 | +### Paragraph 4 — Data and empirical setting | |
| 1585 | +Describe the broad minute-level panel, while flagging that validation determines the final sample. | |
| 1586 | + | |
| 1587 | +### Paragraphs 5–7 — Main findings | |
| 1588 | +Present only verified findings, including economic magnitudes and uncertainty. | |
| 1589 | + | |
| 1590 | +### Paragraph 8 — Identification | |
| 1591 | +Explain how the paper distinguishes propagation from common information. | |
| 1592 | + | |
| 1593 | +### Paragraph 9 — Mechanisms | |
| 1594 | +Summarize network, market-state, and asymmetry evidence. | |
| 1595 | + | |
| 1596 | +### Paragraphs 10–12 — Contributions | |
| 1597 | +State contributions relative to specific literature streams. | |
| 1598 | + | |
| 1599 | +### Final paragraph — Road map | |
| 1600 | +Keep it brief. | |
| 1601 | + | |
| 1602 | +The introduction must not read like a technical report. It must build an economic argument. | |
| 1603 | + | |
| 1604 | +## 22.3 Literature review | |
| 1605 | + | |
| 1606 | +Integrate literature with hypotheses and contributions. Avoid a long disconnected catalog. | |
| 1607 | + | |
| 1608 | +## 22.4 Data | |
| 1609 | + | |
| 1610 | +Explain: | |
| 1611 | + | |
| 1612 | +- provenance; | |
| 1613 | +- raw structure; | |
| 1614 | +- coverage; | |
| 1615 | +- audit; | |
| 1616 | +- filters; | |
| 1617 | +- timestamp convention; | |
| 1618 | +- corporate-action handling; | |
| 1619 | +- security identity; | |
| 1620 | +- survivorship concerns; | |
| 1621 | +- descriptive statistics; | |
| 1622 | +- limitations. | |
| 1623 | + | |
| 1624 | +## 22.5 Measurement | |
| 1625 | + | |
| 1626 | +Define: | |
| 1627 | + | |
| 1628 | +- residual shocks; | |
| 1629 | +- propagation outcomes; | |
| 1630 | +- networks; | |
| 1631 | +- market states; | |
| 1632 | +- centrality; | |
| 1633 | +- cascade thresholds. | |
| 1634 | + | |
| 1635 | +## 22.6 Empirical design | |
| 1636 | + | |
| 1637 | +Explain: | |
| 1638 | + | |
| 1639 | +- local projections; | |
| 1640 | +- event-study design; | |
| 1641 | +- fixed effects; | |
| 1642 | +- inference; | |
| 1643 | +- timing; | |
| 1644 | +- identification assumptions; | |
| 1645 | +- threats. | |
| 1646 | + | |
| 1647 | +## 22.7 Results | |
| 1648 | + | |
| 1649 | +Organize by economic question, not by code execution order. | |
| 1650 | + | |
| 1651 | +Suggested sequence: | |
| 1652 | + | |
| 1653 | +1. basic propagation; | |
| 1654 | +2. nonlinear threshold; | |
| 1655 | +3. asymmetry; | |
| 1656 | +4. time evolution; | |
| 1657 | +5. network mechanism; | |
| 1658 | +6. market-state dependence; | |
| 1659 | +7. identification and placebo evidence. | |
| 1660 | + | |
| 1661 | +## 22.8 Robustness | |
| 1662 | + | |
| 1663 | +Keep the main text focused. Refer to a detailed Internet Appendix. | |
| 1664 | + | |
| 1665 | +## 22.9 Conclusion | |
| 1666 | + | |
| 1667 | +Do not merely summarize. State: | |
| 1668 | + | |
| 1669 | +- what was learned; | |
| 1670 | +- what remains unidentified; | |
| 1671 | +- implications for market design and risk monitoring; | |
| 1672 | +- limits of OHLCV data; | |
| 1673 | +- future work with quote and order-book data. | |
| 1674 | + | |
| 1675 | +--- | |
| 1676 | + | |
| 1677 | +# 23. Writing standards | |
| 1678 | + | |
| 1679 | +The paper must read like a finance paper, not AI-generated prose. | |
| 1680 | + | |
| 1681 | +Use: | |
| 1682 | + | |
| 1683 | +- precise claims; | |
| 1684 | +- active voice where natural; | |
| 1685 | +- disciplined paragraphs; | |
| 1686 | +- explicit economic magnitudes; | |
| 1687 | +- clear transitions; | |
| 1688 | +- restrained tone; | |
| 1689 | +- correct terminology; | |
| 1690 | +- consistent notation. | |
| 1691 | + | |
| 1692 | +Avoid: | |
| 1693 | + | |
| 1694 | +- hype; | |
| 1695 | +- “revolutionary”; | |
| 1696 | +- “groundbreaking” unless quoting; | |
| 1697 | +- “unprecedented” without proof; | |
| 1698 | +- “leveraging” as filler; | |
| 1699 | +- “delve”; | |
| 1700 | +- “multifaceted”; | |
| 1701 | +- repeated road maps; | |
| 1702 | +- excessive bullet points in the manuscript; | |
| 1703 | +- paragraphs that merely describe tables; | |
| 1704 | +- causal verbs without identification; | |
| 1705 | +- statements that statistical significance proves importance. | |
| 1706 | + | |
| 1707 | +Every empirical paragraph should answer: | |
| 1708 | + | |
| 1709 | +1. What is estimated? | |
| 1710 | +2. What is the sign and magnitude? | |
| 1711 | +3. How uncertain is it? | |
| 1712 | +4. What is the economic interpretation? | |
| 1713 | +5. Which competing explanation remains? | |
| 1714 | +6. Which robustness test addresses it? | |
| 1715 | + | |
| 1716 | +--- | |
| 1717 | + | |
| 1718 | +# 24. JF submission preparation | |
| 1719 | + | |
| 1720 | +At the time of final preparation, verify the current official Journal of Finance submission instructions. | |
| 1721 | + | |
| 1722 | +The working format should conservatively use: | |
| 1723 | + | |
| 1724 | +- 12-point font; | |
| 1725 | +- at least 1.5 line spacing; | |
| 1726 | +- readable margins; | |
| 1727 | +- page numbers; | |
| 1728 | +- anonymous manuscript version; | |
| 1729 | +- separate title page if required; | |
| 1730 | +- main manuscript no longer than the current JF limit; | |
| 1731 | +- separate Internet Appendix; | |
| 1732 | +- consistent references; | |
| 1733 | +- tables and figures placed according to current instructions. | |
| 1734 | + | |
| 1735 | +Do not assume old formatting rules remain current. Record the date and source of the final guideline check in: | |
| 1736 | + | |
| 1737 | +```text | |
| 1738 | +docs/DECISION_LOG.md | |
| 1739 | +``` | |
| 1740 | + | |
| 1741 | +Create: | |
| 1742 | + | |
| 1743 | +```text | |
| 1744 | +outputs/release/ | |
| 1745 | +├── manuscript_anonymous.pdf | |
| 1746 | +├── manuscript_named.pdf | |
| 1747 | +├── internet_appendix.pdf | |
| 1748 | +├── title_page.pdf | |
| 1749 | +├── cover_letter.tex | |
| 1750 | +├── cover_letter.pdf | |
| 1751 | +├── source_archive.zip | |
| 1752 | +├── replication_manifest.json | |
| 1753 | +└── submission_checklist.md | |
| 1754 | +``` | |
| 1755 | + | |
| 1756 | +The cover letter must be factual and restrained. Do not claim acceptance probability or editorial fit without evidence. | |
| 1757 | + | |
| 1758 | +--- | |
| 1759 | + | |
| 1760 | +# 25. Main paper versus Internet Appendix | |
| 1761 | + | |
| 1762 | +## Main paper | |
| 1763 | + | |
| 1764 | +Reserve for: | |
| 1765 | + | |
| 1766 | +- core question; | |
| 1767 | +- central descriptive evidence; | |
| 1768 | +- primary identification; | |
| 1769 | +- main economic mechanism; | |
| 1770 | +- essential robustness; | |
| 1771 | +- clear contribution. | |
| 1772 | + | |
| 1773 | +## Internet Appendix | |
| 1774 | + | |
| 1775 | +Include: | |
| 1776 | + | |
| 1777 | +- extended data audit; | |
| 1778 | +- full sample-construction details; | |
| 1779 | +- additional variable definitions; | |
| 1780 | +- alternative filters; | |
| 1781 | +- alternative networks; | |
| 1782 | +- alternative thresholds; | |
| 1783 | +- additional event studies; | |
| 1784 | +- placebo distributions; | |
| 1785 | +- machine-learning architecture; | |
| 1786 | +- hyperparameters; | |
| 1787 | +- computational details; | |
| 1788 | +- additional tables and figures; | |
| 1789 | +- proofs or derivations; | |
| 1790 | +- replication details. | |
| 1791 | + | |
| 1792 | +Every appendix item must be referenced from the main paper where relevant. | |
| 1793 | + | |
| 1794 | +--- | |
| 1795 | + | |
| 1796 | +# 26. Reproducibility and provenance | |
| 1797 | + | |
| 1798 | +## 26.1 Configuration | |
| 1799 | + | |
| 1800 | +All parameters must live in versioned YAML files, not scattered through scripts. | |
| 1801 | + | |
| 1802 | +## 26.2 Random seeds | |
| 1803 | + | |
| 1804 | +Set and log seeds for: | |
| 1805 | + | |
| 1806 | +- sampling; | |
| 1807 | +- bootstraps; | |
| 1808 | +- permutations; | |
| 1809 | +- machine learning; | |
| 1810 | +- graph estimation; | |
| 1811 | +- simulations. | |
| 1812 | + | |
| 1813 | +## 26.3 Versioning | |
| 1814 | + | |
| 1815 | +Record: | |
| 1816 | + | |
| 1817 | +- Git commit; | |
| 1818 | +- Python version; | |
| 1819 | +- package versions; | |
| 1820 | +- OS; | |
| 1821 | +- hardware; | |
| 1822 | +- dataset revision; | |
| 1823 | +- external-data revision; | |
| 1824 | +- command line; | |
| 1825 | +- start and end time. | |
| 1826 | + | |
| 1827 | +## 26.4 Data lineage | |
| 1828 | + | |
| 1829 | +Each processed file must record: | |
| 1830 | + | |
| 1831 | +- parent inputs; | |
| 1832 | +- transformation version; | |
| 1833 | +- filters; | |
| 1834 | +- row counts before and after; | |
| 1835 | +- creation timestamp; | |
| 1836 | +- code commit. | |
| 1837 | + | |
| 1838 | +## 26.5 No manual numerical edits | |
| 1839 | + | |
| 1840 | +LaTeX tables, abstract numbers, introduction magnitudes, and conclusion numbers must be populated from a central results registry such as: | |
| 1841 | + | |
| 1842 | +```text | |
| 1843 | +outputs/estimates/results_registry.json | |
| 1844 | +``` | |
| 1845 | + | |
| 1846 | +Implement macros such as: | |
| 1847 | + | |
| 1848 | +```latex | |
| 1849 | +\newcommand{\MainBreadthEffect}{...} | |
| 1850 | +``` | |
| 1851 | + | |
| 1852 | +generated automatically from verified outputs. | |
| 1853 | + | |
| 1854 | +--- | |
| 1855 | + | |
| 1856 | +# 27. Compute strategy for a cluster | |
| 1857 | + | |
| 1858 | +The pipeline must be scalable but safe. | |
| 1859 | + | |
| 1860 | +## 27.1 Preferred data tools | |
| 1861 | + | |
| 1862 | +Consider: | |
| 1863 | + | |
| 1864 | +- PyArrow; | |
| 1865 | +- Polars lazy execution; | |
| 1866 | +- DuckDB; | |
| 1867 | +- Dask or Ray only where they add value; | |
| 1868 | +- partitioned Parquet; | |
| 1869 | +- predicate pushdown; | |
| 1870 | +- memory-mapped reads; | |
| 1871 | +- streaming aggregations. | |
| 1872 | + | |
| 1873 | +Avoid loading the full dataset into RAM. | |
| 1874 | + | |
| 1875 | +## 27.2 Partitioning | |
| 1876 | + | |
| 1877 | +Partition processed data by a combination of: | |
| 1878 | + | |
| 1879 | +- year; | |
| 1880 | +- month; | |
| 1881 | +- trading date; | |
| 1882 | +- symbol bucket. | |
| 1883 | + | |
| 1884 | +Select partitions based on dominant query patterns. | |
| 1885 | + | |
| 1886 | +## 27.3 Distributed jobs | |
| 1887 | + | |
| 1888 | +Every distributed task must: | |
| 1889 | + | |
| 1890 | +- be idempotent; | |
| 1891 | +- write to temporary paths; | |
| 1892 | +- atomically rename on success; | |
| 1893 | +- save checkpoints; | |
| 1894 | +- avoid multiple nodes writing the same final file; | |
| 1895 | +- emit structured logs; | |
| 1896 | +- support retry; | |
| 1897 | +- validate output before success. | |
| 1898 | + | |
| 1899 | +## 27.4 Resource benchmarking | |
| 1900 | + | |
| 1901 | +Before a full run: | |
| 1902 | + | |
| 1903 | +1. benchmark one month; | |
| 1904 | +2. benchmark one year; | |
| 1905 | +3. estimate CPU hours; | |
| 1906 | +4. estimate memory; | |
| 1907 | +5. estimate temporary storage; | |
| 1908 | +6. estimate final storage; | |
| 1909 | +7. record in `docs/COMPUTE_LOG.md`. | |
| 1910 | + | |
| 1911 | +Optimization must not change estimands or silently alter precision. | |
| 1912 | + | |
| 1913 | +--- | |
| 1914 | + | |
| 1915 | +# 28. Testing and validation | |
| 1916 | + | |
| 1917 | +## 28.1 Unit tests | |
| 1918 | + | |
| 1919 | +Test: | |
| 1920 | + | |
| 1921 | +- timestamp conversion; | |
| 1922 | +- session assignment; | |
| 1923 | +- return calculation; | |
| 1924 | +- shock detection; | |
| 1925 | +- lag discipline; | |
| 1926 | +- no future-data leakage; | |
| 1927 | +- network-window cutoffs; | |
| 1928 | +- breadth denominator; | |
| 1929 | +- session-boundary horizons; | |
| 1930 | +- table formatting. | |
| 1931 | + | |
| 1932 | +## 28.2 Synthetic-data tests | |
| 1933 | + | |
| 1934 | +Generate small synthetic panels with known: | |
| 1935 | + | |
| 1936 | +- common shocks; | |
| 1937 | +- idiosyncratic shocks; | |
| 1938 | +- directed propagation; | |
| 1939 | +- no propagation; | |
| 1940 | +- positive-negative asymmetry; | |
| 1941 | +- missing bars; | |
| 1942 | +- split-like jumps. | |
| 1943 | + | |
| 1944 | +Confirm that the pipeline recovers the intended patterns and rejects false ones. | |
| 1945 | + | |
| 1946 | +## 28.3 Release validation | |
| 1947 | + | |
| 1948 | +The release script must fail if: | |
| 1949 | + | |
| 1950 | +- a table references a missing result; | |
| 1951 | +- a figure is missing source data; | |
| 1952 | +- LaTeX does not compile; | |
| 1953 | +- citations are unresolved; | |
| 1954 | +- labels are duplicated; | |
| 1955 | +- page count exceeds the current target; | |
| 1956 | +- anonymous PDF contains author-identifying text; | |
| 1957 | +- manuscript claims disagree with the results registry; | |
| 1958 | +- data revision is not pinned; | |
| 1959 | +- tests fail. | |
| 1960 | + | |
| 1961 | +--- | |
| 1962 | + | |
| 1963 | +# 29. Decision log | |
| 1964 | + | |
| 1965 | +Maintain `docs/DECISION_LOG.md`. | |
| 1966 | + | |
| 1967 | +For every major choice, record: | |
| 1968 | + | |
| 1969 | +- date; | |
| 1970 | +- decision; | |
| 1971 | +- alternatives considered; | |
| 1972 | +- empirical reason; | |
| 1973 | +- theoretical reason; | |
| 1974 | +- effect on interpretation; | |
| 1975 | +- whether pre-specified or data-driven; | |
| 1976 | +- code/config reference. | |
| 1977 | + | |
| 1978 | +Important decisions include: | |
| 1979 | + | |
| 1980 | +- timestamp convention; | |
| 1981 | +- regular-session definition; | |
| 1982 | +- security filters; | |
| 1983 | +- shock threshold; | |
| 1984 | +- network window; | |
| 1985 | +- factor model; | |
| 1986 | +- clustering; | |
| 1987 | +- periodization; | |
| 1988 | +- figure selection; | |
| 1989 | +- main versus appendix placement. | |
| 1990 | + | |
| 1991 | +--- | |
| 1992 | + | |
| 1993 | +# 30. Minimum deliverables for the first phase | |
| 1994 | + | |
| 1995 | +The first phase is complete only when all the following exist. | |
| 1996 | + | |
| 1997 | +## Data acquisition | |
| 1998 | + | |
| 1999 | +- [ ] repository metadata report; | |
| 2000 | +- [ ] pinned dataset revision; | |
| 2001 | +- [ ] storage estimate; | |
| 2002 | +- [ ] resumable downloader; | |
| 2003 | +- [ ] raw manifest; | |
| 2004 | +- [ ] checksum verification; | |
| 2005 | +- [ ] three-month pilot sample; | |
| 2006 | +- [ ] full-download plan. | |
| 2007 | + | |
| 2008 | +## Audit | |
| 2009 | + | |
| 2010 | +- [ ] schema report; | |
| 2011 | +- [ ] timestamp report; | |
| 2012 | +- [ ] calendar report; | |
| 2013 | +- [ ] OHLC validity report; | |
| 2014 | +- [ ] duplicate report; | |
| 2015 | +- [ ] missingness report; | |
| 2016 | +- [ ] corporate-action diagnostic; | |
| 2017 | +- [ ] security-universe diagnostic; | |
| 2018 | +- [ ] survivorship assessment; | |
| 2019 | +- [ ] limitations memo. | |
| 2020 | + | |
| 2021 | +## Prototype analysis | |
| 2022 | + | |
| 2023 | +- [ ] clean pilot panel; | |
| 2024 | +- [ ] intraday seasonality figure; | |
| 2025 | +- [ ] sample-coverage figure; | |
| 2026 | +- [ ] preliminary shock definition; | |
| 2027 | +- [ ] preliminary cascade measure; | |
| 2028 | +- [ ] one transparent baseline regression; | |
| 2029 | +- [ ] one placebo test; | |
| 2030 | +- [ ] one LaTeX summary-statistics table; | |
| 2031 | +- [ ] one LaTeX baseline-results table. | |
| 2032 | + | |
| 2033 | +## Paper infrastructure | |
| 2034 | + | |
| 2035 | +- [ ] compiling `main.tex`; | |
| 2036 | +- [ ] compiling Internet Appendix; | |
| 2037 | +- [ ] verified bibliography workflow; | |
| 2038 | +- [ ] literature map; | |
| 2039 | +- [ ] introduction outline; | |
| 2040 | +- [ ] data-section draft based only on verified facts; | |
| 2041 | +- [ ] automated figure and table inclusion. | |
| 2042 | + | |
| 2043 | +--- | |
| 2044 | + | |
| 2045 | +# 31. Stop conditions | |
| 2046 | + | |
| 2047 | +Stop and write a diagnostic report rather than proceeding if: | |
| 2048 | + | |
| 2049 | +- timestamps cannot be interpreted reliably; | |
| 2050 | +- OHLC values are extensively inconsistent; | |
| 2051 | +- split adjustments cannot be handled sufficiently for return analysis; | |
| 2052 | +- the universe is severely survivorship-biased and cannot be characterized; | |
| 2053 | +- historical coverage is too sparse for the claimed design; | |
| 2054 | +- symbol identity errors dominate long-run comparisons; | |
| 2055 | +- data licensing prevents the intended use; | |
| 2056 | +- results depend on undocumented transformations; | |
| 2057 | +- common-news contamination cannot be separated even approximately; | |
| 2058 | +- inference is computationally impossible at the intended unit without changing the design. | |
| 2059 | + | |
| 2060 | +A rigorous negative assessment is preferable to a polished but invalid paper. | |
| 2061 | + | |
| 2062 | +--- | |
| 2063 | + | |
| 2064 | +# 32. Commands and workflow | |
| 2065 | + | |
| 2066 | +Create a Makefile with targets similar to: | |
| 2067 | + | |
| 2068 | +```make | |
| 2069 | +probe | |
| 2070 | +download-pilot | |
| 2071 | +audit-pilot | |
| 2072 | +download-full | |
| 2073 | +verify-data | |
| 2074 | +build-panel | |
| 2075 | +build-features | |
| 2076 | +detect-shocks | |
| 2077 | +estimate-networks | |
| 2078 | +estimate-baseline | |
| 2079 | +estimate-events | |
| 2080 | +run-placebos | |
| 2081 | +run-robustness | |
| 2082 | +figures | |
| 2083 | +tables | |
| 2084 | +paper | |
| 2085 | +appendix | |
| 2086 | +validate | |
| 2087 | +release | |
| 2088 | +``` | |
| 2089 | + | |
| 2090 | +A complete reproducible run should ultimately be possible through: | |
| 2091 | + | |
| 2092 | +```bash | |
| 2093 | +make release | |
| 2094 | +``` | |
| 2095 | + | |
| 2096 | +Do not run `make release` until the pilot audit and full-data checks pass. | |
| 2097 | + | |
| 2098 | +--- | |
| 2099 | + | |
| 2100 | +# 33. Immediate actions | |
| 2101 | + | |
| 2102 | +Begin now with the following actions, in order: | |
| 2103 | + | |
| 2104 | +1. Create the project directory structure. | |
| 2105 | +2. Initialize environment and dependency files. | |
| 2106 | +3. Inspect the Hugging Face dataset repository without downloading all files. | |
| 2107 | +4. Pin the exact dataset revision. | |
| 2108 | +5. Create a repository-level file inventory. | |
| 2109 | +6. Estimate total download and processed-storage needs. | |
| 2110 | +7. Download three strategically selected monthly files: | |
| 2111 | + - one early month; | |
| 2112 | + - one middle-sample month; | |
| 2113 | + - one recent month. | |
| 2114 | +8. Audit schema and timestamps. | |
| 2115 | +9. Produce `docs/DATA_AUDIT.md`. | |
| 2116 | +10. Produce `docs/LIMITATIONS.md`. | |
| 2117 | +11. Produce pilot coverage and intraday-seasonality figures. | |
| 2118 | +12. Produce one summary-statistics LaTeX table. | |
| 2119 | +13. Build `docs/LITERATURE_MAP.md` and begin a verified literature search. | |
| 2120 | +14. Create a compiling LaTeX manuscript skeleton. | |
| 2121 | +15. Draft only the portions of the Data section supported by the audit. | |
| 2122 | +16. Report blockers and proposed solutions before launching the full download. | |
| 2123 | + | |
| 2124 | +At the end of each major stage, produce: | |
| 2125 | + | |
| 2126 | +```text | |
| 2127 | +STATUS.md | |
| 2128 | +``` | |
| 2129 | + | |
| 2130 | +with: | |
| 2131 | + | |
| 2132 | +- completed work; | |
| 2133 | +- generated files; | |
| 2134 | +- key findings; | |
| 2135 | +- quality-control results; | |
| 2136 | +- unresolved issues; | |
| 2137 | +- next commands; | |
| 2138 | +- decisions requiring attention. | |
| 2139 | + | |
| 2140 | +Do not ask for confirmation for routine implementation choices. Make the most defensible choice, record it, and continue. Escalate only issues that materially alter the research question, data legality, identification, or interpretation. | |
| 2141 | + | |
| 2142 | +--- | |
| 2143 | + | |
| 2144 | +# 34. Final quality criterion | |
| 2145 | + | |
| 2146 | +The paper is not “ready for JF” merely because it compiles or contains many analyses. | |
| 2147 | + | |
| 2148 | +It is ready for serious submission consideration only if: | |
| 2149 | + | |
| 2150 | +- the data are credible and fully audited; | |
| 2151 | +- the paper documents a new and economically important fact; | |
| 2152 | +- propagation is separated as far as possible from common information; | |
| 2153 | +- magnitudes are economically meaningful; | |
| 2154 | +- results survive serious falsification tests; | |
| 2155 | +- the mechanism is coherent; | |
| 2156 | +- the literature positioning is accurate; | |
| 2157 | +- the writing is disciplined; | |
| 2158 | +- the figures and tables are publication quality; | |
| 2159 | +- all claims are reproducible; | |
| 2160 | +- limitations are explicit; | |
| 2161 | +- the main paper is focused; | |
| 2162 | +- the Internet Appendix is complete; | |
| 2163 | +- no result has been fabricated, selectively hidden, or overstated. | |
| 2164 | + | |
| 2165 | +The standard is not to make the paper appear publishable. The standard is to determine honestly whether the evidence supports a contribution worthy of a top finance journal and, if it does, to present that contribution with maximum clarity and rigor. | |
added
docs/REPRODUCIBILITY.md
+28 −0
@@ -0,0 +1,28 @@ | ||
| 1 | +# REPRODUCIBILITY.md | |
| 2 | + | |
| 3 | +## Environment | |
| 4 | +- Python ≥ 3.11; dependencies pinned in `uv.lock` (created with `uv sync`). | |
| 5 | +- LaTeX: TeX Live (tested 2026), `latexmk`. | |
| 6 | +- OS tested: macOS (Apple Silicon). No OS-specific code paths. | |
| 7 | + | |
| 8 | +## Data | |
| 9 | +- Dataset: `mito0o852/OHLCV-1m` @ revision `776328445b7ac6e7815ef3a483e9c8ded1eb6d56` (pinned in `config/base.yaml`). | |
| 10 | +- Download: `python -m intraday_fragility.cli download --start 1992-01 --end 2026-03` | |
| 11 | + (resumable; per-file sha256 verified against HF LFS metadata; manifest in | |
| 12 | + `data/manifests/raw_files.json|.parquet|.csv`). | |
| 13 | +- Verify: `python -m intraday_fragility.cli verify-download`. | |
| 14 | +- Raw data are never committed; the manifest and checksums are. | |
| 15 | + | |
| 16 | +## Pipeline | |
| 17 | +`make` targets run stages in order (see `Makefile`). Every figure has its source | |
| 18 | +data in `outputs/figures/data/`; every table exists as `.tex` + `.csv`. Numerical | |
| 19 | +claims in the manuscript come from `outputs/estimates/results_registry.json` via | |
| 20 | +generated LaTeX macros — no hand-typed numbers. | |
| 21 | + | |
| 22 | +## Seeds | |
| 23 | +Global seed in `config/base.yaml` (`seed: 20260713`); stage-specific seeds logged | |
| 24 | +per run in `logs/`. | |
| 25 | + | |
| 26 | +## Provenance | |
| 27 | +Each run logs Python version, package versions, dataset revision, command line, | |
| 28 | +and timestamps to `logs/<stage>/*.jsonl`. | |
added
environment.yml
+8 −0
@@ -0,0 +1,8 @@ | ||
| 1 | +# Conda alternative to uv.lock (primary environment manager is uv). | |
| 2 | +name: intraday-fragility | |
| 3 | +channels: [conda-forge] | |
| 4 | +dependencies: | |
| 5 | + - python>=3.11 | |
| 6 | + - pip | |
| 7 | + - pip: | |
| 8 | + - -e .[dev,ml] | |
added
outputs/diagnostics/pilot_audit_1992-06.json
+627 −0
@@ -0,0 +1,627 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-06", | |
| 3 | + "rows": 3392433, | |
| 4 | + "columns": { | |
| 5 | + "timestamp": "Datetime(time_unit='ns', time_zone='UTC')", | |
| 6 | + "open": "Float64", | |
| 7 | + "high": "Float64", | |
| 8 | + "low": "Float64", | |
| 9 | + "close": "Float64", | |
| 10 | + "volume": "Float64", | |
| 11 | + "ticker": "String" | |
| 12 | + }, | |
| 13 | + "unique_tickers": 8267, | |
| 14 | + "min_ts_utc": "1992-06-01 13:30:00+00:00", | |
| 15 | + "max_ts_utc": "1992-06-30 21:14:00+00:00", | |
| 16 | + "nonzero_seconds": 0, | |
| 17 | + "rows_rth_0930_1600_et": 3303069, | |
| 18 | + "rows_premarket_et": 0, | |
| 19 | + "rows_afterhours_et": 89364, | |
| 20 | + "rth_share": 0.9737, | |
| 21 | + "duplicate_ticker_timestamp": 0, | |
| 22 | + "ohlc_violations": 0, | |
| 23 | + "nonpositive_prices": 0, | |
| 24 | + "negative_volume": 0, | |
| 25 | + "zero_volume": 0, | |
| 26 | + "noninteger_volume": 0, | |
| 27 | + "null_counts": { | |
| 28 | + "timestamp": 0, | |
| 29 | + "open": 0, | |
| 30 | + "high": 0, | |
| 31 | + "low": 0, | |
| 32 | + "close": 0, | |
| 33 | + "volume": 0, | |
| 34 | + "ticker": 0 | |
| 35 | + }, | |
| 36 | + "weekend_rows": 0, | |
| 37 | + "trading_days_observed": 22, | |
| 38 | + "symbols_per_day_median": 6390.5, | |
| 39 | + "median_bars_per_symbol_day_overall": 9.0, | |
| 40 | + "price_summary_close": { | |
| 41 | + "min": 0.00391, | |
| 42 | + "p50": 22.5, | |
| 43 | + "max": 326.0 | |
| 44 | + }, | |
| 45 | + "minute_of_day_hist": { | |
| 46 | + "570": 16396, | |
| 47 | + "571": 19736, | |
| 48 | + "572": 18634, | |
| 49 | + "573": 16594, | |
| 50 | + "574": 14421, | |
| 51 | + "575": 12772, | |
| 52 | + "576": 11812, | |
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| \ No newline at end of file | ||
added
outputs/diagnostics/pilot_audit_2009-06.json
+1121 −0
@@ -0,0 +1,1121 @@ | ||
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| \ No newline at end of file | ||
added
outputs/diagnostics/pilot_audit_2025-12.json
+1120 −0
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| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/calendar_report.json
+10 −0
@@ -0,0 +1,10 @@ | ||
| 1 | +{ | |
| 2 | + "observed_sessions": 8622, | |
| 3 | + "official_sessions_in_range": 8622, | |
| 4 | + "missing_sessions": [], | |
| 5 | + "n_missing": 0, | |
| 6 | + "data_on_non_sessions": [], | |
| 7 | + "n_extra": 0, | |
| 8 | + "first_date": "1992-01-02", | |
| 9 | + "last_date": "2026-03-31" | |
| 10 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/dst_rth_share.csv
+412 −0
@@ -0,0 +1,412 @@ | ||
| 1 | +month,rth_share,rows | |
| 2 | +1992-01,0.9737,4609974 | |
| 3 | +1992-02,0.97599,3654340 | |
| 4 | +1992-03,0.97493,3634227 | |
| 5 | +1992-04,0.97562,3538138 | |
| 6 | +1992-05,0.97606,3079835 | |
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| 8 | +1992-07,0.97462,3534796 | |
| 9 | +1992-08,0.97443,3206728 | |
| 10 | +1992-09,0.9743,3389621 | |
| 11 | +1992-10,0.97541,3686630 | |
| 12 | +1992-11,0.9755,3838685 | |
| 13 | +1992-12,0.97471,4248817 | |
| 14 | +1993-01,0.97623,4245274 | |
| 15 | +1993-02,0.97714,4144177 | |
| 16 | +1993-03,0.97705,4573188 | |
| 17 | +1993-04,0.97717,4176542 | |
| 18 | +1993-05,0.97671,4062197 | |
| 19 | +1993-06,0.97679,4370292 | |
| 20 | +1993-07,0.9777,4164849 | |
| 21 | +1993-08,0.97681,4598526 | |
| 22 | +1993-09,0.97667,4513165 | |
| 23 | +1993-10,0.97559,4850800 | |
| 24 | +1993-11,0.97658,4744230 | |
| 25 | +1993-12,0.97585,4977649 | |
| 26 | +1994-01,0.97624,5173818 | |
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added
outputs/diagnostics/stage_c/monthly/audit_1992-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-01", | |
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| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 0, | |
| 14 | + "rows_rth": 4488728, | |
| 15 | + "rows_post": 121246, | |
| 16 | + "rth_share": 0.9737 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1992-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-02", | |
| 3 | + "rows": 3654340, | |
| 4 | + "tickers": 6386, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 0, | |
| 14 | + "rows_rth": 3566587, | |
| 15 | + "rows_post": 87753, | |
| 16 | + "rth_share": 0.97599 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1992-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-03", | |
| 3 | + "rows": 3634227, | |
| 4 | + "tickers": 6441, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 0, | |
| 14 | + "rows_rth": 3543121, | |
| 15 | + "rows_post": 91106, | |
| 16 | + "rth_share": 0.97493 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1992-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-04", | |
| 3 | + "rows": 3538138, | |
| 4 | + "tickers": 6509, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 0, | |
| 14 | + "rows_rth": 3451890, | |
| 15 | + "rows_post": 86248, | |
| 16 | + "rth_share": 0.97562 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1992-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-05", | |
| 3 | + "rows": 3079835, | |
| 4 | + "tickers": 6531, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 0, | |
| 14 | + "rows_rth": 3006098, | |
| 15 | + "rows_post": 73737, | |
| 16 | + "rth_share": 0.97606 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1992-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-06", | |
| 3 | + "rows": 3392433, | |
| 4 | + "tickers": 8267, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 0, | |
| 14 | + "rows_rth": 3303069, | |
| 15 | + "rows_post": 89364, | |
| 16 | + "rth_share": 0.97366 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1992-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-07", | |
| 3 | + "rows": 3534796, | |
| 4 | + "tickers": 8348, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 2, | |
| 14 | + "rows_rth": 3445097, | |
| 15 | + "rows_post": 89697, | |
| 16 | + "rth_share": 0.97462 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1992-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-08", | |
| 3 | + "rows": 3206728, | |
| 4 | + "tickers": 8278, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 0, | |
| 14 | + "rows_rth": 3124717, | |
| 15 | + "rows_post": 82011, | |
| 16 | + "rth_share": 0.97443 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1992-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-09", | |
| 3 | + "rows": 3389621, | |
| 4 | + "tickers": 8283, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 0, | |
| 14 | + "rows_rth": 3302506, | |
| 15 | + "rows_post": 87115, | |
| 16 | + "rth_share": 0.9743 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1992-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-10", | |
| 3 | + "rows": 3686630, | |
| 4 | + "tickers": 8360, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 0, | |
| 14 | + "rows_rth": 3595962, | |
| 15 | + "rows_post": 90668, | |
| 16 | + "rth_share": 0.97541 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1992-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-11", | |
| 3 | + "rows": 3838685, | |
| 4 | + "tickers": 8356, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 101, | |
| 14 | + "rows_rth": 3744646, | |
| 15 | + "rows_post": 93938, | |
| 16 | + "rth_share": 0.9755 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1992-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1992-12", | |
| 3 | + "rows": 4248817, | |
| 4 | + "tickers": 8492, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 556, | |
| 14 | + "rows_rth": 4141380, | |
| 15 | + "rows_post": 106881, | |
| 16 | + "rth_share": 0.97471 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1993-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1993-01", | |
| 3 | + "rows": 4245274, | |
| 4 | + "tickers": 8498, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 661, | |
| 14 | + "rows_rth": 4144357, | |
| 15 | + "rows_post": 100256, | |
| 16 | + "rth_share": 0.97623 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1993-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1993-02", | |
| 3 | + "rows": 4144177, | |
| 4 | + "tickers": 8540, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 593, | |
| 14 | + "rows_rth": 4049452, | |
| 15 | + "rows_post": 94132, | |
| 16 | + "rth_share": 0.97714 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1993-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1993-03", | |
| 3 | + "rows": 4573188, | |
| 4 | + "tickers": 8666, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 707, | |
| 14 | + "rows_rth": 4468240, | |
| 15 | + "rows_post": 104241, | |
| 16 | + "rth_share": 0.97705 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1993-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1993-04", | |
| 3 | + "rows": 4176542, | |
| 4 | + "tickers": 8689, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 601, | |
| 14 | + "rows_rth": 4081174, | |
| 15 | + "rows_post": 94767, | |
| 16 | + "rth_share": 0.97717 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1993-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1993-05", | |
| 3 | + "rows": 4062197, | |
| 4 | + "tickers": 8748, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 743, | |
| 14 | + "rows_rth": 3967571, | |
| 15 | + "rows_post": 93883, | |
| 16 | + "rth_share": 0.97671 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1993-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1993-06", | |
| 3 | + "rows": 4370292, | |
| 4 | + "tickers": 8893, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 765, | |
| 14 | + "rows_rth": 4268850, | |
| 15 | + "rows_post": 100677, | |
| 16 | + "rth_share": 0.97679 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1993-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1993-07", | |
| 3 | + "rows": 4164849, | |
| 4 | + "tickers": 8940, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 645, | |
| 14 | + "rows_rth": 4071961, | |
| 15 | + "rows_post": 92243, | |
| 16 | + "rth_share": 0.9777 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1993-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1993-08", | |
| 3 | + "rows": 4598526, | |
| 4 | + "tickers": 8985, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 3, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 720, | |
| 14 | + "rows_rth": 4491904, | |
| 15 | + "rows_post": 105902, | |
| 16 | + "rth_share": 0.97681 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1993-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1993-09", | |
| 3 | + "rows": 4513165, | |
| 4 | + "tickers": 9069, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 3, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 676, | |
| 14 | + "rows_rth": 4407853, | |
| 15 | + "rows_post": 104636, | |
| 16 | + "rth_share": 0.97667 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1993-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1993-10", | |
| 3 | + "rows": 4850800, | |
| 4 | + "tickers": 9181, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 707, | |
| 14 | + "rows_rth": 4732372, | |
| 15 | + "rows_post": 117721, | |
| 16 | + "rth_share": 0.97559 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1993-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1993-11", | |
| 3 | + "rows": 4744230, | |
| 4 | + "tickers": 9325, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 672, | |
| 14 | + "rows_rth": 4633121, | |
| 15 | + "rows_post": 110437, | |
| 16 | + "rth_share": 0.97658 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1993-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1993-12", | |
| 3 | + "rows": 4977649, | |
| 4 | + "tickers": 9567, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1126, | |
| 14 | + "rows_rth": 4857439, | |
| 15 | + "rows_post": 119084, | |
| 16 | + "rth_share": 0.97585 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1994-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1994-01", | |
| 3 | + "rows": 5173818, | |
| 4 | + "tickers": 9557, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 2468, | |
| 14 | + "rows_rth": 5050893, | |
| 15 | + "rows_post": 120457, | |
| 16 | + "rth_share": 0.97624 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1994-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1994-02", | |
| 3 | + "rows": 4643643, | |
| 4 | + "tickers": 9632, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 2447, | |
| 14 | + "rows_rth": 4533741, | |
| 15 | + "rows_post": 107455, | |
| 16 | + "rth_share": 0.97633 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1994-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1994-03", | |
| 3 | + "rows": 5567602, | |
| 4 | + "tickers": 9771, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 5, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 3211, | |
| 14 | + "rows_rth": 5434723, | |
| 15 | + "rows_post": 129668, | |
| 16 | + "rth_share": 0.97613 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1994-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1994-04", | |
| 3 | + "rows": 4288385, | |
| 4 | + "tickers": 9795, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 2655, | |
| 14 | + "rows_rth": 4189139, | |
| 15 | + "rows_post": 96591, | |
| 16 | + "rth_share": 0.97686 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1994-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1994-05", | |
| 3 | + "rows": 4365096, | |
| 4 | + "tickers": 9869, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 7, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 2913, | |
| 14 | + "rows_rth": 4262583, | |
| 15 | + "rows_post": 99600, | |
| 16 | + "rth_share": 0.97652 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1994-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1994-06", | |
| 3 | + "rows": 4469964, | |
| 4 | + "tickers": 9984, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 2992, | |
| 14 | + "rows_rth": 4357916, | |
| 15 | + "rows_post": 109056, | |
| 16 | + "rth_share": 0.97493 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1994-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1994-07", | |
| 3 | + "rows": 3879393, | |
| 4 | + "tickers": 9946, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 4, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 2934, | |
| 14 | + "rows_rth": 3780804, | |
| 15 | + "rows_post": 95655, | |
| 16 | + "rth_share": 0.97459 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1994-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1994-08", | |
| 3 | + "rows": 4938804, | |
| 4 | + "tickers": 10033, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 5, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 4017, | |
| 14 | + "rows_rth": 4815844, | |
| 15 | + "rows_post": 118943, | |
| 16 | + "rth_share": 0.9751 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1994-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1994-09", | |
| 3 | + "rows": 4570384, | |
| 4 | + "tickers": 10014, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 3415, | |
| 14 | + "rows_rth": 4456492, | |
| 15 | + "rows_post": 110477, | |
| 16 | + "rth_share": 0.97508 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1994-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1994-10", | |
| 3 | + "rows": 4689956, | |
| 4 | + "tickers": 10019, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 3652, | |
| 14 | + "rows_rth": 4572980, | |
| 15 | + "rows_post": 113324, | |
| 16 | + "rth_share": 0.97506 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1994-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1994-11", | |
| 3 | + "rows": 4715378, | |
| 4 | + "tickers": 10094, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 3857, | |
| 14 | + "rows_rth": 4601909, | |
| 15 | + "rows_post": 109612, | |
| 16 | + "rth_share": 0.97594 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1994-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1994-12", | |
| 3 | + "rows": 5014071, | |
| 4 | + "tickers": 10154, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 4157, | |
| 14 | + "rows_rth": 4887559, | |
| 15 | + "rows_post": 122355, | |
| 16 | + "rth_share": 0.97477 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1995-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1995-01", | |
| 3 | + "rows": 4753917, | |
| 4 | + "tickers": 10059, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 6, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 5301, | |
| 14 | + "rows_rth": 4632641, | |
| 15 | + "rows_post": 115975, | |
| 16 | + "rth_share": 0.97449 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1995-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1995-02", | |
| 3 | + "rows": 4572386, | |
| 4 | + "tickers": 10053, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 4865, | |
| 14 | + "rows_rth": 4455709, | |
| 15 | + "rows_post": 111812, | |
| 16 | + "rth_share": 0.97448 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1995-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1995-03", | |
| 3 | + "rows": 5544398, | |
| 4 | + "tickers": 10090, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 5, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 6007, | |
| 14 | + "rows_rth": 5404735, | |
| 15 | + "rows_post": 133656, | |
| 16 | + "rth_share": 0.97481 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1995-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1995-04", | |
| 3 | + "rows": 4675725, | |
| 4 | + "tickers": 10077, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 3, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 6330, | |
| 14 | + "rows_rth": 4553434, | |
| 15 | + "rows_post": 115961, | |
| 16 | + "rth_share": 0.97385 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1995-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1995-05", | |
| 3 | + "rows": 5727277, | |
| 4 | + "tickers": 10132, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 5898, | |
| 14 | + "rows_rth": 5588536, | |
| 15 | + "rows_post": 132843, | |
| 16 | + "rth_share": 0.97578 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1995-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1995-06", | |
| 3 | + "rows": 5929636, | |
| 4 | + "tickers": 10170, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 5967, | |
| 14 | + "rows_rth": 5782055, | |
| 15 | + "rows_post": 141614, | |
| 16 | + "rth_share": 0.97511 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1995-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1995-07", | |
| 3 | + "rows": 5901878, | |
| 4 | + "tickers": 10171, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 6129, | |
| 14 | + "rows_rth": 5756485, | |
| 15 | + "rows_post": 139264, | |
| 16 | + "rth_share": 0.97536 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1995-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1995-08", | |
| 3 | + "rows": 6268938, | |
| 4 | + "tickers": 10259, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 7266, | |
| 14 | + "rows_rth": 6108112, | |
| 15 | + "rows_post": 153560, | |
| 16 | + "rth_share": 0.97435 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1995-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1995-09", | |
| 3 | + "rows": 5701984, | |
| 4 | + "tickers": 10203, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 6738, | |
| 14 | + "rows_rth": 5562332, | |
| 15 | + "rows_post": 132914, | |
| 16 | + "rth_share": 0.97551 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1995-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1995-10", | |
| 3 | + "rows": 6048374, | |
| 4 | + "tickers": 10298, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 7900, | |
| 14 | + "rows_rth": 5898244, | |
| 15 | + "rows_post": 142230, | |
| 16 | + "rth_share": 0.97518 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1995-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1995-11", | |
| 3 | + "rows": 5890258, | |
| 4 | + "tickers": 10364, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 7530, | |
| 14 | + "rows_rth": 5749407, | |
| 15 | + "rows_post": 133321, | |
| 16 | + "rth_share": 0.97609 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1995-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1995-12", | |
| 3 | + "rows": 6243410, | |
| 4 | + "tickers": 10480, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 9506, | |
| 14 | + "rows_rth": 6086535, | |
| 15 | + "rows_post": 147369, | |
| 16 | + "rth_share": 0.97487 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1996-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1996-01", | |
| 3 | + "rows": 6624749, | |
| 4 | + "tickers": 10390, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 15521, | |
| 14 | + "rows_rth": 6457011, | |
| 15 | + "rows_post": 152217, | |
| 16 | + "rth_share": 0.97468 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1996-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1996-02", | |
| 3 | + "rows": 6596655, | |
| 4 | + "tickers": 10393, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 14354, | |
| 14 | + "rows_rth": 6414560, | |
| 15 | + "rows_post": 167741, | |
| 16 | + "rth_share": 0.9724 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1996-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1996-03", | |
| 3 | + "rows": 6436691, | |
| 4 | + "tickers": 10497, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 14602, | |
| 14 | + "rows_rth": 6274944, | |
| 15 | + "rows_post": 147145, | |
| 16 | + "rth_share": 0.97487 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1996-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1996-04", | |
| 3 | + "rows": 6718058, | |
| 4 | + "tickers": 10570, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 15587, | |
| 14 | + "rows_rth": 6547239, | |
| 15 | + "rows_post": 155232, | |
| 16 | + "rth_share": 0.97457 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1996-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1996-05", | |
| 3 | + "rows": 7648035, | |
| 4 | + "tickers": 10700, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 17858, | |
| 14 | + "rows_rth": 7446541, | |
| 15 | + "rows_post": 183636, | |
| 16 | + "rth_share": 0.97365 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1996-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1996-06", | |
| 3 | + "rows": 6423382, | |
| 4 | + "tickers": 10735, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 16133, | |
| 14 | + "rows_rth": 6250424, | |
| 15 | + "rows_post": 156825, | |
| 16 | + "rth_share": 0.97307 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1996-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1996-07", | |
| 3 | + "rows": 6704201, | |
| 4 | + "tickers": 10751, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 14832, | |
| 14 | + "rows_rth": 6543261, | |
| 15 | + "rows_post": 146108, | |
| 16 | + "rth_share": 0.97599 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1996-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1996-08", | |
| 3 | + "rows": 5919588, | |
| 4 | + "tickers": 10805, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 13348, | |
| 14 | + "rows_rth": 5775843, | |
| 15 | + "rows_post": 130397, | |
| 16 | + "rth_share": 0.97572 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1996-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1996-09", | |
| 3 | + "rows": 6054331, | |
| 4 | + "tickers": 10825, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 13808, | |
| 14 | + "rows_rth": 5903383, | |
| 15 | + "rows_post": 137140, | |
| 16 | + "rth_share": 0.97507 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1996-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1996-10", | |
| 3 | + "rows": 7125654, | |
| 4 | + "tickers": 10905, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 16390, | |
| 14 | + "rows_rth": 6949290, | |
| 15 | + "rows_post": 159974, | |
| 16 | + "rth_share": 0.97525 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1996-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1996-11", | |
| 3 | + "rows": 6515549, | |
| 4 | + "tickers": 11020, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 14838, | |
| 14 | + "rows_rth": 6357908, | |
| 15 | + "rows_post": 142803, | |
| 16 | + "rth_share": 0.97581 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1996-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1996-12", | |
| 3 | + "rows": 7240770, | |
| 4 | + "tickers": 11106, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 16417, | |
| 14 | + "rows_rth": 7068016, | |
| 15 | + "rows_post": 156337, | |
| 16 | + "rth_share": 0.97614 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1997-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1997-01", | |
| 3 | + "rows": 7942852, | |
| 4 | + "tickers": 10981, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 20379, | |
| 14 | + "rows_rth": 7745991, | |
| 15 | + "rows_post": 176482, | |
| 16 | + "rth_share": 0.97522 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1997-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1997-02", | |
| 3 | + "rows": 6749829, | |
| 4 | + "tickers": 10970, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 18353, | |
| 14 | + "rows_rth": 6583213, | |
| 15 | + "rows_post": 148263, | |
| 16 | + "rth_share": 0.97532 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1997-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1997-03", | |
| 3 | + "rows": 6561850, | |
| 4 | + "tickers": 10977, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 17854, | |
| 14 | + "rows_rth": 6396766, | |
| 15 | + "rows_post": 147230, | |
| 16 | + "rth_share": 0.97484 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1997-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1997-04", | |
| 3 | + "rows": 6801519, | |
| 4 | + "tickers": 11021, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 20984, | |
| 14 | + "rows_rth": 6627259, | |
| 15 | + "rows_post": 153276, | |
| 16 | + "rth_share": 0.97438 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1997-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1997-05", | |
| 3 | + "rows": 7067630, | |
| 4 | + "tickers": 11005, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 19595, | |
| 14 | + "rows_rth": 6893467, | |
| 15 | + "rows_post": 154568, | |
| 16 | + "rth_share": 0.97536 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1997-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1997-06", | |
| 3 | + "rows": 7392759, | |
| 4 | + "tickers": 11008, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 19775, | |
| 14 | + "rows_rth": 7207131, | |
| 15 | + "rows_post": 165853, | |
| 16 | + "rth_share": 0.97489 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1997-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1997-07", | |
| 3 | + "rows": 8319580, | |
| 4 | + "tickers": 11050, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 23626, | |
| 14 | + "rows_rth": 8131230, | |
| 15 | + "rows_post": 164724, | |
| 16 | + "rth_share": 0.97736 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1997-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1997-08", | |
| 3 | + "rows": 7858580, | |
| 4 | + "tickers": 10985, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 23116, | |
| 14 | + "rows_rth": 7683165, | |
| 15 | + "rows_post": 152299, | |
| 16 | + "rth_share": 0.97768 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1997-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1997-09", | |
| 3 | + "rows": 8425328, | |
| 4 | + "tickers": 10983, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 24613, | |
| 14 | + "rows_rth": 8236510, | |
| 15 | + "rows_post": 164205, | |
| 16 | + "rth_share": 0.97759 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1997-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1997-10", | |
| 3 | + "rows": 9885026, | |
| 4 | + "tickers": 11048, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 33596, | |
| 14 | + "rows_rth": 9677945, | |
| 15 | + "rows_post": 173485, | |
| 16 | + "rth_share": 0.97905 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1997-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1997-11", | |
| 3 | + "rows": 6927741, | |
| 4 | + "tickers": 10994, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 21863, | |
| 14 | + "rows_rth": 6787478, | |
| 15 | + "rows_post": 118400, | |
| 16 | + "rth_share": 0.97975 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1997-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1997-12", | |
| 3 | + "rows": 8528657, | |
| 4 | + "tickers": 11068, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 23564, | |
| 14 | + "rows_rth": 8368266, | |
| 15 | + "rows_post": 136827, | |
| 16 | + "rth_share": 0.98119 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1998-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1998-01", | |
| 3 | + "rows": 7825379, | |
| 4 | + "tickers": 10933, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 25747, | |
| 14 | + "rows_rth": 7669968, | |
| 15 | + "rows_post": 129664, | |
| 16 | + "rth_share": 0.98014 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1998-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1998-02", | |
| 3 | + "rows": 7962211, | |
| 4 | + "tickers": 10944, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 26941, | |
| 14 | + "rows_rth": 7806182, | |
| 15 | + "rows_post": 129088, | |
| 16 | + "rth_share": 0.9804 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1998-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1998-03", | |
| 3 | + "rows": 9303665, | |
| 4 | + "tickers": 10953, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 34795, | |
| 14 | + "rows_rth": 9112128, | |
| 15 | + "rows_post": 156742, | |
| 16 | + "rth_share": 0.97941 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1998-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1998-04", | |
| 3 | + "rows": 9339599, | |
| 4 | + "tickers": 10981, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 36478, | |
| 14 | + "rows_rth": 9152708, | |
| 15 | + "rows_post": 150413, | |
| 16 | + "rth_share": 0.97999 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1998-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1998-05", | |
| 3 | + "rows": 8039518, | |
| 4 | + "tickers": 10953, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 31852, | |
| 14 | + "rows_rth": 7874680, | |
| 15 | + "rows_post": 132986, | |
| 16 | + "rth_share": 0.9795 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1998-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1998-06", | |
| 3 | + "rows": 8773525, | |
| 4 | + "tickers": 11012, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 34284, | |
| 14 | + "rows_rth": 8585829, | |
| 15 | + "rows_post": 153412, | |
| 16 | + "rth_share": 0.97861 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1998-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1998-07", | |
| 3 | + "rows": 9015823, | |
| 4 | + "tickers": 10912, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 40289, | |
| 14 | + "rows_rth": 8824849, | |
| 15 | + "rows_post": 150685, | |
| 16 | + "rth_share": 0.97882 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1998-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1998-08", | |
| 3 | + "rows": 8975231, | |
| 4 | + "tickers": 10794, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 33908, | |
| 14 | + "rows_rth": 8798040, | |
| 15 | + "rows_post": 143283, | |
| 16 | + "rth_share": 0.98026 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1998-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1998-09", | |
| 3 | + "rows": 8613021, | |
| 4 | + "tickers": 10673, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 35280, | |
| 14 | + "rows_rth": 8427212, | |
| 15 | + "rows_post": 150529, | |
| 16 | + "rth_share": 0.97843 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1998-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1998-10", | |
| 3 | + "rows": 9408127, | |
| 4 | + "tickers": 10625, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 39830, | |
| 14 | + "rows_rth": 9201634, | |
| 15 | + "rows_post": 166663, | |
| 16 | + "rth_share": 0.97805 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1998-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1998-11", | |
| 3 | + "rows": 8714329, | |
| 4 | + "tickers": 10546, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 42582, | |
| 14 | + "rows_rth": 8529481, | |
| 15 | + "rows_post": 142266, | |
| 16 | + "rth_share": 0.97879 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1998-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1998-12", | |
| 3 | + "rows": 10195125, | |
| 4 | + "tickers": 10540, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 49707, | |
| 14 | + "rows_rth": 9977985, | |
| 15 | + "rows_post": 167433, | |
| 16 | + "rth_share": 0.9787 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1999-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1999-01", | |
| 3 | + "rows": 9704365, | |
| 4 | + "tickers": 10375, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 60925, | |
| 14 | + "rows_rth": 9476112, | |
| 15 | + "rows_post": 167328, | |
| 16 | + "rth_share": 0.97648 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1999-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1999-02", | |
| 3 | + "rows": 9011022, | |
| 4 | + "tickers": 10377, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 49853, | |
| 14 | + "rows_rth": 8812825, | |
| 15 | + "rows_post": 148344, | |
| 16 | + "rth_share": 0.97801 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1999-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1999-03", | |
| 3 | + "rows": 10779785, | |
| 4 | + "tickers": 10385, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 64799, | |
| 14 | + "rows_rth": 10535951, | |
| 15 | + "rows_post": 179035, | |
| 16 | + "rth_share": 0.97738 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1999-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1999-04", | |
| 3 | + "rows": 11086824, | |
| 4 | + "tickers": 10300, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 75663, | |
| 14 | + "rows_rth": 10831462, | |
| 15 | + "rows_post": 179699, | |
| 16 | + "rth_share": 0.97697 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1999-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1999-05", | |
| 3 | + "rows": 9657381, | |
| 4 | + "tickers": 10236, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 57384, | |
| 14 | + "rows_rth": 9442259, | |
| 15 | + "rows_post": 157738, | |
| 16 | + "rth_share": 0.97772 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1999-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1999-06", | |
| 3 | + "rows": 9907422, | |
| 4 | + "tickers": 10244, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 61544, | |
| 14 | + "rows_rth": 9658465, | |
| 15 | + "rows_post": 187413, | |
| 16 | + "rth_share": 0.97487 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1999-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1999-07", | |
| 3 | + "rows": 10137348, | |
| 4 | + "tickers": 10218, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 66774, | |
| 14 | + "rows_rth": 9896792, | |
| 15 | + "rows_post": 173782, | |
| 16 | + "rth_share": 0.97627 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1999-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1999-08", | |
| 3 | + "rows": 10017986, | |
| 4 | + "tickers": 10162, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 66806, | |
| 14 | + "rows_rth": 9786662, | |
| 15 | + "rows_post": 164518, | |
| 16 | + "rth_share": 0.97691 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1999-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1999-09", | |
| 3 | + "rows": 9954467, | |
| 4 | + "tickers": 10125, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 76848, | |
| 14 | + "rows_rth": 9707067, | |
| 15 | + "rows_post": 170552, | |
| 16 | + "rth_share": 0.97515 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1999-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1999-10", | |
| 3 | + "rows": 10452722, | |
| 4 | + "tickers": 10110, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 83697, | |
| 14 | + "rows_rth": 10179018, | |
| 15 | + "rows_post": 190007, | |
| 16 | + "rth_share": 0.97382 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1999-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1999-11", | |
| 3 | + "rows": 12096498, | |
| 4 | + "tickers": 10103, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 110542, | |
| 14 | + "rows_rth": 11731782, | |
| 15 | + "rows_post": 254174, | |
| 16 | + "rth_share": 0.96985 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_1999-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "1999-12", | |
| 3 | + "rows": 14157707, | |
| 4 | + "tickers": 10060, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 135947, | |
| 14 | + "rows_rth": 13731292, | |
| 15 | + "rows_post": 290468, | |
| 16 | + "rth_share": 0.96988 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2000-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2000-01", | |
| 3 | + "rows": 13557292, | |
| 4 | + "tickers": 9980, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 141453, | |
| 14 | + "rows_rth": 13085420, | |
| 15 | + "rows_post": 330419, | |
| 16 | + "rth_share": 0.96519 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2000-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2000-02", | |
| 3 | + "rows": 14215460, | |
| 4 | + "tickers": 9994, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 145582, | |
| 14 | + "rows_rth": 13765387, | |
| 15 | + "rows_post": 304491, | |
| 16 | + "rth_share": 0.96834 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2000-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2000-03", | |
| 3 | + "rows": 17183862, | |
| 4 | + "tickers": 10012, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 181519, | |
| 14 | + "rows_rth": 16628799, | |
| 15 | + "rows_post": 373544, | |
| 16 | + "rth_share": 0.9677 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2000-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2000-04", | |
| 3 | + "rows": 13032747, | |
| 4 | + "tickers": 9963, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 131700, | |
| 14 | + "rows_rth": 12623257, | |
| 15 | + "rows_post": 277790, | |
| 16 | + "rth_share": 0.96858 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2000-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2000-05", | |
| 3 | + "rows": 12432132, | |
| 4 | + "tickers": 9974, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 127954, | |
| 14 | + "rows_rth": 12035062, | |
| 15 | + "rows_post": 269116, | |
| 16 | + "rth_share": 0.96806 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2000-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2000-06", | |
| 3 | + "rows": 12977249, | |
| 4 | + "tickers": 9971, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 139225, | |
| 14 | + "rows_rth": 12526686, | |
| 15 | + "rows_post": 311338, | |
| 16 | + "rth_share": 0.96528 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2000-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2000-07", | |
| 3 | + "rows": 11452528, | |
| 4 | + "tickers": 9920, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 123701, | |
| 14 | + "rows_rth": 11058983, | |
| 15 | + "rows_post": 269844, | |
| 16 | + "rth_share": 0.96564 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2000-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2000-08", | |
| 3 | + "rows": 12775609, | |
| 4 | + "tickers": 9982, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 132948, | |
| 14 | + "rows_rth": 12359243, | |
| 15 | + "rows_post": 283418, | |
| 16 | + "rth_share": 0.96741 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2000-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2000-09", | |
| 3 | + "rows": 11840318, | |
| 4 | + "tickers": 9943, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 136104, | |
| 14 | + "rows_rth": 11420488, | |
| 15 | + "rows_post": 283726, | |
| 16 | + "rth_share": 0.96454 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2000-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2000-10", | |
| 3 | + "rows": 13148459, | |
| 4 | + "tickers": 9905, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 141048, | |
| 14 | + "rows_rth": 12680461, | |
| 15 | + "rows_post": 326950, | |
| 16 | + "rth_share": 0.96441 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2000-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2000-11", | |
| 3 | + "rows": 11826609, | |
| 4 | + "tickers": 9845, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 140056, | |
| 14 | + "rows_rth": 11421036, | |
| 15 | + "rows_post": 265517, | |
| 16 | + "rth_share": 0.96571 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2000-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2000-12", | |
| 3 | + "rows": 13088193, | |
| 4 | + "tickers": 9740, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 137251, | |
| 14 | + "rows_rth": 12623179, | |
| 15 | + "rows_post": 327763, | |
| 16 | + "rth_share": 0.96447 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2001-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2001-01", | |
| 3 | + "rows": 13363405, | |
| 4 | + "tickers": 9622, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 2, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 152318, | |
| 14 | + "rows_rth": 12860385, | |
| 15 | + "rows_post": 350702, | |
| 16 | + "rth_share": 0.96236 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2001-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2001-02", | |
| 3 | + "rows": 11344287, | |
| 4 | + "tickers": 9549, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 117313, | |
| 14 | + "rows_rth": 10946014, | |
| 15 | + "rows_post": 280960, | |
| 16 | + "rth_share": 0.96489 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2001-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2001-03", | |
| 3 | + "rows": 13252033, | |
| 4 | + "tickers": 9528, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 139996, | |
| 14 | + "rows_rth": 12796427, | |
| 15 | + "rows_post": 315610, | |
| 16 | + "rth_share": 0.96562 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2001-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2001-04", | |
| 3 | + "rows": 12365296, | |
| 4 | + "tickers": 9459, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 131907, | |
| 14 | + "rows_rth": 11929633, | |
| 15 | + "rows_post": 303756, | |
| 16 | + "rth_share": 0.96477 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2001-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2001-05", | |
| 3 | + "rows": 14059680, | |
| 4 | + "tickers": 9416, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 141449, | |
| 14 | + "rows_rth": 13580418, | |
| 15 | + "rows_post": 337813, | |
| 16 | + "rth_share": 0.96591 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2001-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2001-06", | |
| 3 | + "rows": 13258810, | |
| 4 | + "tickers": 9321, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 120681, | |
| 14 | + "rows_rth": 12772534, | |
| 15 | + "rows_post": 365595, | |
| 16 | + "rth_share": 0.96332 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2001-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2001-07", | |
| 3 | + "rows": 12624468, | |
| 4 | + "tickers": 9294, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 104770, | |
| 14 | + "rows_rth": 12221013, | |
| 15 | + "rows_post": 298685, | |
| 16 | + "rth_share": 0.96804 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2001-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2001-08", | |
| 3 | + "rows": 13015324, | |
| 4 | + "tickers": 9239, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 91825, | |
| 14 | + "rows_rth": 12637070, | |
| 15 | + "rows_post": 286429, | |
| 16 | + "rth_share": 0.97094 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2001-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2001-09", | |
| 3 | + "rows": 9710869, | |
| 4 | + "tickers": 9089, | |
| 5 | + "dates": 15, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 67792, | |
| 14 | + "rows_rth": 9430382, | |
| 15 | + "rows_post": 212695, | |
| 16 | + "rth_share": 0.97112 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2001-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2001-10", | |
| 3 | + "rows": 14082957, | |
| 4 | + "tickers": 9090, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 109785, | |
| 14 | + "rows_rth": 13630711, | |
| 15 | + "rows_post": 342461, | |
| 16 | + "rth_share": 0.96789 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2001-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2001-11", | |
| 3 | + "rows": 12846547, | |
| 4 | + "tickers": 9083, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 105737, | |
| 14 | + "rows_rth": 12427665, | |
| 15 | + "rows_post": 313145, | |
| 16 | + "rth_share": 0.96739 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2001-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2001-12", | |
| 3 | + "rows": 13265623, | |
| 4 | + "tickers": 9030, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 101115, | |
| 14 | + "rows_rth": 12841072, | |
| 15 | + "rows_post": 323436, | |
| 16 | + "rth_share": 0.968 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2002-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2002-01", | |
| 3 | + "rows": 13951452, | |
| 4 | + "tickers": 8997, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 114325, | |
| 14 | + "rows_rth": 13470649, | |
| 15 | + "rows_post": 366478, | |
| 16 | + "rth_share": 0.96554 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2002-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2002-02", | |
| 3 | + "rows": 12227446, | |
| 4 | + "tickers": 8942, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 80976, | |
| 14 | + "rows_rth": 11856687, | |
| 15 | + "rows_post": 289783, | |
| 16 | + "rth_share": 0.96968 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2002-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2002-03", | |
| 3 | + "rows": 13268181, | |
| 4 | + "tickers": 8920, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 98123, | |
| 14 | + "rows_rth": 12853956, | |
| 15 | + "rows_post": 316102, | |
| 16 | + "rth_share": 0.96878 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2002-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2002-04", | |
| 3 | + "rows": 14891404, | |
| 4 | + "tickers": 8897, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 99456, | |
| 14 | + "rows_rth": 14418293, | |
| 15 | + "rows_post": 373655, | |
| 16 | + "rth_share": 0.96823 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2002-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2002-05", | |
| 3 | + "rows": 14942873, | |
| 4 | + "tickers": 8898, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 97807, | |
| 14 | + "rows_rth": 14497600, | |
| 15 | + "rows_post": 347466, | |
| 16 | + "rth_share": 0.9702 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2002-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2002-06", | |
| 3 | + "rows": 14693313, | |
| 4 | + "tickers": 8855, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 87558, | |
| 14 | + "rows_rth": 14265939, | |
| 15 | + "rows_post": 339816, | |
| 16 | + "rth_share": 0.97091 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2002-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2002-07", | |
| 3 | + "rows": 16222561, | |
| 4 | + "tickers": 8888, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 90491, | |
| 14 | + "rows_rth": 15799384, | |
| 15 | + "rows_post": 332686, | |
| 16 | + "rth_share": 0.97391 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2002-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2002-08", | |
| 3 | + "rows": 14749663, | |
| 4 | + "tickers": 8842, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 76830, | |
| 14 | + "rows_rth": 14352647, | |
| 15 | + "rows_post": 320186, | |
| 16 | + "rth_share": 0.97308 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2002-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2002-09", | |
| 3 | + "rows": 13231927, | |
| 4 | + "tickers": 8736, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 66436, | |
| 14 | + "rows_rth": 12851683, | |
| 15 | + "rows_post": 313808, | |
| 16 | + "rth_share": 0.97126 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2002-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2002-10", | |
| 3 | + "rows": 16275023, | |
| 4 | + "tickers": 8760, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 86838, | |
| 14 | + "rows_rth": 15771358, | |
| 15 | + "rows_post": 416827, | |
| 16 | + "rth_share": 0.96905 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2002-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2002-11", | |
| 3 | + "rows": 14127720, | |
| 4 | + "tickers": 8738, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 89935, | |
| 14 | + "rows_rth": 13713213, | |
| 15 | + "rows_post": 324572, | |
| 16 | + "rth_share": 0.97066 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2002-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2002-12", | |
| 3 | + "rows": 14680324, | |
| 4 | + "tickers": 8681, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 86477, | |
| 14 | + "rows_rth": 14228785, | |
| 15 | + "rows_post": 365062, | |
| 16 | + "rth_share": 0.96924 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2003-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2003-01", | |
| 3 | + "rows": 15510285, | |
| 4 | + "tickers": 8610, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 96873, | |
| 14 | + "rows_rth": 15055044, | |
| 15 | + "rows_post": 358368, | |
| 16 | + "rth_share": 0.97065 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2003-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2003-02", | |
| 3 | + "rows": 13474619, | |
| 4 | + "tickers": 8544, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 70833, | |
| 14 | + "rows_rth": 13101123, | |
| 15 | + "rows_post": 302663, | |
| 16 | + "rth_share": 0.97228 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2003-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2003-03", | |
| 3 | + "rows": 15063461, | |
| 4 | + "tickers": 8501, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 76541, | |
| 14 | + "rows_rth": 14614898, | |
| 15 | + "rows_post": 372022, | |
| 16 | + "rth_share": 0.97022 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2003-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2003-04", | |
| 3 | + "rows": 15201223, | |
| 4 | + "tickers": 8492, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 89783, | |
| 14 | + "rows_rth": 14716763, | |
| 15 | + "rows_post": 394677, | |
| 16 | + "rth_share": 0.96813 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2003-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2003-05", | |
| 3 | + "rows": 16747750, | |
| 4 | + "tickers": 8486, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 93944, | |
| 14 | + "rows_rth": 16260003, | |
| 15 | + "rows_post": 393803, | |
| 16 | + "rth_share": 0.97088 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2003-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2003-06", | |
| 3 | + "rows": 17901144, | |
| 4 | + "tickers": 8416, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 104194, | |
| 14 | + "rows_rth": 17334256, | |
| 15 | + "rows_post": 462694, | |
| 16 | + "rth_share": 0.96833 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2003-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2003-07", | |
| 3 | + "rows": 18050041, | |
| 4 | + "tickers": 8378, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 107168, | |
| 14 | + "rows_rth": 17516895, | |
| 15 | + "rows_post": 425978, | |
| 16 | + "rth_share": 0.97046 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2003-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2003-08", | |
| 3 | + "rows": 16356372, | |
| 4 | + "tickers": 8342, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 80728, | |
| 14 | + "rows_rth": 15885419, | |
| 15 | + "rows_post": 390225, | |
| 16 | + "rth_share": 0.97121 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2003-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2003-09", | |
| 3 | + "rows": 17870439, | |
| 4 | + "tickers": 8295, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 104253, | |
| 14 | + "rows_rth": 17313625, | |
| 15 | + "rows_post": 452561, | |
| 16 | + "rth_share": 0.96884 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2003-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2003-10", | |
| 3 | + "rows": 19557159, | |
| 4 | + "tickers": 8299, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 123485, | |
| 14 | + "rows_rth": 18995928, | |
| 15 | + "rows_post": 437746, | |
| 16 | + "rth_share": 0.9713 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2003-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2003-11", | |
| 3 | + "rows": 16386276, | |
| 4 | + "tickers": 8291, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 100457, | |
| 14 | + "rows_rth": 15931322, | |
| 15 | + "rows_post": 354497, | |
| 16 | + "rth_share": 0.97224 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2003-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2003-12", | |
| 3 | + "rows": 18821922, | |
| 4 | + "tickers": 8313, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 98805, | |
| 14 | + "rows_rth": 18301344, | |
| 15 | + "rows_post": 421773, | |
| 16 | + "rth_share": 0.97234 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2004-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2004-01", | |
| 3 | + "rows": 19216504, | |
| 4 | + "tickers": 8267, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 127127, | |
| 14 | + "rows_rth": 18687708, | |
| 15 | + "rows_post": 401669, | |
| 16 | + "rth_share": 0.97248 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2004-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2004-02", | |
| 3 | + "rows": 18130400, | |
| 4 | + "tickers": 8282, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 105439, | |
| 14 | + "rows_rth": 17659761, | |
| 15 | + "rows_post": 365200, | |
| 16 | + "rth_share": 0.97404 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2004-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2004-03", | |
| 3 | + "rows": 21908267, | |
| 4 | + "tickers": 8305, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 115317, | |
| 14 | + "rows_rth": 21339689, | |
| 15 | + "rows_post": 453261, | |
| 16 | + "rth_share": 0.97405 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2004-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2004-04", | |
| 3 | + "rows": 20524823, | |
| 4 | + "tickers": 8282, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 115829, | |
| 14 | + "rows_rth": 19998316, | |
| 15 | + "rows_post": 410678, | |
| 16 | + "rth_share": 0.97435 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2004-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2004-05", | |
| 3 | + "rows": 19386004, | |
| 4 | + "tickers": 8285, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 85097, | |
| 14 | + "rows_rth": 18970325, | |
| 15 | + "rows_post": 330582, | |
| 16 | + "rth_share": 0.97856 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2004-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2004-06", | |
| 3 | + "rows": 19836582, | |
| 4 | + "tickers": 8273, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 86441, | |
| 14 | + "rows_rth": 19345924, | |
| 15 | + "rows_post": 404217, | |
| 16 | + "rth_share": 0.97526 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2004-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2004-07", | |
| 3 | + "rows": 19630860, | |
| 4 | + "tickers": 8249, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 88081, | |
| 14 | + "rows_rth": 19182912, | |
| 15 | + "rows_post": 359867, | |
| 16 | + "rth_share": 0.97718 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2004-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2004-08", | |
| 3 | + "rows": 19601010, | |
| 4 | + "tickers": 8265, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 75651, | |
| 14 | + "rows_rth": 19224398, | |
| 15 | + "rows_post": 300961, | |
| 16 | + "rth_share": 0.98079 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2004-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2004-09", | |
| 3 | + "rows": 18805190, | |
| 4 | + "tickers": 8250, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 76529, | |
| 14 | + "rows_rth": 18400986, | |
| 15 | + "rows_post": 327675, | |
| 16 | + "rth_share": 0.97851 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2004-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2004-10", | |
| 3 | + "rows": 19691154, | |
| 4 | + "tickers": 8282, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 96049, | |
| 14 | + "rows_rth": 19236290, | |
| 15 | + "rows_post": 358815, | |
| 16 | + "rth_share": 0.9769 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2004-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2004-11", | |
| 3 | + "rows": 20287842, | |
| 4 | + "tickers": 8293, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 117957, | |
| 14 | + "rows_rth": 19856249, | |
| 15 | + "rows_post": 313636, | |
| 16 | + "rth_share": 0.97873 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2004-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2004-12", | |
| 3 | + "rows": 21789619, | |
| 4 | + "tickers": 8294, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 125473, | |
| 14 | + "rows_rth": 21273097, | |
| 15 | + "rows_post": 391049, | |
| 16 | + "rth_share": 0.9763 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2005-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2005-01", | |
| 3 | + "rows": 20477055, | |
| 4 | + "tickers": 8243, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 112288, | |
| 14 | + "rows_rth": 20031800, | |
| 15 | + "rows_post": 332967, | |
| 16 | + "rth_share": 0.97826 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2005-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2005-02", | |
| 3 | + "rows": 19266960, | |
| 4 | + "tickers": 8258, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 103482, | |
| 14 | + "rows_rth": 18863111, | |
| 15 | + "rows_post": 300367, | |
| 16 | + "rth_share": 0.97904 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2005-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2005-03", | |
| 3 | + "rows": 22333126, | |
| 4 | + "tickers": 8269, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 112128, | |
| 14 | + "rows_rth": 21825848, | |
| 15 | + "rows_post": 395150, | |
| 16 | + "rth_share": 0.97729 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2005-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2005-04", | |
| 3 | + "rows": 21357682, | |
| 4 | + "tickers": 8285, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 104989, | |
| 14 | + "rows_rth": 20910023, | |
| 15 | + "rows_post": 342670, | |
| 16 | + "rth_share": 0.97904 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2005-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2005-05", | |
| 3 | + "rows": 20967473, | |
| 4 | + "tickers": 8266, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 96165, | |
| 14 | + "rows_rth": 20565181, | |
| 15 | + "rows_post": 306127, | |
| 16 | + "rth_share": 0.98081 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2005-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2005-06", | |
| 3 | + "rows": 22193683, | |
| 4 | + "tickers": 8276, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 101913, | |
| 14 | + "rows_rth": 21701172, | |
| 15 | + "rows_post": 390598, | |
| 16 | + "rth_share": 0.97781 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2005-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2005-07", | |
| 3 | + "rows": 20222017, | |
| 4 | + "tickers": 8265, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 105260, | |
| 14 | + "rows_rth": 19803365, | |
| 15 | + "rows_post": 313392, | |
| 16 | + "rth_share": 0.9793 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2005-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2005-08", | |
| 3 | + "rows": 23342062, | |
| 4 | + "tickers": 8303, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 99641, | |
| 14 | + "rows_rth": 22902341, | |
| 15 | + "rows_post": 340080, | |
| 16 | + "rth_share": 0.98116 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2005-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2005-09", | |
| 3 | + "rows": 21588765, | |
| 4 | + "tickers": 8268, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 113154, | |
| 14 | + "rows_rth": 21130824, | |
| 15 | + "rows_post": 344787, | |
| 16 | + "rth_share": 0.97879 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2005-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2005-10", | |
| 3 | + "rows": 22350293, | |
| 4 | + "tickers": 8251, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 112517, | |
| 14 | + "rows_rth": 21911421, | |
| 15 | + "rows_post": 326355, | |
| 16 | + "rth_share": 0.98036 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2005-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2005-11", | |
| 3 | + "rows": 21723016, | |
| 4 | + "tickers": 8292, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 117360, | |
| 14 | + "rows_rth": 21328538, | |
| 15 | + "rows_post": 277118, | |
| 16 | + "rth_share": 0.98184 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2005-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2005-12", | |
| 3 | + "rows": 22294007, | |
| 4 | + "tickers": 8299, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 108438, | |
| 14 | + "rows_rth": 21899841, | |
| 15 | + "rows_post": 285728, | |
| 16 | + "rth_share": 0.98232 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2006-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2006-01", | |
| 3 | + "rows": 22447445, | |
| 4 | + "tickers": 8254, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 148647, | |
| 14 | + "rows_rth": 22000610, | |
| 15 | + "rows_post": 298188, | |
| 16 | + "rth_share": 0.98009 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2006-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2006-02", | |
| 3 | + "rows": 21213209, | |
| 4 | + "tickers": 8215, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 122610, | |
| 14 | + "rows_rth": 20817606, | |
| 15 | + "rows_post": 272993, | |
| 16 | + "rth_share": 0.98135 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2006-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2006-03", | |
| 3 | + "rows": 25804638, | |
| 4 | + "tickers": 8226, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 140189, | |
| 14 | + "rows_rth": 25332161, | |
| 15 | + "rows_post": 332288, | |
| 16 | + "rth_share": 0.98169 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2006-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2006-04", | |
| 3 | + "rows": 21781406, | |
| 4 | + "tickers": 8213, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 121446, | |
| 14 | + "rows_rth": 21405866, | |
| 15 | + "rows_post": 254094, | |
| 16 | + "rth_share": 0.98276 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2006-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2006-05", | |
| 3 | + "rows": 25696785, | |
| 4 | + "tickers": 8246, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 135435, | |
| 14 | + "rows_rth": 25266201, | |
| 15 | + "rows_post": 295149, | |
| 16 | + "rth_share": 0.98324 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2006-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2006-06", | |
| 3 | + "rows": 25186489, | |
| 4 | + "tickers": 8292, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 97006, | |
| 14 | + "rows_rth": 24828060, | |
| 15 | + "rows_post": 261423, | |
| 16 | + "rth_share": 0.98577 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2006-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2006-07", | |
| 3 | + "rows": 21800710, | |
| 4 | + "tickers": 8253, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 89524, | |
| 14 | + "rows_rth": 21497140, | |
| 15 | + "rows_post": 214046, | |
| 16 | + "rth_share": 0.98608 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2006-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2006-08", | |
| 3 | + "rows": 24436008, | |
| 4 | + "tickers": 8252, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 96516, | |
| 14 | + "rows_rth": 24099602, | |
| 15 | + "rows_post": 239890, | |
| 16 | + "rth_share": 0.98623 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2006-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2006-09", | |
| 3 | + "rows": 21395369, | |
| 4 | + "tickers": 8271, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 84362, | |
| 14 | + "rows_rth": 21101772, | |
| 15 | + "rows_post": 209235, | |
| 16 | + "rth_share": 0.98628 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2006-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2006-10", | |
| 3 | + "rows": 23474467, | |
| 4 | + "tickers": 8317, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 101136, | |
| 14 | + "rows_rth": 23179770, | |
| 15 | + "rows_post": 193561, | |
| 16 | + "rth_share": 0.98745 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2006-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2006-11", | |
| 3 | + "rows": 22618243, | |
| 4 | + "tickers": 8353, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 108527, | |
| 14 | + "rows_rth": 22321339, | |
| 15 | + "rows_post": 188377, | |
| 16 | + "rth_share": 0.98687 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2006-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2006-12", | |
| 3 | + "rows": 21326636, | |
| 4 | + "tickers": 8348, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 83162, | |
| 14 | + "rows_rth": 21073299, | |
| 15 | + "rows_post": 170175, | |
| 16 | + "rth_share": 0.98812 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2007-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2007-01", | |
| 3 | + "rows": 22322404, | |
| 4 | + "tickers": 8321, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 101343, | |
| 14 | + "rows_rth": 22042754, | |
| 15 | + "rows_post": 178307, | |
| 16 | + "rth_share": 0.98747 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2007-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2007-02", | |
| 3 | + "rows": 21561556, | |
| 4 | + "tickers": 8366, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 113943, | |
| 14 | + "rows_rth": 21168099, | |
| 15 | + "rows_post": 279514, | |
| 16 | + "rth_share": 0.98175 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2007-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2007-03", | |
| 3 | + "rows": 25473887, | |
| 4 | + "tickers": 8387, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 130600, | |
| 14 | + "rows_rth": 25131872, | |
| 15 | + "rows_post": 211415, | |
| 16 | + "rth_share": 0.98657 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2007-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2007-04", | |
| 3 | + "rows": 22465903, | |
| 4 | + "tickers": 8383, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 125593, | |
| 14 | + "rows_rth": 22149398, | |
| 15 | + "rows_post": 190912, | |
| 16 | + "rth_share": 0.98591 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2007-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2007-05", | |
| 3 | + "rows": 25777199, | |
| 4 | + "tickers": 8442, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 129878, | |
| 14 | + "rows_rth": 25441234, | |
| 15 | + "rows_post": 206087, | |
| 16 | + "rth_share": 0.98697 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2007-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2007-06", | |
| 3 | + "rows": 24928371, | |
| 4 | + "tickers": 8686, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 118764, | |
| 14 | + "rows_rth": 24623424, | |
| 15 | + "rows_post": 186183, | |
| 16 | + "rth_share": 0.98777 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2007-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2007-07", | |
| 3 | + "rows": 24914680, | |
| 4 | + "tickers": 8429, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 1, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 133692, | |
| 14 | + "rows_rth": 24581293, | |
| 15 | + "rows_post": 199695, | |
| 16 | + "rth_share": 0.98662 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2007-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2007-08", | |
| 3 | + "rows": 29397466, | |
| 4 | + "tickers": 8440, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 150789, | |
| 14 | + "rows_rth": 29020604, | |
| 15 | + "rows_post": 226073, | |
| 16 | + "rth_share": 0.98718 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2007-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2007-09", | |
| 3 | + "rows": 21474280, | |
| 4 | + "tickers": 8384, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 117468, | |
| 14 | + "rows_rth": 21188418, | |
| 15 | + "rows_post": 168394, | |
| 16 | + "rth_share": 0.98669 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2007-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2007-10", | |
| 3 | + "rows": 26793325, | |
| 4 | + "tickers": 8451, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 185633, | |
| 14 | + "rows_rth": 26352270, | |
| 15 | + "rows_post": 255422, | |
| 16 | + "rth_share": 0.98354 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2007-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2007-11", | |
| 3 | + "rows": 25628099, | |
| 4 | + "tickers": 8487, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 175559, | |
| 14 | + "rows_rth": 25228467, | |
| 15 | + "rows_post": 224073, | |
| 16 | + "rth_share": 0.98441 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2007-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2007-12", | |
| 3 | + "rows": 23546640, | |
| 4 | + "tickers": 8506, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 132586, | |
| 14 | + "rows_rth": 23222152, | |
| 15 | + "rows_post": 191902, | |
| 16 | + "rth_share": 0.98622 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2008-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2008-01", | |
| 3 | + "rows": 27300403, | |
| 4 | + "tickers": 8508, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 185660, | |
| 14 | + "rows_rth": 26849012, | |
| 15 | + "rows_post": 265731, | |
| 16 | + "rth_share": 0.98347 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2008-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2008-02", | |
| 3 | + "rows": 24554525, | |
| 4 | + "tickers": 8518, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 149275, | |
| 14 | + "rows_rth": 24196652, | |
| 15 | + "rows_post": 208598, | |
| 16 | + "rth_share": 0.98543 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2008-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2008-03", | |
| 3 | + "rows": 24893106, | |
| 4 | + "tickers": 8502, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 158969, | |
| 14 | + "rows_rth": 24523527, | |
| 15 | + "rows_post": 210610, | |
| 16 | + "rth_share": 0.98515 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2008-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2008-04", | |
| 3 | + "rows": 25424616, | |
| 4 | + "tickers": 8518, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 174106, | |
| 14 | + "rows_rth": 25017781, | |
| 15 | + "rows_post": 232729, | |
| 16 | + "rth_share": 0.984 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2008-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2008-05", | |
| 3 | + "rows": 24718648, | |
| 4 | + "tickers": 8517, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 170532, | |
| 14 | + "rows_rth": 24330396, | |
| 15 | + "rows_post": 217720, | |
| 16 | + "rth_share": 0.98429 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2008-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2008-06", | |
| 3 | + "rows": 24869233, | |
| 4 | + "tickers": 8543, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 155585, | |
| 14 | + "rows_rth": 24501753, | |
| 15 | + "rows_post": 211895, | |
| 16 | + "rth_share": 0.98522 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2008-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2008-07", | |
| 3 | + "rows": 26710518, | |
| 4 | + "tickers": 8545, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 188564, | |
| 14 | + "rows_rth": 26278551, | |
| 15 | + "rows_post": 243403, | |
| 16 | + "rth_share": 0.98383 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2008-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2008-08", | |
| 3 | + "rows": 24112290, | |
| 4 | + "tickers": 8515, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 154368, | |
| 14 | + "rows_rth": 23757660, | |
| 15 | + "rows_post": 200262, | |
| 16 | + "rth_share": 0.98529 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2008-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2008-09", | |
| 3 | + "rows": 25861171, | |
| 4 | + "tickers": 8520, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 233903, | |
| 14 | + "rows_rth": 25326964, | |
| 15 | + "rows_post": 300304, | |
| 16 | + "rth_share": 0.97934 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2008-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2008-10", | |
| 3 | + "rows": 28636743, | |
| 4 | + "tickers": 8443, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 282873, | |
| 14 | + "rows_rth": 28004535, | |
| 15 | + "rows_post": 349335, | |
| 16 | + "rth_share": 0.97792 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2008-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2008-11", | |
| 3 | + "rows": 22234322, | |
| 4 | + "tickers": 8414, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 189116, | |
| 14 | + "rows_rth": 21795143, | |
| 15 | + "rows_post": 250063, | |
| 16 | + "rth_share": 0.98025 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2008-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2008-12", | |
| 3 | + "rows": 24808724, | |
| 4 | + "tickers": 8372, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 196249, | |
| 14 | + "rows_rth": 24249580, | |
| 15 | + "rows_post": 362895, | |
| 16 | + "rth_share": 0.97746 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2009-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2009-01", | |
| 3 | + "rows": 22257550, | |
| 4 | + "tickers": 8282, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 213655, | |
| 14 | + "rows_rth": 21792486, | |
| 15 | + "rows_post": 251409, | |
| 16 | + "rth_share": 0.97911 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2009-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2009-02", | |
| 3 | + "rows": 21356332, | |
| 4 | + "tickers": 8241, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 207837, | |
| 14 | + "rows_rth": 20909577, | |
| 15 | + "rows_post": 238918, | |
| 16 | + "rth_share": 0.97908 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2009-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2009-03", | |
| 3 | + "rows": 25006331, | |
| 4 | + "tickers": 8183, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 250270, | |
| 14 | + "rows_rth": 24452182, | |
| 15 | + "rows_post": 303879, | |
| 16 | + "rth_share": 0.97784 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2009-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2009-04", | |
| 3 | + "rows": 23177343, | |
| 4 | + "tickers": 8114, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 275734, | |
| 14 | + "rows_rth": 22604040, | |
| 15 | + "rows_post": 297569, | |
| 16 | + "rth_share": 0.97526 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2009-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2009-05", | |
| 3 | + "rows": 22882948, | |
| 4 | + "tickers": 8079, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 280243, | |
| 14 | + "rows_rth": 22308717, | |
| 15 | + "rows_post": 293988, | |
| 16 | + "rth_share": 0.97491 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2009-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2009-06", | |
| 3 | + "rows": 24638699, | |
| 4 | + "tickers": 8050, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 274855, | |
| 14 | + "rows_rth": 24065033, | |
| 15 | + "rows_post": 298811, | |
| 16 | + "rth_share": 0.97672 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2009-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2009-07", | |
| 3 | + "rows": 23623640, | |
| 4 | + "tickers": 7989, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 257745, | |
| 14 | + "rows_rth": 23067296, | |
| 15 | + "rows_post": 298599, | |
| 16 | + "rth_share": 0.97645 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2009-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2009-08", | |
| 3 | + "rows": 22423131, | |
| 4 | + "tickers": 7957, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 272180, | |
| 14 | + "rows_rth": 21867011, | |
| 15 | + "rows_post": 283940, | |
| 16 | + "rth_share": 0.9752 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2009-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2009-09", | |
| 3 | + "rows": 22505810, | |
| 4 | + "tickers": 7949, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 263800, | |
| 14 | + "rows_rth": 21958511, | |
| 15 | + "rows_post": 283499, | |
| 16 | + "rth_share": 0.97568 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2009-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2009-10", | |
| 3 | + "rows": 23617770, | |
| 4 | + "tickers": 7953, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 276195, | |
| 14 | + "rows_rth": 23031059, | |
| 15 | + "rows_post": 310516, | |
| 16 | + "rth_share": 0.97516 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2009-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2009-11", | |
| 3 | + "rows": 20782510, | |
| 4 | + "tickers": 7963, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 242271, | |
| 14 | + "rows_rth": 20313430, | |
| 15 | + "rows_post": 226809, | |
| 16 | + "rth_share": 0.97743 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2009-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2009-12", | |
| 3 | + "rows": 21718278, | |
| 4 | + "tickers": 7966, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 224077, | |
| 14 | + "rows_rth": 21251968, | |
| 15 | + "rows_post": 242233, | |
| 16 | + "rth_share": 0.97853 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2010-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2010-01", | |
| 3 | + "rows": 20238631, | |
| 4 | + "tickers": 7931, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 231697, | |
| 14 | + "rows_rth": 19755688, | |
| 15 | + "rows_post": 251246, | |
| 16 | + "rth_share": 0.97614 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2010-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2010-02", | |
| 3 | + "rows": 20082460, | |
| 4 | + "tickers": 7909, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 226885, | |
| 14 | + "rows_rth": 19618588, | |
| 15 | + "rows_post": 236987, | |
| 16 | + "rth_share": 0.9769 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2010-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2010-03", | |
| 3 | + "rows": 24142379, | |
| 4 | + "tickers": 7940, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 246490, | |
| 14 | + "rows_rth": 23622291, | |
| 15 | + "rows_post": 273598, | |
| 16 | + "rth_share": 0.97846 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2010-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2010-04", | |
| 3 | + "rows": 22489796, | |
| 4 | + "tickers": 7917, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 254512, | |
| 14 | + "rows_rth": 21958597, | |
| 15 | + "rows_post": 276687, | |
| 16 | + "rth_share": 0.97638 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2010-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2010-05", | |
| 3 | + "rows": 24056349, | |
| 4 | + "tickers": 7935, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 308719, | |
| 14 | + "rows_rth": 23461696, | |
| 15 | + "rows_post": 285934, | |
| 16 | + "rth_share": 0.97528 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2010-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2010-06", | |
| 3 | + "rows": 24497503, | |
| 4 | + "tickers": 7929, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 234374, | |
| 14 | + "rows_rth": 24006588, | |
| 15 | + "rows_post": 256541, | |
| 16 | + "rth_share": 0.97996 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2010-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2010-07", | |
| 3 | + "rows": 22696261, | |
| 4 | + "tickers": 7937, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 222742, | |
| 14 | + "rows_rth": 22222951, | |
| 15 | + "rows_post": 250568, | |
| 16 | + "rth_share": 0.97915 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2010-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2010-08", | |
| 3 | + "rows": 23299808, | |
| 4 | + "tickers": 7876, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 239761, | |
| 14 | + "rows_rth": 22800367, | |
| 15 | + "rows_post": 259680, | |
| 16 | + "rth_share": 0.97856 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2010-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2010-09", | |
| 3 | + "rows": 21847123, | |
| 4 | + "tickers": 7856, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 224132, | |
| 14 | + "rows_rth": 21388729, | |
| 15 | + "rows_post": 234262, | |
| 16 | + "rth_share": 0.97902 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2010-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2010-10", | |
| 3 | + "rows": 22217154, | |
| 4 | + "tickers": 7839, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 243541, | |
| 14 | + "rows_rth": 21716640, | |
| 15 | + "rows_post": 256973, | |
| 16 | + "rth_share": 0.97747 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2010-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2010-11", | |
| 3 | + "rows": 22408160, | |
| 4 | + "tickers": 7866, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 272813, | |
| 14 | + "rows_rth": 21869816, | |
| 15 | + "rows_post": 265531, | |
| 16 | + "rth_share": 0.97598 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2010-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2010-12", | |
| 3 | + "rows": 23028639, | |
| 4 | + "tickers": 7881, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 244319, | |
| 14 | + "rows_rth": 22532235, | |
| 15 | + "rows_post": 252085, | |
| 16 | + "rth_share": 0.97844 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2011-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2011-01", | |
| 3 | + "rows": 22076289, | |
| 4 | + "tickers": 7829, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 269170, | |
| 14 | + "rows_rth": 21548920, | |
| 15 | + "rows_post": 258199, | |
| 16 | + "rth_share": 0.97611 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2011-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2011-02", | |
| 3 | + "rows": 20936498, | |
| 4 | + "tickers": 7834, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 258325, | |
| 14 | + "rows_rth": 20425238, | |
| 15 | + "rows_post": 252935, | |
| 16 | + "rth_share": 0.97558 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2011-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2011-03", | |
| 3 | + "rows": 25884009, | |
| 4 | + "tickers": 7879, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 326604, | |
| 14 | + "rows_rth": 25254694, | |
| 15 | + "rows_post": 302711, | |
| 16 | + "rth_share": 0.97569 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2011-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2011-04", | |
| 3 | + "rows": 21501006, | |
| 4 | + "tickers": 7892, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 249416, | |
| 14 | + "rows_rth": 21001102, | |
| 15 | + "rows_post": 250488, | |
| 16 | + "rth_share": 0.97675 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2011-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2011-05", | |
| 3 | + "rows": 23458320, | |
| 4 | + "tickers": 7944, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 251703, | |
| 14 | + "rows_rth": 22957489, | |
| 15 | + "rows_post": 249128, | |
| 16 | + "rth_share": 0.97865 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2011-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2011-06", | |
| 3 | + "rows": 24980864, | |
| 4 | + "tickers": 7986, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 239356, | |
| 14 | + "rows_rth": 24488599, | |
| 15 | + "rows_post": 252909, | |
| 16 | + "rth_share": 0.98029 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2011-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2011-07", | |
| 3 | + "rows": 21645966, | |
| 4 | + "tickers": 7923, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 247094, | |
| 14 | + "rows_rth": 21147642, | |
| 15 | + "rows_post": 251230, | |
| 16 | + "rth_share": 0.97698 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2011-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2011-08", | |
| 3 | + "rows": 27927869, | |
| 4 | + "tickers": 7906, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 342829, | |
| 14 | + "rows_rth": 27261703, | |
| 15 | + "rows_post": 323337, | |
| 16 | + "rth_share": 0.97615 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2011-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2011-09", | |
| 3 | + "rows": 23934979, | |
| 4 | + "tickers": 7932, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 287775, | |
| 14 | + "rows_rth": 23377947, | |
| 15 | + "rows_post": 269257, | |
| 16 | + "rth_share": 0.97673 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2011-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2011-10", | |
| 3 | + "rows": 23494135, | |
| 4 | + "tickers": 7929, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 274427, | |
| 14 | + "rows_rth": 22939121, | |
| 15 | + "rows_post": 280587, | |
| 16 | + "rth_share": 0.97638 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2011-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2011-11", | |
| 3 | + "rows": 22487599, | |
| 4 | + "tickers": 7929, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 294238, | |
| 14 | + "rows_rth": 21948518, | |
| 15 | + "rows_post": 244843, | |
| 16 | + "rth_share": 0.97603 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2011-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2011-12", | |
| 3 | + "rows": 21769129, | |
| 4 | + "tickers": 7913, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 218389, | |
| 14 | + "rows_rth": 21323496, | |
| 15 | + "rows_post": 227244, | |
| 16 | + "rth_share": 0.97953 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2012-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2012-01", | |
| 3 | + "rows": 20453522, | |
| 4 | + "tickers": 7902, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 242215, | |
| 14 | + "rows_rth": 19976072, | |
| 15 | + "rows_post": 235235, | |
| 16 | + "rth_share": 0.97666 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2012-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2012-02", | |
| 3 | + "rows": 20893607, | |
| 4 | + "tickers": 7945, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 251564, | |
| 14 | + "rows_rth": 20392779, | |
| 15 | + "rows_post": 249264, | |
| 16 | + "rth_share": 0.97603 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2012-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2012-03", | |
| 3 | + "rows": 22945557, | |
| 4 | + "tickers": 7952, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 243975, | |
| 14 | + "rows_rth": 22452831, | |
| 15 | + "rows_post": 248751, | |
| 16 | + "rth_share": 0.97853 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2012-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2012-04", | |
| 3 | + "rows": 20723978, | |
| 4 | + "tickers": 7968, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 218026, | |
| 14 | + "rows_rth": 20275432, | |
| 15 | + "rows_post": 230520, | |
| 16 | + "rth_share": 0.97836 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2012-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2012-05", | |
| 3 | + "rows": 23388529, | |
| 4 | + "tickers": 7977, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 237913, | |
| 14 | + "rows_rth": 22889416, | |
| 15 | + "rows_post": 261200, | |
| 16 | + "rth_share": 0.97866 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2012-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2012-06", | |
| 3 | + "rows": 22219999, | |
| 4 | + "tickers": 7995, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 216992, | |
| 14 | + "rows_rth": 21767605, | |
| 15 | + "rows_post": 235402, | |
| 16 | + "rth_share": 0.97964 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2012-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2012-07", | |
| 3 | + "rows": 20174427, | |
| 4 | + "tickers": 7965, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 212751, | |
| 14 | + "rows_rth": 19746744, | |
| 15 | + "rows_post": 214932, | |
| 16 | + "rth_share": 0.9788 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2012-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2012-08", | |
| 3 | + "rows": 21545587, | |
| 4 | + "tickers": 7933, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 201122, | |
| 14 | + "rows_rth": 21120135, | |
| 15 | + "rows_post": 224330, | |
| 16 | + "rth_share": 0.98025 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2012-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2012-09", | |
| 3 | + "rows": 18754155, | |
| 4 | + "tickers": 7881, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 192832, | |
| 14 | + "rows_rth": 18359298, | |
| 15 | + "rows_post": 202025, | |
| 16 | + "rth_share": 0.97895 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2012-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2012-10", | |
| 3 | + "rows": 20075122, | |
| 4 | + "tickers": 7900, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 196613, | |
| 14 | + "rows_rth": 19661282, | |
| 15 | + "rows_post": 217227, | |
| 16 | + "rth_share": 0.97939 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2012-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2012-11", | |
| 3 | + "rows": 20358890, | |
| 4 | + "tickers": 7842, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 194510, | |
| 14 | + "rows_rth": 19962863, | |
| 15 | + "rows_post": 201517, | |
| 16 | + "rth_share": 0.98055 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2012-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2012-12", | |
| 3 | + "rows": 19197393, | |
| 4 | + "tickers": 7841, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 167459, | |
| 14 | + "rows_rth": 18845055, | |
| 15 | + "rows_post": 184879, | |
| 16 | + "rth_share": 0.98165 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2013-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2013-01", | |
| 3 | + "rows": 20759332, | |
| 4 | + "tickers": 7829, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 217481, | |
| 14 | + "rows_rth": 20324364, | |
| 15 | + "rows_post": 217487, | |
| 16 | + "rth_share": 0.97905 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2013-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2013-02", | |
| 3 | + "rows": 18777905, | |
| 4 | + "tickers": 7826, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 198986, | |
| 14 | + "rows_rth": 18378876, | |
| 15 | + "rows_post": 200043, | |
| 16 | + "rth_share": 0.97875 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2013-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2013-03", | |
| 3 | + "rows": 19849398, | |
| 4 | + "tickers": 7828, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 194893, | |
| 14 | + "rows_rth": 19458076, | |
| 15 | + "rows_post": 196429, | |
| 16 | + "rth_share": 0.98029 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2013-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2013-04", | |
| 3 | + "rows": 21929681, | |
| 4 | + "tickers": 7839, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 225802, | |
| 14 | + "rows_rth": 21481521, | |
| 15 | + "rows_post": 222358, | |
| 16 | + "rth_share": 0.97956 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2013-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2013-05", | |
| 3 | + "rows": 21819850, | |
| 4 | + "tickers": 7857, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 244503, | |
| 14 | + "rows_rth": 21348992, | |
| 15 | + "rows_post": 226355, | |
| 16 | + "rth_share": 0.97842 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2013-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2013-06", | |
| 3 | + "rows": 21098289, | |
| 4 | + "tickers": 7841, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 220811, | |
| 14 | + "rows_rth": 20676118, | |
| 15 | + "rows_post": 201360, | |
| 16 | + "rth_share": 0.97999 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2013-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2013-07", | |
| 3 | + "rows": 21217671, | |
| 4 | + "tickers": 7832, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 214404, | |
| 14 | + "rows_rth": 20785295, | |
| 15 | + "rows_post": 217972, | |
| 16 | + "rth_share": 0.97962 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2013-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2013-08", | |
| 3 | + "rows": 21192121, | |
| 4 | + "tickers": 7840, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 213024, | |
| 14 | + "rows_rth": 20758225, | |
| 15 | + "rows_post": 220872, | |
| 16 | + "rth_share": 0.97953 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2013-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2013-09", | |
| 3 | + "rows": 19563903, | |
| 4 | + "tickers": 7872, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 199631, | |
| 14 | + "rows_rth": 19167174, | |
| 15 | + "rows_post": 197098, | |
| 16 | + "rth_share": 0.97972 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2013-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2013-10", | |
| 3 | + "rows": 22893026, | |
| 4 | + "tickers": 7918, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 232328, | |
| 14 | + "rows_rth": 22410258, | |
| 15 | + "rows_post": 250440, | |
| 16 | + "rth_share": 0.97891 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2013-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2013-11", | |
| 3 | + "rows": 19595388, | |
| 4 | + "tickers": 7942, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 199393, | |
| 14 | + "rows_rth": 19153054, | |
| 15 | + "rows_post": 242941, | |
| 16 | + "rth_share": 0.97743 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2013-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2013-12", | |
| 3 | + "rows": 20858292, | |
| 4 | + "tickers": 7921, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 187585, | |
| 14 | + "rows_rth": 20475041, | |
| 15 | + "rows_post": 195666, | |
| 16 | + "rth_share": 0.98163 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2014-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2014-01", | |
| 3 | + "rows": 21998266, | |
| 4 | + "tickers": 7934, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 258923, | |
| 14 | + "rows_rth": 21506066, | |
| 15 | + "rows_post": 233277, | |
| 16 | + "rth_share": 0.97763 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2014-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2014-02", | |
| 3 | + "rows": 20182387, | |
| 4 | + "tickers": 7955, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 216105, | |
| 14 | + "rows_rth": 19756975, | |
| 15 | + "rows_post": 209307, | |
| 16 | + "rth_share": 0.97892 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2014-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2014-03", | |
| 3 | + "rows": 22385994, | |
| 4 | + "tickers": 7982, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 234740, | |
| 14 | + "rows_rth": 21929168, | |
| 15 | + "rows_post": 222086, | |
| 16 | + "rth_share": 0.97959 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2014-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2014-04", | |
| 3 | + "rows": 22472858, | |
| 4 | + "tickers": 8006, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 194442, | |
| 14 | + "rows_rth": 22063172, | |
| 15 | + "rows_post": 215244, | |
| 16 | + "rth_share": 0.98177 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2014-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2014-05", | |
| 3 | + "rows": 21762805, | |
| 4 | + "tickers": 8046, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 174926, | |
| 14 | + "rows_rth": 21389371, | |
| 15 | + "rows_post": 198508, | |
| 16 | + "rth_share": 0.98284 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2014-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2014-06", | |
| 3 | + "rows": 21454208, | |
| 4 | + "tickers": 8100, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 171252, | |
| 14 | + "rows_rth": 21086017, | |
| 15 | + "rows_post": 196939, | |
| 16 | + "rth_share": 0.98284 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2014-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2014-07", | |
| 3 | + "rows": 22039217, | |
| 4 | + "tickers": 8128, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 204075, | |
| 14 | + "rows_rth": 21570804, | |
| 15 | + "rows_post": 264338, | |
| 16 | + "rth_share": 0.97875 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2014-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2014-08", | |
| 3 | + "rows": 20856932, | |
| 4 | + "tickers": 8127, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 186113, | |
| 14 | + "rows_rth": 20465879, | |
| 15 | + "rows_post": 204940, | |
| 16 | + "rth_share": 0.98125 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2014-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2014-09", | |
| 3 | + "rows": 21518186, | |
| 4 | + "tickers": 8170, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 196857, | |
| 14 | + "rows_rth": 21106018, | |
| 15 | + "rows_post": 215311, | |
| 16 | + "rth_share": 0.98085 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2014-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2014-10", | |
| 3 | + "rows": 26083170, | |
| 4 | + "tickers": 8203, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 280947, | |
| 14 | + "rows_rth": 25535152, | |
| 15 | + "rows_post": 267071, | |
| 16 | + "rth_share": 0.97899 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2014-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2014-11", | |
| 3 | + "rows": 19533519, | |
| 4 | + "tickers": 8187, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 211844, | |
| 14 | + "rows_rth": 19131101, | |
| 15 | + "rows_post": 190574, | |
| 16 | + "rth_share": 0.9794 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2014-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2014-12", | |
| 3 | + "rows": 23891706, | |
| 4 | + "tickers": 8230, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 230309, | |
| 14 | + "rows_rth": 23440321, | |
| 15 | + "rows_post": 221076, | |
| 16 | + "rth_share": 0.98111 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2015-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2015-01", | |
| 3 | + "rows": 22296150, | |
| 4 | + "tickers": 8207, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 254309, | |
| 14 | + "rows_rth": 21811046, | |
| 15 | + "rows_post": 230795, | |
| 16 | + "rth_share": 0.97824 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2015-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2015-02", | |
| 3 | + "rows": 20453834, | |
| 4 | + "tickers": 8203, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 225697, | |
| 14 | + "rows_rth": 20007008, | |
| 15 | + "rows_post": 221129, | |
| 16 | + "rth_share": 0.97815 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2015-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2015-03", | |
| 3 | + "rows": 23736841, | |
| 4 | + "tickers": 8204, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 233481, | |
| 14 | + "rows_rth": 23276629, | |
| 15 | + "rows_post": 226731, | |
| 16 | + "rth_share": 0.98061 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2015-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2015-04", | |
| 3 | + "rows": 22181198, | |
| 4 | + "tickers": 8232, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 222921, | |
| 14 | + "rows_rth": 21745150, | |
| 15 | + "rows_post": 213127, | |
| 16 | + "rth_share": 0.98034 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2015-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2015-05", | |
| 3 | + "rows": 21397995, | |
| 4 | + "tickers": 8245, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 1, | |
| 13 | + "rows_pre": 210777, | |
| 14 | + "rows_rth": 20989592, | |
| 15 | + "rows_post": 197626, | |
| 16 | + "rth_share": 0.98091 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2015-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2015-06", | |
| 3 | + "rows": 23745876, | |
| 4 | + "tickers": 8324, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 225867, | |
| 14 | + "rows_rth": 23305877, | |
| 15 | + "rows_post": 214132, | |
| 16 | + "rth_share": 0.98147 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2015-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2015-07", | |
| 3 | + "rows": 23734813, | |
| 4 | + "tickers": 8384, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 234359, | |
| 14 | + "rows_rth": 23265575, | |
| 15 | + "rows_post": 234879, | |
| 16 | + "rth_share": 0.98023 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2015-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2015-08", | |
| 3 | + "rows": 23788864, | |
| 4 | + "tickers": 8364, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 252276, | |
| 14 | + "rows_rth": 23305592, | |
| 15 | + "rows_post": 230996, | |
| 16 | + "rth_share": 0.97968 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2015-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2015-09", | |
| 3 | + "rows": 23276837, | |
| 4 | + "tickers": 8359, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 223805, | |
| 14 | + "rows_rth": 22834568, | |
| 15 | + "rows_post": 218464, | |
| 16 | + "rth_share": 0.981 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2015-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2015-10", | |
| 3 | + "rows": 23859151, | |
| 4 | + "tickers": 8393, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 215760, | |
| 14 | + "rows_rth": 23412142, | |
| 15 | + "rows_post": 231249, | |
| 16 | + "rth_share": 0.98126 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2015-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2015-11", | |
| 3 | + "rows": 21250608, | |
| 4 | + "tickers": 8404, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 200568, | |
| 14 | + "rows_rth": 20856376, | |
| 15 | + "rows_post": 193664, | |
| 16 | + "rth_share": 0.98145 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2015-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2015-12", | |
| 3 | + "rows": 24139863, | |
| 4 | + "tickers": 8422, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 212426, | |
| 14 | + "rows_rth": 23716286, | |
| 15 | + "rows_post": 211151, | |
| 16 | + "rth_share": 0.98245 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2016-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2016-01", | |
| 3 | + "rows": 22804652, | |
| 4 | + "tickers": 8377, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 262129, | |
| 14 | + "rows_rth": 22328119, | |
| 15 | + "rows_post": 214404, | |
| 16 | + "rth_share": 0.9791 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2016-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2016-02", | |
| 3 | + "rows": 22761839, | |
| 4 | + "tickers": 8347, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 270285, | |
| 14 | + "rows_rth": 22270228, | |
| 15 | + "rows_post": 221326, | |
| 16 | + "rth_share": 0.9784 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2016-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2016-03", | |
| 3 | + "rows": 24059796, | |
| 4 | + "tickers": 8351, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 235653, | |
| 14 | + "rows_rth": 23607873, | |
| 15 | + "rows_post": 216270, | |
| 16 | + "rth_share": 0.98122 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2016-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2016-04", | |
| 3 | + "rows": 22131986, | |
| 4 | + "tickers": 8358, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 225554, | |
| 14 | + "rows_rth": 21693187, | |
| 15 | + "rows_post": 213245, | |
| 16 | + "rth_share": 0.98017 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2016-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2016-05", | |
| 3 | + "rows": 22471259, | |
| 4 | + "tickers": 8359, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 209581, | |
| 14 | + "rows_rth": 22058905, | |
| 15 | + "rows_post": 202773, | |
| 16 | + "rth_share": 0.98165 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2016-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2016-06", | |
| 3 | + "rows": 24172190, | |
| 4 | + "tickers": 8400, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 274898, | |
| 14 | + "rows_rth": 23667818, | |
| 15 | + "rows_post": 229474, | |
| 16 | + "rth_share": 0.97913 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2016-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2016-07", | |
| 3 | + "rows": 20924400, | |
| 4 | + "tickers": 8388, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 218500, | |
| 14 | + "rows_rth": 20505559, | |
| 15 | + "rows_post": 200341, | |
| 16 | + "rth_share": 0.97998 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2016-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2016-08", | |
| 3 | + "rows": 23252218, | |
| 4 | + "tickers": 8370, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 213562, | |
| 14 | + "rows_rth": 22828513, | |
| 15 | + "rows_post": 210143, | |
| 16 | + "rth_share": 0.98178 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2016-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2016-09", | |
| 3 | + "rows": 22136169, | |
| 4 | + "tickers": 8353, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 220994, | |
| 14 | + "rows_rth": 21708739, | |
| 15 | + "rows_post": 206436, | |
| 16 | + "rth_share": 0.98069 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2016-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2016-10", | |
| 3 | + "rows": 21184215, | |
| 4 | + "tickers": 8341, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 207058, | |
| 14 | + "rows_rth": 20775821, | |
| 15 | + "rows_post": 201336, | |
| 16 | + "rth_share": 0.98072 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2016-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2016-11", | |
| 3 | + "rows": 22733532, | |
| 4 | + "tickers": 8359, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 284316, | |
| 14 | + "rows_rth": 22235319, | |
| 15 | + "rows_post": 213897, | |
| 16 | + "rth_share": 0.97808 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2016-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2016-12", | |
| 3 | + "rows": 22423666, | |
| 4 | + "tickers": 8385, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 219083, | |
| 14 | + "rows_rth": 21994145, | |
| 15 | + "rows_post": 210438, | |
| 16 | + "rth_share": 0.98085 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2017-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2017-01", | |
| 3 | + "rows": 20754113, | |
| 4 | + "tickers": 8376, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 224927, | |
| 14 | + "rows_rth": 20319017, | |
| 15 | + "rows_post": 210169, | |
| 16 | + "rth_share": 0.97904 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2017-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2017-02", | |
| 3 | + "rows": 19861090, | |
| 4 | + "tickers": 8345, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 229723, | |
| 14 | + "rows_rth": 19418049, | |
| 15 | + "rows_post": 213318, | |
| 16 | + "rth_share": 0.97769 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2017-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2017-03", | |
| 3 | + "rows": 24193812, | |
| 4 | + "tickers": 8372, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 240265, | |
| 14 | + "rows_rth": 23708683, | |
| 15 | + "rows_post": 244864, | |
| 16 | + "rth_share": 0.97995 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2017-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2017-04", | |
| 3 | + "rows": 19931781, | |
| 4 | + "tickers": 8328, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 196604, | |
| 14 | + "rows_rth": 19532593, | |
| 15 | + "rows_post": 202584, | |
| 16 | + "rth_share": 0.97997 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2017-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2017-05", | |
| 3 | + "rows": 22961552, | |
| 4 | + "tickers": 8402, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 237140, | |
| 14 | + "rows_rth": 22485507, | |
| 15 | + "rows_post": 238905, | |
| 16 | + "rth_share": 0.97927 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2017-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2017-06", | |
| 3 | + "rows": 23186085, | |
| 4 | + "tickers": 8409, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 231169, | |
| 14 | + "rows_rth": 22718081, | |
| 15 | + "rows_post": 236835, | |
| 16 | + "rth_share": 0.97982 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2017-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2017-07", | |
| 3 | + "rows": 19583437, | |
| 4 | + "tickers": 8416, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 210506, | |
| 14 | + "rows_rth": 19165595, | |
| 15 | + "rows_post": 207336, | |
| 16 | + "rth_share": 0.97866 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2017-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2017-08", | |
| 3 | + "rows": 23014353, | |
| 4 | + "tickers": 8432, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 231834, | |
| 14 | + "rows_rth": 22532087, | |
| 15 | + "rows_post": 250432, | |
| 16 | + "rth_share": 0.97904 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2017-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2017-09", | |
| 3 | + "rows": 20182529, | |
| 4 | + "tickers": 8459, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 196183, | |
| 14 | + "rows_rth": 19780574, | |
| 15 | + "rows_post": 205772, | |
| 16 | + "rth_share": 0.98008 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2017-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2017-10", | |
| 3 | + "rows": 21938377, | |
| 4 | + "tickers": 9350, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 245874, | |
| 14 | + "rows_rth": 21452720, | |
| 15 | + "rows_post": 239783, | |
| 16 | + "rth_share": 0.97786 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2017-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2017-11", | |
| 3 | + "rows": 21661918, | |
| 4 | + "tickers": 9327, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 274160, | |
| 14 | + "rows_rth": 21149299, | |
| 15 | + "rows_post": 238459, | |
| 16 | + "rth_share": 0.97634 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2017-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2017-12", | |
| 3 | + "rows": 20835608, | |
| 4 | + "tickers": 8519, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 241866, | |
| 14 | + "rows_rth": 20367648, | |
| 15 | + "rows_post": 226094, | |
| 16 | + "rth_share": 0.97754 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2018-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2018-01", | |
| 3 | + "rows": 22384392, | |
| 4 | + "tickers": 8537, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 318057, | |
| 14 | + "rows_rth": 21804173, | |
| 15 | + "rows_post": 262162, | |
| 16 | + "rth_share": 0.97408 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2018-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2018-02", | |
| 3 | + "rows": 21630309, | |
| 4 | + "tickers": 8589, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 307738, | |
| 14 | + "rows_rth": 21062231, | |
| 15 | + "rows_post": 260340, | |
| 16 | + "rth_share": 0.97374 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2018-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2018-03", | |
| 3 | + "rows": 23091423, | |
| 4 | + "tickers": 8587, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 274343, | |
| 14 | + "rows_rth": 22549449, | |
| 15 | + "rows_post": 267631, | |
| 16 | + "rth_share": 0.97653 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2018-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2018-04", | |
| 3 | + "rows": 22218650, | |
| 4 | + "tickers": 8588, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 250511, | |
| 14 | + "rows_rth": 21721663, | |
| 15 | + "rows_post": 246476, | |
| 16 | + "rth_share": 0.97763 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2018-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2018-05", | |
| 3 | + "rows": 23297912, | |
| 4 | + "tickers": 8582, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 258025, | |
| 14 | + "rows_rth": 22787343, | |
| 15 | + "rows_post": 252544, | |
| 16 | + "rth_share": 0.97809 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2018-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2018-06", | |
| 3 | + "rows": 22628661, | |
| 4 | + "tickers": 8602, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 268786, | |
| 14 | + "rows_rth": 22118915, | |
| 15 | + "rows_post": 240960, | |
| 16 | + "rth_share": 0.97747 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2018-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2018-07", | |
| 3 | + "rows": 21007322, | |
| 4 | + "tickers": 8612, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 19, | |
| 13 | + "rows_pre": 241602, | |
| 14 | + "rows_rth": 20535881, | |
| 15 | + "rows_post": 229839, | |
| 16 | + "rth_share": 0.97756 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2018-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2018-08", | |
| 3 | + "rows": 22771794, | |
| 4 | + "tickers": 8648, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 256628, | |
| 14 | + "rows_rth": 22257052, | |
| 15 | + "rows_post": 258114, | |
| 16 | + "rth_share": 0.9774 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2018-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2018-09", | |
| 3 | + "rows": 19412387, | |
| 4 | + "tickers": 8674, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 225197, | |
| 14 | + "rows_rth": 18967754, | |
| 15 | + "rows_post": 219436, | |
| 16 | + "rth_share": 0.9771 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2018-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2018-10", | |
| 3 | + "rows": 25941349, | |
| 4 | + "tickers": 8747, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 354623, | |
| 14 | + "rows_rth": 25275907, | |
| 15 | + "rows_post": 310819, | |
| 16 | + "rth_share": 0.97435 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2018-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2018-11", | |
| 3 | + "rows": 22989020, | |
| 4 | + "tickers": 8746, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 301189, | |
| 14 | + "rows_rth": 22434277, | |
| 15 | + "rows_post": 253554, | |
| 16 | + "rth_share": 0.97587 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2018-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2018-12", | |
| 3 | + "rows": 22532018, | |
| 4 | + "tickers": 8724, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 265962, | |
| 14 | + "rows_rth": 22040188, | |
| 15 | + "rows_post": 225868, | |
| 16 | + "rth_share": 0.97817 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2019-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2019-01", | |
| 3 | + "rows": 23078536, | |
| 4 | + "tickers": 8697, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 297656, | |
| 14 | + "rows_rth": 22506233, | |
| 15 | + "rows_post": 274647, | |
| 16 | + "rth_share": 0.9752 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2019-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2019-02", | |
| 3 | + "rows": 20282889, | |
| 4 | + "tickers": 8702, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 273357, | |
| 14 | + "rows_rth": 19759317, | |
| 15 | + "rows_post": 250215, | |
| 16 | + "rth_share": 0.97419 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2019-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2019-03", | |
| 3 | + "rows": 23302705, | |
| 4 | + "tickers": 8716, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 302070, | |
| 14 | + "rows_rth": 22720901, | |
| 15 | + "rows_post": 279734, | |
| 16 | + "rth_share": 0.97503 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2019-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2019-04", | |
| 3 | + "rows": 22186698, | |
| 4 | + "tickers": 8723, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 265809, | |
| 14 | + "rows_rth": 21659643, | |
| 15 | + "rows_post": 261246, | |
| 16 | + "rth_share": 0.97624 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2019-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2019-05", | |
| 3 | + "rows": 23703421, | |
| 4 | + "tickers": 8780, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 320695, | |
| 14 | + "rows_rth": 23106578, | |
| 15 | + "rows_post": 276148, | |
| 16 | + "rth_share": 0.97482 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2019-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2019-06", | |
| 3 | + "rows": 21505309, | |
| 4 | + "tickers": 8839, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 262930, | |
| 14 | + "rows_rth": 20995477, | |
| 15 | + "rows_post": 246902, | |
| 16 | + "rth_share": 0.97629 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2019-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2019-07", | |
| 3 | + "rows": 22764251, | |
| 4 | + "tickers": 8927, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 270901, | |
| 14 | + "rows_rth": 22225826, | |
| 15 | + "rows_post": 267524, | |
| 16 | + "rth_share": 0.97635 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2019-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2019-08", | |
| 3 | + "rows": 23947476, | |
| 4 | + "tickers": 8903, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 339599, | |
| 14 | + "rows_rth": 23294237, | |
| 15 | + "rows_post": 313640, | |
| 16 | + "rth_share": 0.97272 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2019-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2019-09", | |
| 3 | + "rows": 21759807, | |
| 4 | + "tickers": 8875, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 259183, | |
| 14 | + "rows_rth": 21248022, | |
| 15 | + "rows_post": 252602, | |
| 16 | + "rth_share": 0.97648 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2019-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2019-10", | |
| 3 | + "rows": 23788486, | |
| 4 | + "tickers": 8922, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 278508, | |
| 14 | + "rows_rth": 23214297, | |
| 15 | + "rows_post": 295681, | |
| 16 | + "rth_share": 0.97586 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2019-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2019-11", | |
| 3 | + "rows": 20692130, | |
| 4 | + "tickers": 8942, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 280277, | |
| 14 | + "rows_rth": 20151510, | |
| 15 | + "rows_post": 260343, | |
| 16 | + "rth_share": 0.97387 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2019-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2019-12", | |
| 3 | + "rows": 21868641, | |
| 4 | + "tickers": 8951, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 277141, | |
| 14 | + "rows_rth": 21330252, | |
| 15 | + "rows_post": 261248, | |
| 16 | + "rth_share": 0.97538 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2020-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2020-01", | |
| 3 | + "rows": 22950745, | |
| 4 | + "tickers": 8914, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 397266, | |
| 14 | + "rows_rth": 22209578, | |
| 15 | + "rows_post": 343901, | |
| 16 | + "rth_share": 0.96771 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2020-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2020-02", | |
| 3 | + "rows": 21886606, | |
| 4 | + "tickers": 8945, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 449332, | |
| 14 | + "rows_rth": 21074629, | |
| 15 | + "rows_post": 362645, | |
| 16 | + "rth_share": 0.9629 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2020-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2020-03", | |
| 3 | + "rows": 30777815, | |
| 4 | + "tickers": 8928, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 829700, | |
| 14 | + "rows_rth": 29336179, | |
| 15 | + "rows_post": 611936, | |
| 16 | + "rth_share": 0.95316 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2020-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2020-04", | |
| 3 | + "rows": 26958250, | |
| 4 | + "tickers": 9152, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 744411, | |
| 14 | + "rows_rth": 25602099, | |
| 15 | + "rows_post": 611740, | |
| 16 | + "rth_share": 0.94969 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2020-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2020-05", | |
| 3 | + "rows": 25175610, | |
| 4 | + "tickers": 8873, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 733472, | |
| 14 | + "rows_rth": 23842317, | |
| 15 | + "rows_post": 599821, | |
| 16 | + "rth_share": 0.94704 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2020-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2020-06", | |
| 3 | + "rows": 28893871, | |
| 4 | + "tickers": 8945, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1003500, | |
| 14 | + "rows_rth": 27101059, | |
| 15 | + "rows_post": 789312, | |
| 16 | + "rth_share": 0.93795 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2020-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2020-07", | |
| 3 | + "rows": 26704585, | |
| 4 | + "tickers": 8993, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 6750, | |
| 13 | + "rows_pre": 842467, | |
| 14 | + "rows_rth": 25164123, | |
| 15 | + "rows_post": 697995, | |
| 16 | + "rth_share": 0.94231 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2020-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2020-08", | |
| 3 | + "rows": 24643838, | |
| 4 | + "tickers": 9041, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 12595, | |
| 13 | + "rows_pre": 746276, | |
| 14 | + "rows_rth": 23264884, | |
| 15 | + "rows_post": 632678, | |
| 16 | + "rth_share": 0.94404 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2020-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2020-09", | |
| 3 | + "rows": 25612230, | |
| 4 | + "tickers": 9153, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 12588, | |
| 13 | + "rows_pre": 665462, | |
| 14 | + "rows_rth": 24364079, | |
| 15 | + "rows_post": 582689, | |
| 16 | + "rth_share": 0.95127 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2020-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2020-10", | |
| 3 | + "rows": 24867678, | |
| 4 | + "tickers": 9316, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 13184, | |
| 13 | + "rows_pre": 718100, | |
| 14 | + "rows_rth": 23510820, | |
| 15 | + "rows_post": 638758, | |
| 16 | + "rth_share": 0.94544 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2020-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2020-11", | |
| 3 | + "rows": 23747409, | |
| 4 | + "tickers": 9418, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 11987, | |
| 13 | + "rows_pre": 916594, | |
| 14 | + "rows_rth": 22163026, | |
| 15 | + "rows_post": 667789, | |
| 16 | + "rth_share": 0.93328 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2020-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2020-12", | |
| 3 | + "rows": 27127947, | |
| 4 | + "tickers": 20079, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 934, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 5994, | |
| 13 | + "rows_pre": 1035708, | |
| 14 | + "rows_rth": 25297134, | |
| 15 | + "rows_post": 795105, | |
| 16 | + "rth_share": 0.93251 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2021-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2021-01", | |
| 3 | + "rows": 29969668, | |
| 4 | + "tickers": 21876, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 11391, | |
| 13 | + "rows_pre": 1373021, | |
| 14 | + "rows_rth": 27593267, | |
| 15 | + "rows_post": 1003380, | |
| 16 | + "rth_share": 0.92071 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2021-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2021-02", | |
| 3 | + "rows": 32800338, | |
| 4 | + "tickers": 22331, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 11382, | |
| 13 | + "rows_pre": 1690517, | |
| 14 | + "rows_rth": 29966932, | |
| 15 | + "rows_post": 1142889, | |
| 16 | + "rth_share": 0.91362 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2021-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2021-03", | |
| 3 | + "rows": 37217219, | |
| 4 | + "tickers": 22908, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 11757, | |
| 13 | + "rows_pre": 1454296, | |
| 14 | + "rows_rth": 34753939, | |
| 15 | + "rows_post": 1008984, | |
| 16 | + "rth_share": 0.93381 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2021-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2021-04", | |
| 3 | + "rows": 29825144, | |
| 4 | + "tickers": 22917, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 12583, | |
| 13 | + "rows_pre": 894937, | |
| 14 | + "rows_rth": 28260980, | |
| 15 | + "rows_post": 669227, | |
| 16 | + "rth_share": 0.94756 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2021-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2021-05", | |
| 3 | + "rows": 28425176, | |
| 4 | + "tickers": 23074, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 3596, | |
| 13 | + "rows_pre": 819341, | |
| 14 | + "rows_rth": 26994501, | |
| 15 | + "rows_post": 611334, | |
| 16 | + "rth_share": 0.94967 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2021-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2021-06", | |
| 3 | + "rows": 30859961, | |
| 4 | + "tickers": 22263, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 7, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 936680, | |
| 14 | + "rows_rth": 29241221, | |
| 15 | + "rows_post": 682060, | |
| 16 | + "rth_share": 0.94755 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2021-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2021-07", | |
| 3 | + "rows": 28303844, | |
| 4 | + "tickers": 22420, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 21, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 891973, | |
| 14 | + "rows_rth": 26825458, | |
| 15 | + "rows_post": 586413, | |
| 16 | + "rth_share": 0.94777 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2021-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2021-08", | |
| 3 | + "rows": 28810608, | |
| 4 | + "tickers": 22502, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 600, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 824936, | |
| 14 | + "rows_rth": 27377017, | |
| 15 | + "rows_post": 608655, | |
| 16 | + "rth_share": 0.95024 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2021-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2021-09", | |
| 3 | + "rows": 28853329, | |
| 4 | + "tickers": 22366, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 23, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 854839, | |
| 14 | + "rows_rth": 27397021, | |
| 15 | + "rows_post": 601469, | |
| 16 | + "rth_share": 0.94953 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2021-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2021-10", | |
| 3 | + "rows": 27947964, | |
| 4 | + "tickers": 21438, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 325, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 881556, | |
| 14 | + "rows_rth": 26438261, | |
| 15 | + "rows_post": 628147, | |
| 16 | + "rth_share": 0.94598 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2021-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2021-11", | |
| 3 | + "rows": 29499953, | |
| 4 | + "tickers": 21775, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 31, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1095040, | |
| 14 | + "rows_rth": 27733730, | |
| 15 | + "rows_post": 671183, | |
| 16 | + "rth_share": 0.94013 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2021-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2021-12", | |
| 3 | + "rows": 30879557, | |
| 4 | + "tickers": 22284, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 10, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 902463, | |
| 14 | + "rows_rth": 29366985, | |
| 15 | + "rows_post": 610109, | |
| 16 | + "rth_share": 0.95102 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2022-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2022-01", | |
| 3 | + "rows": 29754926, | |
| 4 | + "tickers": 23278, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 6, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 11984, | |
| 13 | + "rows_pre": 909138, | |
| 14 | + "rows_rth": 28240469, | |
| 15 | + "rows_post": 605319, | |
| 16 | + "rth_share": 0.9491 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2022-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2022-02", | |
| 3 | + "rows": 27746265, | |
| 4 | + "tickers": 23007, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 13, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 11385, | |
| 13 | + "rows_pre": 897637, | |
| 14 | + "rows_rth": 26270781, | |
| 15 | + "rows_post": 577847, | |
| 16 | + "rth_share": 0.94682 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2022-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2022-03", | |
| 3 | + "rows": 34105990, | |
| 4 | + "tickers": 23411, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 1, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 13780, | |
| 13 | + "rows_pre": 1188969, | |
| 14 | + "rows_rth": 32198355, | |
| 15 | + "rows_post": 718666, | |
| 16 | + "rth_share": 0.94407 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2022-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2022-04", | |
| 3 | + "rows": 28471321, | |
| 4 | + "tickers": 23065, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 1, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 11959, | |
| 13 | + "rows_pre": 842905, | |
| 14 | + "rows_rth": 27054911, | |
| 15 | + "rows_post": 573505, | |
| 16 | + "rth_share": 0.95025 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2022-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2022-05", | |
| 3 | + "rows": 31293108, | |
| 4 | + "tickers": 22599, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 69, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 12600, | |
| 13 | + "rows_pre": 894165, | |
| 14 | + "rows_rth": 29777516, | |
| 15 | + "rows_post": 621427, | |
| 16 | + "rth_share": 0.95157 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2022-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2022-06", | |
| 3 | + "rows": 30552832, | |
| 4 | + "tickers": 21612, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 385, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 876682, | |
| 14 | + "rows_rth": 29137899, | |
| 15 | + "rows_post": 538251, | |
| 16 | + "rth_share": 0.95369 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2022-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2022-07", | |
| 3 | + "rows": 26216398, | |
| 4 | + "tickers": 21249, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 3, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 776843, | |
| 14 | + "rows_rth": 24958644, | |
| 15 | + "rows_post": 480911, | |
| 16 | + "rth_share": 0.95202 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2022-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2022-08", | |
| 3 | + "rows": 30068635, | |
| 4 | + "tickers": 21735, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 15, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1068303, | |
| 14 | + "rows_rth": 28373729, | |
| 15 | + "rows_post": 626603, | |
| 16 | + "rth_share": 0.94363 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2022-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2022-09", | |
| 3 | + "rows": 27792952, | |
| 4 | + "tickers": 21518, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 106, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 804138, | |
| 14 | + "rows_rth": 26462902, | |
| 15 | + "rows_post": 525912, | |
| 16 | + "rth_share": 0.95214 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2022-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2022-10", | |
| 3 | + "rows": 28273923, | |
| 4 | + "tickers": 21400, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 22, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 827714, | |
| 14 | + "rows_rth": 26914146, | |
| 15 | + "rows_post": 532063, | |
| 16 | + "rth_share": 0.95191 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2022-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2022-11", | |
| 3 | + "rows": 27196936, | |
| 4 | + "tickers": 21440, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 11, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 820959, | |
| 14 | + "rows_rth": 25901657, | |
| 15 | + "rows_post": 474320, | |
| 16 | + "rth_share": 0.95237 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2022-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2022-12", | |
| 3 | + "rows": 27554880, | |
| 4 | + "tickers": 22106, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 6, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 771958, | |
| 14 | + "rows_rth": 26325193, | |
| 15 | + "rows_post": 457729, | |
| 16 | + "rth_share": 0.95537 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2023-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2023-01", | |
| 3 | + "rows": 25888047, | |
| 4 | + "tickers": 21183, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 13, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 858525, | |
| 14 | + "rows_rth": 24524425, | |
| 15 | + "rows_post": 505097, | |
| 16 | + "rth_share": 0.94733 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2023-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2023-02", | |
| 3 | + "rows": 24559859, | |
| 4 | + "tickers": 21196, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 7, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 834680, | |
| 14 | + "rows_rth": 23209397, | |
| 15 | + "rows_post": 515782, | |
| 16 | + "rth_share": 0.94501 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2023-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2023-03", | |
| 3 | + "rows": 27576950, | |
| 4 | + "tickers": 21248, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 16, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 878351, | |
| 14 | + "rows_rth": 26180459, | |
| 15 | + "rows_post": 518140, | |
| 16 | + "rth_share": 0.94936 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2023-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2023-04", | |
| 3 | + "rows": 23231831, | |
| 4 | + "tickers": 20878, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 27, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 738049, | |
| 14 | + "rows_rth": 22023808, | |
| 15 | + "rows_post": 469974, | |
| 16 | + "rth_share": 0.948 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2023-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2023-05", | |
| 3 | + "rows": 27404596, | |
| 4 | + "tickers": 21216, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 24, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 865224, | |
| 14 | + "rows_rth": 25970144, | |
| 15 | + "rows_post": 569228, | |
| 16 | + "rth_share": 0.94766 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2023-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2023-06", | |
| 3 | + "rows": 26538286, | |
| 4 | + "tickers": 21073, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 25, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 825927, | |
| 14 | + "rows_rth": 25198520, | |
| 15 | + "rows_post": 513839, | |
| 16 | + "rth_share": 0.94952 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2023-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2023-07", | |
| 3 | + "rows": 23943725, | |
| 4 | + "tickers": 20934, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 30, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 803879, | |
| 14 | + "rows_rth": 22655073, | |
| 15 | + "rows_post": 484773, | |
| 16 | + "rth_share": 0.94618 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2023-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2023-08", | |
| 3 | + "rows": 27533123, | |
| 4 | + "tickers": 20847, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 30, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 899268, | |
| 14 | + "rows_rth": 26034116, | |
| 15 | + "rows_post": 599739, | |
| 16 | + "rth_share": 0.94556 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2023-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2023-09", | |
| 3 | + "rows": 23460154, | |
| 4 | + "tickers": 20421, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 13, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 695430, | |
| 14 | + "rows_rth": 22322898, | |
| 15 | + "rows_post": 441826, | |
| 16 | + "rth_share": 0.95152 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2023-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2023-10", | |
| 3 | + "rows": 26969934, | |
| 4 | + "tickers": 20540, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 6, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 833103, | |
| 14 | + "rows_rth": 25607245, | |
| 15 | + "rows_post": 529586, | |
| 16 | + "rth_share": 0.94947 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2023-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2023-11", | |
| 3 | + "rows": 25241251, | |
| 4 | + "tickers": 20526, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 12, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 828596, | |
| 14 | + "rows_rth": 23918911, | |
| 15 | + "rows_post": 493744, | |
| 16 | + "rth_share": 0.94761 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2023-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2023-12", | |
| 3 | + "rows": 25437121, | |
| 4 | + "tickers": 21182, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 10, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 868353, | |
| 14 | + "rows_rth": 24042137, | |
| 15 | + "rows_post": 526631, | |
| 16 | + "rth_share": 0.94516 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2024-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2024-01", | |
| 3 | + "rows": 26063374, | |
| 4 | + "tickers": 20320, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 6, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 926033, | |
| 14 | + "rows_rth": 24586357, | |
| 15 | + "rows_post": 550984, | |
| 16 | + "rth_share": 0.94333 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2024-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2024-02", | |
| 3 | + "rows": 25326662, | |
| 4 | + "tickers": 20383, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 169, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 970259, | |
| 14 | + "rows_rth": 23751639, | |
| 15 | + "rows_post": 604764, | |
| 16 | + "rth_share": 0.93781 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2024-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2024-03", | |
| 3 | + "rows": 24928549, | |
| 4 | + "tickers": 20246, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 118, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 923487, | |
| 14 | + "rows_rth": 23400185, | |
| 15 | + "rows_post": 604877, | |
| 16 | + "rth_share": 0.93869 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2024-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2024-04", | |
| 3 | + "rows": 27159327, | |
| 4 | + "tickers": 20331, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 139, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 940576, | |
| 14 | + "rows_rth": 25600707, | |
| 15 | + "rows_post": 618044, | |
| 16 | + "rth_share": 0.94261 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2024-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2024-05", | |
| 3 | + "rows": 26136015, | |
| 4 | + "tickers": 20218, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 99, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 936901, | |
| 14 | + "rows_rth": 24569707, | |
| 15 | + "rows_post": 629407, | |
| 16 | + "rth_share": 0.94007 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2024-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2024-06", | |
| 3 | + "rows": 22327597, | |
| 4 | + "tickers": 19705, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 114, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 797644, | |
| 14 | + "rows_rth": 21027298, | |
| 15 | + "rows_post": 502655, | |
| 16 | + "rth_share": 0.94176 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2024-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2024-07", | |
| 3 | + "rows": 26044770, | |
| 4 | + "tickers": 19967, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 110, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 961016, | |
| 14 | + "rows_rth": 24518476, | |
| 15 | + "rows_post": 565278, | |
| 16 | + "rth_share": 0.9414 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2024-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2024-08", | |
| 3 | + "rows": 26061460, | |
| 4 | + "tickers": 19863, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 136, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1069788, | |
| 14 | + "rows_rth": 24359149, | |
| 15 | + "rows_post": 632523, | |
| 16 | + "rth_share": 0.93468 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2024-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2024-09", | |
| 3 | + "rows": 23709203, | |
| 4 | + "tickers": 19899, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 79, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 946499, | |
| 14 | + "rows_rth": 22208802, | |
| 15 | + "rows_post": 553902, | |
| 16 | + "rth_share": 0.93672 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2024-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2024-10", | |
| 3 | + "rows": 26836072, | |
| 4 | + "tickers": 20301, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 167, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1301524, | |
| 14 | + "rows_rth": 24802493, | |
| 15 | + "rows_post": 732055, | |
| 16 | + "rth_share": 0.92422 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2024-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2024-11", | |
| 3 | + "rows": 22899947, | |
| 4 | + "tickers": 20261, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 4497, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1267505, | |
| 14 | + "rows_rth": 20999930, | |
| 15 | + "rows_post": 632512, | |
| 16 | + "rth_share": 0.91703 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2024-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2024-12", | |
| 3 | + "rows": 26529390, | |
| 4 | + "tickers": 20995, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 79, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1518601, | |
| 14 | + "rows_rth": 24243407, | |
| 15 | + "rows_post": 767382, | |
| 16 | + "rth_share": 0.91383 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2025-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2025-01", | |
| 3 | + "rows": 26293243, | |
| 4 | + "tickers": 20458, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 104, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1619929, | |
| 14 | + "rows_rth": 23914544, | |
| 15 | + "rows_post": 758770, | |
| 16 | + "rth_share": 0.90953 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2025-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2025-02", | |
| 3 | + "rows": 24857755, | |
| 4 | + "tickers": 20331, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 599, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1453138, | |
| 14 | + "rows_rth": 22666811, | |
| 15 | + "rows_post": 737806, | |
| 16 | + "rth_share": 0.91186 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2025-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2025-03", | |
| 3 | + "rows": 27920920, | |
| 4 | + "tickers": 20476, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 62, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1416648, | |
| 14 | + "rows_rth": 25770947, | |
| 15 | + "rows_post": 733325, | |
| 16 | + "rth_share": 0.923 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2025-04.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2025-04", | |
| 3 | + "rows": 29607355, | |
| 4 | + "tickers": 21209, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 53, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 5400, | |
| 13 | + "rows_pre": 1590457, | |
| 14 | + "rows_rth": 27166250, | |
| 15 | + "rows_post": 850648, | |
| 16 | + "rth_share": 0.91755 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2025-05.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2025-05", | |
| 3 | + "rows": 27368514, | |
| 4 | + "tickers": 20524, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 93, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1564673, | |
| 14 | + "rows_rth": 24972017, | |
| 15 | + "rows_post": 831824, | |
| 16 | + "rth_share": 0.91244 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2025-06.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2025-06", | |
| 3 | + "rows": 26634451, | |
| 4 | + "tickers": 20622, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 69, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1481246, | |
| 14 | + "rows_rth": 24345110, | |
| 15 | + "rows_post": 808095, | |
| 16 | + "rth_share": 0.91405 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2025-07.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2025-07", | |
| 3 | + "rows": 29325940, | |
| 4 | + "tickers": 20959, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 130, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1665276, | |
| 14 | + "rows_rth": 26725569, | |
| 15 | + "rows_post": 935095, | |
| 16 | + "rth_share": 0.91133 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2025-08.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2025-08", | |
| 3 | + "rows": 28581215, | |
| 4 | + "tickers": 21794, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 6, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1543258, | |
| 14 | + "rows_rth": 26027866, | |
| 15 | + "rows_post": 1010091, | |
| 16 | + "rth_share": 0.91066 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2025-09.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2025-09", | |
| 3 | + "rows": 29898534, | |
| 4 | + "tickers": 22078, | |
| 5 | + "dates": 21, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 1, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1784755, | |
| 14 | + "rows_rth": 27037377, | |
| 15 | + "rows_post": 1076402, | |
| 16 | + "rth_share": 0.9043 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2025-10.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2025-10", | |
| 3 | + "rows": 34266056, | |
| 4 | + "tickers": 22646, | |
| 5 | + "dates": 23, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 1, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 2297402, | |
| 14 | + "rows_rth": 30576483, | |
| 15 | + "rows_post": 1392171, | |
| 16 | + "rth_share": 0.89233 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2025-11.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2025-11", | |
| 3 | + "rows": 28275726, | |
| 4 | + "tickers": 22704, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 0, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1665696, | |
| 14 | + "rows_rth": 25639261, | |
| 15 | + "rows_post": 970769, | |
| 16 | + "rth_share": 0.90676 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2025-12.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2025-12", | |
| 3 | + "rows": 30792037, | |
| 4 | + "tickers": 23095, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 14, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1498056, | |
| 14 | + "rows_rth": 28342266, | |
| 15 | + "rows_post": 951715, | |
| 16 | + "rth_share": 0.92044 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2026-01.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2026-01", | |
| 3 | + "rows": 30353678, | |
| 4 | + "tickers": 22527, | |
| 5 | + "dates": 20, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 36, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1746525, | |
| 14 | + "rows_rth": 27561468, | |
| 15 | + "rows_post": 1045685, | |
| 16 | + "rth_share": 0.90801 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2026-02.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2026-02", | |
| 3 | + "rows": 28936963, | |
| 4 | + "tickers": 22528, | |
| 5 | + "dates": 19, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 21, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 1619379, | |
| 14 | + "rows_rth": 26306013, | |
| 15 | + "rows_post": 1011571, | |
| 16 | + "rth_share": 0.90908 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/monthly/audit_2026-03.json
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +{ | |
| 2 | + "month": "2026-03", | |
| 3 | + "rows": 34379927, | |
| 4 | + "tickers": 22057, | |
| 5 | + "dates": 22, | |
| 6 | + "ohlc_violations": 0, | |
| 7 | + "nonpositive_prices": 0, | |
| 8 | + "zero_volume": 0, | |
| 9 | + "negative_volume": 0, | |
| 10 | + "duplicate_keys": 424, | |
| 11 | + "weekend_rows": 0, | |
| 12 | + "rows_before_0400_et": 0, | |
| 13 | + "rows_pre": 2062077, | |
| 14 | + "rows_rth": 31286042, | |
| 15 | + "rows_post": 1031808, | |
| 16 | + "rth_share": 0.91001 | |
| 17 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/stage_c_summary.json
+18 −0
@@ -0,0 +1,18 @@ | ||
| 1 | +{ | |
| 2 | + "months": 411, | |
| 3 | + "total_rows": 7686275524, | |
| 4 | + "total_ohlc_violations": 100, | |
| 5 | + "total_nonpositive_prices": 0, | |
| 6 | + "total_zero_volume": 0, | |
| 7 | + "total_negative_volume": 0, | |
| 8 | + "total_duplicate_keys": 10128, | |
| 9 | + "total_weekend_rows": 0, | |
| 10 | + "rth_share_min": 0.89233, | |
| 11 | + "rth_share_max": 0.98812, | |
| 12 | + "calendar_missing_sessions": 0, | |
| 13 | + "calendar_extra_dates": 0, | |
| 14 | + "split_candidates": 442251, | |
| 15 | + "tickers_total": 81306, | |
| 16 | + "spells_total": 221957, | |
| 17 | + "multi_spell_tickers": 29112 | |
| 18 | +} | |
| \ No newline at end of file | ||
added
outputs/diagnostics/stage_c/survivorship_yearly.csv
+36 −0
@@ -0,0 +1,36 @@ | ||
| 1 | +year,active,entries,exits | |
| 2 | +1992,9950,9950,1952 | |
| 3 | +1993,11653,3655,1278 | |
| 4 | +1994,12629,2254,1295 | |
| 5 | +1995,13572,2238,1597 | |
| 6 | +1996,14439,2464,1557 | |
| 7 | +1997,15068,2186,1901 | |
| 8 | +1998,15137,1970,2149 | |
| 9 | +1999,14790,1802,1921 | |
| 10 | +2000,14178,1309,1419 | |
| 11 | +2001,13826,1067,1480 | |
| 12 | +2002,13438,1092,1310 | |
| 13 | +2003,13097,969,2336 | |
| 14 | +2004,12842,2081,899 | |
| 15 | +2005,12868,925,860 | |
| 16 | +2006,12954,946,872 | |
| 17 | +2007,13203,1121,1095 | |
| 18 | +2008,12731,623,850 | |
| 19 | +2009,12300,419,780 | |
| 20 | +2010,12299,779,914 | |
| 21 | +2011,12129,744,720 | |
| 22 | +2012,12192,783,863 | |
| 23 | +2013,12139,810,776 | |
| 24 | +2014,12239,876,704 | |
| 25 | +2015,12327,792,660 | |
| 26 | +2016,12440,773,828 | |
| 27 | +2017,13344,1732,1585 | |
| 28 | +2018,12692,933,823 | |
| 29 | +2019,12847,978,897 | |
| 30 | +2020,22915,10965,1468 | |
| 31 | +2021,31293,9846,3934 | |
| 32 | +2022,31065,3706,4194 | |
| 33 | +2023,29352,2481,3417 | |
| 34 | +2024,28599,2664,3220 | |
| 35 | +2025,29729,4350,5368 | |
| 36 | +2026,25384,1023,25384 | |
added
outputs/diagnostics/stage_e/concentration_yearly.csv
+36 −0
@@ -0,0 +1,36 @@ | ||
| 1 | +year,hhi,top1pct_share,top5pct_share,top100_share | |
| 2 | +1992,0.002392297651875532,0.3831927040330466,0.707457945904414,0.3831927040330466 | |
| 3 | +1993,0.0023050707063402985,0.38721816545474924,0.7104500296867754,0.36528292183339617 | |
| 4 | +1994,0.002209414342951057,0.379497514352342,0.7136025942236028,0.34880366929056494 | |
| 5 | +1995,0.0027953558651453462,0.41224832156918906,0.7331038664666708,0.37232224071059994 | |
| 6 | +1996,0.0026348119714352395,0.41533743210797747,0.7255650411633214,0.36825243225610776 | |
| 7 | +1997,0.00416361377700091,0.4695750765796223,0.7559374451322556,0.41675949173302285 | |
| 8 | +1998,0.004391957381335588,0.4982080128586434,0.7780755054075508,0.45058253633992124 | |
| 9 | +1999,0.005271741598601324,0.5250109676620655,0.7994532517753336,0.48426792942682545 | |
| 10 | +2000,0.004849074272254841,0.535006587892569,0.8187814522660679,0.5052547773314134 | |
| 11 | +2001,0.004688730345647656,0.503687787417546,0.8144538093019126,0.4848078281505852 | |
| 12 | +2002,0.005410363388749092,0.48194881577623216,0.7951043781707448,0.476482101653292 | |
| 13 | +2003,0.0055617890912705885,0.4399409855715862,0.752872777009875,0.44172880520455415 | |
| 14 | +2004,0.005450633306722437,0.4138921013813594,0.7157795258510735,0.42252334021693083 | |
| 15 | +2005,0.006687243635554851,0.4255118971866096,0.7174866166331675,0.4351691200773236 | |
| 16 | +2006,0.006605509411877715,0.4318971075345304,0.7209324417570504,0.4399329620090803 | |
| 17 | +2007,0.012116157414289307,0.48828303301021886,0.7583825649348975,0.48828303301021886 | |
| 18 | +2008,0.01613929189845617,0.5389490159563437,0.7974693102493658,0.5482381074858427 | |
| 19 | +2009,0.013949407577212842,0.52897000507803,0.7936488563547525,0.5456817436262524 | |
| 20 | +2010,0.055778707469622414,0.5899439803504835,0.811570834016172,0.6041786398947366 | |
| 21 | +2011,0.012929119659634824,0.4593040513588648,0.7427650525995134,0.47817315771100916 | |
| 22 | +2012,0.012433254468916704,0.4497930507830709,0.732795106775072,0.46662287578402645 | |
| 23 | +2013,0.009810966931731155,0.4223490302621713,0.7091313743691837,0.44075758344437194 | |
| 24 | +2014,0.008447661186068803,0.4087279222876036,0.700507928018889,0.4252648244972485 | |
| 25 | +2015,0.00993718466148862,0.4013543718894085,0.7007120602000159,0.41442223345685886 | |
| 26 | +2016,0.008097473847292095,0.39940495772968276,0.7055993228016718,0.4092120146102508 | |
| 27 | +2017,0.0058879312280863145,0.4096616129411861,0.7148048994712726,0.4034738570096675 | |
| 28 | +2018,0.00871507886082599,0.45670267785742413,0.7306756270527097,0.4612435440986397 | |
| 29 | +2019,0.006927130672337764,0.43834505343045443,0.7278381656980151,0.43990703955126526 | |
| 30 | +2020,0.010107226178038041,0.6216746142087535,0.8836435727151534,0.5035496620578699 | |
| 31 | +2021,0.008311653181563669,0.657436503672535,0.907587306177458,0.47320282955414394 | |
| 32 | +2022,0.010733199309371635,0.6720876187371667,0.9242200693645487,0.49586367338536147 | |
| 33 | +2023,0.013955896906600613,0.6740236339448141,0.9240336549868273,0.5172457732454651 | |
| 34 | +2024,0.012281111954368892,0.6709013555675114,0.9184520298699255,0.5218805923392548 | |
| 35 | +2025,0.010305301619750733,0.6695902526776418,0.9204444428275761,0.5019800804241676 | |
| 36 | +2026,0.008878907498036133,0.6445580591152718,0.9041179643896919,0.496028781484235 | |
added
outputs/diagnostics/stage_e/coverage_yearly.csv
+36 −0
@@ -0,0 +1,36 @@ | ||
| 1 | +year,securities,bars,bars_rth,ticker_days,med_bars_rth_per_day | |
| 2 | +1992,9950,43814224,42713801,1551778,10.0 | |
| 3 | +1993,11280,53420889,52174294,1885734,11.0 | |
| 4 | +1994,11884,56316494,54944583,2088152,10.0 | |
| 5 | +1995,12503,67258181,65578225,2173539,11.0 | |
| 6 | +1996,13073,80007663,77988420,2338874,13.0 | |
| 7 | +1997,13429,92461351,90338421,2430817,14.0 | |
| 8 | +1998,13208,106165553,103960696,2398767,16.0 | |
| 9 | +1999,12531,126963527,123789687,2288345,18.0 | |
| 10 | +2000,11629,157530458,152228001,2247534,23.0 | |
| 11 | +2001,10940,153189299,148073324,2051484,23.0 | |
| 12 | +2002,10299,173261887,168080194,1997710,26.0 | |
| 13 | +2003,9829,200940691,195026620,1939133,36.0 | |
| 14 | +2004,9456,238808255,233175655,1936381,60.0 | |
| 15 | +2005,9402,258116139,252873465,1935547,72.0 | |
| 16 | +2006,9450,277181405,272923426,1925881,86.0 | |
| 17 | +2007,9927,294283810,290149985,1959489,94.0 | |
| 18 | +2008,9365,304124299,298831554,1979915,86.0 | |
| 19 | +2009,8888,273990342,267621310,1875857,77.0 | |
| 20 | +2010,8877,271004263,264954186,1864339,84.0 | |
| 21 | +2011,8727,280096663,273674469,1865931,86.0 | |
| 22 | +2012,8829,250730766,245449512,1830239,73.0 | |
| 23 | +2013,8798,249554856,244416994,1843878,78.0 | |
| 24 | +2014,8978,264179248,258980044,1902182,85.0 | |
| 25 | +2015,9172,273862030,268525841,1936216,88.0 | |
| 26 | +2016,9320,271055922,265674226,1927566,82.0 | |
| 27 | +2017,10371,258104655,252629853,1936043,76.0 | |
| 28 | +2018,9638,269905237,263554833,1979074,76.0 | |
| 29 | +2019,9892,268880349,262212293,2022841,69.0 | |
| 30 | +2020,21017,309346584,292929927,2159474,77.0 | |
| 31 | +2021,30031,363392761,341949312,4059738,22.0 | |
| 32 | +2022,29367,349028166,331616202,3858965,19.0 | |
| 33 | +2023,27496,307784877,291687133,3560478,18.0 | |
| 34 | +2024,26952,304022366,284068150,3529679,19.0 | |
| 35 | +2025,29378,343821746,313184501,3784222,20.0 | |
| 36 | +2026,25384,93670568,85153523,976882,21.0 | |
added
outputs/diagnostics/stage_e/epps_curves.csv
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +year,agg_minutes,mean_pairwise_corr,n_stocks,n_obs | |
| 2 | +1996,1,0.0038471392205601377,94,80105 | |
| 3 | +1996,5,0.04970468484610398,94,15759 | |
| 4 | +1996,15,0.13300184258127515,94,5052 | |
| 5 | +1996,30,0.1603306995209378,94,2349 | |
| 6 | +2005,1,0.14207336514471156,94,77196 | |
| 7 | +2005,5,0.21844548500585986,94,15202 | |
| 8 | +2005,15,0.26953230545020046,94,4843 | |
| 9 | +2005,30,0.29160267752150804,94,2220 | |
| 10 | +2015,1,0.30124343304080986,96,93940 | |
| 11 | +2015,5,0.35160738714394546,96,18486 | |
| 12 | +2015,15,0.3885610310048349,96,5904 | |
| 13 | +2015,30,0.39122348518456984,96,2758 | |
| 14 | +2024,1,0.21386753978619957,100,91021 | |
| 15 | +2024,5,0.23525879497116048,100,17978 | |
| 16 | +2024,15,0.24419968554204555,100,5802 | |
| 17 | +2024,30,0.24341517780168984,100,2758 | |
added
outputs/diagnostics/stage_e/extreme_daily_yearly.csv
+36 −0
@@ -0,0 +1,36 @@ | ||
| 1 | +year,n,gt5pct,gt10pct,gt20pct | |
| 2 | +1992,1520379,260844,94111,27266 | |
| 3 | +1993,1858392,311140,108000,28260 | |
| 4 | +1994,2060055,326092,112517,31167 | |
| 5 | +1995,2146302,325404,114075,31824 | |
| 6 | +1996,2312922,351599,119382,31725 | |
| 7 | +1997,2407752,354713,119307,32149 | |
| 8 | +1998,2379624,404449,139556,36980 | |
| 9 | +1999,2271470,373291,118749,27350 | |
| 10 | +2000,2232795,479964,168261,35719 | |
| 11 | +2001,2036509,361687,124894,28053 | |
| 12 | +2002,1983907,293925,91538,20872 | |
| 13 | +2003,1928612,172948,45678,9572 | |
| 14 | +2004,1926663,123840,26365,5026 | |
| 15 | +2005,1927248,100203,21789,4510 | |
| 16 | +2006,1917760,94771,19250,4072 | |
| 17 | +2007,1950050,118572,24782,5445 | |
| 18 | +2008,1969634,372006,121239,26826 | |
| 19 | +2009,1864201,304667,89851,19226 | |
| 20 | +2010,1855107,127986,25590,5580 | |
| 21 | +2011,1858245,153325,30524,5384 | |
| 22 | +2012,1820648,94999,20745,4644 | |
| 23 | +2013,1834740,76467,17014,4025 | |
| 24 | +2014,1890958,85568,18266,3897 | |
| 25 | +2015,1923548,119041,27697,5928 | |
| 26 | +2016,1913137,129991,31641,7016 | |
| 27 | +2017,1920060,87142,21947,5572 | |
| 28 | +2018,1963255,115965,27998,7060 | |
| 29 | +2019,2002903,119658,30289,7827 | |
| 30 | +2020,2125630,310344,99428,24315 | |
| 31 | +2021,3941233,729418,346016,153804 | |
| 32 | +2022,3730294,712820,299655,109797 | |
| 33 | +2023,3435802,561848,267629,117151 | |
| 34 | +2024,3419528,544156,259574,116092 | |
| 35 | +2025,3658593,599628,275543,115125 | |
| 36 | +2026,942722,160302,68742,26402 | |
added
outputs/figures/data/figE1_coverage_yearly.csv
+35 −0
@@ -0,0 +1,35 @@ | ||
| 1 | +year,securities,bars,bars_rth,ticker_days,med_bars_rth_per_day | |
| 2 | +1992,9950,43814224,42713801,1551778,10.0 | |
| 3 | +1993,11280,53420889,52174294,1885734,11.0 | |
| 4 | +1994,11884,56316494,54944583,2088152,10.0 | |
| 5 | +1995,12503,67258181,65578225,2173539,11.0 | |
| 6 | +1996,13073,80007663,77988420,2338874,13.0 | |
| 7 | +1997,13429,92461351,90338421,2430817,14.0 | |
| 8 | +1998,13208,106165553,103960696,2398767,16.0 | |
| 9 | +1999,12531,126963527,123789687,2288345,18.0 | |
| 10 | +2000,11629,157530458,152228001,2247534,23.0 | |
| 11 | +2001,10940,153189299,148073324,2051484,23.0 | |
| 12 | +2002,10299,173261887,168080194,1997710,26.0 | |
| 13 | +2003,9829,200940691,195026620,1939133,36.0 | |
| 14 | +2004,9456,238808255,233175655,1936381,60.0 | |
| 15 | +2005,9402,258116139,252873465,1935547,72.0 | |
| 16 | +2006,9450,277181405,272923426,1925881,86.0 | |
| 17 | +2007,9927,294283810,290149985,1959489,94.0 | |
| 18 | +2008,9365,304124299,298831554,1979915,86.0 | |
| 19 | +2009,8888,273990342,267621310,1875857,77.0 | |
| 20 | +2010,8877,271004263,264954186,1864339,84.0 | |
| 21 | +2011,8727,280096663,273674469,1865931,86.0 | |
| 22 | +2012,8829,250730766,245449512,1830239,73.0 | |
| 23 | +2013,8798,249554856,244416994,1843878,78.0 | |
| 24 | +2014,8978,264179248,258980044,1902182,85.0 | |
| 25 | +2015,9172,273862030,268525841,1936216,88.0 | |
| 26 | +2016,9320,271055922,265674226,1927566,82.0 | |
| 27 | +2017,10371,258104655,252629853,1936043,76.0 | |
| 28 | +2018,9638,269905237,263554833,1979074,76.0 | |
| 29 | +2019,9892,268880349,262212293,2022841,69.0 | |
| 30 | +2020,21017,309346584,292929927,2159474,77.0 | |
| 31 | +2021,30031,363392761,341949312,4059738,22.0 | |
| 32 | +2022,29367,349028166,331616202,3858965,19.0 | |
| 33 | +2023,27496,307784877,291687133,3560478,18.0 | |
| 34 | +2024,26952,304022366,284068150,3529679,19.0 | |
| 35 | +2025,29378,343821746,313184501,3784222,20.0 | |
added
outputs/figures/data/figE1_density_yearly.csv
+36 −0
@@ -0,0 +1,36 @@ | ||
| 1 | +year,bars_p50,bars_p10 | |
| 2 | +1992,145.9090909090909,83.81818181818181 | |
| 3 | +1993,147.91666666666666,83.5 | |
| 4 | +1994,152.83333333333334,86.91666666666667 | |
| 5 | +1995,156.33333333333334,85.75 | |
| 6 | +1996,156.0,84.33333333333333 | |
| 7 | +1997,164.0,89.16666666666667 | |
| 8 | +1998,178.58333333333334,95.5 | |
| 9 | +1999,224.08333333333334,117.25 | |
| 10 | +2000,278.1666666666667,153.75 | |
| 11 | +2001,296.8333333333333,170.25 | |
| 12 | +2002,328.0833333333333,210.0 | |
| 13 | +2003,345.0,236.58333333333334 | |
| 14 | +2004,357.0416666666667,271.25 | |
| 15 | +2005,366.3333333333333,289.4166666666667 | |
| 16 | +2006,373.3333333333333,303.3333333333333 | |
| 17 | +2007,381.25,323.5 | |
| 18 | +2008,387.4166666666667,348.6666666666667 | |
| 19 | +2009,384.9166666666667,337.8333333333333 | |
| 20 | +2010,381.1666666666667,327.75 | |
| 21 | +2011,384.6666666666667,338.6666666666667 | |
| 22 | +2012,377.25,302.1666666666667 | |
| 23 | +2013,368.0833333333333,277.3333333333333 | |
| 24 | +2014,370.5,282.5 | |
| 25 | +2015,375.4166666666667,287.9166666666667 | |
| 26 | +2016,378.3333333333333,290.8333333333333 | |
| 27 | +2017,368.25,264.0 | |
| 28 | +2018,375.75,271.3333333333333 | |
| 29 | +2019,373.5833333333333,256.1666666666667 | |
| 30 | +2020,378.1666666666667,270.5 | |
| 31 | +2021,373.6666666666667,253.25 | |
| 32 | +2022,380.0,264.0 | |
| 33 | +2023,370.25,222.16666666666666 | |
| 34 | +2024,357.75,205.5 | |
| 35 | +2025,365.8333333333333,223.66666666666666 | |
| 36 | +2026,379.3333333333333,264.6666666666667 | |
added
outputs/figures/data/figE1_eligible_yearly.csv
+36 −0
@@ -0,0 +1,36 @@ | ||
| 1 | +year,eligible_avg | |
| 2 | +1992,309.5 | |
| 3 | +1993,396.75 | |
| 4 | +1994,411.0833333333333 | |
| 5 | +1995,523.5833333333333 | |
| 6 | +1996,664.5 | |
| 7 | +1997,820.25 | |
| 8 | +1998,1039.5 | |
| 9 | +1999,1342.5 | |
| 10 | +2000,1851.75 | |
| 11 | +2001,1806.5833333333333 | |
| 12 | +2002,2039.75 | |
| 13 | +2003,2333.333333333333 | |
| 14 | +2004,2952.25 | |
| 15 | +2005,3160.0 | |
| 16 | +2006,3388.083333333333 | |
| 17 | +2007,3555.5 | |
| 18 | +2008,3351.9166666666665 | |
| 19 | +2009,2884.75 | |
| 20 | +2010,3044.4166666666665 | |
| 21 | +2011,3128.1666666666665 | |
| 22 | +2012,2896.75 | |
| 23 | +2013,2962.1666666666665 | |
| 24 | +2014,3176.9166666666665 | |
| 25 | +2015,3289.833333333333 | |
| 26 | +2016,3195.4166666666665 | |
| 27 | +2017,3123.0 | |
| 28 | +2018,3199.4166666666665 | |
| 29 | +2019,3134.6666666666665 | |
| 30 | +2020,3236.75 | |
| 31 | +2021,3655.75 | |
| 32 | +2022,3547.4166666666665 | |
| 33 | +2023,3171.5 | |
| 34 | +2024,3170.75 | |
| 35 | +2025,3435.833333333333 | |
| 36 | +2026,1248.0833333333333 | |
added
outputs/figures/data/figE2_survivorship.csv
+35 −0
@@ -0,0 +1,35 @@ | ||
| 1 | +year,active,entries,exits | |
| 2 | +1992,9950,9950,1952 | |
| 3 | +1993,11653,3655,1278 | |
| 4 | +1994,12629,2254,1295 | |
| 5 | +1995,13572,2238,1597 | |
| 6 | +1996,14439,2464,1557 | |
| 7 | +1997,15068,2186,1901 | |
| 8 | +1998,15137,1970,2149 | |
| 9 | +1999,14790,1802,1921 | |
| 10 | +2000,14178,1309,1419 | |
| 11 | +2001,13826,1067,1480 | |
| 12 | +2002,13438,1092,1310 | |
| 13 | +2003,13097,969,2336 | |
| 14 | +2004,12842,2081,899 | |
| 15 | +2005,12868,925,860 | |
| 16 | +2006,12954,946,872 | |
| 17 | +2007,13203,1121,1095 | |
| 18 | +2008,12731,623,850 | |
| 19 | +2009,12300,419,780 | |
| 20 | +2010,12299,779,914 | |
| 21 | +2011,12129,744,720 | |
| 22 | +2012,12192,783,863 | |
| 23 | +2013,12139,810,776 | |
| 24 | +2014,12239,876,704 | |
| 25 | +2015,12327,792,660 | |
| 26 | +2016,12440,773,828 | |
| 27 | +2017,13344,1732,1585 | |
| 28 | +2018,12692,933,823 | |
| 29 | +2019,12847,978,897 | |
| 30 | +2020,22915,10965,1468 | |
| 31 | +2021,31293,9846,3934 | |
| 32 | +2022,31065,3706,4194 | |
| 33 | +2023,29352,2481,3417 | |
| 34 | +2024,28599,2664,3220 | |
| 35 | +2025,29729,4350,5368 | |
added
outputs/figures/data/figE3_seasonality_decade.csv
+1561 −0
@@ -0,0 +1,1561 @@ | ||
| 1 | +dec,mod,absret_bps,vshare_pct,range_bps | |
| 2 | +1992–1999,570,NaN,1.7750964739825088,37.57782399702982 | |
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| 1536 | +2020–2026,934,5.646304507405262,0.34243186510402746,7.778570304218689 | |
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| 1539 | +2020–2026,937,5.858755436628917,0.3582558663954541,8.003325270431919 | |
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| 1541 | +2020–2026,939,5.5325426557651225,0.36686918033667665,7.787594626069696 | |
| 1542 | +2020–2026,940,6.024841511615557,0.4092297655132321,8.50934993118157 | |
| 1543 | +2020–2026,941,5.7280397212451755,0.4010038699693623,8.128270060379842 | |
| 1544 | +2020–2026,942,5.750225705678808,0.4074025647972043,8.142216318246946 | |
| 1545 | +2020–2026,943,5.589483176905469,0.4100201589625847,7.983311678372954 | |
| 1546 | +2020–2026,944,5.6616959236422435,0.42052600105680177,8.107604456802793 | |
| 1547 | +2020–2026,945,6.4614357479902065,0.5240668826930768,9.638794068060944 | |
| 1548 | +2020–2026,946,6.099773993267966,0.48056542680162634,8.889329741253096 | |
| 1549 | +2020–2026,947,5.82824255391955,0.48894849119008166,8.725465635922301 | |
| 1550 | +2020–2026,948,5.84689920969575,0.5087645305820815,8.852356079536376 | |
| 1551 | +2020–2026,949,6.237134111891986,0.5595703260805579,9.462988873976629 | |
| 1552 | +2020–2026,950,10.676247966559053,0.9774805798425339,16.87004528789003 | |
| 1553 | +2020–2026,951,7.082370213423629,0.7324506516019841,11.010750929456188 | |
| 1554 | +2020–2026,952,6.3725705234628345,0.730668279989611,10.210290361092017 | |
| 1555 | +2020–2026,953,6.42470968210237,0.772426396667023,10.2100368309666 | |
| 1556 | +2020–2026,954,7.827768883359994,1.0057443967446498,12.9002852756281 | |
| 1557 | +2020–2026,955,8.809002224797313,1.228353776841146,14.241424637007732 | |
| 1558 | +2020–2026,956,6.605790689493178,1.199486391564205,11.097798334294113 | |
| 1559 | +2020–2026,957,6.235940288482007,1.3298934922490575,10.853476848777197 | |
| 1560 | +2020–2026,958,5.937408801815896,1.7156389656128843,10.536681266651641 | |
| 1561 | +2020–2026,959,9.321378106406371,3.484010285346378,17.24735800539057 | |
added
outputs/figures/data/figE4_concentration.csv
+36 −0
@@ -0,0 +1,36 @@ | ||
| 1 | +year,hhi,top1pct_share,top5pct_share,top100_share | |
| 2 | +1992,0.002392297651875532,0.3831927040330466,0.707457945904414,0.3831927040330466 | |
| 3 | +1993,0.0023050707063402985,0.38721816545474924,0.7104500296867754,0.36528292183339617 | |
| 4 | +1994,0.002209414342951057,0.379497514352342,0.7136025942236028,0.34880366929056494 | |
| 5 | +1995,0.0027953558651453462,0.41224832156918906,0.7331038664666708,0.37232224071059994 | |
| 6 | +1996,0.0026348119714352395,0.41533743210797747,0.7255650411633214,0.36825243225610776 | |
| 7 | +1997,0.00416361377700091,0.4695750765796223,0.7559374451322556,0.41675949173302285 | |
| 8 | +1998,0.004391957381335588,0.4982080128586434,0.7780755054075508,0.45058253633992124 | |
| 9 | +1999,0.005271741598601324,0.5250109676620655,0.7994532517753336,0.48426792942682545 | |
| 10 | +2000,0.004849074272254841,0.535006587892569,0.8187814522660679,0.5052547773314134 | |
| 11 | +2001,0.004688730345647656,0.503687787417546,0.8144538093019126,0.4848078281505852 | |
| 12 | +2002,0.005410363388749092,0.48194881577623216,0.7951043781707448,0.476482101653292 | |
| 13 | +2003,0.0055617890912705885,0.4399409855715862,0.752872777009875,0.44172880520455415 | |
| 14 | +2004,0.005450633306722437,0.4138921013813594,0.7157795258510735,0.42252334021693083 | |
| 15 | +2005,0.006687243635554851,0.4255118971866096,0.7174866166331675,0.4351691200773236 | |
| 16 | +2006,0.006605509411877715,0.4318971075345304,0.7209324417570504,0.4399329620090803 | |
| 17 | +2007,0.012116157414289307,0.48828303301021886,0.7583825649348975,0.48828303301021886 | |
| 18 | +2008,0.01613929189845617,0.5389490159563437,0.7974693102493658,0.5482381074858427 | |
| 19 | +2009,0.013949407577212842,0.52897000507803,0.7936488563547525,0.5456817436262524 | |
| 20 | +2010,0.055778707469622414,0.5899439803504835,0.811570834016172,0.6041786398947366 | |
| 21 | +2011,0.012929119659634824,0.4593040513588648,0.7427650525995134,0.47817315771100916 | |
| 22 | +2012,0.012433254468916704,0.4497930507830709,0.732795106775072,0.46662287578402645 | |
| 23 | +2013,0.009810966931731155,0.4223490302621713,0.7091313743691837,0.44075758344437194 | |
| 24 | +2014,0.008447661186068803,0.4087279222876036,0.700507928018889,0.4252648244972485 | |
| 25 | +2015,0.00993718466148862,0.4013543718894085,0.7007120602000159,0.41442223345685886 | |
| 26 | +2016,0.008097473847292095,0.39940495772968276,0.7055993228016718,0.4092120146102508 | |
| 27 | +2017,0.0058879312280863145,0.4096616129411861,0.7148048994712726,0.4034738570096675 | |
| 28 | +2018,0.00871507886082599,0.45670267785742413,0.7306756270527097,0.4612435440986397 | |
| 29 | +2019,0.006927130672337764,0.43834505343045443,0.7278381656980151,0.43990703955126526 | |
| 30 | +2020,0.010107226178038041,0.6216746142087535,0.8836435727151534,0.5035496620578699 | |
| 31 | +2021,0.008311653181563669,0.657436503672535,0.907587306177458,0.47320282955414394 | |
| 32 | +2022,0.010733199309371635,0.6720876187371667,0.9242200693645487,0.49586367338536147 | |
| 33 | +2023,0.013955896906600613,0.6740236339448141,0.9240336549868273,0.5172457732454651 | |
| 34 | +2024,0.012281111954368892,0.6709013555675114,0.9184520298699255,0.5218805923392548 | |
| 35 | +2025,0.010305301619750733,0.6695902526776418,0.9204444428275761,0.5019800804241676 | |
| 36 | +2026,0.008878907498036133,0.6445580591152718,0.9041179643896919,0.496028781484235 | |
added
outputs/figures/data/figE5_extreme_minutes.csv
+35 −0
@@ -0,0 +1,35 @@ | ||
| 1 | +year,gt1,gt2,gt5 | |
| 2 | +1992,0.06734913358644475,0.01187050683892536,0.00046341745311396447 | |
| 3 | +1993,0.07117000928855079,0.015320406986891596,0.0006265990579887419 | |
| 4 | +1994,0.058564976059694004,0.01207700295429653,0.000562879032351158 | |
| 5 | +1995,0.05986741221473696,0.01208517402359726,0.0005438271534574798 | |
| 6 | +1996,0.07082522284993731,0.014765465979826035,0.0006078400920135188 | |
| 7 | +1997,0.03577576457347462,0.005997743613032151,0.00038474202329654263 | |
| 8 | +1998,0.026164305149039366,0.004166268086642426,0.00033699859601751114 | |
| 9 | +1999,0.024348204929456732,0.004072602038503081,0.0004227196453822241 | |
| 10 | +2000,0.034765714295139694,0.007042663600974716,0.0008100547642616044 | |
| 11 | +2001,0.01207779521032533,0.0018314516808492713,0.0002536559012462627 | |
| 12 | +2002,0.004991190389242218,0.0007797745576732136,0.0001275320793566916 | |
| 13 | +2003,0.0014486791175693451,0.00029347223627078915,0.00007780932848507695 | |
| 14 | +2004,0.0010339865114612566,0.0002493380982573217,0.00009638388279192302 | |
| 15 | +2005,0.0006329269887660982,0.00017992390935465494,0.0000866084110742159 | |
| 16 | +2006,0.0003925774675662234,0.00007097598598084489,0.000019615345553791315 | |
| 17 | +2007,0.0008472848804102738,0.00021896943220663188,0.00010401406129072636 | |
| 18 | +2008,0.005009272764963234,0.0007666731028585192,0.00019590475867189977 | |
| 19 | +2009,0.0017881666328258996,0.0003039862846618232,0.00015947667565450487 | |
| 20 | +2010,0.0005207376218517377,0.0002133681373203395,0.00016565409466808045 | |
| 21 | +2011,0.000538459667401331,0.000140851922192309,0.00009329139310483185 | |
| 22 | +2012,0.0003930009751111505,0.00014637779443134018,0.00010254639444250624 | |
| 23 | +2013,0.00032319821548487524,0.00007300684887410448,0.00003562706731499528 | |
| 24 | +2014,0.0004626954834165128,0.00005892198155873773,9.39615864810569e-6 | |
| 25 | +2015,0.0005971546161769782,0.00005741545923309506,4.489460270092698e-6 | |
| 26 | +2016,0.0007028305430768299,0.00006833775480662484,0.000011369070282841278 | |
| 27 | +2017,0.00031745785922510306,0.000029673515749839583,1.3002479514796689e-6 | |
| 28 | +2018,0.0005370041070389419,0.000049170634543040235,1.9878462849649167e-6 | |
| 29 | +2019,0.0003821403358662761,0.00003213188556029213,1.1627805236795073e-6 | |
| 30 | +2020,0.003704534093114397,0.001019046448854758,0.000580256424978544 | |
| 31 | +2021,0.0020043209410881375,0.00022282957864953453,9.786825020117652e-6 | |
| 32 | +2022,0.0012891147028777463,0.00008958661485690296,2.788510527501508e-6 | |
| 33 | +2023,0.0005943338196819057,0.00007946874705687932,7.050322641437252e-6 | |
| 34 | +2024,0.0008271924411680221,0.00008094093112492867,3.445866005014449e-6 | |
| 35 | +2025,0.0015706719769592705,0.0001509321178343857,4.444139122317932e-6 | |
added
outputs/figures/data/figE6_rv_yearly.csv
+35 −0
@@ -0,0 +1,35 @@ | ||
| 1 | +year,p25,p50,p75,p95 | |
| 2 | +1992,1.8022922345369303,2.6714120124433967,4.651741545536535,9.441356275552081 | |
| 3 | +1993,1.878631306880311,2.9103294425107857,5.32933836371424,10.874722878828907 | |
| 4 | +1994,1.9102791149355536,2.937961172747503,4.774492006501203,9.985567692866551 | |
| 5 | +1995,1.8887058003603439,2.9743139907930103,4.946321064310945,9.475635896706128 | |
| 6 | +1996,1.8715409919535329,3.0164789300081924,5.345193207065212,9.976693355922157 | |
| 7 | +1997,1.7064422476773664,2.551913339819564,4.4030083591611175,8.082816025838186 | |
| 8 | +1998,1.7180184566025472,2.5516849435389535,4.150363059400732,7.562082578162538 | |
| 9 | +1999,1.9672124001589475,2.8864327979905124,4.626805712119387,8.591708665879393 | |
| 10 | +2000,2.445733267336851,3.9087386774227655,6.243218719506126,10.823745963065068 | |
| 11 | +2001,1.7408963293948372,2.584860443294968,4.046024008780582,7.114043735069954 | |
| 12 | +2002,1.6200977582593221,2.282027515484298,3.3746982976038535,5.733683192335419 | |
| 13 | +2003,1.2401555707819791,1.6434961314025411,2.26095760053922,3.8380704923470454 | |
| 14 | +2004,1.0481984442230692,1.431441659504609,2.050074014160127,3.5513781805163998 | |
| 15 | +2005,0.9751788198530459,1.3130019014774188,1.8122119959370389,2.891432545674135 | |
| 16 | +2006,0.9691658934382628,1.3635198403848812,1.9060338667168288,2.957221952141357 | |
| 17 | +2007,1.0079559975764016,1.3554710510058103,1.8472195669033107,2.9314544865275702 | |
| 18 | +2008,1.791495412493568,2.4804201318394132,3.3800704513827475,5.582873081403167 | |
| 19 | +2009,1.4886074067906085,2.0073932064244286,2.6678907859418084,3.973203659578283 | |
| 20 | +2010,1.0601253668285604,1.4179285078391497,1.9081554668224392,2.9828857259023662 | |
| 21 | +2011,0.9843732537118266,1.356869576711568,1.8601891339250114,3.020556812142651 | |
| 22 | +2012,0.8785803676937787,1.2300287008357158,1.7365641404814316,2.904175646226627 | |
| 23 | +2013,0.820363186812445,1.090030851853002,1.5212721290446494,2.736632895691383 | |
| 24 | +2014,0.8093194850420956,1.1120039718944985,1.6115312758761466,3.105402294082094 | |
| 25 | +2015,0.8843821142606336,1.2191500230934482,1.817229889281404,3.5120174231750867 | |
| 26 | +2016,0.8661351971085285,1.2187225395608017,1.7859731529055418,3.4195264248053387 | |
| 27 | +2017,0.7140432840496136,1.0091854954253696,1.4544081658141679,2.7416816092040377 | |
| 28 | +2018,0.9512636934396324,1.269051161385162,1.7289340501238486,2.9836463699579747 | |
| 29 | +2019,0.8436826327751452,1.1620095293146393,1.6580366245675149,2.9402555422417187 | |
| 30 | +2020,1.2386670972263643,1.7387486431534858,2.5232048093196386,4.7040494472420695 | |
| 31 | +2021,0.9604222435938302,1.3889474874387924,2.2427043723826863,4.658727866823733 | |
| 32 | +2022,1.2422431165706218,1.7406331427926476,2.6079153900229084,4.704891835639378 | |
| 33 | +2023,0.8786051769381773,1.2224015732355127,1.7609936421038486,3.276572743706064 | |
| 34 | +2024,0.8754483594315657,1.242168725877377,1.7868091690625292,3.4799519531502217 | |
| 35 | +2025,0.9432198196798808,1.358341414394907,2.0426582023480298,4.491697493993977 | |
added
outputs/figures/data/figE7_zeroret.csv
+35 −0
@@ -0,0 +1,35 @@ | ||
| 1 | +year,zero_pct | |
| 2 | +1992,54.79897153263424 | |
| 3 | +1993,54.12767327924735 | |
| 4 | +1994,54.89735483610492 | |
| 5 | +1995,53.27151645013812 | |
| 6 | +1996,52.054279887956035 | |
| 7 | +1997,48.094169741517604 | |
| 8 | +1998,43.57023942311964 | |
| 9 | +1999,41.08312655969622 | |
| 10 | +2000,36.68198039921957 | |
| 11 | +2001,27.33522257618643 | |
| 12 | +2002,24.83111620055358 | |
| 13 | +2003,28.158573650839248 | |
| 14 | +2004,27.851826283813008 | |
| 15 | +2005,25.866958836236588 | |
| 16 | +2006,23.948249126928296 | |
| 17 | +2007,22.345528100544577 | |
| 18 | +2008,15.296868205637404 | |
| 19 | +2009,21.164307468450133 | |
| 20 | +2010,23.78784304351857 | |
| 21 | +2011,20.64892731042033 | |
| 22 | +2012,23.562693190683696 | |
| 23 | +2013,22.80443214464177 | |
| 24 | +2014,19.66312646601236 | |
| 25 | +2015,17.544973168255655 | |
| 26 | +2016,17.747052560120096 | |
| 27 | +2017,19.020897735997817 | |
| 28 | +2018,14.58591351116157 | |
| 29 | +2019,15.698163359381152 | |
| 30 | +2020,11.127211948536662 | |
| 31 | +2021,11.700495205248172 | |
| 32 | +2022,10.490540029462899 | |
| 33 | +2023,13.418406268941007 | |
| 34 | +2024,13.27005213730639 | |
| 35 | +2025,11.611776771156848 | |
added
outputs/figures/data/figE8_epps.csv
+17 −0
@@ -0,0 +1,17 @@ | ||
| 1 | +year,agg_minutes,mean_pairwise_corr,n_stocks,n_obs | |
| 2 | +1996,1,0.0038471392205601377,94,80105 | |
| 3 | +1996,5,0.04970468484610398,94,15759 | |
| 4 | +1996,15,0.13300184258127515,94,5052 | |
| 5 | +1996,30,0.1603306995209378,94,2349 | |
| 6 | +2005,1,0.14207336514471156,94,77196 | |
| 7 | +2005,5,0.21844548500585986,94,15202 | |
| 8 | +2005,15,0.26953230545020046,94,4843 | |
| 9 | +2005,30,0.29160267752150804,94,2220 | |
| 10 | +2015,1,0.30124343304080986,96,93940 | |
| 11 | +2015,5,0.35160738714394546,96,18486 | |
| 12 | +2015,15,0.3885610310048349,96,5904 | |
| 13 | +2015,30,0.39122348518456984,96,2758 | |
| 14 | +2024,1,0.21386753978619957,100,91021 | |
| 15 | +2024,5,0.23525879497116048,100,17978 | |
| 16 | +2024,15,0.24419968554204555,100,5802 | |
| 17 | +2024,30,0.24341517780168984,100,2758 | |
added
outputs/figures/data/figE9_splits.csv
+36 −0
@@ -0,0 +1,36 @@ | ||
| 1 | +year,fwd,rev | |
| 2 | +1992,202,7 | |
| 3 | +1993,202,7 | |
| 4 | +1994,150,17 | |
| 5 | +1995,208,12 | |
| 6 | +1996,273,23 | |
| 7 | +1997,359,19 | |
| 8 | +1998,337,26 | |
| 9 | +1999,237,36 | |
| 10 | +2000,242,36 | |
| 11 | +2001,129,30 | |
| 12 | +2002,149,404 | |
| 13 | +2003,131,66 | |
| 14 | +2004,195,99 | |
| 15 | +2005,250,93 | |
| 16 | +2006,181,68 | |
| 17 | +2007,158,54 | |
| 18 | +2008,129,104 | |
| 19 | +2009,61,77 | |
| 20 | +2010,69,90 | |
| 21 | +2011,83,52 | |
| 22 | +2012,75,59 | |
| 23 | +2013,75,40 | |
| 24 | +2014,69,35 | |
| 25 | +2015,79,45 | |
| 26 | +2016,61,38 | |
| 27 | +2017,62,43 | |
| 28 | +2018,51,42 | |
| 29 | +2019,48,22 | |
| 30 | +2020,77,93 | |
| 31 | +2021,82,75 | |
| 32 | +2022,68,65 | |
| 33 | +2023,91,38 | |
| 34 | +2024,124,71 | |
| 35 | +2025,95,104 | |
| 36 | +2026,17,35 | |
added
outputs/figures/data/figF1_irf_decade.csv
+33 −0
@@ -0,0 +1,33 @@ | ||
| 1 | +dec,h,dd,se,n | |
| 2 | +1992–1999,1,-0.0010394598609193366,0.0002038274568716585,149420 | |
| 3 | +1992–1999,2,-0.00002652233585308337,0.0002392623717025184,149259 | |
| 4 | +1992–1999,5,0.00011254190471862832,0.000245439988698285,148938 | |
| 5 | +1992–1999,10,-0.00007537541802648482,0.00021378072167904837,148191 | |
| 6 | +1992–1999,15,0.00004941610833451206,0.00023377409345570285,147478 | |
| 7 | +1992–1999,30,-0.0001418580046306302,0.00021747582424358567,144936 | |
| 8 | +1992–1999,60,0.00006402998800996177,0.00027915750981407885,136978 | |
| 9 | +1992–1999,120,-8.781242392705974e-6,0.0003342861646080114,110105 | |
| 10 | +2000–2009,1,-0.00013326393724606526,0.00017389946110569018,635269 | |
| 11 | +2000–2009,2,-0.00016838105514672378,0.0001792563439689651,633923 | |
| 12 | +2000–2009,5,0.00004451310947640487,0.0001757034729789703,629473 | |
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| 14 | +2000–2009,15,-0.00006892270610929833,0.0001869495938709611,614587 | |
| 15 | +2000–2009,30,-0.00027522671980038027,0.00020144614718538943,590759 | |
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| 17 | +2000–2009,120,-0.0007950142955305216,0.0002575016278058475,434146 | |
| 18 | +2010–2019,1,-0.00006760266811555414,0.00015833744757729504,602787 | |
| 19 | +2010–2019,2,-0.00003345463814226498,0.0001849876139340101,600596 | |
| 20 | +2010–2019,5,-0.0002591899621553584,0.00015783840826681601,594434 | |
| 21 | +2010–2019,10,0.00008448282096568246,0.0001856358650448707,584893 | |
| 22 | +2010–2019,15,-0.00017048221219057643,0.00019017277828387266,576228 | |
| 23 | +2010–2019,30,-0.0004259043025760124,0.00019849202101432134,551398 | |
| 24 | +2010–2019,60,-0.00022234876811711574,0.0002288156128746048,503271 | |
| 25 | +2010–2019,120,-0.0001738429077351006,0.0002826043231782556,404837 | |
| 26 | +2020–2026,1,0.00018108454922446796,0.00011610211145385231,440363 | |
| 27 | +2020–2026,2,0.000031352410330020186,0.00012666923623020534,438279 | |
| 28 | +2020–2026,5,-0.00011501556825447139,0.00011471016106339403,433391 | |
| 29 | +2020–2026,10,-0.0002038992634717235,0.00013359858875909472,426679 | |
| 30 | +2020–2026,15,-0.0002092883260246543,0.0001395023457998872,419532 | |
| 31 | +2020–2026,30,-0.00019055431454241263,0.00014662103765776934,400202 | |
| 32 | +2020–2026,60,-0.00011444412818855916,0.00017620984384485497,365194 | |
| 33 | +2020–2026,120,-0.0000413842078703661,0.00026560839297879466,297731 | |
added
outputs/figures/data/figF2_evolution.csv
+71 −0
@@ -0,0 +1,71 @@ | ||
| 1 | +year,h,dd,se,n | |
| 2 | +1992,5,NaN,NaN,0 | |
| 3 | +1992,30,NaN,NaN,0 | |
| 4 | +1993,5,NaN,NaN,0 | |
| 5 | +1993,30,NaN,NaN,0 | |
| 6 | +1994,5,-0.16457700374677298,0.14985380287131514,496 | |
| 7 | +1994,30,0.050516943992594765,0.054029358027713546,494 | |
| 8 | +1995,5,-0.017280525057554737,0.030316040949527234,811 | |
| 9 | +1995,30,-0.00896316314722809,0.029787677817031843,811 | |
| 10 | +1996,5,0.029369776984275942,0.06037073142091832,461 | |
| 11 | +1996,30,0.06971538048191668,0.04921644493172977,461 | |
| 12 | +1997,5,-0.00018990110438241409,0.0006509124093283621,19578 | |
| 13 | +1997,30,-0.0012328149396438773,0.0006376757505996716,18807 | |
| 14 | +1998,5,0.000624790737022365,0.0004768853156186327,51244 | |
| 15 | +1998,30,0.0006258659602911219,0.0004046816801376772,49587 | |
| 16 | +1999,5,-0.00030041987286947793,0.0002561220190178239,75887 | |
| 17 | +1999,30,-0.00044217390004945654,0.00024103076194428952,74317 | |
| 18 | +2000,5,-0.00029136689639345766,0.00025008545108393755,63200 | |
| 19 | +2000,30,-4.897447716218392e-6,0.00022276832105798129,61022 | |
| 20 | +2001,5,0.000056858505151254855,0.00047959209965587,46294 | |
| 21 | +2001,30,-0.0005724331740112557,0.000509840909541597,44344 | |
| 22 | +2002,5,-0.00022516502299457607,0.0005336609985326845,38073 | |
| 23 | +2002,30,-0.0005970950614778109,0.0005654250461414496,36157 | |
| 24 | +2003,5,-0.00006414775291943087,0.0004316800345613633,74686 | |
| 25 | +2003,30,-0.00030035054021391376,0.00042749169833579273,69749 | |
| 26 | +2004,5,-0.00018806278292886368,0.0003849169393389322,73343 | |
| 27 | +2004,30,0.00003489522922243754,0.00044986265250940977,68403 | |
| 28 | +2005,5,-0.00043299590388241947,0.0004001947721270322,98946 | |
| 29 | +2005,30,-0.0003853108880381099,0.0004740012168240144,91980 | |
| 30 | +2006,5,0.0003365256934085172,0.0003636233395512652,74152 | |
| 31 | +2006,30,-0.0001225632797079298,0.00042913860253654835,68593 | |
| 32 | +2007,5,0.0006417673162040124,0.0006754126513643114,80234 | |
| 33 | +2007,30,-0.0005479081021386254,0.0006964494912637374,75234 | |
| 34 | +2008,5,0.00170034884303596,0.001211973236808624,32875 | |
| 35 | +2008,30,0.0010926720659281252,0.0015830583562323815,30875 | |
| 36 | +2009,5,-0.00036828278493950564,0.0010862962355932813,47670 | |
| 37 | +2009,30,-0.0010912142347747034,0.0013405673519184579,44402 | |
| 38 | +2010,5,-0.0006342699824130737,0.0006526323769193325,89541 | |
| 39 | +2010,30,-0.0002535094411472297,0.0008202340434983919,81992 | |
| 40 | +2011,5,0.0007246853727642646,0.0008217324539963877,59388 | |
| 41 | +2011,30,0.0003433154803596302,0.0009738322951696347,54821 | |
| 42 | +2012,5,-0.0010916430420753226,0.0006381343113798758,66992 | |
| 43 | +2012,30,-0.0015328197999037833,0.0007518000790562416,62539 | |
| 44 | +2013,5,0.00003207448461684529,0.00037251100397425795,66495 | |
| 45 | +2013,30,-0.00022439639824984843,0.000467862558701288,62061 | |
| 46 | +2014,5,0.000015704662693782456,0.00031738071612314264,47048 | |
| 47 | +2014,30,-0.00004627924197482601,0.00045782432799855487,43265 | |
| 48 | +2015,5,0.000018955349758815982,0.00034556647351152427,38468 | |
| 49 | +2015,30,-0.0005335053861831269,0.0005213681749336517,35909 | |
| 50 | +2016,5,-0.00045077656006259435,0.0003392750218094286,40083 | |
| 51 | +2016,30,-0.00004955064815626584,0.0004029921923501459,37159 | |
| 52 | +2017,5,-0.0003367001526449698,0.0002635864943906999,53803 | |
| 53 | +2017,30,-0.0005465129878541224,0.0003345162794518458,50252 | |
| 54 | +2018,5,-0.000474960396286219,0.0003149616094355283,54791 | |
| 55 | +2018,30,-0.0008696271494745124,0.00033573233733397666,51037 | |
| 56 | +2019,5,-0.00010908389945160757,0.00021425496558040305,77825 | |
| 57 | +2019,30,-0.00040227749502088944,0.00029145713928623945,72363 | |
| 58 | +2020,5,-0.00003295559994016566,0.00043565315147706905,54241 | |
| 59 | +2020,30,0.000053668938539089966,0.0005568746146868762,50123 | |
| 60 | +2021,5,-0.0001929692647312534,0.0003369945609760928,56010 | |
| 61 | +2021,30,-0.0007531446592194196,0.00043140390205580393,52061 | |
| 62 | +2022,5,-0.000010917642602713436,0.00040086344219934756,58659 | |
| 63 | +2022,30,0.0002394982796159349,0.0004592102222510198,53637 | |
| 64 | +2023,5,0.00013915154124262782,0.000303090545441978,75179 | |
| 65 | +2023,30,0.00006159628313469833,0.0003165530475127835,69103 | |
| 66 | +2024,5,-0.000234549808398026,0.00025583277108796106,91242 | |
| 67 | +2024,30,-0.00004927121054416851,0.0002996440768647986,84898 | |
| 68 | +2025,5,-0.00019567166343808668,0.00025812327203083814,79420 | |
| 69 | +2025,30,-0.0005446685508484754,0.00030098461417004736,73142 | |
| 70 | +2026,5,-0.0005430159393303248,0.00059356725793491,18640 | |
| 71 | +2026,30,-0.000756981444128457,0.0008327618120186165,17238 | |
added
outputs/figures/data/figF3_gradient_state.csv
+9 −0
@@ -0,0 +1,9 @@ | ||
| 1 | +group,dd,se,n,family | |
| 2 | +6–8,-0.00045939080102480536,0.0001348053257879255,669411,magnitude | |
| 3 | +8–12,-0.00022455137281052,0.00021244068034851143,377180,magnitude | |
| 4 | +12–20,0.0003471270138139228,0.00029503609872161567,227936,magnitude | |
| 5 | +>20,0.00012173014630588626,0.00020139133380392304,483298,magnitude | |
| 6 | +negative,-0.00020696738432244362,0.00012947781620126746,869240,sign | |
| 7 | +positive,-0.00008557987516494346,0.0001334044052460437,888585,sign | |
| 8 | +calm market,-0.00006637373367198926,0.00010069118635522512,876982,state | |
| 9 | +stressed market,-0.000055328292769976336,0.0001845189393719756,880843,state | |
added
outputs/figures/data/figF4_network.csv
+16 −0
@@ -0,0 +1,16 @@ | ||
| 1 | +scope,h,dd,se,n | |
| 2 | +all,5,0.006401566893071846,0.00018191717193993579,1791444 | |
| 3 | +all,15,0.005535757620049903,0.00017981927021736862,1744284 | |
| 4 | +all,30,0.004964316583122314,0.00018458233087634325,1674578 | |
| 5 | +1992–1999,5,0.0028345632708827798,0.0007160772570377656,109456 | |
| 6 | +1992–1999,15,0.0022479244028166985,0.0006957279297162921,109268 | |
| 7 | +1992–1999,30,0.002990502615778042,0.0007378833977499568,107627 | |
| 8 | +2000–2009,5,0.0029952759578339237,0.00022337643420359727,637083 | |
| 9 | +2000–2009,15,0.0024890125044814988,0.0002113485407833671,622217 | |
| 10 | +2000–2009,30,0.0019452658005282434,0.00024353427438732236,598350 | |
| 11 | +2010–2019,5,0.008063837296756492,0.0003474719821113064,603846 | |
| 12 | +2010–2019,15,0.007105167032222749,0.0003299760085267418,585631 | |
| 13 | +2010–2019,30,0.0064280307123572005,0.0003511980077872762,560797 | |
| 14 | +2020–2026,5,0.008960164005506418,0.00043664646065059157,441059 | |
| 15 | +2020–2026,15,0.007656245808954335,0.0004399219457133607,427168 | |
| 16 | +2020–2026,30,0.006928643325349853,0.0004556983205813385,407804 | |
added
outputs/figures/data/figF5_cojumps.csv
+35 −0
@@ -0,0 +1,35 @@ | ||
| 1 | +year,per1000,severe_per1000,mean_share4 | |
| 2 | +1992,999.0036410155482,174.95325723282818,0.07602783197801298 | |
| 3 | +1993,999.3564007478011,92.53527026060662,0.06997142481344742 | |
| 4 | +1994,998.1057876423233,86.31019786283433,0.06774495724665522 | |
| 5 | +1995,997.3784996006309,70.86243267044873,0.06696575333447506 | |
| 6 | +1996,999.0107290009382,134.96920001631787,0.07281303713334002 | |
| 7 | +1997,933.0008295525537,211.3617975686941,0.07172585236925318 | |
| 8 | +1998,768.5147257608651,5.7346495719493715,0.040365436981046394 | |
| 9 | +1999,794.9174755293443,4.7303108489986485,0.03522423901012861 | |
| 10 | +2000,759.1432198877831,24.88020641356432,0.040803490046709676 | |
| 11 | +2001,770.0558729099779,35.056081390985284,0.04330999614444764 | |
| 12 | +2002,733.3750859865091,47.895768950399905,0.04570316722151149 | |
| 13 | +2003,361.3988572368151,9.968347926172564,0.03941926343394678 | |
| 14 | +2004,462.88120349930506,17.108167770419428,0.039807230854763793 | |
| 15 | +2005,470.0862562341591,18.51851851851852,0.04000602470166874 | |
| 16 | +2006,261.9681534555248,5.437967084365588,0.033574412592444876 | |
| 17 | +2007,520.0774467296264,63.96564331249549,0.05990418365466344 | |
| 18 | +2008,352.49343563860765,91.12457472133393,0.09270947361118635 | |
| 19 | +2009,101.25117745832821,20.262522013351354,0.08926025111692933 | |
| 20 | +2010,197.76592265554737,34.43095413294089,0.06301994818518791 | |
| 21 | +2011,213.26956095168015,37.34363502575423,0.07992625857855959 | |
| 22 | +2012,129.3247854410092,14.083341950160273,0.06419765940347752 | |
| 23 | +2013,152.8085507959954,5.375020515345478,0.038961049446650804 | |
| 24 | +2014,196.9165435745938,11.488593467913999,0.03612635871747971 | |
| 25 | +2015,139.32915591596017,7.187615186140804,0.036447747342567935 | |
| 26 | +2016,137.34567901234567,5.488103998037772,0.038401505178698905 | |
| 27 | +2017,168.71061585748208,4.430555412781793,0.03430257222315641 | |
| 28 | +2018,207.21119681974068,20.164986251145738,0.037506289343544184 | |
| 29 | +2019,119.29673395699984,3.990234695552273,0.035292657684469604 | |
| 30 | +2020,193.81434883317516,83.67261558555525,0.06407701892754324 | |
| 31 | +2021,135.55719074482872,5.161066143406099,0.04015892932862111 | |
| 32 | +2022,119.76811117506784,7.287640819011594,0.041849671502877946 | |
| 33 | +2023,109.61905948820207,3.0429544699235627,0.035217522313106674 | |
| 34 | +2024,135.25862513537206,4.29065030168635,0.03827934299647837 | |
| 35 | +2025,156.5505118395202,10.360872712232446,0.037979056104708524 | |
added
outputs/figures/data/figP1a_monthly_file_size.csv
+412 −0
@@ -0,0 +1,412 @@ | ||
| 1 | +month,mb_compressed | |
| 2 | +1992-01,33.507926 | |
| 3 | +1992-02,26.296568 | |
| 4 | +1992-03,25.756251 | |
| 5 | +1992-04,25.447271 | |
| 6 | +1992-05,21.681088 | |
| 7 | +1992-06,24.052854 | |
| 8 | +1992-07,24.896723 | |
| 9 | +1992-08,22.251715 | |
| 10 | +1992-09,23.857647 | |
| 11 | +1992-10,26.193293 | |
| 12 | +1992-11,27.295778 | |
| 13 | +1992-12,30.062927 | |
| 14 | +1993-01,30.604366 | |
| 15 | +1993-02,30.149554 | |
| 16 | +1993-03,32.744945 | |
| 17 | +1993-04,30.272077 | |
| 18 | +1993-05,29.312134 | |
| 19 | +1993-06,31.178419 | |
| 20 | +1993-07,29.811103 | |
| 21 | +1993-08,32.952929 | |
| 22 | +1993-09,32.500679 | |
| 23 | +1993-10,35.112152 | |
| 24 | +1993-11,34.452709 | |
| 25 | +1993-12,35.585488 | |
| 26 | +1994-01,37.137867 | |
| 27 | +1994-02,33.524505 | |
| 28 | +1994-03,40.234342 | |
| 29 | +1994-04,29.658241 | |
| 30 | +1994-05,29.952411 | |
| 31 | +1994-06,30.592021 | |
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| 35 | +1994-10,31.791137 | |
| 36 | +1994-11,32.019307 | |
| 37 | +1994-12,33.646016 | |
| 38 | +1995-01,32.203995 | |
| 39 | +1995-02,30.951845 | |
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| 226 | +2010-09,239.661338 | |
| 227 | +2010-10,243.681775 | |
| 228 | +2010-11,248.497266 | |
| 229 | +2010-12,249.574144 | |
| 230 | +2011-01,244.939337 | |
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| 237 | +2011-08,324.0823 | |
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| 239 | +2011-10,270.477229 | |
| 240 | +2011-11,255.131624 | |
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| 248 | +2012-07,227.395739 | |
| 249 | +2012-08,240.855317 | |
| 250 | +2012-09,212.265729 | |
| 251 | +2012-10,226.061368 | |
| 252 | +2012-11,230.885716 | |
| 253 | +2012-12,215.198393 | |
| 254 | +2013-01,234.243471 | |
| 255 | +2013-02,214.266603 | |
| 256 | +2013-03,224.388648 | |
| 257 | +2013-04,251.002943 | |
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| 260 | +2013-07,244.114206 | |
| 261 | +2013-08,242.563123 | |
| 262 | +2013-09,223.860429 | |
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| 265 | +2013-12,241.779531 | |
| 266 | +2014-01,256.575689 | |
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| 268 | +2014-03,261.807683 | |
| 269 | +2014-04,262.921232 | |
| 270 | +2014-05,251.68699 | |
| 271 | +2014-06,247.732193 | |
| 272 | +2014-07,255.219568 | |
| 273 | +2014-08,239.930144 | |
| 274 | +2014-09,248.656804 | |
| 275 | +2014-10,308.822975 | |
| 276 | +2014-11,226.46329 | |
| 277 | +2014-12,278.298966 | |
| 278 | +2015-01,263.950179 | |
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| 280 | +2015-03,274.993359 | |
| 281 | +2015-04,256.912818 | |
| 282 | +2015-05,246.399154 | |
| 283 | +2015-06,276.827392 | |
| 284 | +2015-07,275.783252 | |
| 285 | +2015-08,282.391472 | |
| 286 | +2015-09,274.599008 | |
| 287 | +2015-10,282.703217 | |
| 288 | +2015-11,249.189042 | |
| 289 | +2015-12,283.018361 | |
| 290 | +2016-01,272.553206 | |
| 291 | +2016-02,271.508411 | |
| 292 | +2016-03,284.431319 | |
| 293 | +2016-04,261.433209 | |
| 294 | +2016-05,264.282897 | |
| 295 | +2016-06,284.847081 | |
| 296 | +2016-07,243.221269 | |
| 297 | +2016-08,272.131219 | |
| 298 | +2016-09,258.816256 | |
| 299 | +2016-10,247.15438 | |
| 300 | +2016-11,266.325024 | |
| 301 | +2016-12,259.109176 | |
| 302 | +2017-01,239.466234 | |
| 303 | +2017-02,227.512199 | |
| 304 | +2017-03,279.259268 | |
| 305 | +2017-04,227.787971 | |
| 306 | +2017-05,264.728588 | |
| 307 | +2017-06,265.992069 | |
| 308 | +2017-07,224.48198 | |
| 309 | +2017-08,262.459862 | |
| 310 | +2017-09,230.338093 | |
| 311 | +2017-10,251.493951 | |
| 312 | +2017-11,251.54184 | |
| 313 | +2017-12,240.721064 | |
| 314 | +2018-01,261.505973 | |
| 315 | +2018-02,259.934101 | |
| 316 | +2018-03,273.042512 | |
| 317 | +2018-04,261.841342 | |
| 318 | +2018-05,272.909977 | |
| 319 | +2018-06,263.520275 | |
| 320 | +2018-07,244.881455 | |
| 321 | +2018-08,264.346332 | |
| 322 | +2018-09,225.121777 | |
| 323 | +2018-10,317.27454 | |
| 324 | +2018-11,277.381326 | |
| 325 | +2018-12,276.046586 | |
| 326 | +2019-01,277.707899 | |
| 327 | +2019-02,241.038657 | |
| 328 | +2019-03,277.03009 | |
| 329 | +2019-04,261.491283 | |
| 330 | +2019-05,284.415111 | |
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| 332 | +2019-07,269.314333 | |
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| 335 | +2019-10,284.282511 | |
| 336 | +2019-11,247.526723 | |
| 337 | +2019-12,257.874677 | |
| 338 | +2020-01,274.641949 | |
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| 370 | +2022-09,354.389411 | |
| 371 | +2022-10,359.88812 | |
| 372 | +2022-11,349.531966 | |
| 373 | +2022-12,346.352544 | |
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| 380 | +2023-07,303.412353 | |
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| 382 | +2023-09,292.965876 | |
| 383 | +2023-10,339.445079 | |
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| 400 | +2025-03,376.741106 | |
| 401 | +2025-04,405.158175 | |
| 402 | +2025-05,367.281233 | |
| 403 | +2025-06,353.972259 | |
| 404 | +2025-07,389.71868 | |
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| 407 | +2025-10,449.33569 | |
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| 409 | +2025-12,401.427461 | |
| 410 | +2026-01,407.987109 | |
| 411 | +2026-02,418.722584 | |
| 412 | +2026-03,464.192938 | |
added
outputs/figures/data/figP1b_symbols_per_day.csv
+67 −0
@@ -0,0 +1,67 @@ | ||
| 1 | +month,date,symbols | |
| 2 | +1992-06,1992-06-01,5555 | |
| 3 | +1992-06,1992-06-02,5533 | |
| 4 | +1992-06,1992-06-03,5481 | |
| 5 | +1992-06,1992-06-04,5451 | |
| 6 | +1992-06,1992-06-05,5477 | |
| 7 | +1992-06,1992-06-08,5500 | |
| 8 | +1992-06,1992-06-09,5545 | |
| 9 | +1992-06,1992-06-10,5545 | |
| 10 | +1992-06,1992-06-11,5484 | |
| 11 | +1992-06,1992-06-12,5445 | |
| 12 | +1992-06,1992-06-15,6501 | |
| 13 | +1992-06,1992-06-16,6573 | |
| 14 | +1992-06,1992-06-17,6630 | |
| 15 | +1992-06,1992-06-18,6595 | |
| 16 | +1992-06,1992-06-19,6479 | |
| 17 | +1992-06,1992-06-22,6607 | |
| 18 | +1992-06,1992-06-23,6612 | |
| 19 | +1992-06,1992-06-24,6410 | |
| 20 | +1992-06,1992-06-25,6450 | |
| 21 | +1992-06,1992-06-26,6371 | |
| 22 | +1992-06,1992-06-29,6550 | |
| 23 | +1992-06,1992-06-30,6662 | |
| 24 | +2009-06,2009-06-01,7523 | |
| 25 | +2009-06,2009-06-02,7423 | |
| 26 | +2009-06,2009-06-03,7414 | |
| 27 | +2009-06,2009-06-04,7409 | |
| 28 | +2009-06,2009-06-05,7407 | |
| 29 | +2009-06,2009-06-08,7417 | |
| 30 | +2009-06,2009-06-09,7426 | |
| 31 | +2009-06,2009-06-10,7412 | |
| 32 | +2009-06,2009-06-11,7454 | |
| 33 | +2009-06,2009-06-12,7396 | |
| 34 | +2009-06,2009-06-15,7410 | |
| 35 | +2009-06,2009-06-16,7395 | |
| 36 | +2009-06,2009-06-17,7379 | |
| 37 | +2009-06,2009-06-18,7373 | |
| 38 | +2009-06,2009-06-19,7309 | |
| 39 | +2009-06,2009-06-22,7373 | |
| 40 | +2009-06,2009-06-23,7389 | |
| 41 | +2009-06,2009-06-24,7430 | |
| 42 | +2009-06,2009-06-25,7377 | |
| 43 | +2009-06,2009-06-26,7281 | |
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added
outputs/figures/data/figP2_seasonality_1992-06.csv
+391 −0
@@ -0,0 +1,391 @@ | ||
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added
outputs/figures/data/figP2_seasonality_2009-06.csv
+391 −0
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added
outputs/figures/data/figP2_seasonality_2025-12.csv
+391 −0
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| 1 | +\documentclass[12pt]{article} | |
| 2 | +\usepackage[margin=1.1in]{geometry} | |
| 3 | +\usepackage{setspace} | |
| 4 | +\onehalfspacing | |
| 5 | +\begin{document} | |
| 6 | +\thispagestyle{empty} | |
| 7 | + | |
| 8 | +\begin{center} | |
| 9 | +{\Large\bfseries Author Statement}\\[1em] | |
| 10 | +{\normalsize Manuscript: \emph{Faster, Wider, More Fragile? The Evolution of | |
| 11 | +Intraday Shock Propagation in U.S. Equity Markets, 1992--2026}}\\[0.3em] | |
| 12 | +{\normalsize Journal: International Review of Financial Analysis} | |
| 13 | +\end{center} | |
| 14 | + | |
| 15 | +\vspace{1em} | |
| 16 | +\section*{CRediT authorship contribution statement} | |
| 17 | + | |
| 18 | +\noindent\textbf{Simon-Pierre Boucher} (sole author): | |
| 19 | + | |
| 20 | +\begin{description} | |
| 21 | +\item[Conceptualization.] Posed the research question, formulated the central | |
| 22 | +hypothesis on the asymmetric evolution of shock absorption and transmission, | |
| 23 | +and designed the overall research program. | |
| 24 | +\item[Methodology.] Developed the shock-identification framework | |
| 25 | +(leave-one-out residualization with strictly lagged loadings and robust | |
| 26 | +seasonal standardization), the matched-placebo difference-in-differences | |
| 27 | +estimand, the network-differential design, and the day-block bootstrap | |
| 28 | +inference. | |
| 29 | +\item[Software.] Wrote the full analysis pipeline, from checksum-verified | |
| 30 | +data acquisition through event detection, estimation, and automated table and | |
| 31 | +figure generation. | |
| 32 | +\item[Validation.] Designed and executed the multi-stage data audit | |
| 33 | +(calendar, timezone, integrity, corporate actions, survivorship) and the | |
| 34 | +falsification battery (pre-event tests, placebo networks, | |
| 35 | +announcement-window and tick-regime exclusions). | |
| 36 | +\item[Formal analysis.] Carried out all estimations and robustness analyses. | |
| 37 | +\item[Investigation.] Conducted the event-level study of 1.85 million | |
| 38 | +idiosyncratic shocks and the systemic co-jump analysis. | |
| 39 | +\item[Data curation.] Constructed the cleaned minute panel, the ticker-spell | |
| 40 | +identity map, the lagged trading universes, and the corporate-action screens, | |
| 41 | +with complete manifests and checksums. | |
| 42 | +\item[Writing --- original draft.] Wrote the manuscript. | |
| 43 | +\item[Writing --- review \& editing.] Revised the manuscript. | |
| 44 | +\item[Visualization.] Designed and produced all figures. | |
| 45 | +\end{description} | |
| 46 | + | |
| 47 | +\vspace{0.5em} | |
| 48 | +\noindent All authors have read and approved the final version of the | |
| 49 | +manuscript and agree to its submission to the \emph{International Review of | |
| 50 | +Financial Analysis}. | |
| 51 | + | |
| 52 | +\vspace{1.5em} | |
| 53 | +\noindent Simon-Pierre Boucher\\ | |
| 54 | +D\'epartement des sciences administratives\\ | |
| 55 | +Universit\'e du Qu\'ebec en Outaouais\\ | |
| 56 | +July 13, 2026 | |
| 57 | +\end{document} | |
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| 1 | +\documentclass[11pt]{letter} | |
| 2 | +\usepackage[margin=1.2in]{geometry} | |
| 3 | +\signature{Simon-Pierre Boucher\\Universit\'e du Qu\'ebec en Outaouais} | |
| 4 | +\begin{document} | |
| 5 | +\begin{letter}{The Editors\\International Review of Financial Analysis} | |
| 6 | +\opening{Dear Editors,} | |
| 7 | + | |
| 8 | +Please consider the enclosed manuscript, ``Faster, Wider, More Fragile? The | |
| 9 | +Evolution of Intraday Shock Propagation in U.S. Equity Markets, 1992--2026,'' | |
| 10 | +for publication in the \emph{International Review of Financial Analysis}. | |
| 11 | + | |
| 12 | +The paper measures how idiosyncratic intraday shocks travel across the U.S. | |
| 13 | +equity cross-section using 7.7 billion one-minute bars spanning thirty-four | |
| 14 | +years, including delisted securities. Its three findings are, we believe, of | |
| 15 | +direct interest to the journal's readership: (i) isolated six-sigma | |
| 16 | +one-minute shocks show no market-wide propagation relative to 1.8 million | |
| 17 | +matched within-stock placebos, in any decade; (ii) propagation is instead | |
| 18 | +concentrated in the shocked stock's lagged-correlation neighborhood, and this | |
| 19 | +network channel roughly tripled between the floor-trading and algorithmic | |
| 20 | +eras; and (iii) tail synchronization migrated to market-wide co-jump minutes, | |
| 21 | +whose severity spikes in 2008 and 2020 while ordinary extreme minutes became | |
| 22 | +an order of magnitude rarer. | |
| 23 | + | |
| 24 | +The analysis is fully reproducible: the data snapshot is pinned by checksum, | |
| 25 | +every number in the manuscript is generated programmatically from | |
| 26 | +machine-readable results, and replication code accompanies the submission. | |
| 27 | +The manuscript is not under consideration elsewhere, and there are no | |
| 28 | +competing interests to declare. | |
| 29 | + | |
| 30 | +\closing{Sincerely,} | |
| 31 | +\end{letter} | |
| 32 | +\end{document} | |
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| 1 | +# IRFA Submission Checklist — 2026-07-13 | |
| 2 | + | |
| 3 | +## Manuscript | |
| 4 | +- [x] `manuscript_irfa.pdf` — elsarticle (preprint, 12pt, authoryear), 41 pages, | |
| 5 | + compiles clean, 0 unresolved references, elsarticle-harv bibliography | |
| 6 | +- [x] Title, author + affiliation + email, abstract (<200 words), keywords, JEL | |
| 7 | +- [x] Declaration of competing interest (in manuscript) | |
| 8 | +- [x] Data availability statement (in manuscript; source: Finnhub.io aggregation, | |
| 9 | + pinned public snapshot for reproducibility) | |
| 10 | +- [x] `highlights.pdf` — 5 bullets, ≤85 characters each | |
| 11 | +- [x] `cover_letter.pdf` | |
| 12 | +- [x] `manuscript_anonymous.pdf` — author identity/CRediT/acknowledgments stripped | |
| 13 | +- [x] `title_page.pdf` — full author details (Professeur, Dépt. sciences administratives, | |
| 14 | + UQO, Pavillon Alexandre-Taché, J9A 1L8) + declarations + CRediT statement | |
| 15 | +- [x] `online_appendix.pdf` (skeleton; extended audit + full robustness to be | |
| 16 | + finalized before submission) | |
| 17 | + | |
| 18 | +## Science | |
| 19 | +- [x] 110 DOI-verified references (docs/LITERATURE_MAP.md) | |
| 20 | +- [x] All numbers macro-generated from machine-readable registries (no hand-typed | |
| 21 | + results); regenerate with scripts/15_build_results_macros.py | |
| 22 | +- [x] Robustness battery (Table VIII): 11 designs incl. placebo-network | |
| 23 | + falsification, month-cluster inference, post-decimalization | |
| 24 | +- [x] Figures: vector PDF, CVD-safe palette + line styles, source data CSVs | |
| 25 | + | |
| 26 | +## Remaining before actual submission (author actions) | |
| 27 | +- [x] Author details complete (title page + frontmatter); add acknowledgments if any | |
| 28 | +- [ ] Finalize online appendix content (extended tables) | |
| 29 | +- [ ] Check current IRFA Guide for Authors for any format updates (record date | |
| 30 | + in docs/DECISION_LOG.md) | |
| 31 | +- [ ] Clarify licensing note for the data aggregation (DATA_AUDIT §1) | |
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| 1 | +\documentclass[12pt]{article} | |
| 2 | +\usepackage[margin=1.1in]{geometry} | |
| 3 | +\usepackage[hidelinks]{hyperref} | |
| 4 | +\usepackage{setspace} | |
| 5 | +\onehalfspacing | |
| 6 | +\begin{document} | |
| 7 | +\thispagestyle{empty} | |
| 8 | + | |
| 9 | +\begin{center} | |
| 10 | +\vspace*{1em} | |
| 11 | +{\LARGE\bfseries Faster, Wider, More Fragile?}\\[8pt] | |
| 12 | +{\Large\bfseries The Evolution of Intraday Shock Propagation\\[2pt] | |
| 13 | +in U.S. Equity Markets, 1992--2026}\\[3em] | |
| 14 | + | |
| 15 | +{\large\bfseries Simon-Pierre Boucher}\footnote{Corresponding author. | |
| 16 | +E-mail: \href{mailto:simon-pierre.boucher@uqo.ca}{simon-pierre.boucher@uqo.ca}.}\\[1em] | |
| 17 | +Professeur\\ | |
| 18 | +D\'epartement des sciences administratives\\ | |
| 19 | +Universit\'e du Qu\'ebec en Outaouais\\ | |
| 20 | +Pavillon Alexandre-Tach\'e\\ | |
| 21 | +283, boulevard Alexandre-Tach\'e\\ | |
| 22 | +Gatineau (Qu\'ebec), Canada, J9A 1L8\\[2.5em] | |
| 23 | + | |
| 24 | +\today | |
| 25 | +\end{center} | |
| 26 | + | |
| 27 | +\vfill | |
| 28 | +\noindent\textbf{Keywords:} Intraday shock propagation; market fragility; | |
| 29 | +high-frequency data; contagion; co-jumps; Epps effect; market microstructure.\\[4pt] | |
| 30 | +\noindent\textbf{JEL classification:} G10; G12; G14. | |
| 31 | + | |
| 32 | +\clearpage | |
| 33 | +\thispagestyle{empty} | |
| 34 | + | |
| 35 | +\section*{CRediT authorship contribution statement} | |
| 36 | + | |
| 37 | +\noindent\textbf{Simon-Pierre Boucher:} \textit{Conceptualization} --- posed | |
| 38 | +the research question, formulated the central hypothesis on the asymmetric | |
| 39 | +evolution of shock absorption and transmission, and designed the overall | |
| 40 | +research program; \textit{Methodology} --- developed the shock-identification | |
| 41 | +framework (leave-one-out residualization with strictly lagged loadings and | |
| 42 | +robust seasonal standardization), the matched-placebo | |
| 43 | +difference-in-differences estimand, the network-differential design, and the | |
| 44 | +day-block bootstrap inference; \textit{Software} --- wrote the full analysis | |
| 45 | +pipeline, from checksum-verified data acquisition through event detection, | |
| 46 | +estimation, and automated table and figure generation; \textit{Validation} | |
| 47 | +--- designed and executed the multi-stage data audit (calendar, timezone, | |
| 48 | +integrity, corporate actions, survivorship) and the falsification battery | |
| 49 | +(pre-event tests, placebo networks, announcement-window and tick-regime | |
| 50 | +exclusions); \textit{Formal analysis} --- carried out all estimations and | |
| 51 | +robustness analyses; \textit{Investigation} --- conducted the event-level | |
| 52 | +study of 1.85 million idiosyncratic shocks and the systemic co-jump analysis; | |
| 53 | +\textit{Data curation} --- constructed the cleaned minute panel, the | |
| 54 | +ticker-spell identity map, the lagged trading universes, and the | |
| 55 | +corporate-action screens, with complete manifests and checksums; | |
| 56 | +\textit{Writing -- original draft} --- wrote the manuscript; | |
| 57 | +\textit{Writing -- review \& editing} --- revised the manuscript; | |
| 58 | +\textit{Visualization} --- designed and produced all figures. | |
| 59 | + | |
| 60 | +\section*{Declaration of competing interest} | |
| 61 | + | |
| 62 | +The author declares that he has no known competing financial interests or | |
| 63 | +personal relationships that could have appeared to influence the work | |
| 64 | +reported in this paper. | |
| 65 | + | |
| 66 | +\section*{Funding} | |
| 67 | + | |
| 68 | +This research did not receive any specific grant from funding agencies in the | |
| 69 | +public, commercial, or not-for-profit sectors. | |
| 70 | + | |
| 71 | +\section*{Data availability} | |
| 72 | + | |
| 73 | +The underlying market data were originally sourced from Finnhub.io | |
| 74 | +(\url{https://finnhub.io}). The aggregated monthly archive used in this study | |
| 75 | +is publicly accessible; the exact byte-level snapshot is pinned and | |
| 76 | +checksum-verified. Complete replication materials---code, configuration, | |
| 77 | +manifests, machine-readable results, and figure source data---accompany the | |
| 78 | +paper and permit regeneration of every number in the manuscript from the raw | |
| 79 | +data. | |
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