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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>
Simon-Pierre Boucher committed 2 h ago (Oct 17, 2026)

512 changed files +20,001 −0

added .env.example +3 −0
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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)
added .gitignore +55 −0
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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
added CITATION.cff +9 −0
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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
added LICENSE +26 −0
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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.
added Makefile +37 −0
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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
added README.md +180 −0
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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 +[![Paper](https://img.shields.io/badge/paper-PDF%20(36%20p.)-b31b1b?logo=latex&logoColor=white)](paper/main.pdf)
7 +[![Journal version](https://img.shields.io/badge/IRFA%20manuscript-elsarticle%20(41%20p.)-b31b1b?logo=latex&logoColor=white)](paper/main_irfa.pdf)
8 +[![Python](https://img.shields.io/badge/python-3.12%2B%20·%20uv-3776AB?logo=python&logoColor=white)](pyproject.toml)
9 +[![Data](https://img.shields.io/badge/data-7.69%20bn%20one--minute%20bars%20·%2081%2C306%20tickers-4051b5)](docs/DATA_AUDIT.md)
10 +[![Reproducible](https://img.shields.io/badge/reproducible-end--to--end%20pipeline%20(17%20scripts)-2e7d32)](scripts/)
11 +[![Institution](https://img.shields.io/badge/UQO-D%C3%A9pt.%20des%20sciences%20administratives-16365c)](https://uqo.ca)
12 +[![Author](https://img.shields.io/badge/author-Simon--Pierre%20Boucher-16365c)](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`.
added STATUS.md +141 −0
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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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added appendix/internet_appendix.tex +165 −0
@@ -0,0 +1,165 @@
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 +34 −0
@@ -0,0 +1,34 @@
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
added appendix/tables/table2_summary_by_decade.tex +32 −0
@@ -0,0 +1,32 @@
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
added config/base.yaml +17 −0
@@ -0,0 +1,17 @@
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
added config/paths.yaml +15 −0
@@ -0,0 +1,15 @@
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 +13 −0
@@ -0,0 +1,13 @@
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.
added docs/DATA_AUDIT.md +164 −0
@@ -0,0 +1,164 @@
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.
added docs/DATA_DICTIONARY.md +49 −0
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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).
added docs/DECISION_LOG.md +90 −0
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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/.
added docs/EMPIRICAL_DESIGN.md +35 −0
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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
added docs/LIMITATIONS.md +43 −0
@@ -0,0 +1,43 @@
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.
added docs/LITERATURE_MAP.md +121 −0
@@ -0,0 +1,121 @@
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`.
added docs/PROMPT_INITIAL_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/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,
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added outputs/diagnostics/stage_c/calendar_report.json +10 −0
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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 +}
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added outputs/diagnostics/stage_c/dst_rth_share.csv +412 −0
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262 +2013-09,0.97972,19563903
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267 +2014-02,0.97892,20182387
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272 +2014-07,0.97875,22039217
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274 +2014-09,0.98085,21518186
275 +2014-10,0.97899,26083170
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281 +2015-04,0.98034,22181198
282 +2015-05,0.98091,21397995
283 +2015-06,0.98147,23745876
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287 +2015-10,0.98126,23859151
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298 +2016-09,0.98069,22136169
299 +2016-10,0.98072,21184215
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310 +2017-09,0.98008,20182529
311 +2017-10,0.97786,21938377
312 +2017-11,0.97634,21661918
313 +2017-12,0.97754,20835608
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317 +2018-04,0.97763,22218650
318 +2018-05,0.97809,23297912
319 +2018-06,0.97747,22628661
320 +2018-07,0.97756,21007322
321 +2018-08,0.9774,22771794
322 +2018-09,0.9771,19412387
323 +2018-10,0.97435,25941349
324 +2018-11,0.97587,22989020
325 +2018-12,0.97817,22532018
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327 +2019-02,0.97419,20282889
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331 +2019-06,0.97629,21505309
332 +2019-07,0.97635,22764251
333 +2019-08,0.97272,23947476
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335 +2019-10,0.97586,23788486
336 +2019-11,0.97387,20692130
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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",
3 + "rows": 4609974,
4 + "tickers": 6338,
5 + "dates": 22,
6 + "ohlc_violations": 1,
7 + "nonpositive_prices": 0,
8 + "zero_volume": 0,
9 + "negative_volume": 0,
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11 + "weekend_rows": 0,
12 + "rows_before_0400_et": 0,
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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,
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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,
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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,
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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,
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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,
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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,
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11 + "weekend_rows": 0,
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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,
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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,
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10 + "duplicate_keys": 0,
11 + "weekend_rows": 0,
12 + "rows_before_0400_et": 0,
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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,
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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
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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
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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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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
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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
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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
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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
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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
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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
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11 +2001,1.7408963293948372,2.584860443294968,4.046024008780582,7.114043735069954
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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
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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
13 +2000–2009,10,0.000040495066376670203,0.00018236274599741338,622400
14 +2000–2009,15,-0.00006892270610929833,0.0001869495938709611,614587
15 +2000–2009,30,-0.00027522671980038027,0.00020144614718538943,590759
16 +2000–2009,60,-0.00008577271793559684,0.00022366638722094237,540340
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
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added outputs/figures/data/figF3_gradient_state.csv +9 −0
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added outputs/figures/data/figF4_network.csv +16 −0
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added outputs/figures/data/figF5_cojumps.csv +35 −0
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added outputs/figures/data/figP1b_symbols_per_day.csv +67 −0
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added outputs/figures/data/figP2_seasonality_1992-06.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}
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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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