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1# Raw data — WP 623## 5-minute bars (stage 1: `scripts/01_analysis.py`)45Four DuckDB databases of 5-minute OHLCV bars (2008–2026), each with a single table `ohlcv(symbol, datetime, open, high, low, close, volume)`:67| File | Symbols used | Source |8|---|---|---|9| `futures_5min.duckdb` | ES, NQ, GC, CL (continuous front-month futures; VX is present but not used) | FirstRate Data (CME/COMEX/NYMEX) |10| `fx_5min.duckdb` | EURUSD, USDJPY, GBPUSD | FirstRate Data (spot FX) |11| `crypto_5min.duckdb` | BTC, ETH | FirstRate Data (crypto spot, USD, composite of exchanges) |12| `index_5min.duckdb` | VIX | FirstRate Data (CBOE index, disseminated 03:15–16:15 ET; 09:30–16:15 before April 2016) |1314**Time stamps are naive U.S. Eastern time** (verified: Globex maintenance break at 17:00–18:00, VIX first bar at 03:15/09:30). A "day" in `results/daily_rv_all.csv` is therefore an Eastern-time calendar day. The May 2026 version of the paper read these stamps as UTC in its intraday analysis; the October 2026 revision converts them explicitly (`America/New_York` → UTC).1516The files total several GB and are **not committed**. Place them in this directory (or point `WP6_DATA_DIR` to their location) before running `scripts/01_analysis.py` (≈ 10 min, ≈ 8 GB RAM). The script keeps 5-minute log returns within 20 sample standard deviations of the mean, builds daily annualized realized volatility (≥ 20 bars per day) and writes `results/daily_rv_all.csv` and `results/table1_descriptive_stats.csv`. Known data feature: the composite crypto feed shows 5-minute price oscillations of 5–10 % between venues on several days of 2017 (BTC realized volatility above 1,000 % annualized on 2017-04-24/27, 2017-05-02/03, 2017-12-24); this is a property of the source, reproduced on the vendor's 1-minute feed.1718## 1-minute bars (stage 3: `scripts/03_intraday_sessions.py`)1920The intraday session analysis uses FirstRate 1-minute bars for ES, NQ, VIX and BTC held locally in the sibling repository `finance/realized-volatility-horse-race/data/raw/` (`futures_ES_1min.parquet`, `futures_NQ_1min.parquet`, `index_VIX_1min.parquet`, `crypto_BTC_1min.parquet`; 2013-01 → 2026-07, naive U.S. Eastern time stamps, not committed). Set `WP6_MINUTE_DIR` to their location. The script aggregates them to the paper's 5-minute grid over 2016-03-11 → 2026-03-11.2122## Stage 2 (`scripts/02_connectedness_revision.py`)2324Needs only `results/daily_rv_all.csv` (committed): every VAR/GFEVD result of the paper can be reproduced without the raw bars.25