Source This dataset is a processed version of high-frequency futures data from the Chinese commodity market, covering a one-year period from 2022-08-01 to 2023-08-01. The original raw data is described in the paper [1]. Access to the raw data can be requested by contacting the authors directly. File: price_df_v2.parquet This file contains millisecond-level price data for the most liquid futures contracts of selected commodity products. Columns Column Name Description Timeindex Millisecond-level timestamp index asset.{product}_0 Price of the most liquid futures contract for the corresponding {product} info.segment_index Segment identifier used to separate trading periods Notes: ...