https://junshujiang.github.io/data/Recent content in Data on Junshu JiangHugo -- 0.147.2enhttps://junshujiang.github.io/data/data1/Mon, 01 Jan 0001 00:00:00 +0000https://junshujiang.github.io/data/data1/<h2 id="source">Source</h2> <p>This dataset is a processed version of high-frequency futures data from the Chinese commodity market, covering a one-year period from <strong>2022-08-01 to 2023-08-01</strong>. The original raw data is described in the paper [1].</p> <p>Access to the raw data can be requested by contacting the authors directly.</p> <h2 id="file-price_df_v2parquet">File: <code>price_df_v2.parquet</code></h2> <p>This file contains millisecond-level price data for the most liquid futures contracts of selected commodity products.</p> <h3 id="columns">Columns</h3> <table> <thead> <tr> <th>Column Name</th> <th>Description</th> </tr> </thead> <tbody> <tr> <td><code>Timeindex</code></td> <td>Millisecond-level timestamp index</td> </tr> <tr> <td><code>asset.{product}_0</code></td> <td>Price of the most liquid futures contract for the corresponding <code>{product}</code></td> </tr> <tr> <td><code>info.segment_index</code></td> <td>Segment identifier used to separate trading periods</td> </tr> </tbody> </table> <p><strong>Notes</strong>:</p>