Data Dictionary

Complete column definitions and computed academic variable specifications.

Parquet file schema

Each file contains one-minute OHLCV bars for a single U.S. equity or ETF.

Column	Type	Description
datetime	datetime64	Bar timestamp (Eastern Time), format: YYYY-MM-DD HH:MM:SS
Date	string	Trading date, format: MM/DD/YYYY
Time	string	Bar time, format: HHMM (24-hour)
Open	float64	Opening price of the 1-minute bar (split/dividend adjusted)
High	float64	Highest price during the 1-minute bar
Low	float64	Lowest price during the 1-minute bar
Close	float64	Closing price of the 1-minute bar
Volume	int64	Number of shares traded during the 1-minute bar
source	string	Data source: "pitrading" (pre-2022) or "iex" (post-2022, IEX Exchange HIST)

Computed academic variables (25 measures)

Computed daily for each ticker in each cleaning version.

Volatility (5 measures)

#	Variable	Formula / Reference
1	Realized variance (5-min)	RV = Σ r_t,i² using 5-minute sampled returns
2	Realized variance (1-min)	RV = Σ r_t,i² using all 1-minute returns
3	Bipower variation	BV = (π/2) Σ \|r_t,i\| \|r_t,i-1\| (Barndorff-Nielsen and Shephard 2004)
4	Parkinson range volatility	σ² = (1/4 ln 2) (ln H/L)² (Parkinson 1980)
5	Rogers-Satchell volatility	RS = ln(H/O)·ln(H/C) + ln(L/O)·ln(L/C) — the drift-independent per-day core of Yang-Zhang (Rogers & Satchell 1991; Yang and Zhang 2000)

Spreads (2 measures)

#	Variable	Formula / Reference
6	Roll implied spread	S = 2√(−Cov(r_t, r_t-1)) in basis points (Roll 1984)
7	Corwin-Schultz spread	High-low spread estimator (Corwin and Schultz 2012)

Autocorrelation (3 measures)

#	Variable	Formula / Reference
8	AC(1)	First-order autocorrelation of 1-minute log returns
9	VR(5)	Variance ratio: Var(5-min returns) / [5 × Var(1-min returns)]
10	VR(10)	Variance ratio: Var(10-min returns) / [10 × Var(1-min returns)]

Jump detection (3 measures)

#	Variable	Formula / Reference
11	BNS z-statistic	z = √M · (1 − BV/RV) / √(θ × max(1, TQ/BV²)), with θ = π²/4 + π − 5 and TQ the tri-power quarticity, computed on 5-minute returns (Barndorff-Nielsen and Shephard 2006; Huang and Tauchen 2005)
12	BNS jump (1%)	Indicator: 1 if z > 2.326
13	BNS jump (5%)	Indicator: 1 if z > 1.645

Liquidity (4 measures)

#	Variable	Formula / Reference
14	Amihud illiquidity	\|r_daily\| / dollar volume (Amihud 2002)
15	Daily dollar volume	Σ (Close_i × Volume_i)
16	Daily share volume	Σ Volume_i
17	Traded bars	Number of 1-minute bars with actual trading (Volume > 0)

Data quality (4 measures)

#	Variable	Formula / Reference
18	Gap rate	Fraction of the daily session grid (390 bars, or fewer on early-close half-days) with no trade
19	Observed bars	Number of bars with actual trades
20	Longest gap	Maximum consecutive missing bars in the day
21	Max bars since last trade	Largest gap between consecutive observed bars

Returns (4 measures)

#	Variable	Formula / Reference
22	Open-to-close return	ln(Close_last / Open_first)
23	Overnight return	ln(Open_today / Close_yesterday)
24	Daily high-low range	ln(High_max / Low_min)
25	Intraday return std	Standard deviation of 1-minute log returns