Source files verified01
— / 20Complete originals, checked against Dropbox hashes
PRICE IMPACT PROJECT / LIVE MONITOR
Price Impact
of Trades.
From source data to reconstructed quotes and measured responses. Follow the run, check its quality, and explore the results.
Quote checks passed02
— / 20Four stocks across five trading days
Primary analysis checks03
— / 80Valid coverage at 1, 5, 30 and 60 seconds
Project storage04
— GB55 GB cap · at least 75 GB kept free
SOURCE PRESERVATION
Keep the data. Avoid another download.
—%Reading saved ranges
A file counts as verified only after its full hash matches. An interrupted transfer resumes from its last saved range.
STORAGE GUARD
Room for the rest
of your VPS.
—GB currently free
Minimum free space75 GB
Maximum project size55 GB
Checking the storage guard
Research milestones
Saved on the VPSQUALITY, WITH CONTEXT
Checked internally.
Still exploratory.
—%held-out first-trade price agreement
Continuous executions are checked against the source trade files.
No independent bid/ask file was available. Execution agreement alone does not independently validate quotes.
See the results and method ↗EXPLORATORY ANALYSIS
What the first five days show.
Four fixed stocks · 4–8 May 2020 · one-second quote samples agreed by both reconstruction methods.
This is a five-day study, not the full 2019–2022 period. Negative responses are retained. Curves and intervals are descriptive; five date blocks and two stocks per group limit generalization.
Response by relative trade size
Trade shares / previous 20-session average daily shares · equal stock-day weighting
Average signed response
Basis points, giving each stock-day equal weight. These averages also reflect different trade-size distributions.
| Horizon | Liquid | Illiquid |
|---|
Use the same-size-bin comparisons for the conditional liquidity comparison.
REUSABLE OUTPUTS
Take a closer look.
Assignment improvement planMD ↓Same-size liquidity comparisonsCSV ↓Response curves & support countsCSV ↓Coverage & inclusion decisionsCSV ↓Average response tableCSV ↓Method, results & limitationsMD ↓Only derived aggregate outputs are served here. Source market files and credentials stay private.
DURABLE CHECKPOINTS
Every date, accounted for.
The first five dates form the completed analysis. The additional five dates are being retained for later work.
| Trading date | Orders file | Trades file | Stock quote checks | Analysis checks |
|---|
What is preserved
- Full compressed cash-market order and trade files for ten dates.
- All stocks and original fields in those files, within the storage cap.
- Selected stock partitions, reconstructed quotes, response panels and audit results.
- Verified file hashes and saved transfer ranges for interruption recovery.
What the checks mean
A quote check is one selected stock on one day. An analysis check is one stock-day at one primary response horizon. Raw-file preservation is a separate background task.
Completed analysis does not mean every extra source file has finished downloading. Those states are shown separately on this page.