Data check of ES_1min.csv for mp80_spec.md, run 2026-11-13T08:21:35.002Z file: 119025005 bytes, SHA-256 ce7d4408d45595b2c431fb21833b6728e24ce153edcbc34b3fcde1956cb9c13e 1. Stamps and prices header "ny_time,open,high,low,close,volume"; 2378027 minutes kept, 0 after the cut 2026-09-25 17:00, 0 malformed lines first 2020-01-01 18:01, last 2026-09-25 16:59 backward stamps 0, duplicate stamps 0, prices off the 0.25 grid 0, OHLC inconsistent 0, zero/negative prices 0 volume: zero 0, negative 0, missing 0 2. Calendar classes (New York weekdays 2020-01-02 .. 2026-09-25) regular (16:00) 1679, short (13:15) 12, market holiday with a futures session (13:00) 46, closed (no regular-hours minute) 20 short sessions: 2020-11-27, 2020-12-24, 2021-11-26, 2022-11-25, 2023-07-03, 2023-11-24, 2024-07-03, 2024-11-29, 2024-12-24, 2025-07-03, 2025-11-28, 2025-12-24 13:00 holiday sessions: 2020-01-20, 2020-02-17, 2020-05-25, 2020-07-03, 2020-09-07, 2020-11-26, 2021-01-18, 2021-02-15, 2021-05-31, 2021-07-05, 2021-09-06, 2021-11-25, 2022-01-17, 2022-02-21, 2022-05-30, 2022-06-20, 2022-07-04, 2022-09-05, 2022-11-24, 2023-01-16, 2023-02-20, 2023-05-29, 2023-06-19, 2023-07-04, 2023-09-04, 2023-11-23, 2024-01-15, 2024-02-19, 2024-05-27, 2024-06-19, 2024-07-04, 2024-09-02, 2024-11-28, 2025-01-20, 2025-02-17, 2025-05-26, 2025-06-19, 2025-07-04, 2025-09-01, 2025-11-27, 2026-01-19, 2026-02-16, 2026-05-25, 2026-06-19, 2026-07-03, 2026-09-07 closed weekdays: 2020-04-10, 2020-10-23, 2020-12-25, 2021-01-01, 2021-04-02, 2021-12-24, 2022-04-15, 2022-12-26, 2023-01-02, 2023-04-07, 2023-12-25, 2024-01-01, 2024-03-29, 2024-12-25, 2025-01-01, 2025-01-09, 2025-04-18, 2025-12-25, 2026-01-01, 2026-04-03 differences between rb_lib's calendar + the data and an independent NYSE holiday list: 1 2020-10-23 rb_lib 16:00 / data 0 regular-hours minutes -> class closed; NYSE list: regular regular sessions (16:00 and 13:15) by period: DEV 1005, VAL 312, HOLDOUT 374; with a previous session: DEV 1004 regular sessions by year: 2020 252, 2021 252, 2022 251, 2023 250, 2024 252, 2025 250, 2026 184 sessions with every regular-hours minute present: 1668 of 1691; minutes missing in all: 188 most minutes missing: 2026-07-24 334/390, 2020-03-16 376/390, 2020-03-09 377/390, 2020-03-12 377/390, 2020-03-18 377/390, 2021-08-25 378/390, 2026-06-11 378/390, 2020-04-07 381/390 3. Missing minutes inside regular hours runs of 10 or more missing minutes: 7 2020-03-09: 13 minutes missing between 2020-03-09 09:36 and 2020-03-09 09:50 2020-03-12: 13 minutes missing between 2020-03-12 09:37 and 2020-03-12 09:51 2020-03-16: 14 minutes missing between 2020-03-16 09:31 and 2020-03-16 09:46 2020-03-18: 13 minutes missing between 2020-03-18 12:58 and 2020-03-18 13:12 2021-08-25: 12 minutes missing between 2021-08-25 15:02 and 2021-08-25 15:15 2026-06-11: 12 minutes missing between 2026-06-11 10:32 and 2026-06-11 10:45 2026-07-24: 56 minutes missing between 2026-07-24 10:48 and 2026-07-24 11:45 sessions whose first minute is not 09:31 or whose last minute is not the close: 0 sessions with data after their scheduled close (up to 16:00): 0 data_holes.json (ES) windows: 10; those inside a regular session's hours: 2026-07-24 10:48 .. 2026-07-24 11:45 4. Roll days (Thursday eight days before the third-Friday expiry, Mar/Jun/Sep/Dec) other sessions: Globex-open gap median 1 pts, 99th pct 48.5; largest 1-minute move median 7.75, 99th pct 48 2020-03-12: Globex-open gap 3 pts, 09:31 gap 30.5, largest 1-minute move 26.5 at 2020-03-12 13:08; regular-hours volume 659704 (previous session 2004049) 2020-06-11: Globex-open gap 0.5 pts, 09:31 gap 0, largest 1-minute move 9 at 2020-06-11 16:01; regular-hours volume 343242 (previous session 1475868) 2020-09-10: Globex-open gap 1 pts, 09:31 gap 0.25, largest 1-minute move 12.75 at 2020-09-10 10:38; regular-hours volume 238158 (previous session 1418316) 2020-12-10: Globex-open gap 1.75 pts, 09:31 gap 0.25, largest 1-minute move 8 at 2020-12-10 09:35; regular-hours volume 172320 (previous session 1444349) 2021-03-11: Globex-open gap 0 pts, 09:31 gap 0.25, largest 1-minute move 4.75 at 2021-03-11 09:43; regular-hours volume 106221 (previous session 1321057) 2021-06-10: Globex-open gap 0 pts, 09:31 gap 0.25, largest 1-minute move 10.5 at 2021-06-10 08:31; regular-hours volume 144418 (previous session 746822) 2021-09-09: Globex-open gap 0 pts, 09:31 gap 0, largest 1-minute move 5.75 at 2021-09-09 13:21; regular-hours volume 173683 (previous session 1108789) 2021-12-09: Globex-open gap 1.25 pts, 09:31 gap 0, largest 1-minute move 4.75 at 2021-12-09 10:25; regular-hours volume 218414 (previous session 947597) 2022-03-10: Globex-open gap 2 pts, 09:31 gap 0.25, largest 1-minute move 11.5 at 2022-03-10 04:56; regular-hours volume 164418 (previous session 1070529) 2022-06-09: Globex-open gap 0.25 pts, 09:31 gap 0.25, largest 1-minute move 9.75 at 2022-06-09 07:47; regular-hours volume 1361063 (previous session 1338622) 2022-09-08: Globex-open gap 1.5 pts, 09:31 gap 0, largest 1-minute move 14.25 at 2022-09-08 09:42; regular-hours volume 1768049 (previous session 1509852) 2022-12-08: Globex-open gap 1.25 pts, 09:31 gap 0, largest 1-minute move 6 at 2022-12-08 09:45; regular-hours volume 1204106 (previous session 1312279) 2023-03-09: Globex-open gap 1.25 pts, 09:31 gap 0, largest 1-minute move 9.25 at 2023-03-09 15:33; regular-hours volume 1922744 (previous session 1416674) 2023-06-08: Globex-open gap 0 pts, 09:31 gap 0, largest 1-minute move 4.5 at 2023-06-08 09:38; regular-hours volume 1190269 (previous session 1570724) 2023-09-07: Globex-open gap 0.25 pts, 09:31 gap 0.25, largest 1-minute move 5.75 at 2023-09-07 08:31; regular-hours volume 1150673 (previous session 1296545) 2023-12-07: Globex-open gap 0.5 pts, 09:31 gap 0.25, largest 1-minute move 4.25 at 2023-12-07 09:53; regular-hours volume 1265723 (previous session 1378067) 2024-03-07: Globex-open gap 1 pts, 09:31 gap 0.25, largest 1-minute move 6 at 2024-03-07 15:01; regular-hours volume 1222874 (previous session 1567291) 2024-06-13: Globex-open gap 2.25 pts, 09:31 gap 0.25, largest 1-minute move 8.75 at 2024-06-13 08:31; regular-hours volume 1041832 (previous session 1397723) 2024-09-12: Globex-open gap 0.25 pts, 09:31 gap 0, largest 1-minute move 16.25 at 2024-09-12 14:52; regular-hours volume 1233249 (previous session 1778356) 2024-12-12: Globex-open gap 0.25 pts, 09:31 gap 0, largest 1-minute move 3.75 at 2024-12-12 09:32; regular-hours volume 1072174 (previous session 926876) 2025-03-13: Globex-open gap 0.75 pts, 09:31 gap 0.25, largest 1-minute move 11.25 at 2025-03-13 10:13; regular-hours volume 1488761 (previous session 1459016) 2025-06-12: Globex-open gap 5.75 pts, 09:31 gap 0.25, largest 1-minute move 14 at 2025-06-12 20:00; regular-hours volume 877759 (previous session 1179630) 2025-09-11: Globex-open gap 1 pts, 09:31 gap 0, largest 1-minute move 7.25 at 2025-09-11 08:34; regular-hours volume 918934 (previous session 1053226) 2025-12-11: Globex-open gap 6.25 pts, 09:31 gap 0.25, largest 1-minute move 9.25 at 2025-12-11 16:16; regular-hours volume 1209464 (previous session 1151865) 2026-03-12: Globex-open gap 3.75 pts, 09:31 gap 0, largest 1-minute move 19.5 at 2026-03-12 11:40; regular-hours volume 1434743 (previous session 1175781) 2026-06-11: Globex-open gap 7.75 pts, 09:31 gap 0, largest 1-minute move 30 at 2026-06-11 13:30; regular-hours volume 1389404 (previous session 1254354) 2026-09-10: Globex-open gap 1.5 pts, 09:31 gap 0.25, largest 1-minute move 10 at 2026-09-10 10:25; regular-hours volume 1178769 (previous session 1060766) 1-minute moves above 1% (open or close against the previous close): 51 2020-02-28 17:00 -> 2020-03-01 18:01: open 2.32%, close 2.09% 2020-03-03 10:00 -> 2020-03-03 10:01: open 0.01%, close 1.75% 2020-03-06 17:00 -> 2020-03-08 18:01: open 1.27%, close 2.15% 2020-03-09 09:23 -> 2020-03-09 09:31: open 1.57%, close 1.64% 2020-03-09 09:36 -> 2020-03-09 09:50: open 0.43%, close 1.09% 2020-03-12 09:17 -> 2020-03-12 09:31: open 0.89%, close 1.25% 2020-03-12 09:37 -> 2020-03-12 09:51: open 0.27%, close 1.10% 2020-03-13 17:00 -> 2020-03-15 18:01: open 0.61%, close 1.99% 2020-03-15 18:01 -> 2020-03-15 18:02: open 0.00%, close 1.08% 2020-03-16 09:25 -> 2020-03-16 09:31: open 1.60%, close 1.60% 2020-03-16 09:31 -> 2020-03-16 09:46: open 1.69%, close 4.05% 2020-03-17 15:59 -> 2020-03-17 16:00: open 0.01%, close 1.11% 2020-03-18 09:23 -> 2020-03-18 09:31: open 1.26%, close 0.91% 2020-03-20 17:00 -> 2020-03-22 18:01: open 1.50%, close 2.45% 2020-03-22 19:39 -> 2020-03-22 19:40: open 0.46%, close 1.05% 2020-03-23 17:00 -> 2020-03-23 18:01: open 0.53%, close 1.05% 2020-03-26 15:50 -> 2020-03-26 15:51: open 0.01%, close 1.05% 2020-03-27 17:00 -> 2020-03-29 18:01: open 1.83%, close 1.62% 2020-04-12 18:16 -> 2020-04-12 18:17: open 0.00%, close 1.04% 2020-06-12 17:00 -> 2020-06-14 18:01: open 1.07%, close 0.94% 2022-02-25 17:00 -> 2022-02-27 18:01: open 1.54%, close 2.17% 2022-07-13 08:30 -> 2022-07-13 08:31: open 0.03%, close 1.47% 2022-09-13 08:30 -> 2022-09-13 08:31: open 0.00%, close 1.79% 2022-10-13 08:30 -> 2022-10-13 08:31: open 0.01%, close 1.92% 2022-11-10 08:30 -> 2022-11-10 08:31: open 0.00%, close 1.71% 2022-12-02 08:30 -> 2022-12-02 08:31: open 0.00%, close 1.19% 2025-01-31 17:00 -> 2025-02-02 18:01: open 1.29%, close 1.74% 2025-04-02 17:00 -> 2025-04-02 18:01: open 0.57%, close 1.10% 2025-04-04 17:00 -> 2025-04-06 18:01: open 1.65%, close 3.01% 2025-04-06 18:02 -> 2025-04-06 18:03: open 0.02%, close 1.93% 2025-04-06 18:03 -> 2025-04-06 18:04: open 0.28%, close 1.34% 2025-04-07 10:10 -> 2025-04-07 10:11: open 0.00%, close 1.49% 2025-04-07 10:11 -> 2025-04-07 10:12: open 0.00%, close 1.01% 2025-04-07 10:13 -> 2025-04-07 10:14: open 0.00%, close 1.23% 2025-04-07 10:18 -> 2025-04-07 10:19: open 0.00%, close 1.35% 2025-04-07 11:14 -> 2025-04-07 11:15: open 0.00%, close 1.40% 2025-04-07 13:00 -> 2025-04-07 13:01: open 0.00%, close 1.02% 2025-04-09 03:02 -> 2025-04-09 03:03: open 0.00%, close 1.75% 2025-04-09 07:00 -> 2025-04-09 07:01: open 0.01%, close 1.05% 2025-04-09 13:19 -> 2025-04-09 13:20: open 0.01%, close 2.41% 2025-04-09 13:20 -> 2025-04-09 13:21: open 0.01%, close 1.30% 2025-04-09 13:28 -> 2025-04-09 13:29: open 0.00%, close 1.19% 2025-04-11 17:00 -> 2025-04-13 18:01: open 0.99%, close 1.06% 2025-04-22 17:00 -> 2025-04-22 18:01: open 1.15%, close 1.33% 2025-05-09 17:00 -> 2025-05-11 18:01: open 1.28%, close 1.16% 2025-10-10 17:00 -> 2025-10-12 18:01: open 1.18%, close 1.71% 2026-03-06 17:00 -> 2026-03-08 18:01: open 0.79%, close 1.17% 2026-03-20 17:00 -> 2026-03-22 18:01: open 1.17%, close 0.99% 2026-03-23 07:05 -> 2026-03-23 07:06: open 0.00%, close 1.78% 2026-04-10 17:00 -> 2026-04-12 18:01: open 1.20%, close 1.15% 2026-04-17 17:00 -> 2026-04-19 18:01: open 0.85%, close 1.01% 5. Regular-hours volume median regular-hours volume per session 1149587; sessions below 30% of the previous 20 sessions' median: 16 2020-06-11 343242 (median of the previous 20: 1248009) 2020-09-10 238158 (median of the previous 20: 1028916) 2020-10-19 73502 (median of the previous 20: 1182339) 2020-10-20 77547 (median of the previous 20: 1166916) 2020-10-21 65788 (median of the previous 20: 1155240) 2020-10-22 56969 (median of the previous 20: 1144648) 2020-12-10 172320 (median of the previous 20: 938396) 2021-03-11 106221 (median of the previous 20: 1296291) 2021-06-10 144418 (median of the previous 20: 977994) 2021-09-09 173683 (median of the previous 20: 877060) 2021-12-09 218414 (median of the previous 20: 1292080) 2022-03-10 164418 (median of the previous 20: 1364248) 2022-11-25 329364 (median of the previous 20: 1458058) 2023-11-24 327577 (median of the previous 20: 1308337) 2025-11-28 300013 (median of the previous 20: 1411328) 2026-06-12 303306 (median of the previous 20: 1212355)