{ "schema_version": "ashare_execution_costs.expansion.public.v1", "study_id": "ashare_execution_costs", "evidence": "descriptive_historical_static_expansion", "permission": { "status": "confirmed_by_owner", "confirmed_on": "2026-10-12", "scope": "aggregate_derived_statistics" }, "measurement_code_sha256": "9fbf90d15da4e609554bd75e16be3629bcad19be63bea0061a78639da6dc8b3d", "pilot_code_sha256": "a976afc070ebc326b70b9f0581cdc2323a2165f9be8b04838f88530a65943e8d", "source_inputs": [ { "sha256": "fed03be8e3807b8b29a8d4db89fe0048cb47887cf541bd216ce0353c95bb49cf", "clock_profile": "relative_0930_ms", "bytes": 13307837512, "metadata_rows": 301715217 }, { "sha256": "75085e0dba870e2501e14d5f51713283b21f1366702d60b27ad63cafe0ef969f", "clock_profile": "relative_0930_ms", "bytes": 14613975025, "metadata_rows": 358435089 }, { "sha256": "3573352bb33e1716815e0c0f29c8f48ae0fa047d70905747c2f8493df48ed6c0", "clock_profile": "native_hhmmssmmm", "bytes": 2006749370, "metadata_rows": 21014554 }, { "sha256": "1c9f8ea056b8401b48220414092a9bf34c4b6a7c81719783e9e128b3dec84182", "clock_profile": "native_hhmmssmmm", "bytes": 2015660275, "metadata_rows": 21075449 }, { "sha256": "064281d4d0472de9e581a02765e1f5151b860c690e424cea07a221cd1927265d", "clock_profile": "native_hhmmssmmm", "bytes": 2116525530, "metadata_rows": 21886053 }, { "sha256": "8e3a9c28b658d69be807d3805a544ac0344a8303c559a235c8726b79103c6342", "clock_profile": "native_hhmmssmmm", "bytes": 2253429045, "metadata_rows": 22712123 }, { "sha256": "3460598fc951155e5dbe6fcd149590bbc9cc5c897a9f22e8dde2c3d03977a5e4", "clock_profile": "relative_0930_ms", "bytes": 466737535, "metadata_rows": 65228573 }, { "sha256": "53c4b9f0a5895a038a971657390e0270e770edbac0c22e8d85ef0709f996e9b1", "clock_profile": "relative_0930_ms", "bytes": 1017861390, "metadata_rows": 63292159 }, { "sha256": "49fefe0a89cc77e96210d09b3f6c410f06030872c1c09aa6240e200f40e1a8e3", "clock_profile": "relative_0930_ms", "bytes": 7270320, "metadata_rows": 1145476 }, { "sha256": "f05a826174149bb64dd1db948bc2247492ada360863f7a65b49a987c4ec02c9a", "clock_profile": "native_hhmmssmmm", "bytes": 2891956623, "metadata_rows": 278135317 }, { "sha256": "5646f9b2744ffa57d946d25c2742c3addbb806b191349f2a2a4c45c2eca90dfc", "clock_profile": "native_hhmmssmmm", "bytes": 3002975280, "metadata_rows": 171801112 } ], "daily_input_count": 139, "audit": [ { "day": 20210104, "sampled_securities": 110, "sampled_snapshots": 26070, "valid_books": 25350, "excluded_books": 720, "one_sided": 720, "crossed_or_locked": 0, "malformed": 0, "selected_source_rows": 426589, "invalid_clock_rows": 0, "duplicate_timestamp_excess": 0, "continuous_source_rows": 414803, "securities": 110, "expected_security_minutes": 26070, "observed_security_minutes": 26070, "missing_security_minutes": 0, "observed_fraction": 1.0, "ratio_between_0_8_and_1_2": 1.0 }, { "day": 20210115, "sampled_securities": 110, "sampled_snapshots": 26070, "valid_books": 25833, "excluded_books": 237, "one_sided": 237, "crossed_or_locked": 0, "malformed": 0, "selected_source_rows": 415839, "invalid_clock_rows": 0, "duplicate_timestamp_excess": 0, "continuous_source_rows": 404630, "securities": 110, "expected_security_minutes": 26070, "observed_security_minutes": 26070, "missing_security_minutes": 0, "observed_fraction": 1.0, "ratio_between_0_8_and_1_2": 1.0 }, { "day": 20210129, "sampled_securities": 110, "sampled_snapshots": 26070, "valid_books": 25840, "excluded_books": 230, "one_sided": 230, "crossed_or_locked": 0, "malformed": 0, "selected_source_rows": 419209, "invalid_clock_rows": 0, "duplicate_timestamp_excess": 0, "continuous_source_rows": 407840, "securities": 110, "expected_security_minutes": 26070, "observed_security_minutes": 26070, "missing_security_minutes": 0, "observed_fraction": 1.0, "ratio_between_0_8_and_1_2": 1.0 }, { "day": 20250102, "sampled_securities": 139, "sampled_snapshots": 32943, "valid_books": 32751, "excluded_books": 192, "one_sided": 192, "crossed_or_locked": 0, "malformed": 0, "selected_source_rows": 588015, "invalid_clock_rows": 0, "duplicate_timestamp_excess": 0, "continuous_source_rows": 562486, "securities": 139, "expected_security_minutes": 32943, "observed_security_minutes": 32943, "missing_security_minutes": 0, "observed_fraction": 1.0, "ratio_between_0_8_and_1_2": 1.0 }, { "day": 20250115, "sampled_securities": 140, "sampled_snapshots": 33178, "valid_books": 32985, "excluded_books": 193, "one_sided": 193, "crossed_or_locked": 0, "malformed": 0, "selected_source_rows": 549791, "invalid_clock_rows": 0, "duplicate_timestamp_excess": 0, "continuous_source_rows": 523972, "securities": 140, "expected_security_minutes": 33180, "observed_security_minutes": 33178, "missing_security_minutes": 2, "observed_fraction": 0.9999397227245328, "ratio_between_0_8_and_1_2": 1.0 }, { "day": 20250127, "sampled_securities": 140, "sampled_snapshots": 33177, "valid_books": 32791, "excluded_books": 386, "one_sided": 386, "crossed_or_locked": 0, "malformed": 0, "selected_source_rows": 547345, "invalid_clock_rows": 0, "duplicate_timestamp_excess": 0, "continuous_source_rows": 522042, "securities": 140, "expected_security_minutes": 33180, "observed_security_minutes": 33177, "missing_security_minutes": 3, "observed_fraction": 0.9999095840867993, "ratio_between_0_8_and_1_2": 1.0 }, { "day": 20260407, "sampled_securities": 142, "sampled_snapshots": 33651, "valid_books": 32861, "excluded_books": 790, "one_sided": 790, "crossed_or_locked": 0, "malformed": 0, "selected_source_rows": 576492, "invalid_clock_rows": 0, "duplicate_timestamp_excess": 0, "continuous_source_rows": 551232, "securities": 142, "expected_security_minutes": 33654, "observed_security_minutes": 33651, "missing_security_minutes": 3, "observed_fraction": 0.9999108575503655, "ratio_between_0_8_and_1_2": 1.0 }, { "day": 20260416, "sampled_securities": 142, "sampled_snapshots": 32694, "valid_books": 32341, "excluded_books": 353, "one_sided": 353, "crossed_or_locked": 0, "malformed": 0, "selected_source_rows": 584897, "invalid_clock_rows": 0, "duplicate_timestamp_excess": 0, "continuous_source_rows": 557665, "securities": 142, "expected_security_minutes": 33654, "observed_security_minutes": 32694, "missing_security_minutes": 960, "observed_fraction": 0.9714744161169548, "ratio_between_0_8_and_1_2": 1.0 }, { "day": 20260424, "sampled_securities": 143, "sampled_snapshots": 33889, "valid_books": 33186, "excluded_books": 703, "one_sided": 703, "crossed_or_locked": 0, "malformed": 0, "selected_source_rows": 611311, "invalid_clock_rows": 0, "duplicate_timestamp_excess": 0, "continuous_source_rows": 583531, "securities": 143, "expected_security_minutes": 33891, "observed_security_minutes": 33889, "missing_security_minutes": 2, "observed_fraction": 0.9999409872827595, "ratio_between_0_8_and_1_2": 1.0 }, { "day": 20260720, "sampled_securities": 142, "sampled_snapshots": 33653, "valid_books": 32545, "excluded_books": 1108, "one_sided": 1108, "crossed_or_locked": 0, "malformed": 0, "selected_source_rows": 615241, "invalid_clock_rows": 0, "duplicate_timestamp_excess": 0, "continuous_source_rows": 588910, "securities": 142, "expected_security_minutes": 33654, "observed_security_minutes": 33653, "missing_security_minutes": 1, "observed_fraction": 0.9999702858501218, "ratio_between_0_8_and_1_2": 1.0 } ], "pooled": { "snapshots": 306483, "security_days": 1317, "spread_bp": { "count": 306483, "p50": 11.036309458116579, "p90": 27.359781121751656, "p95": 34.96503496503577 }, "bid_depth_cny": { "count": 306483, "p50": 1752944.0, "p90": 10155190.399999997, "p95": 18498620.029999983 }, "ask_depth_cny": { "count": 306483, "p50": 1498270.0, "p90": 9913598.09999999, "p95": 18853440.599999975 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 306483, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 306483, "p50": 6.057163020465328, "p90": 15.220700152205335, "p95": 19.493177387914784 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9968154840562119, "coverage_fraction": { "count": 306483, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 305507, "p50": 9.26784059314345, "p90": 26.78786473956852, "p95": 36.90036900369176 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6211992182274384, "coverage_fraction": { "count": 306483, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 190387, "p50": 21.123236780060672, "p90": 58.49166565399021, "p95": 75.78611676766832 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.09780640361781893, "coverage_fraction": { "count": 306483, "p50": 0.1490615945, "p90": 0.9812877500000001, "p95": 1.0 }, "full_order_cost_bp": { "count": 29976, "p50": 51.42987868763882, "p90": 112.51955518016388, "p95": 140.62766168774334 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9999771602340097, "coverage_fraction": { "count": 306483, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 306476, "p50": 6.0060060060052045, "p90": 15.128593040845129, "p95": 19.136978759201618 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9989395822933083, "coverage_fraction": { "count": 306483, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 306158, "p50": 8.873114463175957, "p90": 23.97688209084258, "p95": 31.92352126673079 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.676758580410659, "coverage_fraction": { "count": 306483, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 207415, "p50": 19.825244375683006, "p90": 51.24810348540221, "p95": 64.6497607738922 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.10284420343053285, "coverage_fraction": { "count": 306483, "p50": 0.1761524, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 31520, "p50": 43.94094856388753, "p90": 93.25775743564701, "p95": 112.55634445110152 } } ], "common_full_subset": { "snapshots": 20709, "security_days": 178, "spread_bp": { "count": 20709, "p50": 24.539877300612975, "p90": 51.67958656330754, "p95": 71.68458781362013 }, "bid_depth_cny": { "count": 20709, "p50": 24541264.0, "p90": 142621669.254, "p95": 192245744.92799988 }, "ask_depth_cny": { "count": 20709, "p50": 28434610.0, "p90": 170158405.01400006, "p95": 208041320.42999998 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 20709, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20709, "p50": 12.269938650306678, "p90": 25.839793281652312, "p95": 36.101083032493705 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 20709, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20709, "p50": 12.330456226881115, "p90": 26.24671916010568, "p95": 36.10108303249149 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 20709, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20709, "p50": 14.815513196482222, "p90": 35.47611327939083, "p95": 40.16064257027941 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 20709, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20709, "p50": 46.82019358816403, "p90": 98.69017288993344, "p95": 117.5347199965396 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 20709, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20709, "p50": 12.269938650306678, "p90": 25.83979328165342, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 20709, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20709, "p50": 12.330456226880004, "p90": 26.24671916010457, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 20709, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20709, "p50": 14.77104874446078, "p90": 35.059960357983336, "p95": 40.160642570281624 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 20709, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20709, "p50": 43.20357522124007, "p90": 95.19331582491475, "p95": 113.26639041235227 } } ] } }, "covariate_missing": { "adv20_cny": 2481, "market_cap_cny": 0, "volatility20": 2481 }, "by_day": { "20210104": { "snapshots": 25350, "security_days": 110, "spread_bp": { "count": 25350, "p50": 13.183915622939733, "p90": 25.873221216041994, "p95": 32.20611916264021 }, "bid_depth_cny": { "count": 25350, "p50": 2074738.5, "p90": 11571957.01, "p95": 19315227.853499975 }, "ask_depth_cny": { "count": 25350, "p50": 1901538.5, "p90": 9659935.475000013, "p95": 17936614.82899998 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 25350, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25350, "p50": 6.8728522336769515, "p90": 14.306151645204768, "p95": 18.253269381101386 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9997633136094675, "coverage_fraction": { "count": 25350, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25344, "p50": 9.175767329050455, "p90": 23.900944812622175, "p95": 29.78256962337455 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.7179881656804734, "coverage_fraction": { "count": 25350, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 18201, "p50": 23.81910816959598, "p90": 57.506773428233075, "p95": 69.76347664936932 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.09546351084812624, "coverage_fraction": { "count": 25350, "p50": 0.18920635, "p90": 0.9589279494000001, "p95": 1.0 }, "full_order_cost_bp": { "count": 2420, "p50": 44.44382553423942, "p90": 102.45856687676985, "p95": 118.82021899507379 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 25350, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25350, "p50": 6.863417982154729, "p90": 14.306151645208098, "p95": 18.083182640143967 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9995266272189349, "coverage_fraction": { "count": 25350, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25338, "p50": 8.779631255486642, "p90": 22.77904328018332, "p95": 27.422032316765968 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.7510848126232742, "coverage_fraction": { "count": 25350, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 19040, "p50": 22.019267967572365, "p90": 48.676548990954984, "p95": 58.63116837242785 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.12047337278106508, "coverage_fraction": { "count": 25350, "p50": 0.20874513375000003, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3054, "p50": 42.864427927211125, "p90": 84.42392666876367, "p95": 101.68501317828351 } } ], "common_full_subset": { "snapshots": 1449, "security_days": 18, "spread_bp": { "count": 1449, "p50": 24.660912453760265, "p90": 52.493438320210025, "p95": 52.770448548812716 }, "bid_depth_cny": { "count": 1449, "p50": 26612387.03, "p90": 301477512.18, "p95": 372672131.6099999 }, "ask_depth_cny": { "count": 1449, "p50": 23172695.799999997, "p90": 183812649.176, "p95": 217993930.10399994 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 12.330456226881115, "p90": 26.24671916010568, "p95": 26.385224274405594 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 12.330456226881115, "p90": 26.24671916010568, "p95": 26.385224274405594 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 12.42236024844745, "p90": 26.385224274405594, "p95": 26.934819199529738 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 46.58175627650696, "p90": 84.73646505200571, "p95": 97.27814372444232 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 12.330456226880004, "p90": 26.24671916010457, "p95": 26.385224274406703 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 12.330456226880004, "p90": 26.24671916010457, "p95": 26.385224274406703 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 12.422360248449671, "p90": 26.385224274406703, "p95": 34.03468881500138 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 39.813471134402256, "p90": 83.12229228083595, "p95": 111.28076596058185 } } ] } }, "20210115": { "snapshots": 25833, "security_days": 110, "spread_bp": { "count": 25833, "p50": 14.275517487508619, "p90": 30.042060087127037, "p95": 39.138943248533195 }, "bid_depth_cny": { "count": 25833, "p50": 1621935.0, "p90": 9395535.119999997, "p95": 17255841.599999964 }, "ask_depth_cny": { "count": 25833, "p50": 1571712.0, "p90": 9358472.411999997, "p95": 20042899.443999983 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 25833, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25833, "p50": 7.674597083653367, "p90": 16.00000000000046, "p95": 22.755913678881438 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9986064336314017, "coverage_fraction": { "count": 25833, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25797, "p50": 11.168431983386018, "p90": 29.68168021976948, "p95": 38.96633998474679 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6344597994812836, "coverage_fraction": { "count": 25833, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 16390, "p50": 29.326361271369006, "p90": 71.25392786452856, "p95": 84.64276185104224 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.09360120775751946, "coverage_fraction": { "count": 25833, "p50": 0.1560731, "p90": 0.9264367415999999, "p95": 1.0 }, "full_order_cost_bp": { "count": 2418, "p50": 53.923544317416855, "p90": 121.73703357195632, "p95": 147.97703916567986 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 25833, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25833, "p50": 7.552870090634656, "p90": 15.922397032019694, "p95": 21.834061135370675 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9996903185847559, "coverage_fraction": { "count": 25833, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25825, "p50": 10.672358591250486, "p90": 26.282874376221347, "p95": 33.561153947023506 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.67758293655402, "coverage_fraction": { "count": 25833, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 17504, "p50": 25.69769822133694, "p90": 61.52684662576736, "p95": 75.76734716202088 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.09557542677970038, "coverage_fraction": { "count": 25833, "p50": 0.1632186675, "p90": 0.9456212624999994, "p95": 1.0 }, "full_order_cost_bp": { "count": 2469, "p50": 49.91997233652956, "p90": 99.87820062545484, "p95": 115.22474064657426 } } ], "common_full_subset": { "snapshots": 1816, "security_days": 14, "spread_bp": { "count": 1816, "p50": 19.32367149758413, "p90": 48.899755501221456, "p95": 49.14004914005027 }, "bid_depth_cny": { "count": 1816, "p50": 20591913.5, "p90": 193461310.0, "p95": 235058129.225 }, "ask_depth_cny": { "count": 1816, "p50": 28104071.0, "p90": 204293675.26, "p95": 265675905.365 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1816, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1816, "p50": 9.680542110357404, "p90": 24.449877750609694, "p95": 24.570024570023108 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1816, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1816, "p50": 11.447644084697783, "p90": 24.449877750609694, "p95": 24.587241869132303 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1816, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1816, "p50": 18.925899334809593, "p90": 29.895271216704433, "p95": 38.519286927766736 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1816, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1816, "p50": 52.09929696895155, "p90": 97.68774641754518, "p95": 116.80493618165366 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1816, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1816, "p50": 9.680542110358514, "p90": 24.449877750610803, "p95": 24.57002457002644 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1816, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1816, "p50": 9.737098344693162, "p90": 24.449877750610803, "p95": 24.691358024691024 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1816, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1816, "p50": 17.207638474585618, "p90": 28.162729297919185, "p95": 37.49188997600905 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1816, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1816, "p50": 52.03247233653063, "p90": 104.97822680082757, "p95": 121.80323313615266 } } ] } }, "20210129": { "snapshots": 25840, "security_days": 110, "spread_bp": { "count": 25840, "p50": 14.914243102162247, "p90": 31.64556962025389, "p95": 42.46284501061481 }, "bid_depth_cny": { "count": 25840, "p50": 1584773.15, "p90": 6631526.200000008, "p95": 10513230.481499998 }, "ask_depth_cny": { "count": 25840, "p50": 1142877.6, "p90": 5651039.5320000015, "p95": 10798853.499999989 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 25840, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25840, "p50": 8.045052292839916, "p90": 18.385993503728287, "p95": 25.188916876572875 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9967105263157895, "coverage_fraction": { "count": 25840, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25755, "p50": 12.547051442910462, "p90": 35.91154173735856, "p95": 48.051934452436804 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.5397058823529411, "coverage_fraction": { "count": 25840, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 13946, "p50": 29.59601036838344, "p90": 77.62591007981712, "p95": 94.51648468172091 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.053521671826625386, "coverage_fraction": { "count": 25840, "p50": 0.11359617500000001, "p90": 0.5591918250000005, "p95": 1.0 }, "full_order_cost_bp": { "count": 1383, "p50": 60.88956233653242, "p90": 111.68235613299159, "p95": 135.56832146604168 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9999613003095975, "coverage_fraction": { "count": 25840, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25839, "p50": 7.993605115909075, "p90": 17.434664589408342, "p95": 23.984655350179185 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9994582043343653, "coverage_fraction": { "count": 25840, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25826, "p50": 11.85673158966505, "p90": 29.627806585534877, "p95": 37.9882436643153 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6654411764705882, "coverage_fraction": { "count": 25840, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 17195, "p50": 28.548944656805464, "p90": 65.99030688544794, "p95": 79.76908466202487 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.05561145510835913, "coverage_fraction": { "count": 25840, "p50": 0.15941128999999998, "p90": 0.6685443935000005, "p95": 1.0 }, "full_order_cost_bp": { "count": 1437, "p50": 49.73257522123964, "p90": 119.91143557691778, "p95": 131.47832544151106 } } ], "common_full_subset": { "snapshots": 1048, "security_days": 7, "spread_bp": { "count": 1048, "p50": 25.348542458809202, "p90": 51.67958656330754, "p95": 51.948051948052 }, "bid_depth_cny": { "count": 1048, "p50": 14720778.87, "p90": 251633015.11200002, "p95": 260860814.02 }, "ask_depth_cny": { "count": 1048, "p50": 24596962.52, "p90": 339040883.8520001, "p95": 363004268.1525 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1048, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1048, "p50": 12.706480304955914, "p90": 25.839793281652312, "p95": 25.974025974027093 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1048, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1048, "p50": 12.706480304955914, "p90": 25.88006308936409, "p95": 25.974025974024872 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1048, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1048, "p50": 16.997161688563356, "p90": 28.96676465564065, "p95": 49.765426562686784 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1048, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1048, "p50": 57.69487271740981, "p90": 109.90483824066912, "p95": 130.84587413299218 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1048, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1048, "p50": 12.706480304954804, "p90": 25.83979328165342, "p95": 25.97402597402376 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1048, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1048, "p50": 12.706480304953693, "p90": 25.839793281654533, "p95": 25.974025974024872 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1048, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1048, "p50": 18.10741429091489, "p90": 26.109660574412665, "p95": 41.565020759621305 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1048, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1048, "p50": 53.5912480564471, "p90": 116.44730380428875, "p95": 134.83608949844833 } } ] } }, "20250102": { "snapshots": 32751, "security_days": 139, "spread_bp": { "count": 32751, "p50": 11.25492402926256, "p90": 29.197080291971478, "p95": 35.02626970227596 }, "bid_depth_cny": { "count": 32751, "p50": 1553838.0, "p90": 7940111.0, "p95": 13271742.7 }, "ask_depth_cny": { "count": 32751, "p50": 1243320.0, "p90": 7446176.0, "p95": 12688329.379999999 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 32751, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32751, "p50": 6.142857142859004, "p90": 16.00000000000046, "p95": 19.417475728154 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9971603920490978, "coverage_fraction": { "count": 32751, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32658, "p50": 10.29866117404632, "p90": 27.599593105551932, "p95": 35.89651890303911 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.5686543922322983, "coverage_fraction": { "count": 32751, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 18624, "p50": 25.824439953462395, "p90": 62.397597617053016, "p95": 78.272726839118 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.06668498671796282, "coverage_fraction": { "count": 32751, "p50": 0.12361290000000001, "p90": 0.7370402, "p95": 1.0 }, "full_order_cost_bp": { "count": 2184, "p50": 67.06962597607836, "p90": 145.00187191912795, "p95": 184.66672751479325 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 32751, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32751, "p50": 6.086427267193439, "p90": 15.864621893179054, "p95": 19.00769270079927 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9989313303410583, "coverage_fraction": { "count": 32751, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32716, "p50": 9.794319294810228, "p90": 25.12898881414205, "p95": 32.6954400953694 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6343317761289732, "coverage_fraction": { "count": 32751, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20775, "p50": 22.392647975078006, "p90": 50.340343893589214, "p95": 62.65014035331383 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.07306647125278617, "coverage_fraction": { "count": 32751, "p50": 0.15608080950000003, "p90": 0.80004215, "p95": 1.0 }, "full_order_cost_bp": { "count": 2393, "p50": 49.89550980391999, "p90": 109.9145770767114, "p95": 135.34122810865657 } } ], "common_full_subset": { "snapshots": 1630, "security_days": 12, "spread_bp": { "count": 1630, "p50": 34.542314335059714, "p90": 59.34718100890213, "p95": 60.42296072507559 }, "bid_depth_cny": { "count": 1630, "p50": 23287648.5, "p90": 155112610.14000002, "p95": 175228837.43 }, "ask_depth_cny": { "count": 1630, "p50": 31756228.5, "p90": 163217967.98000002, "p95": 177561720.82999998 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1630, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1630, "p50": 17.271157167528806, "p90": 29.673590504450953, "p95": 30.211480362538623 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1630, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1630, "p50": 17.271157167528806, "p90": 29.850746268658135, "p95": 30.395136778114118 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1630, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1630, "p50": 17.452006980802626, "p90": 37.41595352965788, "p95": 48.12445182433832 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1630, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1630, "p50": 62.432276294698276, "p90": 156.12292154405682, "p95": 190.20259834811608 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1630, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1630, "p50": 17.271157167529914, "p90": 29.673590504450953, "p95": 30.211480362537515 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1630, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1630, "p50": 17.271157167529914, "p90": 29.850746268654802, "p95": 30.39513677811634 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1630, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1630, "p50": 17.452006980803738, "p90": 33.026402563398506, "p95": 45.991763816519814 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1630, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1630, "p50": 50.838549290896374, "p90": 119.48676924786463, "p95": 142.51258018171043 } } ] } }, "20250115": { "snapshots": 32985, "security_days": 140, "spread_bp": { "count": 32985, "p50": 10.958904109590753, "p90": 27.510316368638875, "p95": 35.02626970227596 }, "bid_depth_cny": { "count": 32985, "p50": 2044018.0, "p90": 10939990.400000008, "p95": 18436199.4 }, "ask_depth_cny": { "count": 32985, "p50": 1522625.0, "p90": 8196835.096000003, "p95": 15655987.999999994 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 32985, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32985, "p50": 5.837711617044938, "p90": 15.600624024960652, "p95": 18.214936247722413 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9990298620585114, "coverage_fraction": { "count": 32985, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32953, "p50": 9.87166831194708, "p90": 26.636856421506916, "p95": 35.09165138974168 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6178262846748522, "coverage_fraction": { "count": 32985, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20379, "p50": 24.19790557491419, "p90": 58.200324986318556, "p95": 74.86233269780615 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.07651963013490981, "coverage_fraction": { "count": 32985, "p50": 0.15142952500000004, "p90": 0.8125050000000017, "p95": 1.0 }, "full_order_cost_bp": { "count": 2524, "p50": 64.43668123861546, "p90": 120.53667720555232, "p95": 145.0457643523142 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 32985, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32985, "p50": 5.810575246950611, "p90": 15.552099533437946, "p95": 18.14882032667886 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9997574655146279, "coverage_fraction": { "count": 32985, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32977, "p50": 9.07437816952239, "p90": 22.43643089014703, "p95": 30.479355935883135 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.7041685614673336, "coverage_fraction": { "count": 32985, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 23227, "p50": 20.165691699604025, "p90": 50.082321552320735, "p95": 63.82776006261981 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.12084280733666818, "coverage_fraction": { "count": 32985, "p50": 0.2054647, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3986, "p50": 57.56606730945913, "p90": 114.71605485721126, "p95": 133.9752324107488 } } ], "common_full_subset": { "snapshots": 2134, "security_days": 20, "spread_bp": { "count": 2134, "p50": 34.78260869565143, "p90": 62.69592476489033, "p95": 63.09148264984233 }, "bid_depth_cny": { "count": 2134, "p50": 24585679.0, "p90": 136299552.96, "p95": 176398862.54999998 }, "ask_depth_cny": { "count": 2134, "p50": 26824834.18, "p90": 161804498.359, "p95": 183434573.45 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 17.391304347824654, "p90": 31.347962382446415, "p95": 31.54574132492094 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 17.452006980802626, "p90": 31.347962382444194, "p95": 31.54574132492094 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 18.020487951222464, "p90": 32.96096232902834, "p95": 43.854471392445134 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 67.82992348702277, "p90": 115.25963862808975, "p95": 129.8476386043656 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 17.391304347825766, "p90": 31.347962382447527, "p95": 31.54574132492094 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 17.452006980803738, "p90": 31.347962382446415, "p95": 31.54574132492094 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 17.513134851138147, "p90": 32.13006446654987, "p95": 46.195048395791886 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 52.72163642019156, "p90": 112.97121587608927, "p95": 128.51063582554565 } } ] } }, "20250127": { "snapshots": 32791, "security_days": 140, "spread_bp": { "count": 32791, "p50": 10.859728506787741, "p90": 26.40612622128371, "p95": 35.02626970227596 }, "bid_depth_cny": { "count": 32791, "p50": 1836476.0, "p90": 8430028.0, "p95": 16812196.0 }, "ask_depth_cny": { "count": 32791, "p50": 1220754.0, "p90": 10497647.0, "p95": 17638873.5 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 32791, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32791, "p50": 5.777007510108234, "p90": 15.152658662092033, "p95": 18.08318264014508 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9978652679088774, "coverage_fraction": { "count": 32791, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32721, "p50": 9.83284169124854, "p90": 26.113266558966952, "p95": 35.58718861210064 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.5621054557653015, "coverage_fraction": { "count": 32791, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 18432, "p50": 24.63694943221073, "p90": 64.64614993419909, "p95": 84.83153317815906 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.10743801652892562, "coverage_fraction": { "count": 32791, "p50": 0.12149445000000002, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3523, "p50": 69.14260889712808, "p90": 131.04488643272876, "p95": 169.0585378925567 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 32791, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32791, "p50": 5.730659025788842, "p90": 15.082956259426794, "p95": 18.083182640143967 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9996035497545058, "coverage_fraction": { "count": 32791, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32778, "p50": 8.968609865470656, "p90": 21.98815420510658, "p95": 29.43859037980422 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6965630813332927, "coverage_fraction": { "count": 32791, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 22841, "p50": 20.78309514087384, "p90": 49.71442848937468, "p95": 62.7699753815869 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.08490134488121741, "coverage_fraction": { "count": 32791, "p50": 0.1846564, "p90": 0.8475159000000001, "p95": 1.0 }, "full_order_cost_bp": { "count": 2784, "p50": 49.35181476883321, "p90": 88.11550842251793, "p95": 102.47683994651473 } } ], "common_full_subset": { "snapshots": 2018, "security_days": 14, "spread_bp": { "count": 2018, "p50": 34.42340791738461, "p90": 71.17437722419936, "p95": 71.68458781362013 }, "bid_depth_cny": { "count": 2018, "p50": 22548756.8, "p90": 128624628.75999999, "p95": 137702622.6 }, "ask_depth_cny": { "count": 2018, "p50": 37003788.5, "p90": 172005670.2, "p95": 224820983.3564995 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2018, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2018, "p50": 17.21170395869054, "p90": 35.58718861210064, "p95": 35.84229390680926 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2018, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2018, "p50": 17.21170395869054, "p90": 35.84229390680926, "p95": 35.84229390680926 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2018, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2018, "p50": 18.018018018017834, "p90": 36.10108303249149, "p95": 46.92558694805014 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2018, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2018, "p50": 70.18912846082803, "p90": 108.84380650775948, "p95": 133.4156391156376 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2018, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2018, "p50": 17.21170395869276, "p90": 35.587188612098416, "p95": 35.84229390680926 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2018, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2018, "p50": 17.21170395869276, "p90": 35.842293906810376, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2018, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2018, "p50": 17.889040566382295, "p90": 36.10108303249038, "p95": 43.039271070987205 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2018, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2018, "p50": 52.26389706103119, "p90": 91.34206328534377, "p95": 110.44626953405074 } } ] } }, "20260407": { "snapshots": 32861, "security_days": 142, "spread_bp": { "count": 32861, "p50": 8.179959100204323, "p90": 22.014309301047163, "p95": 29.629629629629 }, "bid_depth_cny": { "count": 32861, "p50": 1538032.0, "p90": 8697260.0, "p95": 16029546.0 }, "ask_depth_cny": { "count": 32861, "p50": 1513666.0499999998, "p90": 10066577.0, "p95": 19146139.4 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 32861, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32861, "p50": 4.406379527845949, "p90": 11.59869158878557, "p95": 15.267175572519776 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9993913757950154, "coverage_fraction": { "count": 32861, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32841, "p50": 7.2202166064982976, "p90": 17.875534745204202, "p95": 23.256454072788646 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6466023553756733, "coverage_fraction": { "count": 32861, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 21248, "p50": 16.46575306409548, "p90": 41.40970874233617, "p95": 51.38385433407408 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.099723075986732, "coverage_fraction": { "count": 32861, "p50": 0.15085125, "p90": 0.99859375, "p95": 1.0 }, "full_order_cost_bp": { "count": 3277, "p50": 43.864319890010165, "p90": 82.04232168539028, "p95": 99.74132800786383 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 32861, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32861, "p50": 4.434589800442756, "p90": 11.695906432750425, "p95": 15.267175572518665 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9984784394875384, "coverage_fraction": { "count": 32861, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32811, "p50": 7.393929294468027, "p90": 19.5758734344087, "p95": 25.726837534926215 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6396944706490977, "coverage_fraction": { "count": 32861, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 21021, "p50": 16.364090504451532, "p90": 43.13131373657298, "p95": 54.599211896745324 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.08505523264660235, "coverage_fraction": { "count": 32861, "p50": 0.15444799999999997, "p90": 0.8745626175, "p95": 1.0 }, "full_order_cost_bp": { "count": 2795, "p50": 40.58461271912006, "p90": 83.97056565598638, "p95": 98.78936296296256 } } ], "common_full_subset": { "snapshots": 2134, "security_days": 16, "spread_bp": { "count": 2134, "p50": 28.612303290414268, "p90": 72.72727272727117, "p95": 73.26007326007331 }, "bid_depth_cny": { "count": 2134, "p50": 26687533.5, "p90": 155182202.78599998, "p95": 215022731.62999997 }, "ask_depth_cny": { "count": 2134, "p50": 36933488.699999996, "p90": 131138614.61999999, "p95": 147139855.91950002 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 14.306151645204768, "p90": 36.3636363636366, "p95": 36.6300366300365 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 14.347202295552641, "p90": 36.3636363636366, "p95": 36.6300366300365 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 14.430014430015792, "p90": 36.6300366300365, "p95": 36.6300366300365 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 36.6300366300365, "p90": 68.13803842367005, "p95": 76.29631473996889 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 14.306151645208098, "p90": 36.363636363635486, "p95": 36.63003663003761 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 14.347202295554862, "p90": 36.363636363635486, "p95": 36.63003663003761 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 14.81481481481417, "p90": 36.63003663003761, "p95": 36.72465296081576 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2134, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2134, "p50": 40.83100076103574, "p90": 88.90324434078846, "p95": 101.83134181069059 } } ] } }, "20260416": { "snapshots": 32341, "security_days": 142, "spread_bp": { "count": 32341, "p50": 7.555723460521184, "p90": 21.528525296018678, "p95": 28.28854314002894 }, "bid_depth_cny": { "count": 32341, "p50": 2495603.0, "p90": 16175177.0, "p95": 35035225.0 }, "ask_depth_cny": { "count": 32341, "p50": 2657299.44, "p90": 16476207.0, "p95": 28732955.4 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 32341, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32341, "p50": 3.941663381947791, "p90": 11.223344556676729, "p95": 14.556040756914523 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9998144769796852, "coverage_fraction": { "count": 32341, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32335, "p50": 6.019628472793137, "p90": 14.871942871881776, "p95": 19.723865877712132 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.7898642589901363, "coverage_fraction": { "count": 32341, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 25545, "p50": 12.610340479193294, "p90": 30.776897158344863, "p95": 36.83341356452362 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.16517732908691754, "coverage_fraction": { "count": 32341, "p50": 0.2649645, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5342, "p50": 37.19171719875125, "p90": 96.62063012357326, "p95": 126.60167603888327 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 32341, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32341, "p50": 3.944773175544869, "p90": 11.220196353436407, "p95": 14.419203747071396 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9998763179864568, "coverage_fraction": { "count": 32341, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32337, "p50": 6.357279084551193, "p90": 15.48707028727981, "p95": 19.723865877713244 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.758232584026468, "coverage_fraction": { "count": 32341, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 24522, "p50": 12.970168612191912, "p90": 34.731755945125116, "p95": 43.14298003781794 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.17386599053832597, "coverage_fraction": { "count": 32341, "p50": 0.25061975, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5623, "p50": 34.86641709276817, "p90": 72.60462138203793, "p95": 87.65310717541666 } } ], "common_full_subset": { "snapshots": 4076, "security_days": 39, "spread_bp": { "count": 4076, "p50": 17.3761946133793, "p90": 33.16749585406379, "p95": 72.20216606498202 }, "bid_depth_cny": { "count": 4076, "p50": 22104932.0, "p90": 119090197.0, "p95": 146970387.64999998 }, "ask_depth_cny": { "count": 4076, "p50": 23046221.22, "p90": 166540533.98, "p95": 197219691.60250002 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4076, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4076, "p50": 8.703220191470518, "p90": 16.583747927032544, "p95": 36.101083032493705 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4076, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4076, "p50": 9.233610341643494, "p90": 16.638935108153063, "p95": 36.10108303249149 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4076, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4076, "p50": 11.884462788891437, "p90": 24.358741704715303, "p95": 36.10108303249149 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4076, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4076, "p50": 36.10108303249149, "p90": 74.66156581827144, "p95": 93.61943303841048 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4076, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4076, "p50": 8.703220191470518, "p90": 16.583747927031432, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4076, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4076, "p50": 9.233610341643494, "p90": 16.638935108153063, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4076, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4076, "p50": 11.33579121517625, "p90": 22.951914893616365, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4076, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4076, "p50": 34.54751281011082, "p90": 64.1197114095038, "p95": 77.55388599133938 } } ] } }, "20260424": { "snapshots": 33186, "security_days": 142, "spread_bp": { "count": 33186, "p50": 8.233841086866848, "p90": 21.52852529601836, "p95": 28.77697841726557 }, "bid_depth_cny": { "count": 33186, "p50": 2146251.0, "p90": 14655574.129999999, "p95": 24769408.5 }, "ask_depth_cny": { "count": 33186, "p50": 1589359.0, "p90": 10705332.3, "p95": 18774422.0575 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 33186, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 33186, "p50": 4.326507156613424, "p90": 12.269938650306678, "p95": 15.410012612719349 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9996685349243657, "coverage_fraction": { "count": 33186, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 33175, "p50": 7.127174174896833, "p90": 18.65995840199198, "p95": 25.058848637566687 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6554571204724884, "coverage_fraction": { "count": 33186, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 21752, "p50": 16.463610328458778, "p90": 42.29519829650275, "p95": 55.32213295447223 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.10856987886458146, "coverage_fraction": { "count": 33186, "p50": 0.15835763149999998, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3603, "p50": 43.9352953985761, "p90": 100.63055373523345, "p95": 118.91170092325005 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 33186, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 33186, "p50": 4.301075268817733, "p90": 12.23990208078285, "p95": 15.471975446149644 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9997589344904477, "coverage_fraction": { "count": 33186, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 33178, "p50": 7.047961555886051, "p90": 17.806241061668945, "p95": 23.866348448686736 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.7203338757307298, "coverage_fraction": { "count": 33186, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 23905, "p50": 14.556040756913413, "p90": 39.84063745019806, "p95": 48.64614131634526 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.15003314650756344, "coverage_fraction": { "count": 33186, "p50": 0.2152776, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4979, "p50": 39.006869209810006, "p90": 71.62589317156964, "p95": 83.35575677896473 } } ], "common_full_subset": { "snapshots": 2633, "security_days": 22, "spread_bp": { "count": 2633, "p50": 18.639328984156172, "p90": 33.72681281618965, "p95": 79.68127490039849 }, "bid_depth_cny": { "count": 2633, "p50": 26160275.0, "p90": 154539662.8, "p95": 173006162.60000005 }, "ask_depth_cny": { "count": 2633, "p50": 27077915.39, "p90": 173792813.868, "p95": 195400914.02200007 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2633, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2633, "p50": 9.319664492077884, "p90": 17.352441164157106, "p95": 39.84063745019917 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2633, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2633, "p50": 9.514747859180606, "p90": 23.866348448688957, "p95": 39.84063745019917 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2633, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2633, "p50": 12.391573729864103, "p90": 39.525691699604515, "p95": 39.9941060847149 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2633, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2633, "p50": 40.36844392523386, "p90": 86.50778994916176, "p95": 97.2407899161163 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2633, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2633, "p50": 9.319664492077884, "p90": 17.500909277069496, "p95": 39.84063745019806 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2633, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2633, "p50": 9.514747859181716, "p90": 23.866348448686736, "p95": 39.84063745019806 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2633, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2633, "p50": 12.422360248449671, "p90": 36.505111394793936, "p95": 39.84063745019806 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2633, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2633, "p50": 39.84063745019806, "p90": 71.0143201234581, "p95": 80.91795958950111 } } ] } }, "20260720": { "snapshots": 32545, "security_days": 142, "spread_bp": { "count": 32545, "p50": 14.524328249818137, "p90": 36.29105604734258, "p95": 44.74272930648872 }, "bid_depth_cny": { "count": 32545, "p50": 1094666.0, "p90": 7350802.800000003, "p95": 11336854.299999997 }, "ask_depth_cny": { "count": 32545, "p50": 956723.0, "p90": 10244324.400000008, "p95": 16881655.809999995 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 32545, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32545, "p50": 8.149959250205452, "p90": 20.490511439237753, "p95": 26.20362766195505 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.981041634659702, "coverage_fraction": { "count": 32545, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 31928, "p50": 14.120466332140369, "p90": 47.70767477038062, "p95": 64.77938207538368 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.4876325088339223, "coverage_fraction": { "count": 32545, "p50": 0.950286, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15870, "p50": 27.344156650059848, "p90": 89.334350877194, "p95": 121.45621612200482 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.10145951759102781, "coverage_fraction": { "count": 32545, "p50": 0.0950286, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3302, "p50": 61.79217340450572, "p90": 130.2362378833839, "p95": 155.94776827241475 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9998156398832386, "coverage_fraction": { "count": 32545, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32539, "p50": 7.917656373712667, "p90": 19.884510464311514, "p95": 24.826524693378754 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9946842833000461, "coverage_fraction": { "count": 32545, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 32372, "p50": 12.914158504007123, "p90": 37.126399741070244, "p95": 48.8661998250007 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.5341834383161777, "coverage_fraction": { "count": 32545, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 17385, "p50": 26.488401110889015, "p90": 69.81719859201397, "p95": 89.39063675404155 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.06145337225380243, "coverage_fraction": { "count": 32545, "p50": 0.11022620000000002, "p90": 0.7424045300000005, "p95": 1.0 }, "full_order_cost_bp": { "count": 2000, "p50": 45.95585834845206, "p90": 114.01935860113501, "p95": 131.16094600002933 } } ], "common_full_subset": { "snapshots": 1771, "security_days": 16, "spread_bp": { "count": 1771, "p50": 28.530670470755457, "p90": 91.32420091324208, "p95": 92.1658986175116 }, "bid_depth_cny": { "count": 1771, "p50": 37961040.0, "p90": 93716882.88, "p95": 105593080.80000001 }, "ask_depth_cny": { "count": 1771, "p50": 46677694.0, "p90": 215745826.5, "p95": 263829988.025 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1771, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1771, "p50": 14.265335235377208, "p90": 45.66210045662045, "p95": 46.08294930875667 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1771, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1771, "p50": 14.306151645206988, "p90": 45.66210045662045, "p95": 46.08294930875667 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1771, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1771, "p50": 16.86340640809636, "p90": 45.66210045662045, "p95": 46.51162790697549 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1771, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1771, "p50": 50.47966087866173, "p90": 104.8415113876966, "p95": 125.255600206301 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1771, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1771, "p50": 14.265335235376098, "p90": 45.66210045662156, "p95": 46.08294930875445 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1771, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1771, "p50": 14.306151645206988, "p90": 45.66210045662156, "p95": 46.08294930875445 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1771, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1771, "p50": 16.750418760470566, "p90": 46.08294930875445, "p95": 46.511627906977715 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1771, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1771, "p50": 46.08294930875445, "p90": 111.5386752362968, "p95": 126.68763929624683 } } ] } } }, "by_adv_group": { "high": { "snapshots": 115762, "security_days": 501, "spread_bp": { "count": 115762, "p50": 7.810847365914984, "p90": 24.261702941635836, "p95": 34.42340791738461 }, "bid_depth_cny": { "count": 115762, "p50": 3065155.5, "p90": 21161759.900000013, "p95": 41513552.572499976 }, "ask_depth_cny": { "count": 115762, "p50": 2321868.5, "p90": 21061944.26000003, "p95": 46294388.61949998 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 115762, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 115762, "p50": 4.206234456072266, "p90": 12.42236024844745, "p95": 17.391304347824654 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9997149323612239, "coverage_fraction": { "count": 115762, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 115729, "p50": 6.154714678059392, "p90": 17.271157167528806, "p95": 22.271714922048602 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.7752803165114631, "coverage_fraction": { "count": 115762, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 89748, "p50": 14.641288433381305, "p90": 37.507534868315844, "p95": 48.34590539088123 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.17395172854650057, "coverage_fraction": { "count": 115762, "p50": 0.23140835, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20137, "p50": 41.05893213468992, "p90": 98.08645416934247, "p95": 117.24708817370157 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9999568079335188, "coverage_fraction": { "count": 115762, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 115757, "p50": 4.184259576248683, "p90": 12.391573729862992, "p95": 17.331022530329143 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9997062939479276, "coverage_fraction": { "count": 115762, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 115728, "p50": 5.9709743848535, "p90": 16.895910149413403, "p95": 21.509353834787856 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.8352049895475199, "coverage_fraction": { "count": 115762, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 96685, "p50": 13.49429192006757, "p90": 32.67956778404457, "p95": 41.14051474702074 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.19997062939479276, "coverage_fraction": { "count": 115762, "p50": 0.3075386475, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 23149, "p50": 37.53180355630881, "p90": 84.17933663800369, "p95": 102.15342191780837 } } ], "common_full_subset": { "snapshots": 15580, "security_days": 132, "spread_bp": { "count": 15580, "p50": 20.100502512564173, "p90": 45.55808656036551, "p95": 51.948051948052 }, "bid_depth_cny": { "count": 15580, "p50": 28975460.035, "p90": 157080412.6, "p95": 213682046.72 }, "ask_depth_cny": { "count": 15580, "p50": 33755070.15, "p90": 184267294.196, "p95": 222550143.16999984 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15580, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15580, "p50": 10.070493454179541, "p90": 22.7790432801811, "p95": 25.974025974027093 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15580, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15580, "p50": 10.384215991694479, "p90": 23.319767374303304, "p95": 29.673590504450953 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15580, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15580, "p50": 14.513788098693414, "p90": 29.673590504450953, "p95": 36.10108303249149 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15580, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15580, "p50": 40.875398263215956, "p90": 98.01614513805302, "p95": 117.18170368313949 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15580, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15580, "p50": 10.070493454179541, "p90": 22.77904328018332, "p95": 26.016127286423757 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15580, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15580, "p50": 10.449320794148065, "p90": 23.866348448686736, "p95": 29.673590504452065 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15580, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15580, "p50": 14.556040756913413, "p90": 28.83509767031523, "p95": 35.842293906810376 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15580, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15580, "p50": 36.70856513596388, "p90": 86.08072732511796, "p95": 103.54357524309066 } } ] } }, "low": { "snapshots": 87180, "security_days": 372, "spread_bp": { "count": 87180, "p50": 14.336917562724983, "p90": 30.3490136570555, "p95": 35.65062388591883 }, "bid_depth_cny": { "count": 87180, "p50": 906929.18, "p90": 3495835.4, "p95": 4675702.675000002 }, "ask_depth_cny": { "count": 87180, "p50": 830205.0, "p90": 3657652.8000000003, "p95": 4831052.201 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 87180, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 87180, "p50": 8.382229673091768, "p90": 17.075491169173517, "p95": 21.8098636898867 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9925212204634091, "coverage_fraction": { "count": 87180, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 86528, "p50": 14.217957173974227, "p90": 40.1441191333789, "p95": 54.81870937322019 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.43563890800642346, "coverage_fraction": { "count": 87180, "p50": 0.8249774000000001, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 37979, "p50": 37.956043956046685, "p90": 89.69711259834413, "p95": 113.43815086089324 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.006607019958706125, "coverage_fraction": { "count": 87180, "p50": 0.08249774, "p90": 0.3624742600000001, "p95": 0.4795532925000001 }, "full_order_cost_bp": { "count": 576, "p50": 134.4924750888532, "p90": 198.4189662172131, "p95": 208.949537172059 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9999885294792383, "coverage_fraction": { "count": 87180, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 87179, "p50": 8.244023083264773, "p90": 16.613647799637473, "p95": 21.100039760280517 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9972929571002523, "coverage_fraction": { "count": 87180, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 86944, "p50": 13.311815817199646, "p90": 33.44584235466008, "p95": 43.44799766234896 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.46730901582931866, "coverage_fraction": { "count": 87180, "p50": 0.9129051049999999, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 40740, "p50": 36.82455504254112, "p90": 77.44688951775721, "p95": 93.58163179155743 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.004072034870383116, "coverage_fraction": { "count": 87180, "p50": 0.09129051049999999, "p90": 0.35235645750000005, "p95": 0.4718176647750001 }, "full_order_cost_bp": { "count": 355, "p50": 73.8486723973264, "p90": 140.13862913907204, "p95": 154.84664130983091 } } ], "common_full_subset": { "snapshots": 16, "security_days": 2, "spread_bp": { "count": 16, "p50": 18.6046511627903, "p90": 18.6046511627903, "p95": 23.776671083290946 }, "bid_depth_cny": { "count": 16, "p50": 10754754.4, "p90": 11893724.4, "p95": 12035890.9 }, "ask_depth_cny": { "count": 16, "p50": 10569817.0, "p90": 10858715.0, "p95": 11402863.45 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 16, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 16, "p50": 9.302325581395099, "p90": 9.302325581395099, "p95": 11.888335541645478 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 16, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 16, "p50": 9.302325581395099, "p90": 14.474345501895858, "p95": 19.96151825284398 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 16, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 16, "p50": 11.511976744187358, "p90": 18.641671083291513, "p95": 21.53651825284375 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 16, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 16, "p50": 54.050056976744365, "p90": 59.38365930232558, "p95": 69.13890607438245 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 16, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 16, "p50": 9.302325581395099, "p90": 9.302325581395099, "p95": 11.888335541645478 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 16, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 16, "p50": 9.302325581395099, "p90": 9.302325581395099, "p95": 11.888335541645478 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 16, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 16, "p50": 15.791064973764145, "p90": 20.896976744185782, "p95": 21.484476744186022 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 16, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 16, "p50": 63.84988273325898, "p90": 69.4327938960504, "p95": 96.17479706557714 } } ] } }, "middle": { "snapshots": 101060, "security_days": 433, "spread_bp": { "count": 101060, "p50": 11.940298507464554, "p90": 27.569475086507307, "p95": 35.90664272890567 }, "bid_depth_cny": { "count": 101060, "p50": 1718020.0, "p90": 8632625.500000002, "p95": 12501715.099999985 }, "ask_depth_cny": { "count": 101060, "p50": 1480934.5, "p90": 9610773.4, "p95": 13848348.405999998 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 101060, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 101060, "p50": 6.514657980456473, "p90": 14.727540500736325, "p95": 19.5377686323059 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9971601029091629, "coverage_fraction": { "count": 101060, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 100773, "p50": 9.813542688910104, "p90": 25.190132096657436, "p95": 34.74298559388877 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6118246586186424, "coverage_fraction": { "count": 101060, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 61831, "p50": 25.122467270897175, "p90": 59.30932938855938, "p95": 73.74358004561321 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.09163863051652484, "coverage_fraction": { "count": 101060, "p50": 0.147269725, "p90": 0.9514086810000001, "p95": 1.0 }, "full_order_cost_bp": { "count": 9261, "p50": 68.12914550810012, "p90": 134.45958014209447, "p95": 162.08547368421034 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9999901048881852, "coverage_fraction": { "count": 101060, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 101059, "p50": 6.4683053040104355, "p90": 14.545795517223898, "p95": 19.475818862877862 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.999455768850188, "coverage_fraction": { "count": 101060, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 101005, "p50": 9.233610341643494, "p90": 22.403871589531843, "p95": 29.224973294828395 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.681130021769246, "coverage_fraction": { "count": 101060, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 68835, "p50": 23.866348448686736, "p90": 51.01652173913007, "p95": 61.67517554003376 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.07931921630714427, "coverage_fraction": { "count": 101060, "p50": 0.17258344199999998, "p90": 0.8711855260000002, "p95": 1.0 }, "full_order_cost_bp": { "count": 8016, "p50": 58.175779235206114, "p90": 111.72711316670525, "p95": 133.55053923909065 } } ], "common_full_subset": { "snapshots": 5113, "security_days": 44, "spread_bp": { "count": 5113, "p50": 26.281208935611645, "p90": 73.80073800738015, "p95": 80.97165991902843 }, "bid_depth_cny": { "count": 5113, "p50": 15072951.0, "p90": 39204429.6, "p95": 53965199.599999994 }, "ask_depth_cny": { "count": 5113, "p50": 17340549.0, "p90": 54991827.800000004, "p95": 66978150.28599999 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5113, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5113, "p50": 14.064697609004195, "p90": 36.90036900369176, "p95": 40.48582995951566 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5113, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5113, "p50": 14.144271570013522, "p90": 36.90036900369176, "p95": 40.48582995951566 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5113, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5113, "p50": 17.889087656528524, "p90": 39.84063745019917, "p95": 45.66210045662045 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5113, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5113, "p50": 60.89723781011802, "p90": 100.38186234444346, "p95": 119.00506125933748 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5113, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5113, "p50": 13.404825737266535, "p90": 36.90036900368732, "p95": 40.48582995951344 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5113, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5113, "p50": 14.104372355430161, "p90": 36.90036900368953, "p95": 40.48582995951344 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5113, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5113, "p50": 16.33796238244445, "p90": 39.8600318071305, "p95": 45.66210045662156 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5113, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5113, "p50": 59.8179277108446, "p90": 112.58318147377256, "p95": 129.81014431302967 } } ] } }, "unavailable": { "snapshots": 2481, "security_days": 11, "spread_bp": { "count": 2481, "p50": 5.270092226614789, "p90": 17.559262510974165, "p95": 23.894862604540364 }, "bid_depth_cny": { "count": 2481, "p50": 938282.0, "p90": 3562518.36, "p95": 4603494.0 }, "ask_depth_cny": { "count": 2481, "p50": 703732.0, "p90": 2269456.88, "p95": 3143473.0 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2481, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2481, "p50": 2.9542097488910457, "p90": 10.06036217303885, "p95": 14.485755673585565 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9983877468762595, "coverage_fraction": { "count": 2481, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2477, "p50": 6.993014426726063, "p90": 22.44137601536833, "p95": 32.047119122264874 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.33413945989520355, "coverage_fraction": { "count": 2481, "p50": 0.7014014999999999, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 829, "p50": 16.145969400551685, "p90": 37.91046924573616, "p95": 47.283792707511374 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.0008061265618702137, "coverage_fraction": { "count": 2481, "p50": 0.07014015, "p90": 0.22647694799999998, "p95": 0.313677 }, "full_order_cost_bp": { "count": 2, "p50": 25.959425507308122, "p90": 32.34472742950279, "p95": 33.14289016977712 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2481, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2481, "p50": 2.9524653085344355, "p90": 9.88630746416197, "p95": 14.333492594362784 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2481, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2481, "p50": 6.351109410863698, "p90": 19.775736961451518, "p95": 27.277106139932393 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.4655380894800484, "coverage_fraction": { "count": 2481, "p50": 0.94076, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1155, "p50": 15.957257159728844, "p90": 36.428573170429495, "p95": 45.80028539735505 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.0, "coverage_fraction": { "count": 2481, "p50": 0.09407599999999999, "p90": 0.35745631899999997, "p95": 0.46167800000000003 }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } } ], "common_full_subset": { "snapshots": 0, "security_days": 0, "spread_bp": { "count": 0, "p50": null, "p90": null, "p95": null }, "bid_depth_cny": { "count": 0, "p50": null, "p90": null, "p95": null }, "ask_depth_cny": { "count": 0, "p50": null, "p90": null, "p95": null }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } } ] } } }, "by_cap_group": { "high": { "snapshots": 108463, "security_days": 465, "spread_bp": { "count": 108463, "p50": 8.240626287597681, "p90": 22.56293513740913, "p95": 29.542097488922398 }, "bid_depth_cny": { "count": 108463, "p50": 3494530.85, "p90": 19777523.44800001, "p95": 45156200.59599981 }, "ask_depth_cny": { "count": 108463, "p50": 2762057.0, "p90": 18843958.4, "p95": 48179704.14999995 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 108463, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 108463, "p50": 4.380201489269098, "p90": 11.771392081736387, "p95": 15.267175572519776 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9994929146344836, "coverage_fraction": { "count": 108463, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 108408, "p50": 6.545752084509138, "p90": 16.29346856058489, "p95": 19.892139756566 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.7982353429280031, "coverage_fraction": { "count": 108463, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 86579, "p50": 13.7788757807078, "p90": 34.210327006456424, "p95": 43.81104018017343 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.1954122604021648, "coverage_fraction": { "count": 108463, "p50": 0.2752179, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 21195, "p50": 41.7342349420835, "p90": 84.43156499254468, "p95": 95.47272838151441 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9999907802660816, "coverage_fraction": { "count": 108463, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 108462, "p50": 4.36871996505106, "p90": 11.723329425556983, "p95": 15.267175572518665 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.999769506652038, "coverage_fraction": { "count": 108463, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 108438, "p50": 6.373486297004405, "p90": 15.338484313744516, "p95": 18.683301659299683 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.8492757899007035, "coverage_fraction": { "count": 108463, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 92115, "p50": 12.755224274406674, "p90": 30.225689559030712, "p95": 37.85131421975452 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.21131630141154126, "coverage_fraction": { "count": 108463, "p50": 0.35059855, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 22920, "p50": 36.88511520277604, "p90": 72.303870711396, "p95": 88.07675378028445 } } ], "common_full_subset": { "snapshots": 15057, "security_days": 132, "spread_bp": { "count": 15057, "p50": 18.674136321196404, "p90": 35.02626970227596, "p95": 36.42987249544549 }, "bid_depth_cny": { "count": 15057, "p50": 27978477.57, "p90": 158859262.19999996, "p95": 215740959.83599994 }, "ask_depth_cny": { "count": 15057, "p50": 28160217.439999998, "p90": 186297852.29999995, "p95": 224853972.69199994 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15057, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15057, "p50": 9.3545369504211, "p90": 17.513134851137035, "p95": 18.28153564899404 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15057, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15057, "p50": 9.813542688910104, "p90": 17.748460680611977, "p95": 22.7790432801811 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15057, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15057, "p50": 12.642225031604948, "p90": 23.980815347721673, "p95": 28.676495552031774 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15057, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15057, "p50": 39.18053176100722, "p90": 81.52655669728712, "p95": 92.13116884421963 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15057, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15057, "p50": 9.3545369504211, "p90": 17.513134851135923, "p95": 18.28153564899626 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15057, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15057, "p50": 9.813542688910104, "p90": 17.69911504424848, "p95": 22.77904328018332 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15057, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15057, "p50": 12.422360248449671, "p90": 23.980815347721673, "p95": 27.751831752636843 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 15057, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 15057, "p50": 34.89835785007056, "p90": 71.80401514822444, "p95": 88.57223173192438 } } ] } }, "low": { "snapshots": 83301, "security_days": 358, "spread_bp": { "count": 83301, "p50": 11.911852293031314, "p90": 29.14035939776701, "p95": 38.68471953578254 }, "bid_depth_cny": { "count": 83301, "p50": 797047.0, "p90": 3008387.0, "p95": 4397821.0 }, "ask_depth_cny": { "count": 83301, "p50": 717227.78, "p90": 3120497.2, "p95": 5050533.53 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 83301, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 83301, "p50": 6.894966674328984, "p90": 17.601565718994294, "p95": 21.69197396963307 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9924250609236384, "coverage_fraction": { "count": 83301, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 82670, "p50": 13.4611668298934, "p90": 40.086294441886515, "p95": 55.44840614438863 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.3653017370739847, "coverage_fraction": { "count": 83301, "p50": 0.7131924999999999, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 30430, "p50": 34.79416999124685, "p90": 87.3503358280423, "p95": 112.91939445930632 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.011380415601253286, "coverage_fraction": { "count": 83301, "p50": 0.07131924999999999, "p90": 0.309335949, "p95": 0.5002862499999999 }, "full_order_cost_bp": { "count": 948, "p50": 136.9354373721776, "p90": 204.88233382663836, "p95": 223.09473411391411 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9999519813687711, "coverage_fraction": { "count": 83301, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 83297, "p50": 6.756756756758353, "p90": 17.21170395869276, "p95": 21.23142250530785 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9972989519933735, "coverage_fraction": { "count": 83301, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 83076, "p50": 12.659750789593138, "p90": 32.987769492624494, "p95": 43.239202965708046 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.40412480042256393, "coverage_fraction": { "count": 83301, "p50": 0.8012235000000001, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 33664, "p50": 34.944410870204614, "p90": 76.65645869005756, "p95": 93.41516683678579 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.004537760651132639, "coverage_fraction": { "count": 83301, "p50": 0.08012235000000001, "p90": 0.3029448345, "p95": 0.44364385 }, "full_order_cost_bp": { "count": 378, "p50": 143.63382236680712, "p90": 196.0426873786424, "p95": 204.74371997531026 } } ], "common_full_subset": { "snapshots": 110, "security_days": 5, "spread_bp": { "count": 110, "p50": 33.16749585406379, "p90": 47.7326968973758, "p95": 47.7326968973758 }, "bid_depth_cny": { "count": 110, "p50": 10367026.1, "p90": 12197653.250000002, "p95": 12697223.649999999 }, "ask_depth_cny": { "count": 110, "p50": 12792860.9, "p90": 18542869.900000002, "p95": 19073926.95 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 110, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 110, "p50": 16.583747927032544, "p90": 23.866348448688957, "p95": 23.866348448688957 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 110, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 110, "p50": 16.583747927032544, "p90": 23.866348448688957, "p95": 23.866348448688957 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 110, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 110, "p50": 16.81026239326755, "p90": 37.7135321637434, "p95": 41.14053216374202 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 110, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 110, "p50": 108.27672673031086, "p90": 173.94207075953696, "p95": 182.2451647595361 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 110, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 110, "p50": 16.583747927031432, "p90": 23.866348448686736, "p95": 23.866348448686736 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 110, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 110, "p50": 16.583747927031432, "p90": 23.866348448686736, "p95": 34.3151371919888 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 110, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 110, "p50": 16.638935108153063, "p90": 50.29708900062547, "p95": 54.76541759608321 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 110, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 110, "p50": 122.60048883425301, "p90": 188.0590970039628, "p95": 205.19617052505944 } } ] } }, "middle": { "snapshots": 114719, "security_days": 494, "spread_bp": { "count": 114719, "p50": 12.399256044637054, "p90": 30.441400304414703, "p95": 39.29273084479288 }, "bid_depth_cny": { "count": 114719, "p50": 1799967.6, "p90": 7602025.199999998, "p95": 12889590.899999984 }, "ask_depth_cny": { "count": 114719, "p50": 1546754.0, "p90": 7282412.591999998, "p95": 12803931.593999993 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 114719, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 114719, "p50": 6.813455657490586, "p90": 16.103059581320522, "p95": 21.18696895170853 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9974720839616803, "coverage_fraction": { "count": 114719, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 114429, "p50": 10.403421569760152, "p90": 27.13031061690607, "p95": 36.093892171644704 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6396324933097395, "coverage_fraction": { "count": 114719, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 73378, "p50": 28.776565579853308, "p90": 65.88661439922782, "p95": 80.37496650047837 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.06827988389020127, "coverage_fraction": { "count": 114719, "p50": 0.1537464, "p90": 0.7214456599999998, "p95": 1.0 }, "full_order_cost_bp": { "count": 7833, "p50": 83.04088372092843, "p90": 151.43792149578505, "p95": 174.77068133136916 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9999825660962874, "coverage_fraction": { "count": 114719, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 114717, "p50": 6.761325219742931, "p90": 15.999999999999348, "p95": 20.770754862120093 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9993462286107794, "coverage_fraction": { "count": 114719, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 114644, "p50": 9.83284169124854, "p90": 24.265011357826214, "p95": 31.495579135450914 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.7116170817388575, "coverage_fraction": { "count": 114719, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 81636, "p50": 26.194451328243606, "p90": 55.246536337558716, "p95": 66.82685937704463 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.07167077816229221, "coverage_fraction": { "count": 114719, "p50": 0.18099440000000003, "p90": 0.7674843407999999, "p95": 1.0 }, "full_order_cost_bp": { "count": 8222, "p50": 66.95502089889948, "p90": 115.71165817045903, "p95": 133.12897615621233 } } ], "common_full_subset": { "snapshots": 5542, "security_days": 41, "spread_bp": { "count": 5542, "p50": 43.95604395604302, "p90": 73.26007326007331, "p95": 80.97165991902843 }, "bid_depth_cny": { "count": 5542, "p50": 21888896.0, "p90": 42007371.40000003, "p95": 53390230.099999994 }, "ask_depth_cny": { "count": 5542, "p50": 29640840.700000003, "p90": 58514334.430000015, "p95": 68681408.13449998 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5542, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5542, "p50": 22.075055187640302, "p90": 36.6300366300365, "p95": 40.48582995951566 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5542, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5542, "p50": 22.075055187640302, "p90": 37.17472118959009, "p95": 45.66210045662045 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5542, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5542, "p50": 25.839793281652312, "p90": 45.66210045662045, "p95": 49.80116980524417 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5542, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5542, "p50": 76.10131742420423, "p90": 135.88405473098416, "p95": 157.30592060687988 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5542, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5542, "p50": 22.07505518763697, "p90": 36.63003663003761, "p95": 40.48582995951344 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5542, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5542, "p50": 22.07505518763697, "p90": 36.90036900368953, "p95": 45.66210045662156 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5542, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5542, "p50": 24.785579375612432, "p90": 45.34654404363792, "p95": 48.81244838377446 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5542, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5542, "p50": 70.90458527637233, "p90": 120.8578092485442, "p95": 138.7602205269907 } } ] } } }, "by_volatility_group": { "high": { "snapshots": 94805, "security_days": 415, "spread_bp": { "count": 94805, "p50": 9.280742459396556, "p90": 26.549252379165985, "p95": 38.68471953578254 }, "bid_depth_cny": { "count": 94805, "p50": 1560080.0, "p90": 7408418.946000006, "p95": 12755588.400000002 }, "ask_depth_cny": { "count": 94805, "p50": 1295160.0, "p90": 6911389.0, "p95": 11533984.000000022 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 94805, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 94805, "p50": 5.012531328318914, "p90": 15.07864122978078, "p95": 20.106129066106444 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9986709561731976, "coverage_fraction": { "count": 94805, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 94679, "p50": 8.554319931566301, "p90": 25.116291736029247, "p95": 35.10772076142985 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.595137387268604, "coverage_fraction": { "count": 94805, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 56422, "p50": 20.758534321115853, "p90": 60.9620873331398, "p95": 82.05090453527383 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.06215916882020991, "coverage_fraction": { "count": 94805, "p50": 0.12886688, "p90": 0.6844248856000003, "p95": 1.0 }, "full_order_cost_bp": { "count": 5893, "p50": 70.56224272547374, "p90": 145.290781227438, "p95": 177.9671002595648 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9999367121987237, "coverage_fraction": { "count": 94805, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 94799, "p50": 5.007511266899023, "p90": 14.863474920034479, "p95": 19.960079840318777 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9993038341859607, "coverage_fraction": { "count": 94805, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 94739, "p50": 7.992899408283405, "p90": 22.6550232149203, "p95": 30.37494213527823 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6674120563261431, "coverage_fraction": { "count": 94805, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 63274, "p50": 19.595031127012664, "p90": 51.402709126821215, "p95": 67.17843672012508 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.06975370497336639, "coverage_fraction": { "count": 94805, "p50": 0.15670935, "p90": 0.7458493560000006, "p95": 1.0 }, "full_order_cost_bp": { "count": 6613, "p50": 53.38603490401495, "p90": 117.73363722959208, "p95": 143.14631492293398 } } ], "common_full_subset": { "snapshots": 4072, "security_days": 47, "spread_bp": { "count": 4072, "p50": 25.15723270440198, "p90": 59.34718100890213, "p95": 71.17437722419936 }, "bid_depth_cny": { "count": 4072, "p50": 21497436.05, "p90": 36061833.1, "p95": 47842293.94999999 }, "ask_depth_cny": { "count": 4072, "p50": 21959542.9, "p90": 44362869.87, "p95": 52032036.26 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4072, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4072, "p50": 12.578616352201255, "p90": 29.673590504450953, "p95": 35.84229390680926 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4072, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4072, "p50": 12.578616352199035, "p90": 30.030030030030463, "p95": 35.84229390680926 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4072, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4072, "p50": 17.271157167528806, "p90": 36.10108303249149, "p95": 47.205011678355966 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4072, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4072, "p50": 74.72906279343495, "p90": 135.74404402041208, "p95": 159.1094479359596 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4072, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4072, "p50": 12.578616352202365, "p90": 29.673590504450953, "p95": 35.84229390680926 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4072, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4072, "p50": 12.578616352200145, "p90": 30.030030030030463, "p95": 35.842293906810376 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4072, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4072, "p50": 17.331022530329143, "p90": 35.842293906810376, "p95": 42.04640639419887 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4072, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4072, "p50": 57.14772261918132, "p90": 112.15942257574329, "p95": 135.29625421651852 } } ] } }, "low": { "snapshots": 106269, "security_days": 450, "spread_bp": { "count": 106269, "p50": 13.342228152101116, "p90": 28.612303290414268, "p95": 34.542314335059714 }, "bid_depth_cny": { "count": 106269, "p50": 2457534.0, "p90": 15573666.943999993, "p95": 34637531.84799975 }, "ask_depth_cny": { "count": 106269, "p50": 2263388.9, "p90": 15581712.759999992, "p95": 44334298.79999981 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 106269, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 106269, "p50": 6.968641114981633, "p90": 15.552099533440167, "p95": 18.264840182649067 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9973369468048067, "coverage_fraction": { "count": 106269, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 105986, "p50": 9.26784059314345, "p90": 25.706940874035134, "p95": 36.10108303249149 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.702801381400032, "coverage_fraction": { "count": 106269, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 74686, "p50": 19.56947162426781, "p90": 50.82855783067552, "p95": 64.83605310374784 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.15948206908882176, "coverage_fraction": { "count": 106269, "p50": 0.2250885, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 16948, "p50": 46.78922264989893, "p90": 95.28783568445469, "p95": 112.8016020111346 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 106269, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 106269, "p50": 6.93962526023606, "p90": 15.339895424837824, "p95": 18.167006203860787 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9991530926234368, "coverage_fraction": { "count": 106269, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 106179, "p50": 8.968609865470656, "p90": 23.007203336235623, "p95": 30.53548513414827 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.74688761539113, "coverage_fraction": { "count": 106269, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 79371, "p50": 18.25124567474079, "p90": 47.37994431185388, "p95": 58.87794275474978 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.17019074236136597, "coverage_fraction": { "count": 106269, "p50": 0.24698939999999997, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 18086, "p50": 41.56416989183897, "p90": 79.327799882557, "p95": 96.2935247217675 } } ], "common_full_subset": { "snapshots": 12291, "security_days": 87, "spread_bp": { "count": 12291, "p50": 20.060180541624444, "p90": 48.19277108433845, "p95": 72.20216606498202 }, "bid_depth_cny": { "count": 12291, "p50": 27422384.0, "p90": 174847611.0, "p95": 225925236.44 }, "ask_depth_cny": { "count": 12291, "p50": 29448915.94, "p90": 198098269.13, "p95": 235858320.435 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 12291, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 12291, "p50": 10.070493454179541, "p90": 24.096385542167198, "p95": 36.101083032493705 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 12291, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 12291, "p50": 11.851072961373, "p90": 25.062656641603454, "p95": 36.10108303249149 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 12291, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 12291, "p50": 14.265335235377208, "p90": 30.65664712778471, "p95": 36.6300366300365 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 12291, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 12291, "p50": 40.39204433077481, "p90": 84.80381914081292, "p95": 95.72469662105675 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 12291, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 12291, "p50": 10.070493454179541, "p90": 24.09638554217053, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 12291, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 12291, "p50": 11.723329425556983, "p90": 25.062656641604562, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 12291, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 12291, "p50": 14.144271570014633, "p90": 29.851209465382446, "p95": 36.63003663003761 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 12291, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 12291, "p50": 38.55092771084201, "p90": 77.28805882353029, "p95": 95.4656587965419 } } ] } }, "middle": { "snapshots": 102928, "security_days": 441, "spread_bp": { "count": 102928, "p50": 10.793308148947423, "p90": 26.983756512632795, "p95": 34.18803418803498 }, "bid_depth_cny": { "count": 102928, "p50": 1447627.0, "p90": 7389822.437000001, "p95": 12109708.64999999 }, "ask_depth_cny": { "count": 102928, "p50": 1259820.5, "p90": 7220168.050000001, "p95": 13622914.122499978 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 102928, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 102928, "p50": 6.033325345300433, "p90": 15.183300064971494, "p95": 19.337005649718154 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9945301570029536, "coverage_fraction": { "count": 102928, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 102365, "p50": 10.02096774193717, "p90": 29.749830276629933, "p95": 40.5519788049946 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.5678726877040261, "coverage_fraction": { "count": 102928, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 58450, "p50": 23.9547205311319, "p90": 66.41867777722818, "p95": 83.26068826000864 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.06930087051142546, "coverage_fraction": { "count": 102928, "p50": 0.12531827099999998, "p90": 0.7164198450000003, "p95": 1.0 }, "full_order_cost_bp": { "count": 7133, "p50": 53.18335167206145, "p90": 124.01018443431025, "p95": 151.6560888629752 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9999902844706979, "coverage_fraction": { "count": 102928, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 102927, "p50": 5.945303210465047, "p90": 14.9111297025475, "p95": 18.761726078798667 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9983580755479559, "coverage_fraction": { "count": 102928, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 102759, "p50": 9.624639076034613, "p90": 25.900462707138637, "p95": 34.35687522232078 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.618053396549044, "coverage_fraction": { "count": 102928, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 63615, "p50": 22.479440914866533, "p90": 55.78552601204301, "p95": 69.94465890576303 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.06626962536919011, "coverage_fraction": { "count": 102928, "p50": 0.14550675, "p90": 0.74352200325, "p95": 1.0 }, "full_order_cost_bp": { "count": 6821, "p50": 43.50042818361155, "p90": 101.8376915104735, "p95": 116.76131108930288 } } ], "common_full_subset": { "snapshots": 4346, "security_days": 44, "spread_bp": { "count": 4346, "p50": 28.860028860029526, "p90": 62.69592476489033, "p95": 91.32420091324208 }, "bid_depth_cny": { "count": 4346, "p50": 28838713.799999997, "p90": 57359602.0, "p95": 83715625.25 }, "ask_depth_cny": { "count": 4346, "p50": 33799623.025, "p90": 59461664.5, "p95": 67532146.25 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4346, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4346, "p50": 14.430014430015792, "p90": 31.347962382446415, "p95": 45.66210045662045 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4346, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4346, "p50": 14.430014430015792, "p90": 31.347962382444194, "p95": 45.66210045662045 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4346, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4346, "p50": 14.727540500736325, "p90": 37.074253375343204, "p95": 46.08294930875667 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4346, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4346, "p50": 48.15977254608251, "p90": 97.80558653402105, "p95": 121.96375480624411 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4346, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4346, "p50": 14.430014430013571, "p90": 31.347962382447527, "p95": 45.66210045662156 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4346, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4346, "p50": 14.430014430013571, "p90": 31.347962382446415, "p95": 45.66210045662156 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4346, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4346, "p50": 15.06248301856472, "p90": 42.15761527531836, "p95": 46.511627906977715 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 4346, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4346, "p50": 46.08294930875445, "p90": 109.49066981544465, "p95": 125.34598948474556 } } ] } }, "unavailable": { "snapshots": 2481, "security_days": 11, "spread_bp": { "count": 2481, "p50": 5.270092226614789, "p90": 17.559262510974165, "p95": 23.894862604540364 }, "bid_depth_cny": { "count": 2481, "p50": 938282.0, "p90": 3562518.36, "p95": 4603494.0 }, "ask_depth_cny": { "count": 2481, "p50": 703732.0, "p90": 2269456.88, "p95": 3143473.0 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2481, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2481, "p50": 2.9542097488910457, "p90": 10.06036217303885, "p95": 14.485755673585565 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9983877468762595, "coverage_fraction": { "count": 2481, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2477, "p50": 6.993014426726063, "p90": 22.44137601536833, "p95": 32.047119122264874 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.33413945989520355, "coverage_fraction": { "count": 2481, "p50": 0.7014014999999999, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 829, "p50": 16.145969400551685, "p90": 37.91046924573616, "p95": 47.283792707511374 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.0008061265618702137, "coverage_fraction": { "count": 2481, "p50": 0.07014015, "p90": 0.22647694799999998, "p95": 0.313677 }, "full_order_cost_bp": { "count": 2, "p50": 25.959425507308122, "p90": 32.34472742950279, "p95": 33.14289016977712 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2481, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2481, "p50": 2.9524653085344355, "p90": 9.88630746416197, "p95": 14.333492594362784 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 2481, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2481, "p50": 6.351109410863698, "p90": 19.775736961451518, "p95": 27.277106139932393 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.4655380894800484, "coverage_fraction": { "count": 2481, "p50": 0.94076, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1155, "p50": 15.957257159728844, "p90": 36.428573170429495, "p95": 45.80028539735505 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.0, "coverage_fraction": { "count": 2481, "p50": 0.09407599999999999, "p90": 0.35745631899999997, "p95": 0.46167800000000003 }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } } ], "common_full_subset": { "snapshots": 0, "security_days": 0, "spread_bp": { "count": 0, "p50": null, "p90": null, "p95": null }, "bid_depth_cny": { "count": 0, "p50": null, "p90": null, "p95": null }, "ask_depth_cny": { "count": 0, "p50": null, "p90": null, "p95": null }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": null, "coverage_fraction": { "count": 0, "p50": null, "p90": null, "p95": null }, "full_order_cost_bp": { "count": 0, "p50": null, "p90": null, "p95": null } } ] } } }, "by_time_bucket": { "early_afternoon": { "snapshots": 77611, "security_days": 1299, "spread_bp": { "count": 77611, "p50": 10.735373054213404, "p90": 26.59574468085168, "p95": 34.66204506065938 }, "bid_depth_cny": { "count": 77611, "p50": 1859984.0, "p90": 10695058.0, "p95": 20005568.5 }, "ask_depth_cny": { "count": 77611, "p50": 1439396.0, "p90": 9927356.0, "p95": 19057862.78 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 77611, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 77611, "p50": 5.837711617044938, "p90": 14.858841010398915, "p95": 18.94157640985106 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.995606292922395, "coverage_fraction": { "count": 77611, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 77270, "p50": 9.223598714460657, "p90": 26.702482008570396, "p95": 36.78959206765221 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.607066008684336, "coverage_fraction": { "count": 77611, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 47115, "p50": 21.71022140221357, "p90": 60.34312557286814, "p95": 79.052045704584 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.09788560899872441, "coverage_fraction": { "count": 77611, "p50": 0.143300904, "p90": 0.9807794874999999, "p95": 1.0 }, "full_order_cost_bp": { "count": 7597, "p50": 56.16642710795983, "p90": 120.057705609252, "p95": 144.96134782608604 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9999355761425571, "coverage_fraction": { "count": 77611, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 77606, "p50": 5.743825387709567, "p90": 14.567442727695944, "p95": 18.14882032667886 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9990207573668681, "coverage_fraction": { "count": 77611, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 77535, "p50": 8.673026886383273, "p90": 22.206595911200782, "p95": 29.47094507586324 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6944505289198696, "coverage_fraction": { "count": 77611, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 53897, "p50": 19.60086491739399, "p90": 48.75343346418393, "p95": 60.347848053682306 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.10963652059630723, "coverage_fraction": { "count": 77611, "p50": 0.18688049999999998, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 8509, "p50": 41.61221486643329, "p90": 88.60991785573113, "p95": 107.30994804808763 } } ], "common_full_subset": { "snapshots": 5408, "security_days": 121, "spread_bp": { "count": 5408, "p50": 24.539877300612975, "p90": 51.67958656330754, "p95": 72.20216606498202 }, "bid_depth_cny": { "count": 5408, "p50": 25365396.5, "p90": 154864287.70000002, "p95": 203380001.3174999 }, "ask_depth_cny": { "count": 5408, "p50": 29150345.53, "p90": 169830494.70000002, "p95": 213204132.27549994 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5408, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5408, "p50": 12.269938650306678, "p90": 25.839793281652312, "p95": 36.101083032493705 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5408, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5408, "p50": 12.330456226881115, "p90": 26.165067345081525, "p95": 36.10108303249149 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5408, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5408, "p50": 15.361900698555031, "p90": 35.229133818207586, "p95": 40.16064257027941 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5408, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5408, "p50": 51.702711738619286, "p90": 103.00835317550683, "p95": 115.78586218252168 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5408, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5408, "p50": 12.269938650306678, "p90": 25.83979328165342, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5408, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5408, "p50": 12.330456226880004, "p90": 25.974025974024872, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5408, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5408, "p50": 14.81481481481417, "p90": 34.971232316556076, "p95": 40.326967625899115 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5408, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5408, "p50": 41.6580686749457, "p90": 90.27123793434122, "p95": 107.86578253223794 } } ] } }, "late_afternoon": { "snapshots": 73432, "security_days": 1298, "spread_bp": { "count": 73432, "p50": 10.700909577313846, "p90": 26.990553306342203, "p95": 34.90401396160639 }, "bid_depth_cny": { "count": 73432, "p50": 1894585.0, "p90": 11064805.800000014, "p95": 19687831.82299998 }, "ask_depth_cny": { "count": 73432, "p50": 1791160.5, "p90": 11299791.7, "p95": 21215081.725999966 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 73432, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 73432, "p50": 5.743825387709567, "p90": 15.082956259424574, "p95": 19.308553456634492 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9978619675345898, "coverage_fraction": { "count": 73432, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 73275, "p50": 8.489962223421355, "p90": 25.356669493980668, "p95": 36.02376100237082 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6655681446780695, "coverage_fraction": { "count": 73432, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 48874, "p50": 17.452006980802626, "p90": 51.14154938497192, "p95": 69.21905494498425 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.11572611395576861, "coverage_fraction": { "count": 73432, "p50": 0.1782299115, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 8498, "p50": 43.66258397702216, "p90": 102.37865001913505, "p95": 135.6023189254669 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 0.9999727639176381, "coverage_fraction": { "count": 73432, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 73430, "p50": 5.702067115158638, "p90": 14.858841010402246, "p95": 18.691588785045845 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9990331190761521, "coverage_fraction": { "count": 73432, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 73361, "p50": 8.346035924231554, "p90": 22.842128603104417, "p95": 30.651243781094628 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.690788756945201, "coverage_fraction": { "count": 73432, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 50726, "p50": 17.513134851138147, "p90": 46.75195013020994, "p95": 60.06190925430616 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.11512692014380652, "coverage_fraction": { "count": 73432, "p50": 0.19032395, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 8454, "p50": 41.537449156549556, "p90": 87.3129348834859, "p95": 105.6181455005391 } } ], "common_full_subset": { "snapshots": 5943, "security_days": 156, "spread_bp": { "count": 5943, "p50": 19.980019980019556, "p90": 48.899755501221456, "p95": 63.09148264984233 }, "bid_depth_cny": { "count": 5943, "p50": 21289306.0, "p90": 122179964.35200001, "p95": 212185522.895 }, "ask_depth_cny": { "count": 5943, "p50": 26165257.64, "p90": 156333320.13400003, "p95": 221974977.95700002 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5943, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5943, "p50": 10.010010010010895, "p90": 24.449877750609694, "p95": 31.54574132492094 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5943, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5943, "p50": 10.341261633919352, "p90": 25.57544757033181, "p95": 35.84229390680926 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5943, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5943, "p50": 13.289014084507667, "p90": 31.347962382444194, "p95": 37.703847422579464 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5943, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5943, "p50": 40.877674255690444, "p90": 94.207185296451, "p95": 117.07092589019973 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5943, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5943, "p50": 10.010010010009784, "p90": 24.449877750610803, "p95": 35.05116959064212 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5943, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5943, "p50": 10.319917440659854, "p90": 25.57544757033292, "p95": 35.842293906810376 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5943, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5943, "p50": 13.662020202019898, "p90": 31.54574132492094, "p95": 39.29088219370065 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 5943, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5943, "p50": 40.85998172323912, "p90": 85.6556381270539, "p95": 104.26244208509111 } } ] } }, "late_morning": { "snapshots": 117023, "security_days": 1308, "spread_bp": { "count": 117023, "p50": 10.995052226497842, "p90": 26.42007926023839, "p95": 34.42340791738461 }, "bid_depth_cny": { "count": 117023, "p50": 1733296.0, "p90": 10032855.460000003, "p95": 18636272.254999995 }, "ask_depth_cny": { "count": 117023, "p50": 1497261.0, "p90": 9842835.2, "p95": 19059550.599999968 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 117023, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 117023, "p50": 6.0491518051319915, "p90": 14.894178911007751, "p95": 18.686504449272096 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9967698657528862, "coverage_fraction": { "count": 117023, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 116645, "p50": 9.319664492077884, "p90": 25.839793281652312, "p95": 35.58718861210064 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6235953615955838, "coverage_fraction": { "count": 117023, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 72975, "p50": 22.38718861210076, "p90": 58.4253018479859, "p95": 74.22010657652423 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.09676730215427737, "coverage_fraction": { "count": 117023, "p50": 0.1488961, "p90": 0.9744234, "p95": 1.0 }, "full_order_cost_bp": { "count": 11324, "p50": 52.39306004931055, "p90": 110.81626426473859, "p95": 139.66676447641214 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 117023, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 117023, "p50": 6.0060060060052045, "p90": 14.727540500737435, "p95": 18.50087340755722 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9990429231860404, "coverage_fraction": { "count": 117023, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 116911, "p50": 8.99060642092997, "p90": 23.6650349650358, "p95": 31.152647975076775 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6792425420643805, "coverage_fraction": { "count": 117023, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 79487, "p50": 20.602614601019642, "p90": 52.06599252316925, "p95": 65.1125064682023 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.10166377549712449, "coverage_fraction": { "count": 117023, "p50": 0.17413920000000002, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 11897, "p50": 46.1980422535202, "p90": 97.51571254158685, "p95": 117.00594589867244 } } ], "common_full_subset": { "snapshots": 7623, "security_days": 126, "spread_bp": { "count": 7623, "p50": 24.783147459726855, "p90": 51.67958656330754, "p95": 71.68458781362013 }, "bid_depth_cny": { "count": 7623, "p50": 26355345.0, "p90": 146891929.60000002, "p95": 175025060.89999998 }, "ask_depth_cny": { "count": 7623, "p50": 29406664.57, "p90": 175904223.408, "p95": 202240520.7 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 7623, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 7623, "p50": 12.391573729864103, "p90": 25.839793281652312, "p95": 36.101083032493705 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 7623, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 7623, "p50": 12.547051442910462, "p90": 26.24671916010568, "p95": 36.10108303249149 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 7623, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 7623, "p50": 15.313935681471325, "p90": 35.84229390680926, "p95": 40.93676516089381 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 7623, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 7623, "p50": 47.10334271099681, "p90": 95.07668080678665, "p95": 110.78925547315997 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 7623, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 7623, "p50": 12.391573729862992, "p90": 25.83979328165342, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 7623, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 7623, "p50": 12.547051442912682, "p90": 26.24671916010457, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 7623, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 7623, "p50": 15.297878001296894, "p90": 34.601570483740126, "p95": 39.84063745019806 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 7623, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 7623, "p50": 45.63488714733444, "p90": 100.24869732270194, "p95": 116.68513974224669 } } ] } }, "opening": { "snapshots": 38417, "security_days": 1317, "spread_bp": { "count": 38417, "p50": 13.097576948264292, "p90": 31.20124804992133, "p95": 39.70880211780311 }, "bid_depth_cny": { "count": 38417, "p50": 1380882.8, "p90": 7135934.000000001, "p95": 12993448.383999994 }, "ask_depth_cny": { "count": 38417, "p50": 1190970.8, "p90": 6895437.232000005, "p95": 13541093.527999997 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 38417, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 38417, "p50": 7.067137809189106, "p90": 17.42996465062152, "p95": 22.422438895059557 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9973969857094516, "coverage_fraction": { "count": 38417, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 38317, "p50": 10.957909875359828, "p90": 32.67452569868202, "p95": 43.82745979534956 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.5576437514641955, "coverage_fraction": { "count": 38417, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 21423, "p50": 24.74050583657572, "p90": 68.57657338698918, "p95": 87.34966962049894 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.066559075409324, "coverage_fraction": { "count": 38417, "p50": 0.118462362, "p90": 0.6849327200000006, "p95": 1.0 }, "full_order_cost_bp": { "count": 2557, "p50": 58.16735351736213, "p90": 121.60412794747803, "p95": 147.15398939071136 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 38417, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 38417, "p50": 7.037297677693344, "p90": 17.391304347825766, "p95": 22.218577850567687 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9982820105682381, "coverage_fraction": { "count": 38417, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 38351, "p50": 10.699862401101212, "p90": 30.67681027489666, "p95": 41.131602988008225 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.6066324804123174, "coverage_fraction": { "count": 38417, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 23305, "p50": 23.846976744186232, "p90": 63.69166202501365, "p95": 80.63253217759934 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.0692401801285889, "coverage_fraction": { "count": 38417, "p50": 0.1388103, "p90": 0.7191739380000002, "p95": 1.0 }, "full_order_cost_bp": { "count": 2660, "p50": 48.677326109917146, "p90": 107.97365915558353, "p95": 132.9931171117287 } } ], "common_full_subset": { "snapshots": 1735, "security_days": 89, "spread_bp": { "count": 1735, "p50": 29.112081513827615, "p90": 60.27780045906945, "p95": 73.80073800738015 }, "bid_depth_cny": { "count": 1735, "p50": 23740338.0, "p90": 143304915.2, "p95": 166401718.945 }, "ask_depth_cny": { "count": 1735, "p50": 29948058.0, "p90": 173793808.02400005, "p95": 194430951.99 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1735, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1735, "p50": 14.556040756914523, "p90": 30.321674211883945, "p95": 36.90036900369176 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1735, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1735, "p50": 14.77104874446189, "p90": 31.746031746031633, "p95": 37.17472118959009 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1735, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1735, "p50": 17.035775127767216, "p90": 38.09364927325954, "p95": 46.08294930875667 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1735, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1735, "p50": 54.71773963515947, "p90": 117.48722464855372, "p95": 146.72768765109248 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1735, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1735, "p50": 14.556040756913413, "p90": 30.138900229535164, "p95": 36.90036900368732 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1735, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1735, "p50": 14.77104874446078, "p90": 31.74603174603274, "p95": 37.174721189592304 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1735, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1735, "p50": 17.035775127768325, "p90": 38.767783831019905, "p95": 46.590633512426535 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1735, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1735, "p50": 47.93607215007212, "p90": 113.12152685816159, "p95": 134.9443215637187 } } ] } } }, "comparison": { "common_securities": 106, "paired_valid_security_minutes": 23297, "days": [ 20210104, 20260416 ], "minute_coverage": { "20210104": { "securities": 106, "expected_security_minutes": 25122, "observed_security_minutes": 25122, "missing_security_minutes": 0, "observed_fraction": 1.0 }, "20260416": { "securities": 106, "expected_security_minutes": 25122, "observed_security_minutes": 24366, "missing_security_minutes": 756, "observed_fraction": 0.969906854549797 } }, "common_security_results": { "20210104": { "snapshots": 24402, "security_days": 106, "spread_bp": { "count": 24402, "p50": 13.078306708848801, "p90": 25.940337224383367, "p95": 32.62642740620026 }, "bid_depth_cny": { "count": 24402, "p50": 2049803.8, "p90": 11981018.300000004, "p95": 19785599.20600001 }, "ask_depth_cny": { "count": 24402, "p50": 1861808.6600000001, "p90": 9996034.144000001, "p95": 18596851.794000026 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 24402, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 24402, "p50": 6.89179875947632, "p90": 14.347202295552641, "p95": 18.569167126311307 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9997541185148758, "coverage_fraction": { "count": 24402, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 24396, "p50": 9.183138875386021, "p90": 24.025395918484406, "p95": 29.86012773240343 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.7106384722563724, "coverage_fraction": { "count": 24402, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 17341, "p50": 23.00126976954253, "p90": 56.84846245530339, "p95": 69.44841936491474 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.09917219900008196, "coverage_fraction": { "count": 24402, "p50": 0.185111832, "p90": 0.9923451440000004, "p95": 1.0 }, "full_order_cost_bp": { "count": 2420, "p50": 44.44382553423942, "p90": 102.45856687676985, "p95": 118.82021899507379 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 24402, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 24402, "p50": 6.882312456986117, "p90": 14.306151645208098, "p95": 18.29308819374903 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9995082370297517, "coverage_fraction": { "count": 24402, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 24390, "p50": 8.790135827965173, "p90": 22.77904328018332, "p95": 27.430493118879735 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.7510859765592984, "coverage_fraction": { "count": 24402, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 18328, "p50": 21.778318033871535, "p90": 48.52209561282372, "p95": 58.50038285709967 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.12515367592820262, "coverage_fraction": { "count": 24402, "p50": 0.206074225, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3054, "p50": 42.864427927211125, "p90": 84.42392666876367, "p95": 101.68501317828351 } } ], "common_full_subset": { "snapshots": 1449, "security_days": 18, "spread_bp": { "count": 1449, "p50": 24.660912453760265, "p90": 52.493438320210025, "p95": 52.770448548812716 }, "bid_depth_cny": { "count": 1449, "p50": 26612387.03, "p90": 301477512.18, "p95": 372672131.6099999 }, "ask_depth_cny": { "count": 1449, "p50": 23172695.799999997, "p90": 183812649.176, "p95": 217993930.10399994 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 12.330456226881115, "p90": 26.24671916010568, "p95": 26.385224274405594 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 12.330456226881115, "p90": 26.24671916010568, "p95": 26.385224274405594 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 12.42236024844745, "p90": 26.385224274405594, "p95": 26.934819199529738 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 46.58175627650696, "p90": 84.73646505200571, "p95": 97.27814372444232 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 12.330456226880004, "p90": 26.24671916010457, "p95": 26.385224274406703 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 12.330456226880004, "p90": 26.24671916010457, "p95": 26.385224274406703 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 12.422360248449671, "p90": 26.385224274406703, "p95": 34.03468881500138 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1449, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1449, "p50": 39.813471134402256, "p90": 83.12229228083595, "p95": 111.28076596058185 } } ] } }, "20260416": { "snapshots": 24013, "security_days": 106, "spread_bp": { "count": 24013, "p50": 7.911392405063122, "p90": 24.4200244200239, "p95": 29.112081513827615 }, "bid_depth_cny": { "count": 24013, "p50": 3522435.0, "p90": 21397171.599999994, "p95": 51150433.79999996 }, "ask_depth_cny": { "count": 24013, "p50": 3814106.0, "p90": 20498170.19999999, "p95": 53468029.683999956 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 24013, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 24013, "p50": 4.120313143798349, "p90": 12.300123001232066, "p95": 14.68428781204123 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9999167117811185, "coverage_fraction": { "count": 24013, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 24011, "p50": 6.13872930618653, "p90": 14.104372355430161, "p95": 16.950589154725026 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.8874776162911756, "coverage_fraction": { "count": 24013, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 21311, "p50": 12.373875968991754, "p90": 30.016830804002748, "p95": 36.3636363636366 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.21117727897388913, "coverage_fraction": { "count": 24013, "p50": 0.37979324999999997, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5071, "p50": 37.667545846444824, "p90": 98.71081964636596, "p95": 127.60147539452538 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 24013, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 24013, "p50": 4.175365344468718, "p90": 12.300123001229846, "p95": 14.641288433381305 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9999167117811185, "coverage_fraction": { "count": 24013, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 24011, "p50": 6.325110689436864, "p90": 14.184397163120588, "p95": 17.361111111110496 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.855786449006788, "coverage_fraction": { "count": 24013, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20550, "p50": 12.610340479192184, "p90": 33.00713067684058, "p95": 40.18006329506007 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.2252946320742931, "coverage_fraction": { "count": 24013, "p50": 0.35415610000000003, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5410, "p50": 34.85238747141961, "p90": 73.44466163901532, "p95": 88.38014166943476 } } ], "common_full_subset": { "snapshots": 3867, "security_days": 37, "spread_bp": { "count": 3867, "p50": 18.501387604069908, "p90": 33.16749585406379, "p95": 72.20216606498202 }, "bid_depth_cny": { "count": 3867, "p50": 26213296.0, "p90": 120204488.4, "p95": 149576137.29999998 }, "ask_depth_cny": { "count": 3867, "p50": 24560318.2, "p90": 172550172.55200002, "p95": 197961752.11 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3867, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3867, "p50": 9.26784059314345, "p90": 16.583747927032544, "p95": 36.101083032493705 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3867, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3867, "p50": 9.285051067779992, "p90": 16.638935108153063, "p95": 36.10108303249149 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3867, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3867, "p50": 12.210012210012167, "p90": 25.065981498611833, "p95": 36.10108303249149 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3867, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3867, "p50": 36.13225050369317, "p90": 76.06293488644145, "p95": 94.4705331005386 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3867, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3867, "p50": 9.250693802035359, "p90": 16.583747927031432, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3867, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3867, "p50": 9.285051067781103, "p90": 16.638935108153063, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3867, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3867, "p50": 12.180267965896663, "p90": 23.84190463200353, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3867, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3867, "p50": 34.49906105006173, "p90": 65.22018215671844, "p95": 78.41231667388358 } } ] } } }, "paired_results": { "20210104": { "snapshots": 23297, "security_days": 106, "spread_bp": { "count": 23297, "p50": 13.166556945358508, "p90": 25.984824482323948, "p95": 32.62642740620026 }, "bid_depth_cny": { "count": 23297, "p50": 2112396.0, "p90": 12448070.000000004, "p95": 20625773.038000003 }, "ask_depth_cny": { "count": 23297, "p50": 1939493.0, "p90": 10310255.000000011, "p95": 19023357.264000006 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 23297, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 23297, "p50": 6.884362680683598, "p90": 14.306151645204768, "p95": 18.460081122510648 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9998283040734859, "coverage_fraction": { "count": 23297, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 23293, "p50": 8.97652484379563, "p90": 23.75024452905494, "p95": 29.39516832487232 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.721723827102202, "coverage_fraction": { "count": 23297, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 16814, "p50": 22.883295194506825, "p90": 56.246807403963516, "p95": 69.03438148443853 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.10301755590848607, "coverage_fraction": { "count": 23297, "p50": 0.19314230000000002, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 2400, "p50": 44.23081052454481, "p90": 101.70099220171157, "p95": 117.49998776889646 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 23297, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 23297, "p50": 6.882312456986117, "p90": 14.306151645208098, "p95": 18.311279525073058 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9994849122204575, "coverage_fraction": { "count": 23297, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 23285, "p50": 8.757621519583925, "p90": 22.77904328018332, "p95": 27.12325663991886 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.7635317852083959, "coverage_fraction": { "count": 23297, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 17788, "p50": 21.677569637503225, "p90": 48.06876012330798, "p95": 58.05520717509507 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.12920118470189296, "coverage_fraction": { "count": 23297, "p50": 0.21229859999999998, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3010, "p50": 42.72851252515531, "p90": 84.48738803596378, "p95": 102.17803564681613 } } ], "common_full_subset": { "snapshots": 1437, "security_days": 18, "spread_bp": { "count": 1437, "p50": 24.660912453760265, "p90": 52.493438320210025, "p95": 52.770448548812716 }, "bid_depth_cny": { "count": 1437, "p50": 26734466.0, "p90": 301883628.85200006, "p95": 373006645.40999997 }, "ask_depth_cny": { "count": 1437, "p50": 23130879.1, "p90": 183875595.172, "p95": 218261958.55 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1437, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1437, "p50": 12.330456226881115, "p90": 26.24671916010568, "p95": 26.385224274405594 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1437, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1437, "p50": 12.330456226881115, "p90": 26.24671916010568, "p95": 26.385224274405594 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1437, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1437, "p50": 12.42236024844745, "p90": 26.385224274405594, "p95": 26.385224274405594 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1437, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1437, "p50": 46.409193588163866, "p90": 83.71081621851008, "p95": 96.48405631660405 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1437, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1437, "p50": 12.330456226880004, "p90": 26.24671916010457, "p95": 26.385224274406703 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1437, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1437, "p50": 12.330456226880004, "p90": 26.24671916010457, "p95": 26.385224274406703 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1437, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1437, "p50": 12.422360248449671, "p90": 26.385224274406703, "p95": 34.10383403926389 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 1437, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 1437, "p50": 39.65447113440157, "p90": 83.34736816075849, "p95": 111.60006316509265 } } ] } }, "20260416": { "snapshots": 23297, "security_days": 106, "spread_bp": { "count": 23297, "p50": 7.889546351084644, "p90": 24.479804161566186, "p95": 29.197080291971478 }, "bid_depth_cny": { "count": 23297, "p50": 3495956.0, "p90": 22768426.30800005, "p95": 52299668.40000007 }, "ask_depth_cny": { "count": 23297, "p50": 3766611.0, "p90": 20843518.770000048, "p95": 55683232.26000008 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 23297, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 23297, "p50": 4.096202235357449, "p90": 12.300123001232066, "p95": 14.68428781204123 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 0.9999141520367429, "coverage_fraction": { "count": 23297, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 23295, "p50": 6.042296072508169, "p90": 14.104372355430161, "p95": 16.665069483046125 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 0.8915740224063184, "coverage_fraction": { "count": 23297, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 20771, "p50": 12.492794133507346, "p90": 30.156523784630185, "p95": 36.3636363636366 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 0.2050049362578873, "coverage_fraction": { "count": 23297, "p50": 0.374998337, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 4776, "p50": 37.58347545934959, "p90": 102.27182375363464, "p95": 129.34790179108202 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 23297, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 23297, "p50": 4.096681687832948, "p90": 12.300123001229846, "p95": 14.68428781204123 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 0.9999141520367429, "coverage_fraction": { "count": 23297, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 23295, "p50": 6.293266205160686, "p90": 14.184397163120588, "p95": 17.390569066874306 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 0.8516976434734086, "coverage_fraction": { "count": 23297, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 19842, "p50": 12.587926482934275, "p90": 32.32964339120673, "p95": 39.304274878330496 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 0.222603768725587, "coverage_fraction": { "count": 23297, "p50": 0.35108425, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 5186, "p50": 33.53281230088934, "p90": 73.50915800775293, "p95": 89.28613055553397 } } ], "common_full_subset": { "snapshots": 3645, "security_days": 35, "spread_bp": { "count": 3645, "p50": 18.570102135561353, "p90": 33.27787021630545, "p95": 72.20216606498202 }, "bid_depth_cny": { "count": 3645, "p50": 30041876.490000002, "p90": 121760312.39999999, "p95": 152495218.8 }, "ask_depth_cny": { "count": 3645, "p50": 25871012.0, "p90": 174517256.33999997, "p95": 198543681.76599997 }, "cost_surface": [ { "side": "buy", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3645, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3645, "p50": 9.302325581395099, "p90": 16.638935108150843, "p95": 36.101083032493705 } }, { "side": "buy", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3645, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3645, "p50": 9.970089730806375, "p90": 16.638935108153063, "p95": 36.10108303249149 } }, { "side": "buy", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3645, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3645, "p50": 12.300123001232066, "p90": 25.64809740105689, "p95": 36.10108303249149 } }, { "side": "buy", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3645, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3645, "p50": 36.10108303249149, "p90": 77.30565516623145, "p95": 95.63662592914255 } }, { "side": "sell", "reference_notional_cny": 10000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3645, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3645, "p50": 9.302325581395099, "p90": 16.638935108153063, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 100000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3645, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3645, "p50": 9.302325581395099, "p90": 16.638935108153063, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 1000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3645, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3645, "p50": 12.150668286755595, "p90": 23.842172607684507, "p95": 36.10108303249038 } }, { "side": "sell", "reference_notional_cny": 10000000, "full_coverage_rate": 1.0, "coverage_fraction": { "count": 3645, "p50": 1.0, "p90": 1.0, "p95": 1.0 }, "full_order_cost_bp": { "count": 3645, "p50": 32.78281471004285, "p90": 64.46065020984103, "p95": 78.51762349932942 } } ] } } } }, "event_audit": { "20210104": { "orders": { "rows": 1506074, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_column_present": false, "channel_column_present": false, "OrderType_counts": { "2": 624524, "12": 604394, "-1": 146000, "-11": 130504, "1": 355, "11": 257, "3": 28, "13": 12 } }, "trades": { "rows": 1596501, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_column_present": false, "channel_column_present": false, "Side_counts": { "1": 813145, "0": 783356 } }, "positive_price_trades": { "rows": 1596501, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_column_present": false, "channel_column_present": false, "Side_counts": { "1": 813145, "0": 783356 } }, "preopening_orders": { "rows": 25785, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_column_present": false, "channel_column_present": false, "OrderType_counts": { "12": 15003, "2": 10276, "-1": 312, "-11": 194 } }, "preopening_overlap_rows": 0, "references": [ { "candidate": "OrderID", "identity_scope": "security_only_channel_unavailable", "eligible_positive_trade_rows": 1596501, "buy": { "references": 1596501, "matched": 835424, "unique": 815437, "ambiguous": 19987, "missing": 761077, "match_rate": 0.5232843574792625, "nonpositive_or_null_reference_rows": 0 }, "sell": { "references": 1596501, "matched": 836008, "unique": 812929, "ambiguous": 23079, "missing": 760493, "match_rate": 0.5236501574380473, "nonpositive_or_null_reference_rows": 0 } } ], "dynamic_replay_gate": "not_established_special_event_semantics_and_queue_order_unverified", "by_market": { "shanghai": { "orders": { "rows": 0, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_column_present": false, "channel_column_present": false, "OrderType_counts": {} }, "trades": { "rows": 758422, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_column_present": false, "channel_column_present": false, "Side_counts": { "0": 381516, "1": 376906 } }, "positive_price_trades": { "rows": 758422, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_column_present": false, "channel_column_present": false, "Side_counts": { "0": 381516, "1": 376906 } }, "preopening_orders": { "rows": 0, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_column_present": false, "channel_column_present": false, "OrderType_counts": {} }, "preopening_overlap_rows": 0, "references": [ { "candidate": "OrderID", "identity_scope": "security_only_channel_unavailable", "eligible_positive_trade_rows": 758422, "buy": { "references": 758422, "matched": 0, "unique": 0, "ambiguous": 0, "missing": 758422, "match_rate": 0.0, "nonpositive_or_null_reference_rows": 0 }, "sell": { "references": 758422, "matched": 0, "unique": 0, "ambiguous": 0, "missing": 758422, "match_rate": 0.0, "nonpositive_or_null_reference_rows": 0 } } ], "dynamic_replay_gate": "not_established_special_event_semantics_and_queue_order_unverified" }, "shenzhen": { "orders": { "rows": 1506074, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_column_present": false, "channel_column_present": false, "OrderType_counts": { "2": 624524, "12": 604394, "-1": 146000, "-11": 130504, "1": 355, "11": 257, "3": 28, "13": 12 } }, "trades": { "rows": 838079, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_column_present": false, "channel_column_present": false, "Side_counts": { "1": 436239, "0": 401840 } }, "positive_price_trades": { "rows": 838079, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_column_present": false, "channel_column_present": false, "Side_counts": { "1": 436239, "0": 401840 } }, "preopening_orders": { "rows": 25785, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_column_present": false, "channel_column_present": false, "OrderType_counts": { "12": 15003, "2": 10276, "-1": 312, "-11": 194 } }, "preopening_overlap_rows": 0, "references": [ { "candidate": "OrderID", "identity_scope": "security_only_channel_unavailable", "eligible_positive_trade_rows": 838079, "buy": { "references": 838079, "matched": 835424, "unique": 815437, "ambiguous": 19987, "missing": 2655, "match_rate": 0.9968320408935196, "nonpositive_or_null_reference_rows": 0 }, "sell": { "references": 838079, "matched": 836008, "unique": 812929, "ambiguous": 23079, "missing": 2071, "match_rate": 0.9975288725764516, "nonpositive_or_null_reference_rows": 0 } } ], "dynamic_replay_gate": "not_established_special_event_semantics_and_queue_order_unverified" } } }, "20260416": { "orders": { "rows": 6787780, "nonpositive_price_rows": 5320, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_regressions": 0, "duplicate_sequence_rows": 3590754, "nonpositive_sequence_rows": 3590754, "null_sequence_rows": 0, "positive_sequence_regressions": 0, "duplicate_positive_sequence_rows": 0, "sequence_column_present": true, "channel_column_present": true, "OrderType_counts": { "2": 1497249, "12": 1372269, "10": 1274455, "0": 1258226, "-1": 720873, "-11": 658757, "1": 2699, "11": 2384, "13": 684, "3": 184 } }, "trades": { "rows": 4189318, "nonpositive_price_rows": 715285, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 91007, "sequence_regressions": 22694, "duplicate_sequence_rows": 2571122, "nonpositive_sequence_rows": 2571122, "null_sequence_rows": 0, "positive_sequence_regressions": 22694, "duplicate_positive_sequence_rows": 0, "sequence_column_present": true, "channel_column_present": true, "Side_counts": { "1": 1755636, "0": 1718397, "-1": 378255, "-11": 337030 } }, "positive_price_trades": { "rows": 3474033, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 64245, "sequence_regressions": 22694, "duplicate_sequence_rows": 1855837, "nonpositive_sequence_rows": 1855837, "null_sequence_rows": 0, "positive_sequence_regressions": 22694, "duplicate_positive_sequence_rows": 0, "sequence_column_present": true, "channel_column_present": true, "Side_counts": { "1": 1755636, "0": 1718397 } }, "references": [ { "candidate": "OrderID", "identity_scope": "security_channel", "eligible_positive_trade_rows": 3474033, "buy": { "references": 3474033, "matched": 2769388, "unique": 2704909, "ambiguous": 64479, "missing": 704645, "match_rate": 0.7971680176901026, "nonpositive_or_null_reference_rows": 0 }, "sell": { "references": 3474033, "matched": 2750753, "unique": 2683587, "ambiguous": 67166, "missing": 723280, "match_rate": 0.7918039350806397, "nonpositive_or_null_reference_rows": 0 } }, { "candidate": "DBOrderID", "identity_scope": "security_channel", "eligible_positive_trade_rows": 3474033, "buy": { "references": 3474033, "matched": 6309, "unique": 6309, "ambiguous": 0, "missing": 3467724, "match_rate": 0.0018160449253072726, "nonpositive_or_null_reference_rows": 0 }, "sell": { "references": 3474033, "matched": 6442, "unique": 6442, "ambiguous": 0, "missing": 3467591, "match_rate": 0.0018543289600300285, "nonpositive_or_null_reference_rows": 0 } } ], "dynamic_replay_gate": "not_established_special_event_semantics_and_queue_order_unverified", "by_market": { "shanghai": { "orders": { "rows": 3197026, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_regressions": 0, "duplicate_sequence_rows": 0, "nonpositive_sequence_rows": 0, "null_sequence_rows": 0, "positive_sequence_regressions": 0, "duplicate_positive_sequence_rows": 0, "sequence_column_present": true, "channel_column_present": true, "OrderType_counts": { "10": 1274455, "0": 1258226, "-1": 342618, "-11": 321727 } }, "trades": { "rows": 1618196, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 22694, "sequence_regressions": 22694, "duplicate_sequence_rows": 0, "nonpositive_sequence_rows": 0, "null_sequence_rows": 0, "positive_sequence_regressions": 22694, "duplicate_positive_sequence_rows": 0, "sequence_column_present": true, "channel_column_present": true, "Side_counts": { "1": 817077, "0": 801119 } }, "positive_price_trades": { "rows": 1618196, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 22694, "sequence_regressions": 22694, "duplicate_sequence_rows": 0, "nonpositive_sequence_rows": 0, "null_sequence_rows": 0, "positive_sequence_regressions": 22694, "duplicate_positive_sequence_rows": 0, "sequence_column_present": true, "channel_column_present": true, "Side_counts": { "1": 817077, "0": 801119 } }, "references": [ { "candidate": "OrderID", "identity_scope": "security_channel", "eligible_positive_trade_rows": 1618196, "buy": { "references": 1618196, "matched": 913551, "unique": 883497, "ambiguous": 30054, "missing": 704645, "match_rate": 0.5645490410308763, "nonpositive_or_null_reference_rows": 0 }, "sell": { "references": 1618196, "matched": 894916, "unique": 863624, "ambiguous": 31292, "missing": 723280, "match_rate": 0.5530331307208768, "nonpositive_or_null_reference_rows": 0 } }, { "candidate": "DBOrderID", "identity_scope": "security_channel", "eligible_positive_trade_rows": 1618196, "buy": { "references": 1618196, "matched": 6309, "unique": 6309, "ambiguous": 0, "missing": 1611887, "match_rate": 0.003898786055582884, "nonpositive_or_null_reference_rows": 0 }, "sell": { "references": 1618196, "matched": 6442, "unique": 6442, "ambiguous": 0, "missing": 1611754, "match_rate": 0.003980976346499435, "nonpositive_or_null_reference_rows": 0 } } ], "dynamic_replay_gate": "not_established_special_event_semantics_and_queue_order_unverified" }, "shenzhen": { "orders": { "rows": 3590754, "nonpositive_price_rows": 5320, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 0, "sequence_regressions": 0, "duplicate_sequence_rows": 3590754, "nonpositive_sequence_rows": 3590754, "null_sequence_rows": 0, "positive_sequence_regressions": 0, "duplicate_positive_sequence_rows": 0, "sequence_column_present": true, "channel_column_present": true, "OrderType_counts": { "2": 1497249, "12": 1372269, "-1": 378255, "-11": 337030, "1": 2699, "11": 2384, "13": 684, "3": 184 } }, "trades": { "rows": 2571122, "nonpositive_price_rows": 715285, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 68313, "sequence_regressions": 0, "duplicate_sequence_rows": 2571122, "nonpositive_sequence_rows": 2571122, "null_sequence_rows": 0, "positive_sequence_regressions": 0, "duplicate_positive_sequence_rows": 0, "sequence_column_present": true, "channel_column_present": true, "Side_counts": { "1": 938559, "0": 917278, "-1": 378255, "-11": 337030 } }, "positive_price_trades": { "rows": 1855837, "nonpositive_price_rows": 0, "nonpositive_volume_rows": 0, "null_clock_rows": 0, "duplicate_event_rows": 0, "timestamp_regressions": 41551, "sequence_regressions": 0, "duplicate_sequence_rows": 1855837, "nonpositive_sequence_rows": 1855837, "null_sequence_rows": 0, "positive_sequence_regressions": 0, "duplicate_positive_sequence_rows": 0, "sequence_column_present": true, "channel_column_present": true, "Side_counts": { "1": 938559, "0": 917278 } }, "references": [ { "candidate": "OrderID", "identity_scope": "security_channel", "eligible_positive_trade_rows": 1855837, "buy": { "references": 1855837, "matched": 1855837, "unique": 1821412, "ambiguous": 34425, "missing": 0, "match_rate": 1.0, "nonpositive_or_null_reference_rows": 0 }, "sell": { "references": 1855837, "matched": 1855837, "unique": 1819963, "ambiguous": 35874, "missing": 0, "match_rate": 1.0, "nonpositive_or_null_reference_rows": 0 } }, { "candidate": "DBOrderID", "identity_scope": "security_channel", "eligible_positive_trade_rows": 1855837, "buy": { "references": 1855837, "matched": 0, "unique": 0, "ambiguous": 0, "missing": 1855837, "match_rate": 0.0, "nonpositive_or_null_reference_rows": 0 }, "sell": { "references": 1855837, "matched": 0, "unique": 0, "ambiguous": 0, "missing": 1855837, "match_rate": 0.0, "nonpositive_or_null_reference_rows": 0 } } ], "dynamic_replay_gate": "not_established_special_event_semantics_and_queue_order_unverified" } } } }, "review": { "source_summary_sha256": "1cd607ed1f6d93b183fb98f76cb670abb29a55c60d4f8238f84fc5f06c8d3c08", "review_code_sha256": "6744cfadeb02e2cbcd8ce8aa4d324002ffab1c79e2d2320958d210371656ebb7" }, "covariate_audit": [ { "day": 20210104, "history_start": "20201204", "history_end": "20201231", "required_prior_sessions": 20 }, { "day": 20210115, "history_start": "20201217", "history_end": "20210114", "required_prior_sessions": 20 }, { "day": 20210129, "history_start": "20201231", "history_end": "20210128", "required_prior_sessions": 20 }, { "day": 20250102, "history_start": "20241204", "history_end": "20241231", "required_prior_sessions": 20 }, { "day": 20250115, "history_start": "20241217", "history_end": "20250114", "required_prior_sessions": 20 }, { "day": 20250127, "history_start": "20241227", "history_end": "20250124", "required_prior_sessions": 20 }, { "day": 20260407, "history_start": "20260309", "history_end": "20260403", "required_prior_sessions": 20 }, { "day": 20260416, "history_start": "20260318", "history_end": "20260415", "required_prior_sessions": 20 }, { "day": 20260424, "history_start": "20260326", "history_end": "20260423", "required_prior_sessions": 20 }, { "day": 20260720, "history_start": "20260622", "history_end": "20260717", "required_prior_sessions": 20 } ], "definitions": { "price_unit": "CNY", "quantity_unit": "share", "benchmark": "contemporaneous_midpoint", "reference_notional": "midpoint_times_target_shares_fractional_shares_allowed", "sampling": "stocklike_prefixes_security_modulus_earliest_minute_before_book_validation", "security_modulus": 37, "minute_denominator": "237_continuous_minutes_per_security_observed_on_declared_day", "covariates": "20_prior_daily_sessions_ADV_and_log_return_volatility_previous_session_circulating_market_cap", "covariate_groups": "terciles_of_available_prior_daily_cross_section_including_Beijing_no_PIT_status_filter", "historical_release_times_verified": false, "uncertainty": "selected_sample_quantiles_not_population_confidence_intervals", "zero_price_event_semantics_verified": false, "order_reference_match_proves_replay": false, "sequence_flags": "field_presence_not_authenticated_ordering", "fees_included": false, "dynamic_impact_calibrated": false, "actual_order_calibrated": false }, "source_summary_sha256": "091d9d4d855e1f161b681055ff5979290c534b2c4ddbfda288979fc4f67474db" }