Known Issues

Living errata. Every discovered issue documented with date and resolution.

Transparency policy: All data issues are documented here as they are discovered. If you find an issue, please report it. Reporters are credited.

Source limitations

IEX exchange coverage (post-March 2022)

Status: Known, documented

Post-March 2022 data is sourced from IEX Exchange HIST, which captures IEX-only activity (approximately 2–3% of consolidated volume). This means post-2022 bars reflect a single-exchange view rather than the full consolidated tape. Volume figures are lower and some bars may be missing for thinly traded names. The source column identifies affected bars.

Splice boundary (March 2022)

Status: Known, adjusted

The transition from PiTrading (consolidated tape) to IEX/Alpaca (single exchange) at March 2022 creates a structural break in volume and potentially in price coverage. Step 9 of the cleaning pipeline checks for artificial price jumps at this boundary. Researchers studying time trends in volume should account for this transition.

No other issues reported

This page will be updated as issues are discovered. Check back after each weekly data update.

Report an issue

Email [email protected] with the ticker, date(s), and description. See the contact page for full reporting guidelines.