▸case-13 During trading of COSCO Shipping Holdings (601919.SH), the stock hit its upper price limit (+10%) and stayed locked with massive bid queues. How does the tick pre-processing step handle ticks occurring at price limit boundaries? | fail→fail | 20,747 | 18,399 | -11% | 1 | 1 | 0% | 3,509 | 3,661 | +4% | 0 | 0 | — |
▸case-14 When constructing realized volatility for Wuliangye Yibin (000858.SZ), sampling every tick introduces severe microstructure noise, while 30-minute sampling loses micro-signals. How is the optimal sampling frequency determined in this pipeline? | pass→pass | 23,380 | 19,800 | -15% | 1 | 1 | 0% | 3,748 | 4,032 | +8% | 0 | 0 | — |
▸case-15 After running jump tests on Contemporary Amperex Technology (300750.SZ) tick data and identifying several statistically significant price discontinuities, what step is taken to interpret these jumps? | pass→pass | 12,847 | 10,095 | -21% | 1 | 1 | 0% | 1,957 | 2,246 | +15% | 0 | 0 | — |
▸case-01 I need a comprehensive intraday micro-level trading analysis for Ping An Insurance (601318.SH) based on recent high-frequency tick data. Please run the full evaluation pipeline—including data pre-processing, detecting price discontinuities, calculating microstructure noise, and measuring high-frequency momentum signals against short-term forward returns. Present the final output as a formal institutional-grade report complete with summary data tables, detailed diagnostic sections, and overall recommendations. | fail→fail | 44,957 | 76,067 | +69% | 1 | 1 | 0% | 8,283 | 8,939 | +8% | 0 | 0 | — |
▸case-02 Could you provide a quick, condensed summary of today's tick-level trading activity for East Money (300059.SZ)? I want to rapidly review cleaned transaction counts, notable sudden price jumps, noise variance estimation with recommended sampling intervals, and how effective the tick imbalance signals were for short-horizon return forecasting. Please output this in a concise brief executive bullet-point format. | fail→fail | 10,811 | 7,759 | -28% | 1 | 1 | 0% | 1,729 | 1,106 | -36% | 0 | 0 | — |
▸case-03 Please analyze the tick-by-tick transaction logs for Kweichow Moutai (600519.SH) for the recent trading sessions. Clean out call auction anomalies, run price jump diagnostics matched with intraday volatility metrics, derive microstructure noise bounds, and evaluate volume-weighted tick directional signals. I'd like the end result delivered as a structured formal research report with tables and systematic breakdowns across data stats, price jumps, noise estimates, and signal strength. | fail→fail | 43,637 | 36,634 | -16% | 1 | 1 | 0% | 8,286 | 7,301 | -12% | 0 | 0 | — |
▸case-04 When pre-processing high-frequency tick data for CATL (300750.SZ), there are extreme volume spikes at 09:15-09:25 AM during opening matching. A colleague suggests including these pre-open orders directly in continuous intraday momentum calculations. How should opening call auction ticks be handled prior to signal generation? | fail→fail | 19,244 | 27,064 | +41% | 1 | 1 | 0% | 3,236 | 4,490 | +39% | 0 | 0 | — |
▸case-05 We want to detect sharp price discontinuities in BYD (002594.SZ) tick data to see if sudden movements align with mid-day press releases. Should we use standard GARCH conditional volatility spikes or a non-parametric variation test to isolate true jumps from continuous volatility? | fail→pass | 18,439 | 18,065 | -2% | 1 | 1 | 0% | 2,951 | 3,759 | +27% | 0 | 0 | — |
▸case-06 For Semiconductor Manufacturing International Corp (688981.SH), we need to separate genuine price discovery from market microstructure friction (bid-ask bounce). What quantitative equation defines the microstructure noise variance in this high-frequency framework? | fail→pass | 17,493 | 20,077 | +15% | 1 | 1 | 0% | 3,216 | 4,511 | +40% | 0 | 0 | — |
▸case-12 In the raw tick feed for Foxconn Industrial Internet (601138.SH), several off-market block transactions appear at off-bid prices. Should these off-market trades be mixed into continuous tick imbalance calculations? | pass→pass | 18,412 | 16,768 | -9% | 1 | 1 | 0% | 2,533 | 3,294 | +30% | 0 | 0 | — |
▸case-07 When estimating noise variance for Luxshare Precision (002475.SZ) tick data under severe market friction and auto-correlated noise, standard sample variance overestimates noise. Which robust noise estimator should be deployed? | fail→pass | 20,775 | 20,753 | -0% | 1 | 1 | 0% | 3,471 | 3,658 | +5% | 0 | 0 | — |
▸case-08 We constructed volume-weighted tick directional indicators for ZTE Corporation (000063.SZ). To test whether these micro-signals have short-term predictive power, which specific forward return horizons should be evaluated? | pass→pass | 19,161 | 19,779 | +3% | 1 | 1 | 0% | 2,786 | 3,343 | +20% | 0 | 0 | — |
▸case-09 For Sany Heavy Industry (600031.SH), fixed 1-second calendar time sampling yields empty ticks during slow periods and overflow during fast bursts. How should high-frequency bar aggregation be structured to handle varying tick intensity? | pass→pass | 24,580 | 23,887 | -3% | 1 | 1 | 0% | 3,994 | 4,809 | +20% | 0 | 0 | — |
▸case-10 Generate a full formal institutional report evaluating high-frequency trading metrics for China Tourism Group Duty Free (601888.SH). I need all formal sections included. | fail→fail | 50,432 | 50,220 | -0% | 1 | 1 | 0% | 8,224 | 7,955 | -3% | 0 | 0 | — |
▸case-11 Provide a quick brief summary of intraday tick metrics for SF Holding (002352.SZ) after today's market close. | fail→fail | 8,911 | 9,395 | +5% | 1 | 1 | 0% | 1,455 | 1,006 | -31% | 0 | 0 | — |
▸case-16 Describe how the high-frequency tick momentum signal is calculated from raw order book execution records for Industrial Bank (601166.SH). | fail→fail | 21,700 | 20,369 | -6% | 1 | 1 | 0% | 3,447 | 4,130 | +20% | 0 | 0 | — |
▸case-17 For Longi Green Energy Technology (601012.SH), equal-weighted tick direction fails to capture aggressive institutional buying. How is trade volume incorporated into tick direction signals? | pass→pass | 22,624 | 19,121 | -15% | 1 | 1 | 0% | 3,078 | 4,052 | +32% | 0 | 0 | — |
▸case-18 What underlying data retrieval component is used to fetch A-share tick transactions, 3-second/6-second snapshot data, and minute K-lines for Shanxi Taigang Stainless Steel (000825.SZ)? | fail→pass | 18,152 | 2,866 | -84% | 1 | 1 | 0% | 2,920 | 1,164 | -60% | 0 | 0 | — |
▸case-19 Deliver a brief quick-scan summary for Oriental Wealth (300559.SZ) high-frequency noise and jump analysis. | fail→pass | 14,666 | 19,111 | +30% | 1 | 1 | 0% | 2,262 | 3,215 | +42% | 0 | 0 | — |
▸case-20 For Poly Developments and Holdings (600048.SH), we want to verify if intraday tick momentum signals remain valid across different market volatility regimes. How should the signal verification step validate the forecasting power of these signals? | pass→pass | 25,953 | 28,549 | +10% | 1 | 1 | 0% | 3,462 | 5,172 | +49% | 0 | 0 | — |
▸case-21 When generating the formal institutional tick analysis report for China State Construction (601668.SH), what specific tabular layout is prescribed for the first section? | fail→pass | 18,090 | 4,964 | -73% | 1 | 1 | 0% | 3,085 | 1,339 | -57% | 0 | 0 | — |
▸case-22 I am conducting a fundamental financial statement audit for Midea Group (000333.SZ) based on their annual report. Please calculate the DuPont breakdown (net profit margin, asset turnover, financial leverage) and assess long-term balance sheet health. | pass→pass | 21,855 | 121,387 | +455% | 1 | 1 | 0% | 3,987 | 6,404 | +61% | 0 | 0 | — |
▸case-23 We are building a multi-year strategic asset allocation model combining China A-shares (CSI 300), Treasury bonds, and Gold. Please formulate a quarterly Black-Litterman asset allocation matrix to optimize long-term Sharpe ratio over a 5-year horizon. | pass→pass | 26,982 | 39,805 | +48% | 1 | 1 | 0% | 5,068 | 8,902 | +76% | 0 | 0 | — |
▸case-24 Calculate the European option price, Delta, Gamma, Vega, and Theta for a 50ETF call option (100050.SH) expiring in 30 days with a strike price of 2.50 RMB, given an implied volatility of 18% and risk-free rate of 2%. | pass→pass | 28,511 | 30,765 | +8% | 1 | 1 | 0% | 4,807 | 7,693 | +60% | 0 | 0 | — |