We are unable to find a consistent supplier for Exchange Holidays in China. Therefore, our data collection is based on exchange rules for the lifecycle of newly listed symbols (future contracts). These rules do not account for exchange holidays, resulting in a folder being created for each day, regardless of whether it is a holiday.

The microsecond differences represent new data points sent from the exchange during non-standardized times. For instance, if we have already received data at 11:28:59.800000, the next expected data point should be 11:29:00.300000. However, if new data points arrive between these times, they will be tagged with the timestamp of 11:28:59.800001. It’s important to note that the numbering (e.g., 00001) is not specific to products but follows exchange-specific rules and timing. For example, if two products from the exchange receive non-standardized time data points, the data points will be tagged accordingly based on the timing of their arrival.

These data points are transmitted from exchanges, often marking the start of their server operations or internal tests. The inconsistencies arise from the exchange’s operational procedures and testing protocols, which we cannot control; we simply receive and store the data as it is provided.

The exchange server typically begins transmitting data before 09:30. We record all transmissions from the exchange, including those during non-trading hours.