The source files can be found in examples/.
Data preprocessing and the ingestion layer
Real price tables have gaps. An asset that lists partway through the window has no prices before its listing, which is a leading gap. A delisted asset has none after it, which is a trailing gap. A trading halt or a stale quote leaves a flat or missing stretch in the middle. Exchanges keep different holiday calendars, so the dates of two assets do not line up.
Two functions prepare such a table for the rest of the library. price_ingestion treats missing and NaN as the same absent price. By default it puts any factor and benchmark series on the dates of the price table, and it collapses the series to a lower frequency only when you give PriceIngestion a non-empty collapse_args. It states each asset's listing span, the observations between its listing and its delisting. It takes the span from the whole table. A run of gaps at the start of an asset's column means the asset was not yet listed, a run at the end means it was delisted, and a run in the middle is a suspension of an asset that stayed listed. prices_to_returns then computes the returns and keeps every gap in them. The ReturnsResult it returns holds an AssetPanel, which states the assets in the universe and the ones the library can estimate at each observation.
Neither function deletes an observation or an asset. A row deleted because one asset has a gap there is a row lost for every other asset. Deleting is a separate step, MissingDataFilter, and so is filling, PriceGapFill. Each is fitted on a training window, which records its choice of assets, and applied to later windows with that same choice. We call such a step a universe policy. If a walk-forward chose the assets afresh on every window, it would score each fold against a universe that the future of that fold chose.
Reach for these functions whenever the raw price table has missing values: assets that list or delist inside the window, halted or stale prices, or trading calendars that do not overlap. For each gap you choose to carry it, fill it or drop the asset. Carrying is the default and needs no configuration. Filling states a price convention across a suspension. Dropping removes an asset with too few prices to estimate.
using PortfolioOptimisers, PrettyTables, DataFrames, Statisticsresfmt = (v, i, j) -> begin if j == 1 return v else return isa(v, Number) ? "$(round(v * 100, digits = 3)) %" : v endend;1. A clean slice with gaps added
We start from the S&P 500 slice the other examples use and add three kinds of gap to it. Asset 3 is missing for most of the window, like an asset that lists late. Asset 2 is missing for a block of three weeks, like a halt. Sixty single days are missing, scattered over the other assets.
using CSV, TimeSeriesX = TimeArray(CSV.File(joinpath(@__DIR__, "..", "SP500.csv.gz")); timestamp = :Date)[(end - 252):end]ts = timestamp(X)nx = string.(colnames(X))T, N = size(values(X))vals = Matrix{Union{Float64, Missing}}(values(X))vals[1:160, 3] .= missingvals[100:120, 2] .= missingusing StableRNGsrng = StableRNG(42)for _ in 1:60 vals[rand(rng, 1:T), rand(rng, 4:N)] = missingendXmiss = TimeArray(ts, vals, Symbol.(nx))253×20 TimeSeries.TimeArray{Union{Missing, Float64}, 2, Date, Matrix{Union{Missing, Float64}}} 2021-12-28 to 2022-12-28
┌────────────┬─────────┬─────────┬─────────┬─────────┬─────────┬─────────┬─────────┬─────────┬─────────┬────────┬─────────┬─────────┬─────────┬─────────┬─────────┬─────────┬─────────┬─────────┬─────────┬─────────┐
│ │ AAPL │ AMD │ BAC │ BBY │ CVX │ GE │ HD │ JNJ │ JPM │ KO │ LLY │ MRK │ MSFT │ PEP │ PFE │ PG │ RRC │ UNH │ WMT │ XOM │
├────────────┼─────────┼─────────┼─────────┼─────────┼─────────┼─────────┼─────────┼─────────┼─────────┼────────┼─────────┼─────────┼─────────┼─────────┼─────────┼─────────┼─────────┼─────────┼─────────┼─────────┤
│ 2021-12-28 │ 177.738 │ 153.15 │ missing │ 92.981 │ 112.335 │ 73.953 │ 390.59 │ 163.569 │ 150.437 │ 56.324 │ 271.118 │ 73.413 │ 336.502 │ 165.585 │ 54.471 │ 155.94 │ 18.827 │ 492.795 │ 139.467 │ 58.376 │
│ 2021-12-29 │ 177.827 │ 148.26 │ missing │ 94.233 │ 111.757 │ 73.557 │ 395.032 │ 164.722 │ 150.361 │ 56.391 │ 273.07 │ 73.547 │ 337.192 │ 166.171 │ 54.068 │ 157.232 │ 18.788 │ 495.382 │ 139.398 │ 57.865 │
│ 2021-12-30 │ 176.657 │ 145.15 │ missing │ 94.877 │ 111.264 │ 73.487 │ 394.167 │ 165.451 │ 150.285 │ 56.228 │ 271.922 │ 73.729 │ 334.599 │ 165.883 │ 54.838 │ 155.872 │ 18.057 │ 494.255 │ 139.848 │ 57.525 │
│ 2021-12-31 │ 176.033 │ 143.9 │ missing │ 94.924 │ 111.188 │ 73.309 │ 399.042 │ 164.261 │ 150.162 │ 56.639 │ 270.912 │ 73.251 │ 331.64 │ 166.882 │ 55.448 │ 156.648 │ 17.622 │ 492.011 │ 141.332 │ 57.903 │
│ 2022-01-03 │ 180.434 │ 150.24 │ missing │ 95.41 │ 112.998 │ 74.682 │ 392.917 │ 164.712 │ 153.338 │ 56.726 │ 266.509 │ 73.471 │ 330.092 │ 166.181 │ 53.194 │ 155.997 │ 18.146 │ 492.148 │ 141.293 │ 60.127 │
│ 2022-01-04 │ 178.144 │ 144.42 │ missing │ 98.231 │ 115.054 │ 77.111 │ 396.955 │ 164.27 │ 159.151 │ 57.673 │ 261.683 │ 73.605 │ 324.432 │ 166.421 │ 51.204 │ 156.543 │ 18.432 │ 480.998 │ 138.705 │ 62.389 │
│ 2022-01-05 │ 173.406 │ 136.15 │ missing │ 96.232 │ 115.803 │ 77.111 │ 391.571 │ 165.365 │ 156.242 │ 58.151 │ 255.641 │ 75.392 │ 311.978 │ 166.988 │ 52.237 │ 157.251 │ 18.076 │ 479.812 │ 140.58 │ 63.165 │
│ 2022-01-06 │ 170.511 │ 136.23 │ missing │ 96.12 │ 116.788 │ 77.561 │ 390.148 │ 164.798 │ 157.902 │ 57.845 │ 254.347 │ missing │ 309.513 │ 167.026 │ 51.495 │ 155.93 │ 18.501 │ 460.177 │ 140.19 │ 64.65 │
│ 2022-01-07 │ 170.679 │ 132.0 │ missing │ 95.765 │ 118.465 │ 78.686 │ 378.465 │ 167.026 │ 159.466 │ 57.711 │ 254.514 │ 76.749 │ 309.67 │ 167.238 │ 52.321 │ 155.844 │ 18.491 │ 449.35 │ 141.528 │ 65.18 │
│ 2022-01-10 │ 170.699 │ 132.0 │ missing │ 95.999 │ 118.541 │ 77.15 │ 372.552 │ 166.2 │ 159.619 │ 57.807 │ 255.112 │ 78.728 │ 309.897 │ 167.324 │ missing │ 153.718 │ 19.45 │ 455.62 │ 141.254 │ 64.792 │
│ 2022-01-11 │ 173.564 │ 137.31 │ missing │ 97.25 │ 121.251 │ 78.989 │ 371.792 │ 164.434 │ 159.781 │ 57.826 │ 257.279 │ 78.059 │ 310.597 │ 167.247 │ 53.232 │ 151.937 │ 20.409 │ 459.54 │ 140.854 │ 67.518 │
│ 2022-01-12 │ 174.01 │ 137.47 │ missing │ 95.933 │ 120.644 │ 79.338 │ 374.417 │ 163.032 │ 160.687 │ 57.912 │ 251.002 │ 77.609 │ 313.842 │ 167.065 │ 53.194 │ 152.272 │ 22.158 │ 464.164 │ 140.111 │ 67.319 │
│ 2022-01-13 │ 170.699 │ 132.74 │ missing │ 95.858 │ 120.142 │ 79.509 │ 372.09 │ 162.043 │ 160.487 │ 58.256 │ 244.872 │ 77.724 │ 300.559 │ 167.334 │ 52.152 │ 151.582 │ 21.081 │ 458.001 │ 142.094 │ 66.836 │
│ 2022-01-14 │ 171.572 │ 136.88 │ missing │ missing │ 122.189 │ 80.052 │ 357.687 │ 161.159 │ 150.623 │ 58.725 │ 239.429 │ 77.781 │ 305.884 │ 168.736 │ 51.598 │ 153.038 │ 21.535 │ 459.236 │ 141.694 │ 68.01 │
│ 2022-01-18 │ 168.33 │ 131.93 │ missing │ 92.159 │ 122.587 │ 79.843 │ 352.61 │ 160.449 │ 144.307 │ 58.256 │ 242.322 │ 77.934 │ 298.439 │ 167.122 │ 50.809 │ 150.088 │ 20.251 │ 451.691 │ 139.213 │ 69.155 │
│ 2022-01-19 │ 164.791 │ 128.27 │ missing │ 92.822 │ 122.141 │ 78.081 │ 345.85 │ 159.949 │ 142.075 │ 58.352 │ 240.341 │ 77.695 │ 299.109 │ 168.323 │ 50.274 │ 155.135 │ 19.717 │ 453.19 │ 140.6 │ 69.183 │
│ 2022-01-20 │ 163.086 │ 121.89 │ missing │ 88.664 │ 121.706 │ 76.242 │ 336.129 │ 158.672 │ 140.864 │ 58.113 │ 238.458 │ 77.179 │ 297.404 │ 167.103 │ 50.753 │ 155.973 │ 18.254 │ 453.661 │ 137.943 │ 69.334 │
│ 2022-01-21 │ 161.004 │ 118.81 │ missing │ 90.112 │ 120.246 │ 74.729 │ 335.668 │ 158.308 │ 138.402 │ 57.826 │ 238.389 │ 76.443 │ 291.911 │ 167.372 │ 49.57 │ 156.57 │ 17.414 │ 451.868 │ 136.937 │ 68.294 │
│ 2022-01-24 │ 160.221 │ 116.53 │ missing │ 94.719 │ 120.502 │ 75.202 │ 349.812 │ 156.483 │ 138.278 │ 57.357 │ 235.8 │ 75.344 │ 292.246 │ 166.517 │ 48.396 │ 155.299 │ 17.898 │ 452.945 │ 136.947 │ 68.88 │
│ 2022-01-25 │ 158.397 │ 111.13 │ missing │ 91.589 │ 125.628 │ 70.701 │ 345.168 │ 160.958 │ 139.786 │ 57.223 │ 234.859 │ 75.946 │ 284.476 │ 164.605 │ 49.335 │ 153.604 │ 18.017 │ 447.625 │ 133.967 │ 70.905 │
│ 2022-01-26 │ 158.308 │ 110.71 │ missing │ 90.552 │ 125.723 │ 69.312 │ 343.533 │ 161.678 │ 141.112 │ 57.013 │ 233.289 │ 75.64 │ 292.582 │ 162.866 │ 49.776 │ 152.266 │ 17.958 │ 449.183 │ 132.6 │ 70.186 │
│ 2022-01-27 │ 157.842 │ 102.6 │ missing │ 89.786 │ 128.262 │ 69.762 │ 342.716 │ 163.8 │ 138.622 │ 57.06 │ 232.171 │ 77.017 │ 295.668 │ 162.713 │ 50.495 │ 153.21 │ 18.155 │ 452.289 │ 132.688 │ 71.085 │
│ 2022-01-28 │ 168.855 │ 105.24 │ missing │ 91.224 │ 123.752 │ 71.47 │ 352.437 │ 164.952 │ 139.862 │ 58.199 │ 240.39 │ 77.323 │ 303.971 │ 165.883 │ 51.404 │ 154.529 │ 19.203 │ 456.659 │ 134.329 │ 71.237 │
│ 2022-01-31 │ 173.267 │ 114.25 │ missing │ 92.757 │ 124.434 │ 73.316 │ 352.86 │ 165.432 │ 141.76 │ 58.361 │ 240.675 │ 77.877 │ 306.653 │ 166.7 │ 49.852 │ 154.48 │ 19.025 │ 463.038 │ 136.566 │ 71.88 │
│ 2022-02-01 │ 173.098 │ 116.78 │ missing │ 93.85 │ 127.713 │ 76.009 │ 354.514 │ 164.078 │ 144.193 │ 57.931 │ 243.509 │ 78.298 │ 304.464 │ 165.566 │ 50.212 │ 153.797 │ 20.142 │ 458.962 │ 137.64 │ 76.488 │
│ 2022-02-02 │ 174.318 │ 122.76 │ missing │ 92.542 │ 128.3 │ 76.079 │ 359.35 │ 165.893 │ 143.039 │ 58.524 │ 246.01 │ 78.384 │ 309.098 │ 168.573 │ 50.959 │ 156.55 │ 20.893 │ 470.102 │ 137.582 │ 76.29 │
│ 2022-02-03 │ 171.403 │ 120.08 │ missing │ 90.72 │ 127.154 │ 76.296 │ 350.773 │ 165.883 │ 141.856 │ 58.935 │ 240.106 │ 75.516 │ 297.058 │ 168.477 │ 50.505 │ 158.033 │ 20.211 │ 478.911 │ 137.718 │ 75.4 │
│ 2022-02-04 │ 171.115 │ 123.6 │ missing │ 90.468 │ 128.746 │ 76.832 │ 345.831 │ 164.798 │ missing │ 58.313 │ 237.615 │ 75.086 │ 301.683 │ 165.71 │ 50.145 │ 155.52 │ 20.142 │ 473.424 │ 136.097 │ 77.037 │
│ 2022-02-07 │ 170.391 │ 123.67 │ missing │ 91.168 │ 131.275 │ 77.522 │ 343.6 │ 164.251 │ 146.025 │ 58.926 │ 238.87 │ 74.149 │ 296.763 │ 165.057 │ 50.344 │ 154.355 │ 19.727 │ 473.943 │ 134.759 │ 77.965 │
│ 2022-02-08 │ 173.537 │ 128.23 │ missing │ 92.925 │ 129.276 │ 77.064 │ 347.533 │ 164.683 │ 148.772 │ 59.308 │ 235.3 │ 73.509 │ 300.322 │ 165.259 │ 48.915 │ 154.009 │ 18.837 │ 483.457 │ 134.788 │ 75.949 │
│ 2022-02-09 │ 174.977 │ 132.85 │ missing │ 95.503 │ 130.555 │ 77.018 │ 350.35 │ 164.664 │ 149.392 │ 58.39 │ 238.595 │ 73.146 │ 306.88 │ 165.182 │ 48.698 │ 153.662 │ 19.015 │ 488.053 │ 134.495 │ 75.585 │
│ 2022-02-10 │ 170.847 │ 125.77 │ missing │ 93.868 │ 128.897 │ 76.661 │ 341.427 │ 162.676 │ 148.772 │ 58.715 │ 235.035 │ 73.175 │ 298.173 │ 161.752 │ 47.875 │ 151.322 │ 20.102 │ 476.902 │ missing │ 74.858 │
│ 2022-02-11 │ 167.393 │ 113.18 │ missing │ 93.962 │ 131.522 │ 75.14 │ 336.812 │ 161.035 │ 146.836 │ 57.673 │ 231.21 │ 73.251 │ 290.935 │ 161.954 │ 48.045 │ 150.475 │ 20.745 │ 468.486 │ 132.19 │ 76.743 │
│ 2022-02-14 │ 167.631 │ 114.27 │ missing │ 94.027 │ 129.494 │ 74.962 │ 338.033 │ 159.008 │ 145.471 │ 58.046 │ 231.141 │ 73.089 │ 290.895 │ 160.148 │ 47.118 │ 150.908 │ 20.241 │ 464.831 │ 130.842 │ 75.566 │
│ 2022-02-15 │ 171.512 │ 121.47 │ missing │ 95.475 │ 128.546 │ 78.314 │ 339.668 │ 160.65 │ 147.599 │ 58.266 │ 240.153 │ 74.369 │ 296.289 │ 159.437 │ 47.108 │ 150.985 │ 20.013 │ 468.584 │ 131.252 │ 74.619 │
│ 2022-02-16 │ 171.274 │ 117.69 │ missing │ 93.084 │ 128.584 │ 78.694 │ 336.62 │ 160.554 │ 147.866 │ 58.256 │ 241.866 │ 73.805 │ 295.943 │ 159.763 │ 47.004 │ 152.131 │ 19.944 │ missing │ 130.431 │ 74.964 │
│ 2022-02-17 │ 167.631 │ 112.37 │ missing │ 92.149 │ 127.924 │ 76.405 │ 334.553 │ 159.575 │ 144.46 │ 59.423 │ 237.326 │ 72.983 │ 287.278 │ 160.196 │ 46.266 │ 153.874 │ 20.181 │ 460.853 │ 135.657 │ 74.849 │
│ 2022-02-18 │ 166.063 │ 113.83 │ missing │ 91.29 │ 127.742 │ 71.927 │ 333.524 │ 157.865 │ 145.137 │ 59.825 │ 236.676 │ 72.993 │ 284.511 │ 161.118 │ 45.916 │ 153.951 │ 20.191 │ missing │ 134.788 │ 74.016 │
│ 2022-02-22 │ 163.105 │ 115.65 │ missing │ 84.6 │ 126.765 │ 73.06 │ 304.005 │ 155.719 │ 144.88 │ 59.576 │ 235.514 │ 72.592 │ 284.303 │ 161.733 │ missing │ 152.054 │ 19.747 │ 453.181 │ 133.284 │ 73.155 │
│ 2022-02-23 │ 158.886 │ 109.76 │ missing │ 82.806 │ 129.781 │ 71.896 │ 296.582 │ 155.797 │ 141.846 │ 58.916 │ 234.706 │ 72.486 │ 276.942 │ 160.138 │ 44.346 │ 150.157 │ 22.385 │ 450.349 │ 131.916 │ 73.452 │
│ 2022-02-24 │ 161.537 │ 116.61 │ missing │ 85.562 │ 129.111 │ 71.811 │ 301.188 │ 152.82 │ 137.897 │ 57.883 │ 239.404 │ 70.259 │ 291.092 │ 157.352 │ 43.485 │ 146.114 │ 23.591 │ 446.694 │ 131.408 │ 72.524 │
│ 2022-02-25 │ 163.631 │ 121.06 │ missing │ 89.533 │ 134.406 │ 74.783 │ 304.466 │ 160.416 │ 141.159 │ 60.121 │ 247.057 │ 72.945 │ 293.779 │ 161.762 │ 45.15 │ 152.353 │ 23.137 │ 466.154 │ 133.215 │ 74.476 │
│ 2022-02-28 │ 163.899 │ 123.34 │ missing │ 90.29 │ 137.872 │ 74.116 │ 303.678 │ 159.034 │ 135.273 │ 59.538 │ 246.17 │ 73.194 │ 295.242 │ 157.304 │ 44.412 │ 150.09 │ 22.682 │ 466.271 │ 132.024 │ 75.031 │
│ 2022-03-01 │ 161.993 │ 113.83 │ missing │ 90.795 │ 143.348 │ 71.648 │ 307.928 │ 158.483 │ 130.17 │ 59.28 │ 245.727 │ 72.964 │ 291.447 │ 155.892 │ 43.286 │ 147.606 │ 23.492 │ 466.643 │ 132.834 │ 75.748 │
│ 2022-03-02 │ 165.328 │ 118.28 │ missing │ 94.214 │ 147.58 │ 73.068 │ 314.774 │ 160.454 │ 132.869 │ 59.72 │ 250.327 │ 73.28 │ 296.625 │ 158.053 │ 45.131 │ 148.068 │ 24.896 │ 475.589 │ 133.0 │ 77.049 │
│ 2022-03-03 │ 165.001 │ 111.98 │ missing │ 102.903 │ 149.572 │ 71.741 │ 311.88 │ 162.812 │ 131.925 │ 59.758 │ 254.729 │ 73.738 │ 292.406 │ 157.884 │ 45.254 │ 148.617 │ 24.599 │ 476.775 │ 136.058 │ 77.537 │
│ 2022-03-04 │ 161.963 │ 108.41 │ missing │ 99.128 │ 151.898 │ 69.173 │ 311.784 │ 163.779 │ 128.214 │ 59.854 │ 258.895 │ 74.388 │ 286.418 │ 160.282 │ 46.03 │ 149.368 │ 26.171 │ 488.592 │ 139.506 │ 80.455 │
│ 2022-03-07 │ 158.122 │ 102.95 │ missing │ 97.83 │ 155.144 │ 66.314 │ 310.351 │ 166.417 │ 123.263 │ 58.428 │ 257.684 │ 74.293 │ 275.598 │ 157.091 │ 45.396 │ 147.154 │ 26.418 │ 477.049 │ 138.383 │ 83.354 │
│ 2022-03-08 │ 156.276 │ 105.53 │ missing │ missing │ 163.273 │ 68.466 │ 304.553 │ 163.044 │ 122.395 │ 56.113 │ 255.999 │ 73.547 │ 272.574 │ 152.662 │ 44.885 │ 141.329 │ 25.835 │ 463.91 │ 135.52 │ 83.986 │
│ 2022-03-09 │ 161.745 │ 111.05 │ missing │ 95.055 │ 159.194 │ 70.874 │ 306.836 │ 163.663 │ 127.298 │ 56.4 │ 258.816 │ 74.35 │ 285.074 │ 152.208 │ 46.124 │ 143.235 │ 26.368 │ 475.775 │ 136.224 │ 79.212 │
│ 2022-03-10 │ 157.348 │ 106.46 │ missing │ 92.177 │ 163.55 │ 70.936 │ 307.552 │ missing │ 125.791 │ 55.367 │ 261.997 │ 74.446 │ 282.199 │ 149.413 │ 46.55 │ 139.547 │ 27.801 │ 481.527 │ 139.32 │ 81.671 │
│ 2022-03-11 │ 153.586 │ 104.29 │ missing │ 88.375 │ 163.627 │ 71.674 │ 306.439 │ 163.653 │ 122.958 │ 55.405 │ 262.273 │ 74.799 │ 276.744 │ 148.659 │ 47.562 │ 137.891 │ 27.208 │ 474.53 │ 138.773 │ 81.25 │
│ 2022-03-14 │ 149.506 │ 102.25 │ missing │ 88.421 │ 159.625 │ 71.806 │ 307.958 │ 165.914 │ 124.179 │ 56.427 │ 264.932 │ 75.002 │ 273.157 │ 150.748 │ 49.436 │ missing │ 25.261 │ 479.493 │ 140.707 │ 78.341 │
│ 2022-03-15 │ 153.943 │ 109.33 │ missing │ 92.551 │ 151.544 │ 71.728 │ 317.805 │ 170.215 │ 126.382 │ 57.468 │ 271.295 │ 75.831 │ 283.74 │ missing │ 49.398 │ 144.679 │ 25.192 │ 489.31 │ 142.397 │ 73.882 │
│ 2022-03-16 │ 158.41 │ 115.37 │ missing │ 92.345 │ 150.998 │ 73.553 │ 320.098 │ 168.649 │ 132.03 │ 57.314 │ 272.26 │ 75.33 │ 290.894 │ 154.432 │ 50.07 │ 144.188 │ 25.202 │ 489.654 │ 141.977 │ 73.605 │
│ 2022-03-17 │ 159.432 │ 111.69 │ missing │ 92.766 │ 153.612 │ 74.198 │ 325.37 │ 170.852 │ 133.699 │ 57.921 │ 281.193 │ 76.12 │ 291.714 │ 155.631 │ 51.319 │ 144.641 │ 26.606 │ 498.263 │ 142.193 │ 75.566 │
│ 2022-03-18 │ 162.767 │ 113.46 │ missing │ 95.148 │ 154.847 │ 74.244 │ 329.607 │ 168.958 │ 133.652 │ 57.931 │ 283.29 │ 76.284 │ 296.862 │ 157.42 │ 51.574 │ 144.564 │ 26.24 │ 497.378 │ 142.614 │ 75.27 │
│ 2022-03-21 │ 164.157 │ 115.92 │ missing │ 92.532 │ 157.633 │ 73.646 │ 318.608 │ 169.915 │ 133.222 │ 58.394 │ 285.26 │ 76.236 │ 295.607 │ 157.198 │ 51.271 │ 145.112 │ 26.566 │ 498.892 │ 141.428 │ 78.647 │
│ 2022-03-22 │ 167.572 │ 114.78 │ missing │ 92.775 │ 157.107 │ 73.708 │ 318.956 │ 169.113 │ 136.056 │ 58.606 │ 280.71 │ 76.468 │ 300.449 │ 158.919 │ 50.183 │ 146.229 │ 26.447 │ 496.592 │ 141.006 │ 78.303 │
│ 2022-03-23 │ 168.951 │ 113.92 │ missing │ 91.05 │ 158.801 │ 72.776 │ 306.691 │ 168.475 │ 133.346 │ 58.22 │ 279.893 │ 76.882 │ 295.934 │ 158.087 │ 49.379 │ 145.209 │ 28.068 │ 494.538 │ 139.192 │ 79.537 │
│ 2022-03-24 │ 172.783 │ 120.53 │ missing │ 91.163 │ 159.223 │ 73.103 │ 305.462 │ 169.345 │ 134.214 │ 58.779 │ 283.34 │ 77.538 │ 300.489 │ 159.045 │ 49.757 │ 145.459 │ 28.76 │ 504.592 │ 140.055 │ 79.776 │
│ 2022-03-25 │ 173.428 │ 119.67 │ missing │ 90.777 │ 162.105 │ 73.025 │ 300.529 │ 170.968 │ 135.388 │ 59.309 │ 284.65 │ 78.435 │ 300.074 │ 159.789 │ 49.937 │ 147.144 │ 31.142 │ 504.169 │ 140.663 │ 81.517 │
│ 2022-03-28 │ 174.302 │ 120.24 │ missing │ 91.182 │ 159.27 │ 71.456 │ 304.011 │ 171.848 │ 134.386 │ 59.685 │ 287.25 │ 78.309 │ 307.01 │ 160.263 │ 50.41 │ 148.155 │ 30.836 │ 504.336 │ 143.164 │ 79.231 │
│ 2022-03-29 │ 177.637 │ 123.23 │ missing │ 94.972 │ 157.327 │ 73.514 │ 307.329 │ 171.761 │ 134.682 │ 59.917 │ 284.029 │ 78.656 │ 311.664 │ 162.642 │ 49.899 │ 149.676 │ 30.549 │ 501.909 │ 144.37 │ 78.81 │
│ 2022-03-30 │ 176.456 │ 119.22 │ missing │ 90.899 │ 158.438 │ 73.46 │ 298.381 │ 173.549 │ 134.071 │ 59.965 │ 285.506 │ 79.457 │ 310.133 │ 162.419 │ 49.615 │ 148.646 │ 30.331 │ 511.825 │ 146.958 │ 80.159 │
│ 2022-03-31 │ 173.319 │ 109.34 │ missing │ 85.687 │ 155.9 │ 71.068 │ 289.55 │ 171.268 │ 130.046 │ 59.762 │ 282.04 │ 79.119 │ 304.649 │ 161.859 │ 48.982 │ 147.115 │ 30.025 │ 501.162 │ 146.027 │ 79.02 │
│ 2022-04-01 │ 173.021 │ 108.19 │ missing │ 85.196 │ 157.231 │ 71.837 │ 292.026 │ 172.196 │ 129.082 │ 60.601 │ 288.244 │ 80.537 │ 305.746 │ 164.16 │ 48.792 │ 149.32 │ 31.181 │ 503.737 │ 148.076 │ 79.527 │
│ 2022-04-04 │ 177.121 │ 110.53 │ missing │ 88.929 │ 157.375 │ 71.472 │ 295.596 │ 170.534 │ 129.654 │ 60.283 │ 287.013 │ 80.508 │ 311.23 │ 163.735 │ 48.196 │ 148.347 │ 30.766 │ 501.211 │ 148.106 │ 79.566 │
│ 2022-04-05 │ 173.766 │ 106.82 │ missing │ missing │ 156.408 │ 69.98 │ 294.899 │ 171.635 │ 128.146 │ 60.215 │ 288.067 │ 80.73 │ 307.188 │ 163.909 │ 48.48 │ 148.867 │ 30.737 │ 508.817 │ 148.527 │ 79.154 │
│ 2022-04-06 │ 170.559 │ 103.67 │ missing │ 85.837 │ 157.796 │ 69.833 │ 288.786 │ 176.1 │ 126.368 │ 60.823 │ 301.215 │ 81.935 │ 295.943 │ 166.703 │ 50.022 │ 150.995 │ 31.152 │ 522.566 │ 151.979 │ 80.034 │
│ 2022-04-07 │ 170.867 │ 103.72 │ missing │ 86.789 │ 159.989 │ 69.483 │ 292.858 │ 175.646 │ 125.983 │ 61.15 │ 303.766 │ 83.7 │ 297.791 │ 166.858 │ 52.189 │ 152.95 │ 31.004 │ 527.676 │ 153.499 │ 81.374 │
│ 2022-04-08 │ 168.832 │ 101.0 │ missing │ 88.005 │ 162.698 │ 69.701 │ 300.945 │ missing │ 128.29 │ 61.526 │ 306.977 │ 84.548 │ 293.443 │ 167.419 │ 52.198 │ missing │ 32.219 │ 536.53 │ 154.352 │ 83.087 │
│ 2022-04-11 │ 164.524 │ 97.37 │ missing │ 88.76 │ 158.514 │ 69.646 │ 296.698 │ 173.79 │ 127.819 │ 61.507 │ 304.288 │ 83.536 │ 281.873 │ 166.906 │ 51.025 │ 153.556 │ 31.557 │ 528.157 │ 151.293 │ 80.226 │
│ 2022-04-12 │ 166.42 │ 95.1 │ missing │ 87.883 │ 161.817 │ 69.903 │ 296.282 │ 173.848 │ 126.416 │ 62.23 │ 303.421 │ 82.571 │ 278.711 │ 167.583 │ 50.249 │ 153.094 │ 31.379 │ 524.492 │ 150.253 │ 81.9 │
│ 2022-04-13 │ 169.14 │ 97.74 │ missing │ 89.768 │ 164.364 │ 70.485 │ 300.277 │ 174.583 │ 122.341 │ 62.394 │ 298.093 │ 83.054 │ 284.204 │ 167.293 │ 50.24 │ 153.527 │ 32.298 │ 527.725 │ missing │ 83.058 │
│ 2022-04-14 │ 164.068 │ 93.06 │ missing │ 88.458 │ 164.287 │ 70.547 │ 294.57 │ 173.848 │ 121.207 │ 62.673 │ 297.295 │ 83.806 │ 276.507 │ 166.229 │ 50.259 │ 152.67 │ 32.012 │ 525.583 │ 154.028 │ 84.034 │
│ 2022-04-18 │ 163.849 │ 93.89 │ missing │ 88.119 │ 166.49 │ 70.213 │ 290.401 │ 171.683 │ 123.456 │ 62.114 │ 294.301 │ 82.996 │ 277.189 │ 164.798 │ 49.048 │ 151.217 │ 33.563 │ 524.856 │ 152.852 │ 84.723 │
│ 2022-04-19 │ 166.162 │ 96.93 │ missing │ 90.089 │ 164.517 │ 71.378 │ 297.743 │ 176.921 │ 126.012 │ 62.722 │ 292.519 │ 82.726 │ 281.912 │ 167.196 │ 47.477 │ 153.479 │ 32.259 │ 528.413 │ 154.587 │ 83.967 │
│ 2022-04-20 │ 165.993 │ 94.02 │ missing │ 88.986 │ 165.187 │ 70.99 │ 304.843 │ 177.704 │ 126.454 │ 63.579 │ 288.491 │ 83.372 │ 282.959 │ 169.682 │ 47.07 │ 157.561 │ 32.585 │ 536.579 │ 156.529 │ 84.158 │
│ 2022-04-21 │ 165.189 │ 89.85 │ missing │ 88.269 │ 157.576 │ 71.239 │ 300.219 │ 177.192 │ 125.474 │ 63.82 │ 285.231 │ 83.15 │ 277.475 │ 169.072 │ 46.465 │ 157.438 │ 31.29 │ 528.157 │ 156.764 │ 83.268 │
│ 2022-04-22 │ 160.594 │ 88.14 │ missing │ 86.045 │ 154.1 │ 69.18 │ 290.304 │ 175.433 │ missing │ 62.895 │ 274.515 │ 81.569 │ 270.776 │ 166.471 │ 45.538 │ 156.122 │ 29.995 │ 511.943 │ 153.813 │ 81.451 │
│ 2022-04-25 │ 161.676 │ 90.69 │ missing │ 87.732 │ 150.788 │ 69.809 │ 294.976 │ 179.753 │ 121.832 │ 63.56 │ 280.887 │ 82.388 │ 277.386 │ 168.009 │ 46.313 │ 157.38 │ 29.916 │ 515.215 │ 153.891 │ 78.705 │
│ 2022-04-26 │ 155.641 │ 85.16 │ missing │ 87.506 │ 149.868 │ 62.594 │ 290.159 │ 178.467 │ 118.228 │ 62.702 │ 278.553 │ 81.463 │ 267.011 │ 167.583 │ 46.389 │ 154.708 │ 29.155 │ 504.906 │ 152.283 │ 78.733 │
│ 2022-04-27 │ 155.412 │ 84.91 │ missing │ 87.694 │ 149.591 │ 60.745 │ 291.746 │ 175.974 │ 116.69 │ 63.194 │ 280.779 │ 81.395 │ 279.857 │ 169.082 │ 47.061 │ missing │ 30.47 │ 504.936 │ 151.244 │ 80.982 │
│ 2022-04-28 │ 162.43 │ 89.64 │ missing │ 88.213 │ 154.905 │ 60.373 │ 301.574 │ 177.288 │ 118.535 │ 63.801 │ 292.775 │ 85.416 │ 286.191 │ 171.645 │ 47.789 │ 158.213 │ 30.628 │ 515.362 │ 153.175 │ 83.431 │
│ 2022-04-29 │ 156.484 │ 85.52 │ missing │ 84.772 │ 150.002 │ 57.903 │ 290.585 │ 174.389 │ 114.71 │ 62.278 │ 287.713 │ 85.522 │ 274.224 │ 166.046 │ 46.427 │ 155.444 │ 29.59 │ 499.766 │ 150.018 │ 81.565 │
│ 2022-05-02 │ 156.792 │ 89.84 │ missing │ 88.43 │ 152.951 │ 58.679 │ 296.94 │ 172.63 │ missing │ 61.15 │ 285.181 │ 84.519 │ 281.092 │ 162.226 │ 45.736 │ 153.343 │ 29.501 │ 492.494 │ 149.027 │ 82.675 │
│ 2022-05-03 │ 158.301 │ 91.13 │ missing │ 89.221 │ 155.575 │ 60.318 │ 294.996 │ 172.292 │ 118.237 │ 60.803 │ 283.714 │ 83.989 │ 278.434 │ 162.448 │ 46.635 │ 151.242 │ 30.658 │ 490.991 │ 149.547 │ 84.378 │
│ 2022-05-04 │ 164.792 │ 99.42 │ missing │ 92.181 │ 160.458 │ 62.47 │ 305.008 │ 174.138 │ 122.149 │ 62.683 │ 290.441 │ 85.358 │ 286.536 │ 168.125 │ 46.985 │ 152.355 │ 31.666 │ 498.853 │ 151.616 │ 87.737 │
│ 2022-05-05 │ 155.611 │ 93.87 │ missing │ 86.921 │ 159.184 │ 61.041 │ 289.337 │ 170.814 │ 119.093 │ 62.182 │ 287.949 │ 84.866 │ 274.056 │ 164.769 │ 45.84 │ 149.548 │ 30.341 │ 486.175 │ 150.317 │ 86.407 │
│ 2022-05-06 │ 156.346 │ 95.34 │ missing │ 86.167 │ 163.426 │ 60.761 │ 284.694 │ 170.437 │ 118.9 │ 62.403 │ 292.41 │ 85.233 │ 271.468 │ 164.789 │ 46.399 │ 151.039 │ 30.183 │ 490.991 │ 147.188 │ 87.727 │
│ 2022-05-09 │ 151.157 │ 86.36 │ missing │ 85.856 │ 152.473 │ 56.676 │ 287.325 │ 171.365 │ missing │ 62.278 │ 284.856 │ 84.51 │ 261.438 │ 166.036 │ 46.02 │ 150.661 │ 26.388 │ 478.019 │ 148.91 │ 80.809 │
│ 2022-05-10 │ 153.593 │ 88.73 │ missing │ 83.65 │ 153.938 │ 56.94 │ 281.647 │ 171.133 │ missing │ 61.7 │ 281.38 │ 84.674 │ 266.3 │ 165.833 │ 46.824 │ 149.867 │ 26.358 │ 479.581 │ 146.814 │ 81.345 │
│ 2022-05-11 │ 145.63 │ 87.92 │ missing │ 78.984 │ 156.216 │ 56.264 │ 273.715 │ 170.205 │ 113.538 │ 61.989 │ 282.355 │ 86.004 │ 257.456 │ 165.03 │ 46.787 │ 147.756 │ 27.199 │ 477.753 │ 145.278 │ 83.039 │
│ 2022-05-12 │ 141.714 │ 87.06 │ missing │ 82.35 │ 157.7 │ 56.916 │ 280.225 │ 171.886 │ 113.442 │ 62.182 │ 287.388 │ 87.586 │ 252.318 │ 164.779 │ 48.065 │ 147.156 │ 26.754 │ 470.53 │ 145.141 │ 83.416 │
│ 2022-05-13 │ 146.237 │ 95.12 │ missing │ 81.407 │ 160.726 │ 58.291 │ 286.358 │ 170.901 │ 114.451 │ 63.348 │ 288.188 │ 87.181 │ 258.019 │ 167.989 │ 47.616 │ 148.734 │ 26.764 │ 477.016 │ 145.701 │ 85.89 │
│ 2022-05-16 │ 144.676 │ 94.24 │ missing │ 79.908 │ 165.647 │ 57.965 │ 286.319 │ 172.089 │ 113.653 │ 63.579 │ 295.847 │ 89.023 │ 258.395 │ missing │ 48.332 │ 150.187 │ 27.287 │ 480.77 │ 145.859 │ 87.91 │
│ 2022-05-17 │ 148.354 │ 102.47 │ missing │ 79.654 │ 166.624 │ 59.34 │ 291.117 │ 172.804 │ 117.42 │ 63.406 │ 297.843 │ 89.678 │ 263.651 │ 168.705 │ 48.971 │ 149.761 │ 28.73 │ 484.023 │ 129.266 │ 89.032 │
│ 2022-05-18 │ 139.984 │ 96.28 │ missing │ 71.283 │ 162.231 │ 58.408 │ 275.862 │ 169.596 │ 115.412 │ 58.991 │ 291.706 │ 88.81 │ 251.648 │ 158.252 │ 48.074 │ 140.427 │ 27.455 │ 463.238 │ 120.488 │ 87.62 │
│ 2022-05-19 │ 136.535 │ missing │ missing │ 69.115 │ 161.073 │ 58.827 │ 278.358 │ 168.089 │ 113.701 │ 57.835 │ 282.891 │ 88.801 │ 250.717 │ 155.882 │ 48.313 │ 137.193 │ 27.791 │ 470.285 │ 117.181 │ 88.094 │
│ 2022-05-20 │ 136.773 │ missing │ missing │ 68.21 │ 162.0 │ 58.446 │ 277.806 │ 171.026 │ 112.769 │ 58.779 │ 295.323 │ 90.209 │ 250.142 │ 156.859 │ 50.049 │ 137.281 │ 27.851 │ 477.341 │ 117.309 │ 88.79 │
│ 2022-05-23 │ 142.261 │ missing │ missing │ 68.427 │ 165.764 │ 58.609 │ 276.684 │ 174.518 │ 119.746 │ 60.591 │ 299.029 │ 90.479 │ 258.155 │ 160.137 │ 50.44 │ 140.437 │ 28.898 │ 483.581 │ 120.655 │ 90.752 │
│ 2022-05-24 │ 139.527 │ missing │ missing │ 69.256 │ 166.653 │ 57.879 │ 278.513 │ 176.424 │ 121.438 │ 61.709 │ 302.349 │ 91.26 │ 257.134 │ 162.284 │ 50.945 │ 142.935 │ 28.651 │ 488.966 │ 122.161 │ 91.245 │
│ 2022-05-25 │ 139.686 │ missing │ missing │ 75.468 │ 169.327 │ 57.887 │ 283.978 │ 174.693 │ 122.283 │ 61.758 │ 303.386 │ 90.401 │ 260.007 │ 163.396 │ 51.231 │ 140.592 │ 32.348 │ 489.487 │ 121.413 │ 93.082 │
│ 2022-05-26 │ 142.927 │ missing │ missing │ 77.344 │ 170.466 │ 59.813 │ 292.916 │ 174.537 │ 124.398 │ 61.979 │ 309.76 │ 89.013 │ 263.354 │ 164.498 │ 51.499 │ 141.821 │ 34.305 │ 493.556 │ 124.001 │ 93.41 │
│ 2022-05-27 │ 148.752 │ missing │ missing │ 79.173 │ 172.097 │ 61.173 │ 298.381 │ 176.123 │ 126.156 │ 62.346 │ 319.662 │ 89.755 │ 270.624 │ 166.104 │ 51.422 │ 143.99 │ 35.747 │ 498.351 │ 126.442 │ 94.328 │
│ 2022-05-31 │ 147.957 │ missing │ missing │ 77.354 │ 168.603 │ 60.808 │ 292.858 │ 174.605 │ 127.079 │ 61.093 │ 309.741 │ 88.743 │ 269.267 │ 162.216 │ 50.592 │ 143.177 │ 33.553 │ 488.2 │ 126.59 │ 92.792 │
│ 2022-06-01 │ 147.827 │ missing │ missing │ 75.487 │ 170.205 │ 60.209 │ 289.295 │ 172.835 │ 124.849 │ 60.794 │ 307.408 │ 87.885 │ 269.812 │ 160.998 │ 49.953 │ 141.008 │ 34.828 │ 484.043 │ 123.46 │ missing │
│ 2022-06-02 │ 150.312 │ missing │ missing │ 76.599 │ 169.896 │ 60.582 │ 297.745 │ 172.291 │ 126.858 │ 61.43 │ 298.861 │ 86.785 │ 271.951 │ 162.303 │ 50.249 │ 142.528 │ 34.591 │ 483.758 │ 125.487 │ 94.406 │
│ 2022-06-03 │ 144.517 │ missing │ missing │ 75.779 │ 171.441 │ 59.782 │ 296.976 │ 171.581 │ 125.089 │ 60.697 │ 298.09 │ 86.699 │ 267.435 │ 160.521 │ 50.745 │ 141.25 │ 34.453 │ 477.223 │ 123.332 │ 95.778 │
│ 2022-06-06 │ 145.273 │ missing │ missing │ 74.724 │ 170.697 │ 59.806 │ 295.817 │ 171.561 │ 124.676 │ 60.601 │ 299.78 │ 86.631 │ 266.177 │ 161.193 │ 50.802 │ 140.698 │ 35.293 │ 481.714 │ 122.889 │ 95.537 │
│ 2022-06-07 │ 147.827 │ missing │ missing │ 73.856 │ 173.95 │ 60.582 │ 293.754 │ 173.448 │ 125.003 │ 60.967 │ 308.416 │ 87.248 │ 269.891 │ 162.186 │ 51.47 │ 142.267 │ 36.588 │ 488.514 │ 121.413 │ 99.915 │
│ 2022-06-08 │ 147.082 │ missing │ missing │ 72.697 │ 174.848 │ 59.93 │ 289.626 │ 172.417 │ 123.014 │ 60.62 │ 309.79 │ 86.284 │ 267.821 │ 161.378 │ 51.003 │ 140.495 │ 35.579 │ 485.006 │ 120.36 │ 101.094 │
│ 2022-06-09 │ 141.793 │ missing │ missing │ 70.632 │ 171.363 │ 58.081 │ 291.894 │ 168.945 │ 120.428 │ 59.57 │ 299.671 │ 84.857 │ 262.255 │ 158.505 │ 49.391 │ 137.958 │ 34.927 │ 480.977 │ 119.1 │ 98.91 │
│ 2022-06-10 │ 136.316 │ missing │ missing │ 68.436 │ 169.317 │ 55.324 │ 281.556 │ 167.817 │ 114.893 │ 59.194 │ 293.505 │ 84.066 │ 250.568 │ 158.252 │ 47.664 │ 137.435 │ 34.038 │ 476.26 │ 119.769 │ 97.102 │
│ 2022-06-13 │ 131.097 │ missing │ missing │ 66.27 │ 161.527 │ 52.598 │ 275.638 │ 166.125 │ 111.472 │ 59.126 │ missing │ 81.964 │ 239.941 │ 155.545 │ 45.699 │ 133.756 │ 32.021 │ 461.587 │ 117.516 │ 92.647 │
│ 2022-06-14 │ 131.972 │ missing │ missing │ 67.358 │ 161.739 │ 52.854 │ 271.267 │ 163.576 │ 109.617 │ 57.505 │ 287.358 │ 82.149 │ 242.149 │ 152.02 │ 45.709 │ 129.583 │ 29.62 │ 453.775 │ 117.565 │ 92.888 │
│ 2022-06-15 │ 134.626 │ missing │ missing │ 68.474 │ 158.563 │ 53.67 │ 272.299 │ 165.327 │ 110.914 │ 57.932 │ 289.532 │ 82.275 │ 249.35 │ 153.646 │ 46.271 │ 128.296 │ 30.331 │ 456.31 │ 117.486 │ 91.719 │
│ 2022-06-16 │ 129.288 │ missing │ missing │ 65.344 │ 150.088 │ 50.71 │ 266.196 │ 165.415 │ 109.011 │ 57.349 │ 284.67 │ 82.528 │ 242.625 │ 152.906 │ 45.289 │ 129.08 │ 28.839 │ 449.811 │ 118.707 │ 88.336 │
│ 2022-06-17 │ 130.779 │ missing │ missing │ 67.282 │ 143.234 │ 51.262 │ 263.538 │ 164.812 │ 108.627 │ 57.699 │ missing │ 82.265 │ 245.279 │ 152.935 │ 44.383 │ 128.15 │ 25.983 │ 445.836 │ 116.414 │ 83.242 │
│ 2022-06-21 │ 135.063 │ 83.79 │ missing │ 67.243 │ 149.229 │ 51.068 │ 262.049 │ 168.264 │ missing │ 58.932 │ 293.831 │ 85.58 │ 251.311 │ 156.49 │ 45.89 │ 132.033 │ 26.606 │ 473.707 │ 120.232 │ 88.423 │
│ 2022-06-22 │ 134.547 │ 83.75 │ missing │ 66.68 │ 142.742 │ 50.128 │ 261.835 │ 170.919 │ 110.693 │ 59.369 │ 303.07 │ 86.679 │ 250.707 │ 157.775 │ 46.806 │ 134.095 │ 25.904 │ 482.939 │ 118.775 │ 84.924 │
│ 2022-06-23 │ 137.449 │ 82.43 │ missing │ 68.026 │ 137.49 │ 49.763 │ 268.104 │ 174.732 │ 109.482 │ 60.078 │ 309.029 │ 89.44 │ 256.382 │ 159.79 │ 47.779 │ 137.774 │ 24.056 │ 492.929 │ 121.659 │ 82.362 │
│ 2022-06-24 │ 140.819 │ 87.08 │ missing │ 71.27 │ 139.749 │ 52.101 │ 275.482 │ 177.29 │ missing │ 61.204 │ 321.777 │ 90.539 │ 265.137 │ 161.767 │ 49.209 │ 139.759 │ 25.983 │ 488.817 │ 121.757 │ 83.996 │
│ 2022-06-27 │ 140.819 │ 86.16 │ missing │ 68.837 │ 142.452 │ 51.875 │ 275.18 │ 177.124 │ 111.846 │ 61.078 │ 323.407 │ 91.783 │ 262.354 │ 161.981 │ 49.486 │ 138.694 │ 26.793 │ 498.699 │ 122.151 │ 86.054 │
│ 2022-06-28 │ 136.624 │ 80.78 │ missing │ 65.698 │ 144.74 │ 51.23 │ 262.974 │ 172.086 │ 111.308 │ 60.466 │ 313.871 │ 89.333 │ 254.025 │ 159.703 │ 48.322 │ 136.438 │ 27.327 │ 501.44 │ 120.429 │ 88.442 │
│ 2022-06-29 │ 138.404 │ 77.99 │ missing │ 64.075 │ 141.883 │ 49.527 │ 266.595 │ 172.135 │ 110.808 │ 60.903 │ 319.188 │ 89.936 │ 257.768 │ 162.351 │ 48.589 │ 137.678 │ 26.378 │ 508.61 │ 119.986 │ 85.175 │
│ 2022-06-30 │ 135.908 │ 76.47 │ missing │ missing │ 139.759 │ 49.511 │ 266.984 │ 172.641 │ 108.223 │ 61.078 │ 320.403 │ 88.633 │ 254.371 │ 162.283 │ 50.011 │ 139.217 │ 24.461 │ 506.559 │ 119.651 │ 82.778 │
│ 2022-07-01 │ 138.105 │ 73.67 │ missing │ 63.713 │ 141.429 │ 49.41 │ 271.666 │ 174.596 │ 109.607 │ 62.505 │ 320.878 │ 89.848 │ 257.095 │ 164.942 │ 49.896 │ 141.463 │ 25.084 │ 510.277 │ 120.685 │ 84.624 │
│ 2022-07-05 │ 140.72 │ 75.2 │ missing │ 66.776 │ 137.712 │ 48.236 │ 276.193 │ 173.254 │ 109.19 │ 61.437 │ 323.318 │ 90.062 │ 260.334 │ 164.572 │ 49.257 │ 140.098 │ 23.898 │ 498.284 │ 122.279 │ 81.976 │
│ 2022-07-06 │ 142.072 │ 75.35 │ missing │ 65.383 │ 135.898 │ 47.878 │ 276.047 │ 173.409 │ 108.482 │ 61.563 │ 326.253 │ 90.539 │ 263.661 │ 166.217 │ 50.316 │ 141.405 │ 23.749 │ 508.196 │ 123.145 │ 80.497 │
│ 2022-07-07 │ 145.481 │ 79.3 │ missing │ 67.644 │ 138.543 │ 48.99 │ 279.074 │ 173.604 │ 111.226 │ 61.078 │ 324.079 │ 90.422 │ 265.83 │ 165.886 │ 50.955 │ 141.357 │ 25.904 │ 507.298 │ 123.332 │ 83.068 │
│ 2022-07-08 │ 146.167 │ 79.35 │ missing │ 67.911 │ 137.819 │ 49.185 │ 278.86 │ 173.39 │ 110.877 │ 61.301 │ 326.57 │ 90.198 │ 265.098 │ 167.366 │ 50.716 │ 140.408 │ 25.321 │ 511.49 │ 123.411 │ 83.203 │
│ 2022-07-11 │ 144.01 │ 76.95 │ missing │ 66.709 │ 136.602 │ 48.143 │ 278.782 │ 173.458 │ 109.423 │ 61.107 │ 327.162 │ 91.676 │ 261.978 │ 165.993 │ 50.449 │ 141.395 │ 26.022 │ missing │ 123.46 │ 82.778 │
│ 2022-07-12 │ 144.994 │ 76.36 │ missing │ 67.196 │ 134.102 │ 49.006 │ 277.546 │ 171.026 │ 109.53 │ 60.845 │ 319.771 │ 90.995 │ 251.241 │ 165.049 │ 49.639 │ 140.146 │ 26.072 │ missing │ 123.086 │ 81.676 │
│ 2022-07-13 │ 144.626 │ 77.52 │ missing │ 68.026 │ 133.204 │ 48.22 │ 279.551 │ 170.628 │ 108.502 │ 60.563 │ 318.654 │ 91.161 │ 250.301 │ 165.633 │ 49.4 │ 141.066 │ 26.803 │ 494.339 │ 123.381 │ 82.005 │
│ 2022-07-14 │ 147.589 │ 78.6 │ missing │ 67.883 │ 131.225 │ 47.505 │ 281.79 │ 170.861 │ 104.711 │ 60.369 │ 323.032 │ 91.268 │ 251.648 │ 166.49 │ 49.019 │ 140.65 │ 26.24 │ 495.513 │ 125.792 │ 80.361 │
│ 2022-07-15 │ 149.279 │ 81.11 │ missing │ 69.152 │ 132.876 │ 48.881 │ 284.642 │ 173.341 │ 109.51 │ 60.68 │ 327.686 │ 92.318 │ 254.262 │ 166.626 │ 49.362 │ 140.456 │ 26.694 │ 522.457 │ 127.023 │ 81.715 │
│ 2022-07-18 │ 146.197 │ 81.43 │ missing │ 69.982 │ 134.739 │ 49.519 │ 285.265 │ 169.451 │ 108.385 │ 59.854 │ 317.972 │ 89.771 │ 251.816 │ 163.841 │ 48.408 │ 138.752 │ 27.505 │ 512.22 │ 126.727 │ 83.222 │
│ 2022-07-19 │ 150.104 │ 85.88 │ missing │ 72.492 │ 139.595 │ 51.899 │ 291.865 │ 166.98 │ 111.071 │ 60.709 │ 322.35 │ 89.79 │ 257.045 │ 165.594 │ 48.999 │ 139.459 │ 28.058 │ 526.106 │ 127.505 │ 85.32 │
│ 2022-07-20 │ 152.132 │ 89.43 │ missing │ 74.543 │ 141.438 │ 52.793 │ 294.269 │ 166.027 │ 111.052 │ 59.709 │ 318.229 │ 87.155 │ 259.759 │ 163.841 │ 48.475 │ 137.048 │ 29.966 │ 512.318 │ 128.568 │ 86.257 │
│ 2022-07-21 │ 154.428 │ 91.09 │ missing │ 74.619 │ 140.357 │ 52.979 │ 296.898 │ 166.611 │ 111.808 │ 59.573 │ 323.062 │ 87.632 │ 262.305 │ 164.085 │ 48.761 │ 137.178 │ 30.065 │ 515.267 │ 130.447 │ 84.817 │
│ 2022-07-22 │ 153.175 │ 88.1 │ missing │ 73.284 │ 139.189 │ 53.026 │ 298.445 │ 167.399 │ 111.265 │ 59.796 │ 324.87 │ 87.603 │ 257.867 │ 165.156 │ missing │ 139.37 │ 29.373 │ 514.232 │ 130.113 │ 84.17 │
│ 2022-07-25 │ 152.042 │ 87.54 │ missing │ 72.367 │ 143.33 │ 53.158 │ 298.017 │ 167.729 │ 111.711 │ 60.379 │ 327.637 │ 88.011 │ 256.352 │ 165.389 │ 49.381 │ 140.316 │ 31.458 │ 522.181 │ 129.926 │ 86.973 │
│ 2022-07-26 │ 150.7 │ 85.25 │ missing │ 68.713 │ 142.211 │ 55.608 │ 290.259 │ 168.916 │ 109.966 │ 61.369 │ 327.647 │ 88.75 │ 249.488 │ 167.317 │ 49.887 │ 140.588 │ 32.713 │ 524.272 │ 120.045 │ 86.634 │
│ 2022-07-27 │ 155.859 │ 89.82 │ missing │ missing │ 144.083 │ 55.662 │ 290.97 │ 168.449 │ 111.73 │ 61.175 │ 325.058 │ 88.691 │ 266.167 │ 167.084 │ 49.553 │ 141.924 │ 33.296 │ 527.25 │ 124.582 │ 88.51 │
│ 2022-07-28 │ 156.416 │ 91.67 │ missing │ 74.419 │ 145.174 │ 56.875 │ 291.67 │ 169.422 │ 111.313 │ 62.194 │ 326.896 │ 87.437 │ 273.764 │ 170.248 │ 48.755 │ 144.282 │ 31.903 │ 534.035 │ 127.692 │ 89.544 │
│ 2022-07-29 │ 161.545 │ 94.47 │ missing │ 73.465 │ 158.1 │ 57.474 │ 292.946 │ 169.733 │ 111.847 │ 62.301 │ 325.799 │ 86.854 │ 278.052 │ 170.365 │ 48.553 │ 135.365 │ missing │ 534.874 │ 129.955 │ 93.69 │
│ 2022-08-01 │ 160.551 │ 96.78 │ missing │ 73.455 │ 154.943 │ 58.944 │ 297.696 │ 169.14 │ 110.732 │ 62.641 │ 320.324 │ 86.067 │ 275.348 │ 172.303 │ 48.649 │ 139.253 │ 31.844 │ 528.009 │ 130.438 │ 91.322 │
│ 2022-08-02 │ 159.06 │ 99.29 │ missing │ 71.194 │ 153.621 │ 57.824 │ 292.722 │ 168.177 │ 109.006 │ 61.786 │ 316.421 │ 85.172 │ 272.189 │ 170.881 │ 47.765 │ 138.328 │ 31.31 │ 528.088 │ 130.575 │ 90.926 │
│ 2022-08-03 │ 165.144 │ 98.09 │ missing │ 72.224 │ 149.972 │ 58.12 │ 298.231 │ 169.801 │ 110.15 │ 62.058 │ 310.126 │ 85.182 │ 279.766 │ 172.186 │ 47.928 │ 141.183 │ 31.399 │ 533.207 │ 128.43 │ 87.978 │
│ 2022-08-04 │ 164.826 │ 103.91 │ missing │ 72.797 │ 145.898 │ 57.288 │ 299.01 │ 167.078 │ 108.938 │ 61.815 │ 302.181 │ 84.404 │ 280.934 │ 171.251 │ 47.928 │ 140.959 │ 29.65 │ 526.402 │ 123.578 │ 84.276 │
│ 2022-08-05 │ 164.597 │ 102.31 │ missing │ 72.883 │ 148.312 │ 57.824 │ 301.463 │ 166.416 │ 112.235 │ 61.534 │ 297.764 │ 84.978 │ 280.202 │ 169.966 │ 47.361 │ 141.027 │ 30.381 │ 527.694 │ 124.572 │ 85.494 │
│ 2022-08-08 │ 164.119 │ 100.07 │ missing │ 74.944 │ 148.09 │ 58.462 │ 303.683 │ 165.531 │ 110.867 │ 61.136 │ missing │ 86.028 │ 277.636 │ 169.284 │ 47.649 │ 141.563 │ 29.748 │ 529.213 │ 125.586 │ 85.977 │
│ 2022-08-09 │ 164.169 │ 95.54 │ missing │ 72.845 │ 150.02 │ 58.267 │ 297.102 │ 165.512 │ 111.866 │ 61.214 │ 299.444 │ 87.029 │ 279.597 │ 169.917 │ 47.851 │ 141.232 │ 31.794 │ 529.864 │ 126.826 │ 87.562 │
│ 2022-08-10 │ 168.469 │ 99.05 │ missing │ 74.915 │ 150.416 │ 59.986 │ 303.303 │ 165.988 │ 114.784 │ 61.796 │ 301.015 │ 86.708 │ 286.392 │ 171.32 │ 48.015 │ 142.567 │ 32.318 │ 530.317 │ 127.091 │ 88.394 │
│ 2022-08-11 │ 167.723 │ 98.12 │ missing │ 76.738 │ 154.084 │ 61.355 │ 302.437 │ 162.555 │ 116.481 │ 61.379 │ 297.615 │ 86.455 │ 284.272 │ 170.443 │ 46.419 │ 141.553 │ missing │ 525.524 │ 128.317 │ 90.951 │
│ 2022-08-12 │ 171.316 │ 100.83 │ missing │ 76.623 │ 154.306 │ 62.155 │ 306.525 │ 160.766 │ 118.411 │ 61.845 │ 305.438 │ 88.487 │ 289.115 │ 172.673 │ 48.169 │ 142.927 │ 33.712 │ 536.215 │ 130.689 │ 91.741 │
│ 2022-08-15 │ 172.401 │ 101.01 │ missing │ 77.606 │ 151.372 │ 62.062 │ 306.252 │ 161.534 │ 118.73 │ 62.621 │ 311.247 │ 88.079 │ 290.66 │ 174.572 │ 47.822 │ 144.769 │ 32.397 │ 537.142 │ 131.065 │ 90.102 │
│ 2022-08-16 │ 172.242 │ 100.2 │ missing │ 81.06 │ 150.985 │ 63.042 │ 318.683 │ 162.973 │ 119.865 │ 63.136 │ 307.649 │ 88.069 │ 289.908 │ 175.585 │ 47.928 │ 146.104 │ 33.079 │ 538.602 │ 137.757 │ 89.262 │
│ 2022-08-17 │ 173.755 │ 98.27 │ 35.447 │ 78.494 │ 152.231 │ 62.148 │ 317.106 │ 162.983 │ 118.857 │ 62.99 │ 314.103 │ 88.507 │ 289.143 │ 175.487 │ 47.361 │ 145.432 │ 32.99 │ 537.497 │ missing │ 89.984 │
│ 2022-08-18 │ 173.357 │ 100.44 │ 35.32 │ 78.646 │ 154.9 │ 61.596 │ 316.571 │ 162.195 │ 117.935 │ 63.32 │ 314.004 │ 88.857 │ 288.002 │ 175.662 │ 46.698 │ 145.948 │ 33.909 │ 537.714 │ 137.46 │ 92.112 │
│ 2022-08-19 │ 170.739 │ 95.95 │ 34.541 │ 75.889 │ 153.604 │ 60.437 │ 312.784 │ 164.666 │ 115.017 │ 63.272 │ 320.002 │ 89.518 │ 284.012 │ 175.438 │ 47.246 │ 145.909 │ 33.0 │ 540.771 │ 135.434 │ 91.819 │
│ 2022-08-22 │ 166.807 │ 92.84 │ 33.802 │ 73.875 │ 152.835 │ 58.151 │ 303.916 │ 164.088 │ 113.117 │ 62.33 │ 320.329 │ 88.623 │ 275.675 │ 173.764 │ 47.005 │ 145.519 │ 34.65 │ 537.073 │ 133.012 │ 91.751 │
│ 2022-08-23 │ 166.468 │ 92.49 │ 33.5 │ 75.23 │ 157.793 │ 59.177 │ 298.747 │ 162.659 │ 112.002 │ 62.398 │ 312.398 │ 87.69 │ 274.375 │ 173.686 │ 46.15 │ 142.713 │ 33.583 │ 528.424 │ 132.449 │ 95.645 │
│ 2022-08-24 │ 166.767 │ 92.73 │ 33.607 │ 74.076 │ 158.962 │ 59.675 │ 299.925 │ 162.12 │ 112.273 │ 62.485 │ 316.135 │ 87.505 │ 273.729 │ 174.552 │ 45.592 │ 142.099 │ 34.344 │ 529.075 │ 133.407 │ 96.211 │
│ 2022-08-25 │ 169.256 │ 97.18 │ 34.21 │ 74.61 │ 160.355 │ 60.764 │ 301.551 │ 163.638 │ 114.94 │ 62.786 │ 320.369 │ 87.758 │ 276.767 │ 174.562 │ 46.044 │ 141.982 │ 34.048 │ 534.114 │ 134.297 │ 96.709 │
│ 2022-08-26 │ 162.875 │ 91.18 │ 33.13 │ 70.755 │ 159.176 │ 58.532 │ 290.181 │ 160.837 │ 111.178 │ 61.272 │ 312.854 │ 86.776 │ 266.087 │ 170.443 │ 45.006 │ 138.659 │ 34.087 │ 521.964 │ missing │ 95.518 │
│ 2022-08-29 │ 160.645 │ 88.49 │ 33.003 │ 70.325 │ 160.364 │ 59.138 │ 288.448 │ 159.594 │ 110.906 │ 60.903 │ 307.49 │ 85.153 │ 263.248 │ 169.908 │ 44.439 │ 138.074 │ 33.761 │ 522.477 │ 131.342 │ 97.714 │
│ 2022-08-30 │ 158.186 │ 86.94 │ 33.188 │ 71.461 │ 156.458 │ 58.423 │ 285.314 │ 159.036 │ 110.926 │ 60.34 │ 304.407 │ 84.462 │ 261.005 │ 168.447 │ 44.074 │ 136.603 │ 31.32 │ 515.642 │ 130.946 │ 93.996 │
│ 2022-08-31 │ 156.504 │ 84.87 │ 32.721 │ 67.453 │ 153.965 │ 57.109 │ 282.59 │ 157.969 │ 110.266 │ 59.913 │ 298.647 │ 82.985 │ 259.516 │ 167.746 │ 43.478 │ 134.42 │ 32.476 │ 512.18 │ 131.015 │ 93.293 │
│ 2022-09-01 │ 157.241 │ 82.33 │ 32.799 │ 68.56 │ 151.51 │ 56.829 │ 287.44 │ 161.885 │ 111.023 │ 60.194 │ 306.479 │ 84.725 │ 258.454 │ 169.442 │ 44.823 │ 136.077 │ 31.587 │ 516.786 │ 132.923 │ 91.614 │
│ 2022-09-02 │ 155.1 │ 80.24 │ 32.76 │ 67.883 │ 153.76 │ 56.323 │ 286.0 │ 159.339 │ 110.247 │ 59.369 │ 298.746 │ 83.831 │ 254.147 │ 167.295 │ 43.929 │ 133.66 │ 31.794 │ 509.241 │ 131.46 │ 93.293 │
│ 2022-09-06 │ 153.826 │ 78.72 │ 32.398 │ 68.112 │ 153.049 │ 56.113 │ 283.687 │ 159.77 │ missing │ 59.398 │ 304.189 │ 84.015 │ 251.358 │ 166.168 │ 43.987 │ 132.169 │ 30.499 │ 510.553 │ 130.808 │ 92.668 │
│ 2022-09-07 │ 155.25 │ 79.61 │ 32.897 │ 69.887 │ 151.091 │ 57.218 │ 291.457 │ 160.642 │ 112.37 │ 60.495 │ 308.928 │ 84.453 │ 256.162 │ 169.834 │ 44.343 │ 134.167 │ 29.818 │ 514.498 │ 134.169 │ 91.878 │
│ 2022-09-08 │ 153.756 │ 82.78 │ 33.956 │ 71.28 │ missing │ 57.365 │ 293.838 │ 161.934 │ 114.988 │ 60.311 │ 312.794 │ 84.987 │ 256.588 │ 169.265 │ 45.256 │ 134.342 │ 30.163 │ 520.248 │ 134.851 │ 92.629 │
│ 2022-09-09 │ 156.653 │ 85.45 │ 34.24 │ 72.749 │ 155.825 │ 57.575 │ 293.711 │ 162.247 │ 115.541 │ 60.505 │ missing │ 84.91 │ 262.484 │ 169.805 │ 45.986 │ 136.388 │ 30.747 │ 518.744 │ 135.256 │ 94.181 │
│ 2022-09-12 │ 162.686 │ 84.64 │ 34.563 │ 74.257 │ 158.29 │ 58.571 │ 291.526 │ 162.179 │ 116.908 │ 60.68 │ 312.517 │ 85.707 │ 264.658 │ 170.471 │ 45.91 │ 137.499 │ 31.626 │ 525.58 │ 136.472 │ 95.264 │
│ 2022-09-13 │ 153.139 │ 77.03 │ 33.319 │ 70.316 │ 155.28 │ 55.087 │ 272.312 │ 157.959 │ 112.845 │ 58.709 │ missing │ 83.879 │ 250.107 │ 164.109 │ 44.4 │ 134.654 │ 31.102 │ 508.475 │ 133.655 │ 93.039 │
│ 2022-09-14 │ 154.603 │ 77.45 │ 33.191 │ 70.182 │ 159.04 │ 54.457 │ 270.754 │ 161.219 │ 112.584 │ 59.019 │ 306.955 │ 85.212 │ 250.336 │ 165.354 │ 44.362 │ 134.975 │ 32.658 │ 504.329 │ 133.358 │ 95.323 │
│ 2022-09-15 │ 151.676 │ 76.66 │ 33.818 │ 69.104 │ 156.458 │ 53.586 │ 266.051 │ 161.631 │ 114.28 │ 58.217 │ 306.816 │ 85.016 │ 243.547 │ 162.609 │ 44.16 │ 133.933 │ 31.122 │ 517.329 │ 131.925 │ 92.551 │
│ 2022-09-16 │ 150.014 │ 76.51 │ 33.436 │ 69.304 │ 152.396 │ 51.626 │ 270.392 │ 164.098 │ missing │ 58.227 │ 306.241 │ 85.967 │ 242.911 │ 163.678 │ 44.247 │ 134.751 │ 29.418 │ 515.459 │ 131.648 │ 90.97 │
│ 2022-09-19 │ 153.776 │ 76.77 │ 33.995 │ 71.449 │ 152.835 │ 52.14 │ 274.752 │ 162.805 │ missing │ 58.667 │ 302.473 │ 84.908 │ 242.693 │ 165.403 │ 43.679 │ 134.469 │ 30.042 │ 517.962 │ 132.775 │ 90.96 │
│ 2022-09-20 │ 156.185 │ 75.25 │ 33.485 │ 68.503 │ 152.231 │ 51.782 │ 268.628 │ 161.523 │ 112.302 │ 58.579 │ 299.142 │ 84.281 │ 240.639 │ 165.589 │ 43.035 │ 133.991 │ 29.596 │ 517.22 │ 132.004 │ 90.219 │
│ 2022-09-21 │ 153.02 │ 74.48 │ 32.486 │ 67.595 │ 150.994 │ 50.717 │ 266.081 │ 159.868 │ 109.064 │ 58.09 │ 293.937 │ 82.84 │ 237.165 │ 165.119 │ 42.218 │ 132.266 │ 28.784 │ 506.615 │ 133.21 │ 88.764 │
│ 2022-09-22 │ 152.044 │ 69.5 │ 31.849 │ 66.233 │ 150.877 │ 50.825 │ 263.7 │ 162.708 │ 107.823 │ 57.953 │ 308.204 │ 85.761 │ 239.18 │ 165.276 │ 42.843 │ 132.734 │ 27.179 │ 511.937 │ 131.846 │ 88.394 │
│ 2022-09-23 │ 149.745 │ 67.96 │ 31.094 │ 66.436 │ 141.019 │ 50.196 │ 265.463 │ 163.236 │ 105.816 │ 57.308 │ 308.789 │ 85.045 │ 236.142 │ 165.197 │ 42.372 │ 132.12 │ 24.771 │ 508.128 │ 128.554 │ 83.689 │
│ 2022-09-26 │ 150.083 │ 66.3 │ 30.408 │ 63.094 │ 137.308 │ 50.102 │ 261.191 │ 162.238 │ 103.538 │ 56.594 │ 304.863 │ 84.457 │ 235.676 │ 165.129 │ 42.132 │ 132.247 │ 23.522 │ 502.935 │ 129.79 │ 81.962 │
│ 2022-09-27 │ 151.069 │ 67.17 │ 29.957 │ 63.181 │ 137.366 │ 50.196 │ 263.259 │ 161.493 │ missing │ 55.137 │ 308.432 │ 84.124 │ 234.644 │ 162.737 │ 42.382 │ 128.612 │ 23.473 │ 502.944 │ 129.434 │ 83.68 │
│ 2022-09-28 │ 149.157 │ 68.36 │ 30.447 │ 65.141 │ 142.003 │ 50.188 │ 276.486 │ 162.884 │ 104.701 │ 55.724 │ 331.512 │ 85.045 │ 239.269 │ 165.344 │ 42.709 │ 128.612 │ 24.612 │ 508.455 │ 131.569 │ 86.725 │
│ 2022-09-29 │ 141.831 │ 64.14 │ 30.046 │ 62.862 │ 141.019 │ 48.841 │ 272.704 │ 161.092 │ 102.927 │ 55.323 │ 327.18 │ 84.908 │ 235.726 │ 163.325 │ 42.449 │ 125.416 │ 24.345 │ 503.4 │ 130.719 │ 86.549 │
│ 2022-09-30 │ 137.57 │ 63.36 │ 29.595 │ 61.181 │ 139.947 │ 48.202 │ 270.362 │ 159.946 │ 101.317 │ 54.785 │ 320.577 │ 84.399 │ 231.16 │ 160.041 │ 42.065 │ 123.028 │ 25.029 │ 499.65 │ 128.198 │ 85.212 │
│ 2022-10-03 │ 141.801 │ 66.11 │ 30.467 │ 61.5 │ 147.799 │ 49.518 │ 277.965 │ 159.79 │ 104.449 │ 55.401 │ 318.792 │ 85.8 │ 238.941 │ 161.992 │ 42.43 │ 125.231 │ 26.099 │ 510.008 │ 130.996 │ 89.711 │
│ 2022-10-04 │ 145.435 │ 67.9 │ 31.731 │ 65.103 │ 153.546 │ 52.586 │ 283.707 │ 162.159 │ 109.336 │ 55.528 │ 327.061 │ 86.623 │ 247.021 │ 163.815 │ 42.737 │ 126.78 │ 27.902 │ 517.586 │ 132.696 │ 92.981 │
│ 2022-10-05 │ 145.733 │ 67.94 │ 31.28 │ 65.586 │ 154.422 │ 52.508 │ 283.991 │ 161.66 │ 107.986 │ 55.0 │ 328.934 │ 86.623 │ 247.338 │ 162.727 │ 42.411 │ 125.903 │ 28.744 │ 521.445 │ 131.381 │ 96.738 │
│ 2022-10-06 │ 144.768 │ 67.85 │ 30.83 │ 64.533 │ 157.238 │ 51.558 │ 284.52 │ 158.527 │ 105.785 │ 53.817 │ 330.094 │ 85.692 │ 244.946 │ 159.59 │ 41.42 │ 123.252 │ 27.496 │ 513.59 │ 130.156 │ 99.607 │
│ 2022-10-07 │ 139.452 │ 58.44 │ 30.134 │ 62.331 │ 155.884 │ 50.266 │ 278.573 │ 156.852 │ 103.672 │ 53.308 │ 323.858 │ 85.849 │ 232.49 │ 158.423 │ 40.68 │ 121.099 │ 26.842 │ 499.462 │ 127.072 │ 98.602 │
│ 2022-10-10 │ 139.78 │ 57.81 │ 30.046 │ 61.181 │ 153.068 │ 50.593 │ 276.751 │ 157.058 │ 102.703 │ 53.191 │ 321.112 │ 88.671 │ 227.537 │ 158.629 │ 40.132 │ 120.602 │ 26.703 │ missing │ 127.823 │ 96.465 │
│ 2022-10-11 │ 138.347 │ 57.63 │ 29.173 │ missing │ 153.098 │ 49.83 │ 277.172 │ 159.33 │ 99.739 │ 53.279 │ 324.79 │ 89.23 │ 223.726 │ 159.384 │ 40.296 │ 121.06 │ 26.842 │ 494.476 │ 131.134 │ 95.645 │
│ 2022-10-12 │ 137.71 │ 57.85 │ 29.262 │ 61.046 │ 153.555 │ 50.406 │ 274.85 │ 159.29 │ 101.353 │ 53.924 │ 321.786 │ 88.613 │ 224.063 │ 166.05 │ 40.402 │ 121.255 │ 27.535 │ 494.624 │ 129.651 │ 96.065 │
│ 2022-10-13 │ 142.339 │ 58.94 │ 31.055 │ 62.311 │ 160.998 │ 52.897 │ 277.113 │ 161.699 │ 106.988 │ 54.638 │ 329.252 │ 90.641 │ 232.49 │ 171.167 │ 41.315 │ 123.087 │ 28.516 │ 504.468 │ 130.749 │ 99.422 │
│ 2022-10-14 │ 137.75 │ 55.94 │ 31.065 │ 61.191 │ 155.991 │ 52.609 │ 270.842 │ 161.023 │ 108.768 │ 53.768 │ 328.548 │ 90.337 │ 226.852 │ 166.834 │ 41.199 │ 121.888 │ 26.663 │ 507.654 │ 128.92 │ 96.806 │
│ 2022-10-17 │ 141.761 │ 57.96 │ 32.946 │ 63.354 │ 157.13 │ 53.435 │ 275.575 │ 163.109 │ 113.337 │ 54.462 │ missing │ 92.239 │ 235.755 │ 169.324 │ 41.959 │ 124.09 │ 27.109 │ 516.31 │ 129.849 │ 98.202 │
│ 2022-10-18 │ 143.095 │ 57.92 │ 34.181 │ 64.291 │ 158.504 │ missing │ 279.298 │ 162.541 │ 116.252 │ 55.196 │ 332.157 │ 92.719 │ 236.718 │ 171.608 │ 42.382 │ 125.094 │ 27.813 │ 516.637 │ 132.587 │ 98.378 │
│ 2022-10-19 │ 143.205 │ 57.23 │ 33.24 │ 61.567 │ 163.647 │ 54.914 │ 269.921 │ 161.249 │ 113.972 │ 54.726 │ 326.466 │ 91.396 │ 234.713 │ 169.942 │ 41.44 │ 126.254 │ 28.011 │ 514.767 │ 132.211 │ 101.296 │
│ 2022-10-20 │ 142.737 │ 57.77 │ 33.025 │ 60.708 │ 164.582 │ 54.478 │ 264.013 │ 161.66 │ 113.601 │ 53.866 │ 326.248 │ 91.082 │ 234.386 │ 168.079 │ 41.247 │ 124.628 │ 26.802 │ 515.321 │ 132.538 │ 101.433 │
│ 2022-10-21 │ 146.599 │ 58.82 │ 34.25 │ 61.596 │ 168.703 │ 56.697 │ 269.961 │ 165.185 │ 119.568 │ 54.726 │ 337.847 │ 93.758 │ 240.311 │ 169.648 │ 43.208 │ 126.188 │ 25.613 │ 528.034 │ 135.216 │ 103.316 │
│ 2022-10-24 │ 148.769 │ 58.7 │ 34.367 │ 61.625 │ 168.644 │ 57.117 │ 277.534 │ 167.407 │ 119.715 │ 56.301 │ 344.916 │ 95.424 │ 245.403 │ 174.177 │ 43.776 │ 126.963 │ 26.277 │ 535.82 │ 137.796 │ 104.038 │
│ 2022-10-25 │ 151.646 │ 61.47 │ 34.681 │ 63.451 │ 170.398 │ 56.837 │ 284.393 │ 167.143 │ 120.028 │ 57.65 │ 348.297 │ 95.757 │ 248.787 │ 174.755 │ 43.824 │ 128.426 │ 28.338 │ 534.454 │ 138.448 │ 103.336 │
│ 2022-10-26 │ 148.67 │ 59.73 │ 34.985 │ 63.741 │ 172.502 │ 58.752 │ 284.285 │ 168.612 │ 121.407 │ 58.081 │ 354.791 │ 96.443 │ 229.592 │ 175.539 │ 44.275 │ 129.329 │ 27.743 │ 537.373 │ 139.506 │ 104.565 │
│ 2022-10-27 │ 144.14 │ 58.6 │ 35.151 │ 63.596 │ 173.291 │ 59.173 │ 285.177 │ 168.709 │ 121.886 │ 58.217 │ 353.274 │ 97.746 │ 225.056 │ 175.353 │ 43.968 │ 129.427 │ 27.337 │ 536.018 │ 139.101 │ 104.966 │
│ 2022-10-28 │ 155.031 │ 62.01 │ 35.455 │ 66.02 │ 175.317 │ 60.987 │ 292.613 │ 171.216 │ 123.334 │ 59.42 │ 356.813 │ 98.756 │ 234.108 │ 178.637 │ 45.592 │ 132.705 │ 26.881 │ 545.357 │ 140.86 │ 108.04 │
│ 2022-10-31 │ 152.642 │ 60.06 │ 35.318 │ 66.078 │ 176.213 │ 60.582 │ 290.144 │ 170.335 │ 123.138 │ 58.53 │ 358.985 │ 99.177 │ 230.396 │ 178.0 │ 44.746 │ 132.165 │ 28.219 │ 549.225 │ 140.682 │ 108.147 │
│ 2022-11-01 │ 149.964 │ 59.66 │ 35.475 │ 66.532 │ 177.499 │ 60.893 │ 290.076 │ 169.473 │ 125.359 │ 58.325 │ 349.556 │ 97.766 │ 226.465 │ 177.196 │ 46.15 │ 132.371 │ 27.981 │ 541.469 │ 140.05 │ 109.221 │
│ 2022-11-02 │ 144.369 │ 58.63 │ 35.367 │ 63.76 │ 173.875 │ 60.263 │ 282.894 │ 166.869 │ 124.205 │ 57.513 │ 351.916 │ 97.413 │ 218.456 │ 174.726 │ 45.246 │ 130.467 │ 27.288 │ 537.63 │ 139.121 │ 106.976 │
│ 2022-11-03 │ 138.247 │ 60.11 │ 35.171 │ 64.784 │ 176.437 │ 61.026 │ 275.81 │ 167.153 │ 124.43 │ 57.484 │ 358.578 │ 96.776 │ 212.649 │ 174.275 │ 45.149 │ 129.574 │ 26.881 │ 537.808 │ 139.091 │ 108.43 │
│ 2022-11-04 │ 137.978 │ 62.19 │ 36.053 │ 65.875 │ 178.668 │ 63.12 │ 278.289 │ 167.897 │ 127.834 │ 57.953 │ 354.345 │ 97.217 │ 219.736 │ 175.255 │ 45.78 │ 131.939 │ 27.763 │ 532.426 │ 139.338 │ 109.611 │
│ 2022-11-07 │ 138.517 │ 63.08 │ 36.268 │ 66.32 │ 180.801 │ 64.981 │ 284.403 │ 169.365 │ 128.509 │ 58.178 │ 361.939 │ 98.07 │ 226.167 │ 176.657 │ 45.653 │ 133.961 │ 29.557 │ 539.203 │ 140.801 │ 110.909 │
│ 2022-11-08 │ 139.095 │ 63.85 │ 36.366 │ 66.474 │ 180.538 │ 65.401 │ 285.255 │ 170.207 │ 128.587 │ 58.286 │ 363.515 │ missing │ 227.16 │ 177.147 │ 45.906 │ 134.265 │ 28.833 │ 547.148 │ 141.137 │ 111.261 │
│ 2022-11-09 │ 134.478 │ 59.92 │ 35.788 │ 65.006 │ 173.32 │ 64.74 │ 280.954 │ 168.847 │ 126.914 │ 57.474 │ 360.154 │ 99.559 │ 222.833 │ 175.029 │ 45.295 │ 133.941 │ 26.327 │ 534.89 │ 137.855 │ 106.283 │
│ 2022-11-10 │ 146.444 │ 68.47 │ 37.366 │ 69.575 │ 176.602 │ 66.476 │ 305.4 │ 170.824 │ 132.138 │ 59.538 │ 365.558 │ 99.853 │ 241.165 │ 178.117 │ 45.935 │ 138.554 │ 28.477 │ 538.362 │ 140.712 │ 107.845 │
│ 2022-11-11 │ 149.265 │ 72.37 │ 37.64 │ 72.009 │ 181.629 │ 67.2 │ 308.574 │ 165.713 │ 132.353 │ 59.968 │ 349.278 │ 96.002 │ 245.264 │ 174.539 │ 46.148 │ 138.348 │ 28.754 │ 516.508 │ 140.929 │ 111.212 │
│ 2022-11-14 │ 147.849 │ 73.53 │ 37.003 │ 71.729 │ 181.716 │ 66.826 │ 300.716 │ 168.318 │ 130.993 │ 59.391 │ 353.991 │ 98.344 │ 239.745 │ 173.245 │ 47.738 │ 138.357 │ 28.239 │ 508.267 │ 136.788 │ 111.536 │
│ 2022-11-15 │ 149.604 │ 76.37 │ 36.945 │ 73.023 │ 183.178 │ 67.846 │ 305.625 │ 168.788 │ 130.045 │ 59.293 │ 347.916 │ 97.609 │ 240.162 │ 173.696 │ 47.088 │ 137.877 │ 29.091 │ 497.642 │ 145.733 │ 112.284 │
│ 2022-11-16 │ 148.358 │ 72.7 │ 36.611 │ 66.764 │ 180.197 │ 66.102 │ 308.545 │ 169.835 │ 130.221 │ 59.186 │ 350.879 │ 97.933 │ 240.6 │ 174.814 │ missing │ 139.103 │ 27.852 │ 506.061 │ 146.781 │ 111.084 │
│ 2022-11-17 │ 150.282 │ 73.9 │ 36.425 │ 67.643 │ 180.707 │ 66.484 │ 305.145 │ 171.206 │ 129.653 │ 59.371 │ 358.674 │ 100.265 │ 240.55 │ 176.48 │ 46.856 │ 138.249 │ 28.169 │ 509.81 │ 146.287 │ 111.231 │
│ 2022-11-18 │ 150.851 │ 73.57 │ 36.445 │ 69.594 │ 179.628 │ 66.554 │ 306.85 │ 172.518 │ 130.925 │ 59.792 │ 359.568 │ 102.147 │ 240.092 │ 177.755 │ 46.759 │ 139.918 │ missing │ 524.344 │ 148.491 │ 110.267 │
│ 2022-11-21 │ 147.58 │ 72.46 │ 36.562 │ 68.416 │ 177.91 │ 66.873 │ 310.377 │ 173.405 │ 130.152 │ 60.711 │ 359.071 │ 103.499 │ 240.919 │ 181.176 │ 46.71 │ 141.694 │ 27.951 │ 511.67 │ 149.4 │ 109.175 │
│ 2022-11-22 │ 149.744 │ 75.25 │ 36.739 │ 77.157 │ missing │ 67.971 │ 318.313 │ 174.243 │ 132.099 │ 60.975 │ 358.783 │ 104.763 │ 243.885 │ 181.195 │ 47.583 │ 142.911 │ 29.943 │ missing │ 149.934 │ 112.333 │
│ 2022-11-23 │ 150.631 │ 76.4 │ 36.856 │ 79.582 │ 180.855 │ 68.415 │ 315.011 │ 174.43 │ 133.507 │ 61.249 │ 359.618 │ 104.685 │ 246.423 │ 181.431 │ 47.36 │ 143.726 │ 29.497 │ 524.057 │ 150.655 │ 111.773 │
│ 2022-11-25 │ 147.68 │ 75.14 │ 36.945 │ 78.461 │ 180.324 │ 68.625 │ 319.783 │ 174.657 │ 133.762 │ 61.308 │ 363.128 │ missing │ 246.333 │ 180.48 │ 47.709 │ 143.991 │ 29.349 │ 531.882 │ 151.298 │ 111.379 │
│ 2022-11-28 │ 143.801 │ 73.19 │ 36.121 │ 79.292 │ 175.083 │ 66.546 │ 312.474 │ 174.745 │ 131.424 │ 61.318 │ 363.645 │ 106.282 │ 240.63 │ 180.264 │ 48.058 │ 143.873 │ 28.07 │ 526.589 │ 151.733 │ 108.034 │
│ 2022-11-29 │ 140.76 │ 73.39 │ 36.259 │ 81.291 │ 177.704 │ 66.694 │ 309.573 │ 173.523 │ 133.586 │ 61.102 │ 361.835 │ 106.664 │ 239.207 │ 178.99 │ 47.98 │ 142.774 │ 28.338 │ 522.365 │ 151.199 │ 108.752 │
│ 2022-11-30 │ 147.6 │ 77.63 │ 37.092 │ 82.393 │ 179.942 │ 66.935 │ 319.362 │ 175.405 │ missing │ 62.649 │ 368.924 │ 107.919 │ 253.947 │ 181.852 │ 48.601 │ 146.385 │ 28.605 │ 541.914 │ 150.655 │ 109.539 │
│ 2022-12-01 │ 147.879 │ 77.48 │ 36.027 │ 83.523 │ 179.137 │ missing │ 322.398 │ 176.135 │ 133.273 │ 62.826 │ 368.178 │ 107.605 │ 253.499 │ 183.371 │ 49.522 │ 146.474 │ 27.734 │ 531.18 │ 151.594 │ 109.008 │
│ 2022-12-02 │ 147.381 │ 74.98 │ 35.564 │ 83.648 │ 177.704 │ 67.644 │ 323.304 │ 176.273 │ 132.216 │ 63.377 │ 372.582 │ 107.84 │ 253.828 │ 183.164 │ 49.357 │ 147.808 │ 26.594 │ 532.073 │ 151.446 │ 108.083 │
│ 2022-12-05 │ 146.204 │ 73.62 │ 33.977 │ 81.446 │ 173.316 │ 65.915 │ 315.507 │ 176.174 │ 128.509 │ 62.511 │ 367.144 │ 107.811 │ 249.03 │ 180.629 │ 49.182 │ 146.317 │ 24.989 │ 530.961 │ 149.894 │ 105.122 │
│ 2022-12-06 │ 142.495 │ 70.27 │ 32.528 │ 80.441 │ 168.849 │ 66.398 │ 312.915 │ 173.533 │ 128.724 │ 62.481 │ 366.398 │ 106.753 │ 243.974 │ 179.159 │ 48.194 │ 146.503 │ 25.276 │ 535.209 │ 148.155 │ 102.2 │
│ 2022-12-07 │ 140.531 │ 70.14 │ 32.272 │ 78.597 │ 169.35 │ 66.18 │ 315.576 │ 174.588 │ 128.636 │ 62.58 │ 369.809 │ 107.889 │ 243.228 │ 179.702 │ 48.707 │ 147.445 │ 25.038 │ 538.771 │ 147.384 │ 101.974 │
│ 2022-12-08 │ 142.236 │ 70.47 │ 31.976 │ 80.557 │ 170.351 │ 65.113 │ 319.46 │ 174.617 │ 129.986 │ 62.846 │ 369.63 │ 108.634 │ 246.244 │ 181.28 │ 50.2 │ 148.505 │ 24.484 │ 543.743 │ 147.612 │ 102.731 │
│ 2022-12-09 │ 141.747 │ 68.59 │ 31.917 │ 79.022 │ 164.913 │ 63.416 │ 315.902 │ 173.178 │ 129.282 │ 62.186 │ 358.892 │ 106.606 │ 244.273 │ 180.609 │ 50.142 │ 148.113 │ 24.989 │ 535.09 │ 144.169 │ 101.865 │
│ 2022-12-12 │ 144.07 │ 70.67 │ 32.262 │ 80.525 │ 166.631 │ 64.786 │ 323.295 │ 175.248 │ 131.287 │ 63.003 │ 365.116 │ 106.792 │ 251.33 │ 181.467 │ 50.569 │ 149.634 │ 26.287 │ 541.699 │ 146.858 │ 104.374 │
│ 2022-12-13 │ 145.048 │ 71.65 │ 32.281 │ 82.088 │ 170.341 │ 64.529 │ 328.134 │ 176.598 │ 131.16 │ 63.023 │ 356.576 │ 108.693 │ 255.719 │ 181.369 │ 51.451 │ 149.408 │ 26.663 │ 534.117 │ 146.332 │ 105.515 │
│ 2022-12-14 │ 142.794 │ 68.93 │ 31.818 │ 78.914 │ 169.163 │ 63.493 │ 328.667 │ 177.14 │ 130.504 │ 63.023 │ 361.388 │ 110.045 │ 256.018 │ 180.866 │ 52.818 │ 149.997 │ 26.286 │ 534.256 │ 145.519 │ 104.738 │
│ 2022-12-15 │ 136.104 │ 66.53 │ 31.315 │ 78.875 │ 167.897 │ 61.42 │ 322.92 │ 174.903 │ missing │ 62.156 │ 357.918 │ 108.15 │ 247.846 │ 177.798 │ 51.975 │ 148.299 │ 26.673 │ 523.658 │ 144.219 │ 103.735 │
│ 2022-12-16 │ 134.119 │ 65.41 │ 31.246 │ 77.606 │ 165.62 │ 60.516 │ 318.721 │ 173.109 │ 126.474 │ 61.802 │ 357.779 │ 107.726 │ 243.546 │ 177.887 │ 49.832 │ 147.641 │ missing │ 519.708 │ 141.629 │ 103.007 │
│ 2022-12-19 │ 131.986 │ 64.59 │ 31.601 │ missing │ 166.758 │ 60.835 │ 312.797 │ 172.922 │ 127.227 │ 61.89 │ 355.701 │ 107.963 │ 239.326 │ 178.873 │ 49.793 │ 147.602 │ 25.64 │ 519.609 │ 141.679 │ 103.469 │
│ 2022-12-20 │ 131.916 │ 65.05 │ 31.729 │ 77.371 │ 169.497 │ 62.604 │ 310.342 │ 173.109 │ 127.844 │ 61.841 │ 357.55 │ 108.229 │ 240.67 │ 178.765 │ 49.754 │ 147.661 │ 25.65 │ 516.245 │ 142.919 │ 104.964 │
│ 2022-12-21 │ 135.057 │ 67.68 │ 32.212 │ 78.729 │ 171.49 │ 64.67 │ 314.798 │ 175.09 │ 129.282 │ 62.836 │ 365.872 │ 109.611 │ 243.287 │ 180.017 │ 50.084 │ 149.015 │ 26.574 │ 523.519 │ 144.04 │ 106.312 │
│ 2022-12-22 │ 131.846 │ 63.86 │ 31.927 │ 78.563 │ 168.918 │ 63.727 │ 311.604 │ 174.45 │ 127.814 │ 62.383 │ 363.187 │ 109.739 │ 237.077 │ 178.627 │ 50.065 │ 149.359 │ 25.232 │ 523.072 │ 142.354 │ 104.168 │
│ 2022-12-23 │ 131.477 │ 64.52 │ 32.005 │ 79.432 │ 174.14 │ 63.742 │ 314.177 │ 174.893 │ 128.421 │ 62.855 │ 365.762 │ 110.35 │ 237.614 │ 179.781 │ 50.249 │ 149.781 │ 26.226 │ 527.26 │ 142.641 │ 106.922 │
│ 2022-12-27 │ 129.652 │ 63.27 │ 32.065 │ 79.93 │ 176.329 │ 64.561 │ 314.985 │ 174.844 │ 128.871 │ 63.24 │ 362.76 │ 110.607 │ 235.852 │ 180.58 │ 49.57 │ 151.086 │ 26.375 │ 527.935 │ 142.681 │ 108.408 │
│ 2022-12-28 │ 125.674 │ 62.57 │ 32.301 │ 78.279 │ 173.728 │ 63.883 │ 311.22 │ 174.085 │ 129.575 │ 62.609 │ 363.098 │ 109.581 │ 233.434 │ 179.278 │ 49.25 │ 149.133 │ 24.497 │ 524.422 │ 140.181 │ 106.627 │
└────────────┴─────────┴─────────┴─────────┴─────────┴─────────┴─────────┴─────────┴─────────┴─────────┴────────┴─────────┴─────────┴─────────┴─────────┴─────────┴─────────┴─────────┴─────────┴─────────┴─────────┘2. Measure the gaps
Before you choose what to carry, fill or drop, measure the gaps. We compute the fraction of missing prices in each asset's column. MissingDataFilter compares this fraction, and the same fraction for each row, against its two thresholds.
Each threshold is named after the axis it counts, not the axis it drops. col_thr counts the missing rows of a column and drops the column. row_thr counts the missing columns of a row and drops the row. Both default to 1.0, so the filter drops nothing unless you ask it to. Both accept 0.0, which drops a column or a row with a single gap. The conversion to returns drops neither.
col_missing = vec(mean(ismissing, vals; dims = 1))worst_cols = sort(DataFrame(; asset = nx, missing_frac = col_missing), :missing_frac; rev = true)pretty_table(first(worst_cols, 6); formatters = [resfmt], title = "Missing fraction per asset (worst six)")Missing fraction per asset (worst six)
┌────────┬──────────────┐
│ asset │ missing_frac │
│ String │ Float64? │
├────────┼──────────────┤
│ BAC │ 63.241 % │
│ AMD │ 8.3 % │
│ JPM │ 5.138 % │
│ BBY │ 2.767 % │
│ LLY │ 2.372 % │
│ UNH │ 2.372 % │
└────────┴──────────────┘3. Ingest the prices and read the listing span
price_ingestion writes every missing as NaN, because a Matrix{Float64} of returns can hold NaN and cannot hold missing. It finds the listing span once, from the whole table, outside any training window, so the span describes the asset and does not depend on the window a later step fits on.
Asset 3 is missing for its first 160 observations, so its span starts after them. Asset 2's halt sits in the middle of its column, so its span covers the whole window, and the halt is a gap inside the span, a held gap.
pr = price_ingestion(PriceIngestion(), Xmiss)span = Matrix(pr.span)pretty_table(DataFrame(; asset = nx[[3, 2, 4]], listed_from = [findfirst(view(span, :, j)) for j in (3, 2, 4)], listed_to = [findlast(view(span, :, j)) for j in (3, 2, 4)], observations = fill(T, 3)); title = "First and last listed observation of assets 3, 2 and 4")First and last listed observation of assets 3, 2 and 4
┌────────┬─────────────┬───────────┬──────────────┐
│ asset │ listed_from │ listed_to │ observations │
│ String │ Int64 │ Int64 │ Int64 │
├────────┼─────────────┼───────────┼──────────────┤
│ BAC │ 161 │ 253 │ 253 │
│ AMD │ 1 │ 253 │ 253 │
│ BBY │ 1 │ 253 │ 253 │
└────────┴─────────────┴───────────┴──────────────┘4. Carry the gaps into the returns
The conversion computes the returns and changes nothing else. Every asset keeps its column, every date keeps its row, and each return computed from a missing price is NaN. A run of k missing prices inside a column makes k + 1 returns non-finite, and a run at either end of the column makes k. No other return changes, because the return of one asset uses only the prices of that asset.
The AssetPanel in the result states the universe. amsk is the listing span on the dates of the returns, and emsk marks the cells of amsk whose return is also finite.
rd = prices_to_returns(PricesToReturns(), pr)pretty_table(DataFrame(; quantity = ["assets", "observations", "non-finite return cells", "estimable cells"], value = [length(rd.nx), size(rd.X, 1), count(!isfinite, rd.X), count(Matrix(rd.pnl.emsk))]); title = "Counts on the returns after the conversion")Counts on the returns after the conversion
┌─────────────────────────┬───────┐
│ quantity │ value │
│ String │ Int64 │
├─────────────────────────┼───────┤
│ assets │ 20 │
│ observations │ 252 │
│ non-finite return cells │ 297 │
│ estimable cells │ 4743 │
└─────────────────────────┴───────┘5. State a price convention across the halts
Every later step can work with the gaps left in. An optimiser uses only the assets whose return is finite on every observation of a window, the coverage universe of that window, and gives the other assets no weight. If you want to state what the price was during a halt, use PriceGapFill. It is a universe policy, fitted on a training window and applied to later windows. It fills held gaps only, so it never writes a price before an asset listed or after it delisted.
CarriedPrice, the default, carries the last observed price forward, the held price. A halt then becomes a flat stretch of zero returns, and the whole move of the price falls on the observation that ends the halt. A reduction over each asset, such as MedianValue(), fills the gap with one constant instead, which makes two moves that the market never printed, one into the gap and one out of it. Both leave the price at the end of the gap unchanged. They differ in which observations carry the move.
fill_res = fit_preprocessing(PriceGapFill(), pr)pr_filled = apply_preprocessing(fill_res, pr)rd_filled = prices_to_returns(PricesToReturns(), pr_filled)pretty_table(DataFrame(; table = ["carried", "filled with the held price"], non_finite = [count(!isfinite, rd.X), count(!isfinite, rd_filled.X)], asset_3_still_unlisted = [!isfinite(rd.X[1, 3]), !isfinite(rd_filled.X[1, 3])]); title = "Non-finite returns before and after the fill") Non-finite returns before and after the fill
┌────────────────────────────┬────────────┬────────────────────────┐
│ table │ non_finite │ asset_3_still_unlisted │
│ String │ Int64 │ Bool │
├────────────────────────────┼────────────┼────────────────────────┤
│ carried │ 297 │ true │
│ filled with the held price │ 160 │ true │
└────────────────────────────┴────────────┴────────────────────────┘The table counts the non-finite returns before and after the fill. The last column shows, for each table, whether the first return of asset 3 is non-finite. Asset 3 was not yet listed on that date.
6. Drop what has too few prices
Asset 3 is missing for about 63% of the window. Keeping it costs nothing, because an optimiser leaves it out of every window whose coverage universe excludes it. If you want it gone from the universe, use MissingDataFilter, the only step that deletes an asset or an observation. It is a universe policy too. We fit it on the table, and the fit records the assets that pass the threshold. Applied to a later window, the filter keeps those assets and does not choose again from that window's own data.
mdf = fit_preprocessing(MissingDataFilter(; col_thr = 0.5), pr)println("Assets kept after the 50% column filter: $(length(mdf.nx)) of $N")Assets kept after the 50% column filter: 19 of 207. Optimise on the result
A ReturnsResult that holds a panel goes into the rest of the package like any other, with no extra arguments. The optimiser finds the coverage universe of the window from the returns and the panel.
We optimise on both tables to show what the fill changes. The scattered single-day gaps put most of the assets of the carried table outside the coverage universe. The fill closes the held gaps and brings those assets back. Asset 3 stays out, because it was not listed at the start of the window, and the listing span tells a missing listing apart from a halt.
using Clarabelslv = Solver(; name = :clarabel, solver = Clarabel.Optimizer, settings = Dict("verbose" => false), check_sol = (; allow_local = true, allow_almost = true))function mv(rr) return optimise(MeanRisk(; obj = MinimumRisk(), opt = JuMPOptimiser(; pe = prior(EmpiricalPrior(), rr), slv = slv)))endres = mv(rd)res_filled = mv(rd_filled)pretty_table(DataFrame(; table = ["carried", "filled with the held price"], estimable = [count(res.imsk), count(res_filled.imsk)], active_names = [count(>(1e-6), res.w), count(>(1e-6), res_filled.w)]); title = "Estimable assets and assets with a weight above 1e-6") Estimable assets and assets with a weight above 1e-6
┌────────────────────────────┬───────────┬──────────────┐
│ table │ estimable │ active_names │
│ String │ Int64 │ Int64 │
├────────────────────────────┼───────────┼──────────────┤
│ carried │ 4 │ 3 │
│ filled with the held price │ 19 │ 15 │
└────────────────────────────┴───────────┴──────────────┘8. Plot the gaps
A heatmap of the missing prices shows the three kinds of gap. The wide band is asset 3's late listing, the short block is asset 2's halt, and the scattered dots are the single-day gaps.
using StatsPlots, GraphRecipesheatmap(1:N, 1:T, Float64.(ismissing.(vals)); xlabel = "Asset", ylabel = "Day", colorbar_title = "missing", title = "Missing prices by asset and day", yflip = true)
Summary
price_ingestiontreatsmissingandNaNas one absent price, puts any factor and benchmark series on the dates of the price table by default, collapses the series only under a non-emptycollapse_args, and computes each asset's listing span from the whole table.prices_to_returnscomputes the returns and keeps every gap. TheAssetPanelit returns states which assets the library can estimate on which dates.PriceGapFillfills a held gap with a price convention and writes nothing outside the listing span.MissingDataFilterdeletes the assets with too few prices, and no other step deletes anything. Both are fitted on a training window and applied to later windows, so a later window never chooses its own universe.
The point-in-time universe takes a table with gaps through these steps to a walk-forward, and shows where a fitted fill goes in a Pipeline over the prices.
nan_to_missing, impute_method, missing_col_percent and missing_row_percent used to be keywords of prices_to_returns, and by default it deleted every row that held a gap. All four are gone. A keyword stays on the conversion only if it changes how a return is computed. PriceGapFill now fills, and MissingDataFilter deletes.
Three keywords stayed, ret_method, padding and gap_return_alg. The other inputs the conversion used to take are now fields of the PricesResult it takes. join_method and collapse_args change the dates of the observations, so they belong to PriceIngestion. prices_to_returns(X) on a bare price table returns the same result as prices_to_returns(price_ingestion(PriceIngestion(), X)). To use a different join, a collapse, a listing span of your own, or factor and benchmark series, call the two functions yourself.
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