Auction Statistics

High-Performance Auction Statistics Engine for NQ Research

This script is a next-generation tick-to-auction statistics builder designed for institutional-grade market structure analytics. Leveraging DuckDB’s vectorized query engine and optimized multi-core execution, it transforms raw tick Parquet data into comprehensive, second-level auction metrics at unmatched speed.

The engine computes detailed RTH/overnight segmentation, R-Type classification, gap extension/retrace metrics, VWAP and weekly VWAP features, and full PDH/PDL/VAH/VAL/ONH/ONL sweep detection. With built-in QA validation, resume-safe execution, and no-blank output formatting, it delivers clean, ready-to-model datasets ideal for backtesting, ML pipelines, and statistical regime research.