Answer
Taiwan's market microstructure has changed several times over the last two decades, and a backtest that spans those dates crosses real structural breaks. This page lists each change with the exact date where it is officially documented, and marks the ones we are still verifying as approximate rather than inventing a date. Where an official Taiwan Stock Exchange source is on hand, it is cited.
The daily price limit on listed common stocks was ±7% of the previous close for years, through the last trading day of 29 May 2015, and was widened to ±10% from 1 June 2015 — the level still in force. This is the single most important break for daily-return work, because it changes the maximum possible one-day move. Confidence: high (the 2015 widening is officially documented and widely reported).
Until 22 March 2020 intraday trades were matched by call auction (a match roughly every few seconds); continuous matching took effect from 23 March 2020. This changes intraday microstructure — fills, spreads, tick-by-tick behaviour — not the daily percentage move, so it matters for intraday models rather than end-of-day factors. Confidence: medium (we are still confirming the exact final call-auction session against the official announcement).
Odd lots (1–999 shares) could only be traded in a separate after-hours session until 23 October 2020; regular-session intraday odd-lot trading launched on 26 October 2020. If you study small-order or retail-sized activity, odd-lot volume before that date is not comparable to after it. Confidence: high. Source: Taiwan Stock Exchange — twse.com.tw/market_insights/zh/detail/8a8216d6933460a401936c53f6d9018e
The minimum price increment steps up by price band, and the tier table in force today took effect on 1 March 2005. The coarser pre-2005 tiers are not listed here — there is no verified official source for them on hand, and we will not guess. Confidence: high for the 2005 table. Source: Taiwan Stock Exchange — twse.com.tw/downloads/zh/trading/introduce/introduce004.pdf
Same-day 'buy-first' day trading opened first and 'sell-first' was broadened a few months later, both around 2014; the day-trade securities-transaction-tax was later halved (to 0.15%), around 2017. These mark a rise in turnover and short-horizon activity that shifts volume and volatility baselines. Confidence: needs verification — treat 'around 2014' and 'around 2017' as approximate; we do not state a precise date we have not confirmed.
Rather than hardcode any of these, split a long sample at the dated breaks, or tag each row with the rule that actually applied. For the daily price limit specifically, the stock-price-limit-daily dataset gives the per-day limit-up / limit-down price so limit-hit days are handled automatically across 2015. The entries marked 'needs verification' are research stubs — we raise them to dated facts only once checked against an official source, never by guessing.
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