Thanks to a great old post on the TradingBlox Roundtable Forum (by the inimitable “Sluggo”), I will add some new tests to my data validation protocol. This post is part of a series including:

  1. Garbage In => Garbage Out
  2. Creating Good Price Series
  3. Data Validation
  4. Generalized Extreme Value Distribution

New tests

  • Low <= Open <= High
  • Low <= Close <= High
  • Intraday range within expectations (Use Extreme Value Distribution).
  • Unusual number of days without price data.
  • Final date in series matches expected value.
  • OHLC match legitimate tick values.

Old tests

  • Most recent value is “reasonable”.
  • Change in raw close on each roll-over is within expectations.
  • Daily change in raw close is within expectations (Use EVD).
  • Difference between raw close and Panama close is constant between roll-overs.

One particularly nice idea Sluggo had was to run the validation from within TradingBlox itself – I use an R script. I use a file of previous “resolutions” to save highlighting old problems and I write a new file each time as a “Quality Record”. This can be handled using Blox Basic. So, it seems that I could easily port this process into TBB!

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