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!

Share This

Share

If you found this post informative, please share it!

New Commodity Pool Launches

Please provide your name and email address so we can send you our monthly compilation of new commodity pools registered with NFA.

You can unsubscribe at any time.

Thank you! Your file will be available after you have completed a two-step confirmation process. Check your in-box for step 1.

Biggest Hedge Funds By $AUM

Please provide your name and email address so we can send you our monthly compilation of biggest hedge funds by $AUM as reported on the SEC's Form ADV.

You can unsubscribe at any time.

Thank you! Your file will be available after you have completed a two-step confirmation process. Check your in-box for step 1.