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:
- Garbage In => Garbage Out
- Creating Good Price Series
- Data Validation
- Generalized Extreme Value Distribution
- 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.
- 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!