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Dave W.
2013-12-18 22:34:58
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Hi. Have you guys developed any scripts to help identify potential data issues? I ask because for some systems, especially intraday, QuantShare simulation runs can show an error and stop processing and I think it is related to some of these data errors.
For example, scripts that find:
- price moves of X normalized ATRs (potential split)
- low price greater than high price or open price (or high less than low or open)
- low / high price more than X normalized ATRs from the open
If you don't have these scripts currently, this would make for a good blog post, and possibly a future feature for QuantShare to find and allow the user to quickly address these issues.
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