Scripts to Find Data Errors - Trading Software

Scripts to Find Data Errors

Dave W.
2013-12-18 22:34:58

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.

QuantShare
2013-12-19 12:48:57

Best Answer

Yes, this would be a good blog post.

We will wait however until the next release and the new "Events" tool. The script will be able to catch "New Data" events and fixes new data if
necessary.

QuantShare
2014-03-08 12:42:16

Dave,

Please check the following blog post:
http://www.quantshare.com/sa-574-how-to-detect-potential-issues-errors-in-your-historical-data

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