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How do others handle bar data errors?

1 replies

8 years ago #114524

Hi folks – newbie here – using Rightedge for strategy modeling. I’m importing my bar data, mainly daily futures data, from CSI. Rightedge gets very angry if there are any errors in individual bars (close is higher than the high, open is lower than the low, etc.). Rightedge’s automatic bar cleanup tool simply deletes the offending bar, which seems a bit wrongheaded. How do others cleanup their bar data?

Seems like there are a few obvious options, all of which have significant drawbacks.

– Delete the offending bar with no replacement.
– Use alternate data source for offending bar.
– Edit bar in some arbitrary way. For example, if close is higher than the high, just swap the two values.

Many thanks in advance for any suggestions!

Greg B.

8 years ago #134490

Choose a data provider who offers better data quality

http://www.olsendata.com/data_products/historical_data/#Pricing

https://www.tickdata.com/historical-market-data-products/

http://www.nanex.net/historical.html

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