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RE: BarsChecker

FlipFlop — Fri, 26 Jun 2009 06:36:32 GMT

Here is a new version, that runs faster:

- set the system freq to daily, then perform all checks on a 1-min freq
- disable stats
- use Bars.maxlookback = 20

RE: BarsChecker

phg — Sun, 21 Jun 2009 16:23:27 GMT

For options quotes things get even weirder. I have found it necessary so far to check the following things real time:

Bid = -1.
Bid > 0, ask < bid, including ask = 0.
ask=bid=0, which is 'normal' for an illiquid strike for awhile, but means these values are not actionable.
(I anticipate spikes will be next.)

BarsChecker

billb — Sun, 21 Jun 2009 12:06:18 GMT

Simple tool that checks for missing bars and (too) big jumps between two consecutive bars.It will display for each symbol an error message whenever:- a bar is missing,- there's a big jump between two bars (close(i) / close(i-1) - 1 > MaxPercentage )- the close price of a bar is zero.How to use:- load the project- set the system params MaxPercentage and BarFrequency- set Data start date, end date and Frequency in the project properties pane- choose symbols in the "Symbol lists" pane- run project

The system can be downloaded by clicking here