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BarsChecker

Posted By billb 8 Years Ago
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Posted Sunday June 21 2009
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

phg
Supreme Being (41,551 reputation)Supreme Being (41,551 reputation)Supreme Being (41,551 reputation)Supreme Being (41,551 reputation)Supreme Being (41,551 reputation)Supreme Being (41,551 reputation)Supreme Being (41,551 reputation)Supreme Being (41,551 reputation)Supreme Being (41,551 reputation)
Posted Sunday June 21 2009
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.)


-Pete

See also Yahoo group about applying RE.

Posted Friday June 26 2009
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

Attachments
Bars Checker v0.11.rar (994 views, 3.00 KB)


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