BarsChecker

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Posted 6/21/2009 12:06:18

Post #8858

billb

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

Posted 6/21/2009 16:23:27

Post #8859

phg

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 rightedge-ats Yahoo group )

Posted 6/26/2009 06:36:32

Post #8894

FlipFlop

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

Post Attachments

Bars Checker v0.11.rar (212 views, 3.19 KB)

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