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algotradingsoc / data_infrastructure

Research team for data infrastructure team.
Apache License 2.0
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Data Loader class #10

Open ALGCDG opened 3 years ago

ALGCDG commented 3 years ago

Implement a data loader class to get data from csv and MongoDB and return the required features

ThomasWong2022 commented 3 years ago

How to handle missing data for stocks:

Plan 1: roll over previous day data and add a new column tradable to indicate the data is imputed rather than actual data

How to map the tickers to the FinnhubID (for ticker that changes name)

How to handle trading holidays when specifying start and end period of data?

Plan 1: find the closest trading day by rolling forward and backward