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algotradingsoc / data_infrastructure

Research team for data infrastructure team.
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minutes 13/11 #13

Closed kevinxuht closed 3 years ago

kevinxuht commented 3 years ago

issues with data_loader:

  1. handle non-trading dates starting date - roll forward ending date - roll backward

class TradingCalendar

  1. Input start and end dates return all trading dates as pd. datetime index name = 'US' Check: 2019-07-04 is a holday

  2. FinnhubID and unique index (Anson) collection name? FinnhubID or Ticker? Enable search by ticker name and finnhub id look-up

  3. Everyone implement methods into data_loader and ensure it works If problems with mongoDB, write it with csv_loader to ensure it works (Han and Archie)

  4. Adjusted volume ratio (Sean) volume / avg vol in last 25 days volatility of volume ratio

  5. Test scripts - for small amount of data Anson to write an example of test scripts - Sean to do the rest Usual case, boundary case, invalid case

Bugs with MongoDB database - empty string under 'div' column is not identified as NA need to ensure datatype