Open GoogleCodeExporter opened 9 years ago
3.
Check the timestamp produced by FMR - upd_time. It
should be always non-decreasing. In case of disconnect it can emit an
arbitrary values that are less than previously recorded ones.
Original comment by larytet@gmail.com
on 1 Dec 2009 at 8:17
Test data
http://larytet-master.googlecode.com/files/testdata.rar
- missing records (a sequence of 5-15 records dropped) - you will detect
them by multiple events (pairs of price, quantity) changed between two
records.
- missing data - erased limit book data from a record
- broken upd_time field - I set it to be '08485123' for randomly chosen
records
- broken transaction volume data - I subtracted 1 from the value of
lst_dl_vl for a number of record for call1050 (ex_prc==1050 and sug_bno==1)
Original comment by larytet@gmail.com
on 1 Dec 2009 at 11:51
See the attached file with the examples of data - both correct and incorrect,
for
each problem in the # 1 and 2 in the list above.
for the missing data / incomplete record I'd propose to liik that upd_time is
not
null. The reason is that it comes one of the last in the structure, so if the
record
is cut in the middle, it won't get a vualue. Another way is to look if lmt_by1
and
/or lmt_sl1 aren't empty (they can be, technically, if there is no orders on
the book).
Original comment by jerusale...@gmail.com
on 5 Dec 2009 at 8:31
Attachments:
Another set of examples taken from bad_test.csv. On the attached excel 4
additional
examples, with full-length data:
1. Delta(DAY_DIL_NO) != LST_DIL_VL
2. Missing data (all the limit order data is missing)
3. UPD_TIME decreases
4. Multiple events per single record
All the relevant data is marked in yellow.
Original comment by jerusale...@gmail.com
on 6 Dec 2009 at 7:24
Attachments:
I do not immediately see what can be done about missing entries, besides
printing it
after the fact. Can we need this input in the trading algorithm ?
Original comment by larytet@gmail.com
on 11 Dec 2009 at 8:25
Original issue reported on code.google.com by
larytet@gmail.com
on 30 Nov 2009 at 10:36