Improve price repair #1633
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Improve price repair #1633
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Several improvements to price repair
Repair 100x and split errors:
- Handle stocks that recently suspended - use latest ACTIVE trading as baseline
- Improve error identification:
- Restrict repair to no older than 1 year before oldest split
- To reduce false positives when checking for multiday split errors,
only analyse 'Open' and 'Close' and use average change instead of nearest-to-1
- For weekly intervals reduce threshold to 3x standard deviation (5x was too high),
and for monthly increase to 6x
- For multiday intervas, if errors only detected in 1 column then assume false positive => ignore
Repair missing div-adjust:
- Fix repair of multiday intervals containing dividend
Price reconstruction:
- Move to after repairing 100x and split errors, so calibration works properly
- Fix maximum depth and reduce to 1
- Restrict calibration to 'Open' and 'Close', because 'Low' and 'High' can differ significantly between e.g. 1d and day-of-1h
Miscellaneous:
- Deprecate repair='silent', the logging module handles this
- Improve tests for 100x and split errors
- New test for 'repair missing div adjust'
Improve bad-split-repair on multiday intervals Switch some repair log msgs from warning -> info
Merged
This was referenced Aug 17, 2023
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Several improvements to price repair
Repair 100x and split errors:
Repair missing div-adjust:
Price reconstruction:
Miscellaneous:
Status:
I've found a bug in this, need to commit fix but I'm busy at moment ...testing