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Improve price repair #1633

Merged
merged 4 commits into from
Aug 1, 2023
Merged

Improve price repair #1633

merged 4 commits into from
Aug 1, 2023

Commits on Jul 22, 2023

  1. Improve price repair

    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'
    ValueRaider committed Jul 22, 2023
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Commits on Jul 31, 2023

  1. Improve bad-split-repair on multiday intervals

    Improve bad-split-repair on multiday intervals
    Switch some repair log msgs from warning -> info
    ValueRaider committed Jul 31, 2023
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