Are you a professional in the field or is this your side project?
The quantitative trading posts on here typically just scratch the surface, but I have to say that I'm impressed with this one. Thanks for sharing!
The quantitative trading posts on here typically just scratch the surface, but I have to say that I'm impressed with this one. Thanks for sharing!
to get good historical data in “trad-fi” you would need to map all the trades by code to filter out bad ticks before aggregating into bars. This alone is enough of a barrier to keep most retail traders out of the space
It's been many years since I worked on cleaning data but essentially each event you receive is mapped to a code. Depending on your data provider, those codes may change at any time. Thomson Reuters is/was quite notorious for this. Maybe after Refinitiv spun out they cleaned up that mess but from what I have heard it is unlikely.