Market Data Engineering
31 algorithms · 5 families · D01
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market-data-engineering/llms.txt lists all
31 algorithms here — signature, shape and verification tier, one line each.
Every reference page below also exists as markdown at <page URL>index.md.
Bar Construction#
-
Time Bars
verified
constructBars(trades, config) -
Tick Bars
verified
constructBars(trades, config) -
Volume Bars
verified
constructBars(trades, config) -
Dollar Bars
verified
constructBars(trades, config) -
Tick-Imbalance Bars
verified
constructBars(trades, config) -
Volume-Imbalance Bars
verified
constructBars(trades, config) -
Tick-Run Bars
verified
constructBars(trades, config)
Cleaning and Validation#
-
OHLC Consistency Validator
contract
validateBars(bars, config) -
Hampel Bad-Tick Filter
contract
hampelFilter(values, options) -
Median Absolute Deviation Outlier Filter
contract
madOutliers(values, threshold, scale, minimumSamples) -
Stale-Quote Detector
contract
detectStaleQuotes(events, config) -
Duplicate-Trade Resolver
contract
resolveTrades(input) -
Crossed/Locked Market Detector
contract
classifyMarkets(quotes, options)
Time Synchronization#
-
Previous-Tick Interpolation
contract
previousTick(observations, requests, maxStalenessMs) -
Linear Quote Interpolation
contract
linearQuoteInterpolation(quotes, targets, maxGapMs) -
Refresh-Time Sampling
contract
refreshTimeSample(observations, requiredInstruments, maxStalenessMs) -
Exchange-Calendar Alignment
contract
validateCalendar(bundle) -
Asynchronous Return Alignment
contract
classifyIntervalPair(left, right, evaluatedAt)
Data Quality#
-
Missing-Bar Gap Classifier
contract
diagnoseGap(row) -
Feed-Latency Monitor
contract
validateClockProfile(profile) -
Price-Source Consensus Check
contract
consensus(snapshot, policy) -
Schema-Drift Detector
contract
detectSchemaDrift(baseline, candidate, policy) -
Point-in-Time Availability Guard
contract
asOfSnapshot(records, knowledgeTime, validTime) -
Provider Adjustment-Basis Drift Detector
verified
detectAdjustmentBasisDrift(input)
Order-Book Feed Engineering#
-
Trade-and-Quote Event Normalization
verified
normalizeEvents(events) -
Level-2 Snapshot-and-Delta Reconstruction
verified
reconstructL2(snapshot) -
Level-3 Order-by-Order Reconstruction
verified
reconstructL3(snapshot_orders) -
Sequence-Gap Detection and Recovery
verified
recoverSequenceStream(arrivals) -
Price-Level Quantity Aggregation
verified
aggregatePriceLevels(orders) -
Snapshot/Incremental-Feed Reconciliation
verified
reconcileSnapshotIncrementals(snapshot) -
Multi-Venue Best-Quote and Book Consolidation
verified
consolidateVenues(quotes)