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fintech-algorithms

Market Data Engineering

23 algorithms · 4 families · D01

Bar Construction

Time Bars contract constructBars(trades, config)
Tick Bars contract constructBars(trades, config)
Volume Bars contract constructBars(trades, config)
Dollar Bars contract constructBars(trades, config)
Tick-Imbalance Bars contract constructBars(trades, config)
Volume-Imbalance Bars contract constructBars(trades, config)
Tick-Run Bars contract 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)

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)