fintech-algorithms

OHLC Consistency Validator

Install and import

bash
npm install fintech-algorithms
ts
import { validateBars } from "fintech-algorithms/market-data-engineering/cleaning-and-validation/ohlc-consistency-validator";

Signature

validateBars(bars, config)

Checks each bar against the invariants an OHLC bar must satisfy — high is the maximum, low is the minimum, open and close lie between them — with a tick-size tolerance so representable rounding is not reported as corruption.

Parameters

NameTypeNotes
barsOhlcRow[]Bars to check, each carrying bar_id, source, symbol, timestamp and the four prices.
config{ tickSize: number; toleranceTicks: number; priceScale: number }tickSize is the instrument's minimum increment and toleranceTicks how many of them a value may be out before it is a violation. priceScale fixes the decimal scale used for comparison so floating-point representation does not create phantom failures.

Returns

Verdict[] · length same-as-input

One verdict per bar, naming which invariant failed and by how much. Returns one verdict per input row rather than throwing, so a single bad record cannot abort the batch — and cannot pass unnoticed either.

Errors

  • When tickSize is not positive — throws

Complexity: time O(n), space O(n).

Worked example

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input

bars
[
  {
    "bar_id": "B01",
    "source": "SYNTHETIC",
    "symbol": "DEMO",
    "timestamp": "2026-07-20T09:30:00Z",
    "open": 100,
    "high": 102,
    "low": 99,
    "close": 101,
    "volume": 1000
  },
  {
    "bar_id": "B02",
    "source": "SYNTHETIC",
    "symbol": "DEMO",
    "timestamp": "2026-07-20T09:31:00Z",
    "open": 100.01,
    "high": 100,
    "low": 99.5,
    "close": 99.9,
    "volume": 900
  },
  {
    "bar_id": "B03",
    "source": "SYNTHETIC",
    "symbol": "DEMO",
    "timestamp": "2026-07-20T09:32:00Z",
    "open": 100.0101,
    "high": 100,
    "low": 99.5,
    "close": 99.9,
    "volume": 800
  }
]

Showing 3 of 7 elements.

config
{
  "tickSize": 0.01,
  "toleranceTicks": 1,
  "priceScale": 1
}

Call

validateBars(bars, config)

Returns

array of 7 objects

[
  {
    "index": 0,
    "timestamp": "2026-07-20T09:30:00Z",
    "valid": true,
    "issues": [],
    "tolerancePriceUnits": 0.01,
    "normalizedPrices": {
      "open": 100,
      "high": 102,
      "low": 99,
      "close": 101
    },
    "provenance": {
      "source": "SYNTHETIC",
      "symbol": "DEMO",
      "bar_id": "B01"
    },
    "rawBar": {
      "bar_id": "B01",
      "source": "SYNTHETIC",
      "symbol": "DEMO",
      "timestamp": "2026-07-20T09:30:00Z",
      "open": 100,
      "high": 102,
      "low": 99,
      "close": 101,
      "volume": 1000
    }
  },
  {
    "index": 1,
    "timestamp": "2026-07-20T09:31:00Z",
    "valid": true,
    "issues": [],
    "tolerancePriceUnits": 0.01,
    "normalizedPrices": {
      "open": 100.01,
      "high": 100,
      "low": 99.5,
      "close": 99.9
    },
    "provenance": {
      "source": "SYNTHETIC",
      "symbol": "DEMO",
      "bar_id": "B02"
    },
    "rawBar": {
      "bar_id": "B02",
      "source": "SYNTHETIC",
      "symbol": "DEMO",
      "timestamp": "2026-07-20T09:31:00Z",
      "open": 100.01,
      "high": 100,
      "low": 99.5,
      "close": 99.9,
      "volume": 900
    }
  },
  {
    "index": 2,
    "timestamp": "2026-07-20T09:32:00Z",
    "valid": false,
    "issues": ["HIGH_BELOW_BODY"],
    "tolerancePriceUnits": 0.01,
    "normalizedPrices": {
      "open": 100.0101,
      "high": 100,
      "low": 99.5,
      "close": 99.9
    },
    "provenance": {
      "source": "SYNTHETIC",
      "symbol": "DEMO",
      "bar_id": "B03"
    },
    "rawBar": {
      "bar_id": "B03",
      "source": "SYNTHETIC",
      "symbol": "DEMO",
      "timestamp": "2026-07-20T09:32:00Z",
      "open": 100.0101,
      "high": 100,
      "low": 99.5,
      "close": 99.9,
      "volume": 800
    }
  }
]

Showing 3 of 7 elements.

Diagrams

OHLC Consistency Validator — article hero
OHLC Consistency Validator — ohlc invariants

Calculation flow

Detection, investigation, and repair flow 
flowchart LR
    A["Raw bar plus provenance"] --> B{"Configuration valid?"}
    B -->|No| X["Reject the validation request"]
    B -->|Yes| C{"Required fields valid?"}
    C -->|No| D["Record field issues"]
    C -->|Yes| E["Normalize price scale"]
    E --> F["Evaluate all three OHLC gaps"]
    D --> G["Emit detection result and raw row"]
    F --> G
    G --> H{"Independent evidence confirms cause?"}
    H -->|No| I["Quarantine and investigate"]
    H -->|Yes| J["Apply an approved versioned repair downstream"]

How it works

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References