examine_price_between_time_anomalies#

API documentation for tradingstrategy.utils.wrangle.examine_price_between_time_anomalies Python function.

examine_price_between_time_anomalies(price_series, high_diff=5.0, low_diff=- 0.99, column='close', heal=False)[source]#

Find bad open/close prices where the open price is very different from the value of previous and next day.

  • Must be done pair-by-pair

TODO: Work in progress.

Parameters:

  • price_series (Series) – Incoming OHLCV or single price series.

  • high_diff – A price between days cannot be higher than this multiplier.

  • low_diff – A price between days cannot be lower than this multiplier.

  • column (str) –

    Column name to check.

    Only relevant if input is DataFrame.

  • heal – IF set return the healed price data witih avg values replacing the outliers.

Returns:

Diagnostics results as DataFrame.

If heal is set, return healed price data or None if no healing needed.

Return type:

pandas.core.frame.DataFrame | pandas.core.series.Series