wrangle#
API documentation for tradingstrategy.utils.wrangle Python module in Trading Strategy.
Module description#
Wrangle DEX market data to be better suitable for algorithmic trading.
Wrangle is a process where we “massage” incoming price/liquidity data for the isseus we may have encountered during the data collection
Common DEX data issues are absurd price high/low spikes due to MEV trades
We also have some open/close values that are “broken” in a sense that they do not reflect the market price you would be able to trade, again likely due to MEV
See
fix_dex_price_data()
for fixing
Functions#
|
Check the price dataframe for data issues. |
|
Find bad open/close prices where the open price is very different from the value of previous and next day. |
|
Mark the bad wicks. |
|
Correct out bad high/low values in OHLC data. |
|
Wrangle DEX price data for all known issues. |
|
Fix MEV bots breaking open/price. |
|
Remove candles where open value is outside the floating point range detector. |
Remove any candle that has a zero value for OHLC |