wrangle#
API documentation for tradingstrategy.utils.wrangle Python module in Trading Strategy.
Module description#
Wrangle incoming data.
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#
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Mark the bad wicks. |
|
Correct out bad high/low values in OHLC data. |
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Wrangle DEX price data for all known issues. |
Remove any candle that has a zero value for OHLC |