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Pandas & Tick Data Cleaning
Quant & Broker APIs · Python for FinanceFiltering outlier freak ticks, right-closed OHLCV resampling, and Panama back-adjusted futures rolls.
Topics in this Sub-Topic
Explore each dedicated topic below inside the 3-level Trade School hierarchy (Quant & Broker APIs / Python for Finance / Pandas & Tick Data Cleaning).
Tick Data Sanitization, Freak-Tick Z-Filters & Session-Aligned Resampling
Cleaning raw tick streams with rolling MAD/Z-score filters and resampling to 9:15 AM session-aligned OHLCV bars in Pandas.
Continuous Futures Stitching: Backward Panama vs. Ratio Roll Adjustment
Removing artificial expiry roll gaps from multi-year futures datasets so moving averages and ATR do not misfire on roll Thursday.
Lessons
- Tick Data Sanitization, Freak-Tick Z-Filters & Session-Aligned Resampling
Cleaning raw tick streams with rolling MAD/Z-score filters and resampling to 9:15 AM session-aligned OHLCV bars in Pandas.
- Continuous Futures Stitching: Backward Panama vs. Ratio Roll Adjustment
Removing artificial expiry roll gaps from multi-year futures datasets so moving averages and ATR do not misfire on roll Thursday.