(last update: February, 2020)
Historical analysis is only as good as the data it evaluates. As such, InvestiQuant utilizes rigorous data cleansing, processing, and maintenance procedures. All company solutions (systems, signals, software, indicators, etc.) rely only on collected price data per the following:
Granularity: Price is aggregated at the 5 min bar level.
Session Hours: Price is collected for each symbol/instrument based on the normal/historical cash or pit session.
Globex: Currently do not collect overnight/non primary session data for the futures markets.
Holidays:
- Price is ignored for sessions where US stock equity markets are closed (to eliminate hypothetical trades during low liquidity periods). Examples: MLK, President’s Day, Memorial Day, July4th, Labor Day, Thanksgiving.
- Price is collected for shortened holiday trading sessions when US stock equity markets are open. Examples: Day after Thanksgiving, Day before July 4th, Christmas Eve.
Data Anomalies: As missing data and anomalies are identified from time to time, they are corrected and stored in iQ’s master databases. All prior instances of missing historical data have been resolved and stored, and no longer affect the rollover process.
Futures Rollover: All historical price data is adjusted/rolled per normal futures rollover schedules.
Dividends: Equity/ETF price data is not adjusted for dividends.
Source: Price data is collected from a primary and 2 backup sources (futures only). Currently only have 1 data source for equity/etfs.
Economic Events: Data is collected from an industry standard provider (investing.com). iQ Data specialist reviews every Thursday and confirms or adjusts as needed to account for any changes that may affect the following the week (e.g. scheduling changes to Monthly Jobs report, Crude Inventory report, etc that occur from time to time for any of number reasons (primarily holiday schedules.)
Data Team: Multiple members of the InvestiQuant development team are involved in the daily support, quality control and maintenance of historical data. Quality control is supported by a part-time resource who spot checks iQ solutions for accuracy and errors, and augmented by the company’s many professional and non-professional clients who use the “Tell Us” button to report suspected issues.