How to clean spikes in Fidelity data?
Author: jheffez
Creation Date: 8/24/2019 9:58 AM
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jheffez

#1

8/24/2019 9:58 AM

Using Fidelity data I see many cases where there are spikes as noted in the attached screenshot. Sometimes the spikes can go down to 0 or jump to twice the real price.
Is there a way/method/extension to automatically remove the spikes without removing the bar itself (something like smoothing it so it does not skew analysis?
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Eugene

#2

8/24/2019 10:08 AM

You might find post #4 in thread below of interest, in particular:

Fidelity Bad Data

There's code that preprocesses your data by smoothing out the spike bars with the Median series over a lookback.
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jheffez

#3

8/24/2019 10:16 AM

Thanks!
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Eugene

#4

8/24/2019 10:57 AM

At your service.
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