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Inputs are most important to any decision making. For strategy backtesting, the OHLC data is one of the most inputs.

So to ensure the correctness and integrity of OHLC data, we have checks on the following OHLC issues:

  • Outlier Price
  • Negative Price
  • Corrupted Price (High < Low, etc)
  • Missing minute ticks in 1-min timeframe

However, there is a lacking of a standard or methodology to grade the data quality. So is there any standard / methodology to determine and grade the quality of the OHLC data?

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I think your list is pretty good, and I doubt there are any "standards" in this space.

What I tend to do is source the data from multiple places, and compare. This doesn't have to be for the entire period/universe; a sample is often sufficient to figure out what types of problems I am dealing with.

Lastly, there is a chapter in "An Introduction to High-Frequency Finance" devoted to data cleaning (they look at FX tick data).

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