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I am completely new to quant finance, so I apologise if this is a ridiculous question. Here is a picture of a snippet of some price data from the security 'NYSEARCA: SPY' (which is SPDR S&P 500 ETF Trust) that I downloaded from AlgoSeek.

Along the x-axis, the timestamp has been converted to the 'epoch' time, in this case just seconds since 00:00:00.

X['EpochTimestamp']

Why on earth would it look like this? Is it just down to recording errors? Surely no price data looks like that, with weird massive spikes above the trend line?

I was hoping to practice writing my own code for various basic manipulations on this series; would you remove these spikes as part of 'cleaning' the data?

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  • $\begingroup$ It's just uncleaned data. Try a different source. $\endgroup$
    – amdopt
    Commented Jun 16, 2020 at 18:28
  • $\begingroup$ Thanks for responding to such a naive question. $\endgroup$
    – user47624
    Commented Jun 16, 2020 at 19:13

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