Nan rows observed in is_liquid data

kairos

Hi,

I'm working on S&P500 competitions and I found something strange in is_liquid field. As you see the 1st plot below, I counted the number of liquid stocks from June 2005 to now. I observed is_liquid row is all NaN for dates before January 1st 2006 and that is ok.

But the problem is with the dates where the number of liquid stocks suddenly drops to 100 and gets back to 400-500 the day after - what's the reason for this? In the 2nd picture, you can see that at 2009/11/27, some assets have NaN for is_liquid filed and gets back to 1 after.

Given the raw data is like this, I'm not sure the cleaning function qnout.clean() appropriately handles liquidity filter error. Can you give me a clarification?

support

@kairos Hi,

thanks for pointing this out, we are working on it, it will be fixed as soon as possible.
The problem is, that for some dates prior to 2014 we don't get OHLC prices at all for most assets (all NaNs, so is_liquid is NaN too). We have already reported it to our data provider. Anyway, the clean() function should work properly.

Best regards