What you will learn
- Resampling
- Corporate/fund changes
- Futures rolls
- Quote versus trade feeds
Resampling
Transformations should state inputs, outputs and assumptions. Unit conversion, resampling and adjustments are different operations and should remain distinguishable in the lineage of a derived series.
Corporate/fund changes
Timezone normalization needs date-aware rules. Preserve original timestamps and timezone information, especially around daylight-saving transitions or ambiguous local times. UTC storage does not repair an incorrectly interpreted source timestamp.
Futures rolls
Bar aggregation must define interval boundaries, price stream and empty-interval behavior. An inclusive endpoint used twice can double-count an event across adjacent bars. Test boundary timestamps explicitly.
Quote versus trade feeds
Continuous futures construction requires a roll and adjustment policy. Keep raw expiry contracts and transformation metadata so execution-sensitive studies can recover actual traded prices rather than only adjusted history.
Worked example
An event exactly at 10:05 is included in both the 10:00–10:05 and 10:05–10:10 bars. A half-open interval convention, consistently applied, prevents double inclusion.
Try it yourself
Specify a bar-boundary convention and test observations just before, exactly at and just after the boundary.
Show the worked solution
For example, use start-inclusive and end-exclusive intervals. The exact-boundary event belongs to the later bar; neighboring observations belong according to their timestamps. Document the convention for all consumers.
Apply this to your course project
Deliver a versioned dataset and a quality report.
Keep the calculation inputs, assumptions and decisions with your work. Practical exercises are self-reviewed; the scored knowledge checks assess the questions shown, not an independent certification of practical competence.