Original skill document
Rendered from the source repository. Headings, examples, code, tables, links, and referenced images are preserved.
OHLCV Processing — Market Data Preparation
Clean, consistent OHLCV data is the foundation of every trading analysis. Garbage in, garbage out — a single anomalous candle can trigger false signals, corrupt indicator calculations, and produce misleading backtest results. This skill covers the full data preparation pipeline: validation, cleaning, resampling, normalization, and multi-source merging.
Why this matters: Crypto OHLCV data is messier than traditional markets. 24/7 trading means no official close, DEX aggregators disagree on prices, low-liquidity tokens produce impossible candles, and API outages create gaps. Every analysis workflow should start with this pipeline.
Quick Start
1. Install Dependencies
bash
uv pip install pandas numpy httpx2. Standard OHLCV DataFrame Format
All processing functions expect this canonical format:
python
import pandas as pd
# Canonical OHLCV DataFrame
# - DatetimeIndex in UTC
# - Columns: open, high, low, close, volume (lowercase)
# - Sorted ascending by timestamp
# - No duplicate timestamps
df = pd.DataFrame({
"open": [1.10, 1.12, 1.11],
"high": [1.15, 1.14, 1.13],
"low": [1.08, 1.10, 1.09],
"close": [1.12, 1.11, 1.12],
"volume": [50000, 48000, 52000],
}, index=pd.to_datetime([
"2025-01-01 00:00:00",
"2025-01-01 00:01:00",
"2025-01-01 00:02:00",
], utc=True))
df.index.name = "timestamp"3. Full Processing Pipeline
python
import pandas as pd
import numpy as np
def process_ohlcv(df: pd.DataFrame) -> pd.DataFrame:
"""Run complete OHLCV processing pipeline."""
df = standardize_columns(df)
df = validate_ohlcv(df)
df = handle_gaps(df, method="ffill")
df = detect_and_flag_anomalies(df)
return dfData Validation
Column Checks
python
REQUIRED_COLUMNS = {"open", "high", "low", "close", "volume"}
def standardize_columns(df: pd.DataFrame) -> pd.DataFrame:
"""Normalize column names to lowercase standard."""
df.columns = df.columns.str.lower().str.strip()
# Common renames
rename_map = {"vol": "volume", "v": "volume", "o": "open",
"h": "high", "l": "low", "c": "close"}
df = df.rename(columns=rename_map)
missing = REQUIRED_COLUMNS - set(df.columns)
if missing:
raise ValueError(f"Missing columns: {missing}")
return df[["open", "high", "low", "close", "volume"]]Structural Validation
python
def validate_ohlcv(df: pd.DataFrame) -> pd.DataFrame:
"""Validate OHLCV structural integrity."""
# Ensure DatetimeIndex in UTC
if not isinstance(df.index, pd.DatetimeIndex):
df.index = pd.to_datetime(df.index, utc=True)
if df.index.tz is None:
df.index = df.index.tz_localize("UTC")
# Sort and deduplicate
df = df.sort_index()
dupes = df.index.duplicated(keep="last")
if dupes.any():
print(f"Warning: Removed {dupes.sum()} duplicate timestamps")
df = df[~dupes]
# Type enforcement
for col in ["open", "high", "low", "close", "volume"]:
df[col] = pd.to_numeric(df[col], errors="coerce")
return dfImpossible Candle Detection
python
def find_impossible_candles(df: pd.DataFrame) -> pd.DataFrame:
"""Find candles that violate OHLC constraints."""
issues = pd.DataFrame(index=df.index)
issues["high_lt_low"] = df["high"] < df["low"]
issues["high_lt_open"] = df["high"] < df["open"]
issues["high_lt_close"] = df["high"] < df["close"]
issues["low_gt_open"] = df["low"] > df["open"]
issues["low_gt_close"] = df["low"] > df["close"]
issues["negative_price"] = (df[["open", "high", "low", "close"]] < 0).any(axis=1)
issues["negative_volume"] = df["volume"] < 0
issues["any_issue"] = issues.any(axis=1)
return issues[issues["any_issue"]]Gap Handling
Crypto trades 24/7, but gaps still occur from API outages, low liquidity, or aggregator downtime.
Detect Gaps
python
def detect_gaps(df: pd.DataFrame, expected_freq: str = "1min") -> pd.Series:
"""Find missing timestamps based on expected frequency."""
full_index = pd.date_range(
start=df.index.min(), end=df.index.max(), freq=expected_freq, tz="UTC"
)
missing = full_index.difference(df.index)
return missingFill Gaps
python
def handle_gaps(
df: pd.DataFrame,
freq: str = "1min",
method: str = "ffill",
max_gap: int = 5,
) -> pd.DataFrame:
"""Fill gaps in OHLCV data.
Args:
df: OHLCV DataFrame with DatetimeIndex.
freq: Expected bar frequency.
method: 'ffill' (forward fill) or 'interpolate'.
max_gap: Maximum consecutive bars to fill. Larger gaps are left as NaN.
"""
full_index = pd.date_range(
start=df.index.min(), end=df.index.max(), freq=freq, tz="UTC"
)
df = df.reindex(full_index)
df.index.name = "timestamp"
# Mark which bars were filled
df["is_filled"] = df["close"].isna()
if method == "ffill":
# Forward fill OHLC (flat candle), zero volume
df[["open", "high", "low", "close"]] = (
df[["open", "high", "low", "close"]].ffill(limit=max_gap)
)
df["volume"] = df["volume"].fillna(0)
elif method == "interpolate":
df[["open", "high", "low", "close"]] = (
df[["open", "high", "low", "close"]].interpolate(
method="time", limit=max_gap
)
)
df["volume"] = df["volume"].fillna(0)
return dfAnomaly Detection
See references/data_quality.md for the complete anomaly taxonomy.
Price Spike Detection
python
def detect_price_spikes(
df: pd.DataFrame, window: int = 20, threshold: float = 3.0
) -> pd.Series:
"""Flag bars where return exceeds threshold * rolling std."""
returns = df["close"].pct_change()
rolling_std = returns.rolling(window, min_periods=5).std()
spike = returns.abs() > (threshold * rolling_std)
return spike.fillna(False)Zero Volume Detection
python
def detect_zero_volume(df: pd.DataFrame, min_volume: float = 0) -> pd.Series:
"""Flag bars with zero or below-minimum volume."""
return df["volume"] <= min_volumeComposite Anomaly Flagging
python
def flag_anomalies(df: pd.DataFrame) -> pd.DataFrame:
"""Add anomaly flag columns to DataFrame."""
df["anomaly_spike"] = detect_price_spikes(df)
df["anomaly_zero_vol"] = detect_zero_volume(df)
impossible = find_impossible_candles(df)
df["anomaly_impossible"] = False
if not impossible.empty:
df.loc[impossible.index, "anomaly_impossible"] = True
df["anomaly_any"] = (
df["anomaly_spike"] | df["anomaly_zero_vol"] | df["anomaly_impossible"]
)
return dfResampling
See references/resampling_guide.md for detailed guidance.
Standard Resample
python
OHLCV_RESAMPLE_RULES = {
"open": "first",
"high": "max",
"low": "min",
"close": "last",
"volume": "sum",
}
def resample_ohlcv(df: pd.DataFrame, target_freq: str) -> pd.DataFrame:
"""Resample OHLCV to a coarser timeframe.
Args:
df: OHLCV DataFrame (must be finer than target_freq).
target_freq: Pandas frequency string ('5min', '15min', '1h', '4h', '1D').
Returns:
Resampled OHLCV DataFrame with no NaN rows.
"""
ohlcv_cols = ["open", "high", "low", "close", "volume"]
resampled = df[ohlcv_cols].resample(target_freq).agg(OHLCV_RESAMPLE_RULES)
return resampled.dropna(subset=["close"])Common Timeframe Ladder
python
TIMEFRAME_LADDER = ["1min", "5min", "15min", "1h", "4h", "1D"]
def resample_ladder(df: pd.DataFrame) -> dict[str, pd.DataFrame]:
"""Resample 1-minute data to all standard timeframes."""
results = {"1min": df.copy()}
for tf in TIMEFRAME_LADDER[1:]:
results[tf] = resample_ohlcv(df, tf)
return resultsVWAP Calculation
python
def compute_vwap(df: pd.DataFrame) -> pd.Series:
"""Compute cumulative VWAP over the DataFrame."""
typical_price = (df["high"] + df["low"] + df["close"]) / 3
cum_vol = df["volume"].cumsum()
cum_tp_vol = (typical_price * df["volume"]).cumsum()
return cum_tp_vol / cum_volNormalization
python
def normalize_prices(
df: pd.DataFrame, method: str = "returns"
) -> pd.DataFrame:
"""Normalize OHLCV price columns.
Methods:
'returns' — Percentage returns (close-to-close).
'log_returns' — Log returns.
'minmax' — Min-max scale to [0, 1].
'zscore' — Z-score normalization.
"""
price_cols = ["open", "high", "low", "close"]
result = df.copy()
if method == "returns":
for col in price_cols:
result[f"{col}_ret"] = result[col].pct_change()
elif method == "log_returns":
for col in price_cols:
result[f"{col}_logret"] = np.log(result[col] / result[col].shift(1))
elif method == "minmax":
for col in price_cols:
cmin, cmax = result[col].min(), result[col].max()
result[f"{col}_norm"] = (result[col] - cmin) / (cmax - cmin)
elif method == "zscore":
for col in price_cols:
result[f"{col}_z"] = (
(result[col] - result[col].mean()) / result[col].std()
)
return resultMulti-Source Merging
When combining data from multiple sources (e.g., Birdeye + DexScreener), timestamps may not align and prices may differ due to different DEX aggregation.
python
def merge_ohlcv_sources(
primary: pd.DataFrame,
secondary: pd.DataFrame,
tolerance: str = "30s",
) -> pd.DataFrame:
"""Merge two OHLCV sources, preferring the higher-volume source per bar.
Args:
primary: First OHLCV source.
secondary: Second OHLCV source.
tolerance: Maximum time difference for alignment.
"""
merged = pd.merge_asof(
primary.sort_index(),
secondary.sort_index(),
left_index=True, right_index=True,
tolerance=pd.Timedelta(tolerance),
suffixes=("_pri", "_sec"),
)
# Use higher-volume source per bar
use_secondary = merged["volume_sec"] > merged["volume_pri"]
for col in ["open", "high", "low", "close", "volume"]:
merged[col] = np.where(
use_secondary, merged[f"{col}_sec"], merged[f"{col}_pri"]
)
merged["source"] = np.where(use_secondary, "secondary", "primary")
return merged[["open", "high", "low", "close", "volume", "source"]]Timezone Handling
Standard: Always store and process in UTC. Convert only for display.
python
def ensure_utc(df: pd.DataFrame) -> pd.DataFrame:
"""Ensure DatetimeIndex is UTC."""
if df.index.tz is None:
df.index = df.index.tz_localize("UTC")
elif str(df.index.tz) != "UTC":
df.index = df.index.tz_convert("UTC")
return dfData Quality Report
python
def quality_report(df: pd.DataFrame) -> dict:
"""Generate a data quality summary."""
total = len(df)
return {
"total_bars": total,
"date_range": f"{df.index.min()} → {df.index.max()}",
"missing_values": int(df[["open", "high", "low", "close"]].isna().sum().sum()),
"zero_volume_bars": int((df["volume"] == 0).sum()),
"impossible_candles": int((df["high"] < df["low"]).sum()),
"duplicate_timestamps": int(df.index.duplicated().sum()),
"negative_prices": int((df[["open", "high", "low", "close"]] < 0).any(axis=1).sum()),
"completeness_pct": round((1 - df["close"].isna().mean()) * 100, 2),
}Files
References
references/data_quality.md— Anomaly types, detection methods, correction strategies, crypto-specific data issuesreferences/resampling_guide.md— Resample rules, timeframe use cases, partial bar handling, VWAP resampling, multi-timeframe alignment
Scripts
scripts/process_ohlcv.py— Full processing pipeline: validate, clean, resample, normalize with anomaly reporting (run with--demofor synthetic data)scripts/merge_sources.py— Multi-source OHLCV merging with conflict resolution and discrepancy reporting (run with--demo)
