One trusted price from three data sources
Nordic Analytics, fintech platform for traders and analysts
A minute-bar pipeline for about 16,000 securities, with one clear rule for which source wins and a repeatable fix for stock splits.
01Three sources, three answers
Charts, backtests and live trading all read the same minute-bar history. It came from Polygon, Interactive Brokers and our own interpolated or backfilled tables, and when they disagreed, nothing decided which one won. Stock splits added a second problem: a split changes the meaning of every price before it.
02Make the history worth trusting
Every bar needed one answer that came out the same way every time, so backtests and live results would agree. After a split, the whole history before it had to be corrected.
03A fixed order and a repeatable fix
- I proposed a fixed order: Polygon, then Interactive Brokers, then internal data. With a shifting priority, backtests and live results would never line up.
- An incomplete minute candle is filled from the bid/ask midpoint.
- A nightly job walks about 215 pages of 80 securities. About 200 recently traded securities refresh more often, and minute data older than about 50 days is pruned.
- For a split, the job finds the affected records, recalculates them, then deletes and reinserts the corrected rows, so the history stays consistent. I built the fix before wrong prices could reach the charts.
04The same price everywhere
Every chart, backtest and live signal reads the same price for the same minute, and splits are handled by a process the team can rerun.