feat(loaders): validate OHLC invariants at the loader boundary#274
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Loaders only dropped NaN rows, so structurally invalid bars (high<low, a non-positive price, or a high/low that fails to bracket open/close) passed straight into the backtest and surfaced downstream as NaN/inf metrics that break the strict allow_nan=False JSON serializers. Add a shared validate_ohlc() helper in loaders/base.py and call it after the existing dropna in the yfinance and local loaders. The default drops offending rows and logs a count, matching the loaders' existing silent-clean convention; "warn" and "raise" strategies are available for stricter callers. Signed-off-by: Lanre Shittu <136805224+Shizoqua@users.noreply.github.com>
Wire validate_ohlc into the runner's single fetch-convergence point so auto, single-source, runtime-fallback, and any future loader are guarded uniformly — not just the two loaders wired at source. Adds _sanitize_data_map(data_map) in runner.py, applied right after the data map is assembled and before the empty-data check, plus a test that a dirty bar from an unwired loader is dropped before it reaches the backtest.
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Merged — thanks @Shizoqua! 🙏 The Before merging I added one follow-up commit so it guards every source, not just local + yfinance. Instead of wiring the call into all ~18 loaders one by one, it now also runs once centrally in |
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Problem
The loaders only drop NaN rows. Bars that are present but structurally invalid —
high < low, a non-positive price, or a high/low that does not bracket open/close — pass straight through into the backtest, where they silently corrupt downstream metrics (and can yield non-finite values that break strict JSON serialization).Change
validate_ohlc(frame, strategy="drop")helper inagent/backtest/loaders/base.py(next tovalidate_date_range).dropnain the yfinance and local loaders."warn"and"raise"strategies are available for stricter callers.Tests
agent/tests/test_ohlc_validation.pycovers drop/warn/raise behaviour, pass-through of valid frames (including flat/doji bars), and an end-to-end check that a dirty bar in a local CSV is dropped by the loader.