reading from this post, there are some securities that will not trade for minutes/days: https://www.quantopian.com/posts/runtime-error-siddata-object-has-no-attribute-price
how are standard indicators such as SMA calculated for these?
thank you
-Jason
i guess I will treat the security as not-yet traded until I get the first price, then I will fill forward for future untraded minutes/days.
if anyone has a better idea, please post.
More references provided on http://en.wikipedia.org/wiki/Unevenly_spaced_time_series. Regarding the forward-filling technique you mention above, keep in mind that as data becomes sparse or absent within a trailing window, the error in the average goes up, making the average less reliable. So, you might want to consider computing error bars that capture this effect. Or you could require a minimum of N samples in your window to keep the error in check. --Grant
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