data/

Data directory for two-alpha-trading. All price data sourced from FMP, universe from Tiger Brokers US equity list.

Directory Structure

data/
├── stock_price_daily/          # 2550 symbols, raw daily OHLCV parquets
├── stock_price_daily_adjusted_volume/  # Same with half-day volume adjustment
├── snapshots/
│   ├── normal/                 # Per-day snapshots (OHLCV + 171 Alpha191)
│   ├── adjusted_volume/        # Same, from adjusted-volume prices
│   ├── normalized/             # v1: spot close/volume normalizers
│   ├── normalized_adjvol/      # v1: same, from adjusted-volume prices
│   └── normalized_v2/          # v2: rolling-mean normalizers (recommended)
├── blacklist_data_error.csv    # 39 excluded symbols
├── blacklist_data_error_README.md
├── half_days.csv               # 44 half-trading day dates
├── price_jumps.csv             # 1147 detected price jumps (320 symbols)
└── price_jumps_validated.csv   # Polygon.io cross-validation results

Key Files

Data Pipeline

FMP API → stock_price_daily/ (raw)
             ├── adjust_half_day_volume.py → stock_price_daily_adjusted_volume/
             ├── detect_price_jumps.py → price_jumps.csv → blacklist
             └── generate_snapshots.py → snapshots/normal/, adjusted_volume/
                    ├── normalize_snapshots.py → snapshots/normalized/, normalized_adjvol/
                    └── normalize_snapshots_v2.py → snapshots/normalized_v2/

See each subdirectory's README.md for detailed schema and known issues.