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fix: preserve Friday equity bars during weekend validation #88

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Merged
stefan-jansen merged 2 commits into from
Oct 15, 2026
Merged

fix: preserve Friday equity bars during weekend validation #88

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0cbe5de
test: reproduce Friday equity weekend misclassification (#87)
Oct 15, 2026
bf9743e
fix: reject only ISO weekend days in equity validation (#87)
Oct 15, 2026
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2 changes: 1 addition & 1 deletion src/ml4t/data/assets/validation.py
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Original file line number Diff line number Diff line change
Expand Up @@ -128,7 +128,7 @@ def _validate_equity(self, df: pl.DataFrame) -> dict[str, list[str]]:

# Check for weekend data (should not exist for regular equities)
if "timestamp" in df.columns:
weekend_data = df.filter(pl.col("timestamp").dt.weekday() >= 5)
weekend_data = df.filter(pl.col("timestamp").dt.weekday() >= 6)
if len(weekend_data) > 0:
issues.append(f"Found {len(weekend_data)} weekend data points")

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40 changes: 35 additions & 5 deletions tests/assets/test_validation.py
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Expand Up @@ -253,15 +253,46 @@ def test_validate_valid_data_no_issues(self):
class TestValidateEquity:
"""Tests for equity-specific validation."""

def test_validate_weekend_data(self):
@pytest.mark.parametrize(
"timestamp",
[
pytest.param(datetime(2025, 7, 7, 10), id="monday"),
pytest.param(datetime(2025, 7, 8, 10), id="tuesday"),
pytest.param(datetime(2025, 7, 9, 10), id="wednesday"),
pytest.param(datetime(2025, 7, 10, 10), id="thursday"),
pytest.param(datetime(2025, 7, 11, 10), id="friday"),
],
)
def test_validate_regular_weekdays_do_not_report_weekend(self, timestamp):
info = AssetInfo(symbol="SPY", asset_class=AssetClass.EQUITY, exchange="NYSE")
df = pl.DataFrame(
{
"timestamp": [timestamp],
"open": [100.0],
"high": [101.0],
"low": [99.0],
"close": [100.0],
"volume": [1000.0],
}
)

assert AssetValidator(info).validate(df) == {}

@pytest.mark.parametrize(
"timestamp",
[
pytest.param(datetime(2025, 7, 12, 10), id="saturday"),
pytest.param(datetime(2025, 7, 13, 10), id="sunday"),
],
)
def test_validate_weekend_data(self, timestamp):
"""Test detecting weekend data for equities."""
info = AssetInfo(symbol="AAPL", asset_class=AssetClass.EQUITY)
validator = AssetValidator(info)

# January 7, 2023 is a Saturday
df = pl.DataFrame(
{
"timestamp": [datetime(2023, 1, 7)],
"timestamp": [timestamp],
"open": [100.0],
"high": [101.0],
"low": [99.0],
Expand All @@ -272,8 +303,7 @@ def test_validate_weekend_data(self):

results = validator.validate(df)

assert "equity_specific" in results
assert any("weekend" in issue.lower() for issue in results["equity_specific"])
assert results == {"equity_specific": ["Found 1 weekend data points"]}

def test_validate_negative_prices(self):
"""Test detecting non-positive prices."""
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