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Wind API Data Quality Issues in Strategy Backtests

Article vn.py community
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Summary

This short forum exchange describes a backtesting issue in VeighNa: several built-in strategies reportedly generated many trades that closed at a price of zero when using data from the Wind Python API configured through VN Station. A respondent suggests that the Wind client API may have unreliable data quality and contrasts it with Wind's separate commercial datafeed offering.

The exchange serves as a practical warning to inspect input data and anomalous fills when a backtest produces implausible results. It does not identify the underlying cause, show a diagnostic procedure, or establish that the API is generally unreliable. There are no sample records, controlled comparisons, or verified fixes, so the reply is an anecdotal opinion rather than a demonstrated finding. The thread provides no evidence about strategy performance independent of the reported data problem.

Key ideas

  • A user reports many zero-price exits when backtesting several built-in strategies with Wind Python API data in VN Station.
  • A forum respondent attributes the issue to possible data-quality problems in the client API.
  • The thread recommends no specific diagnostic or repair procedure.
  • The claim about Wind data quality is anecdotal and is not supported by a comparison or reproduced example.

Tags

BacktestingExecution

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.