Data validity

Correct maths on data that lacks the information it is supposed to measure produces a clean, meaningless line. Volume is the usual case: many feeds deliver a volume series that is not trade volume. There is no blanket policy; each script is decided on its own, against the criteria below.

Information classes

Data is classified by where the information comes from, not by indicator family:

Class	Content	Source
A — Chart price	OHLC and time, and what derives from them: range, returns, structure, volatility	chart symbol
B — Reference price	OHLC of the underlying market	request.security() on a future or underlying
C — Reference volume	real trade volume, VWAP, volume profile	the reference market, never a CFD
D — Positioning	open interest, change in open interest, COT	futures and derivatives markets
E — Term structure	front and next month, calendar spread, contango and backwardation	futures curve
F — Fundamentals	storage, weather, production, macro data	external, mostly unavailable in Pine

Class A exists on every instrument. Everything from B onwards is a deliberate extra decision with its own costs: a cross-symbol request, session alignment, repaint risk.

Is the volume real?

Scripts decide from syminfo.volumetype, not from the instrument type and not from the fact that a volume series exists:

syminfo.volumetype	Meaning	Trade volume?
base	volume in base currency or contracts	yes
quote	volume in quote currency (crypto)	yes, different unit
tick	number of price updates	no
n/a	no volume	no

The repository deliberately keeps no table of which provider reports which volume type for which symbol. That is a property of the feed and it changes; the script asks the symbol at runtime.

nz(volume) is not a guard. It turns missing volume into zero, and zero compared with its own average makes a volume condition permanently true or permanently false without anyone noticing.

When there is no trade volume

• A volume component degrades to neutral instead of voting.
• Weighted scores renormalise the remaining weights, so the total does not sink on feeds without trade volume.
• The chart shows it: a dashboard row or a label states that the volume part is inactive.
• Scripts that make no sense without real volume — volume profiles, cumulative delta, Klinger — are marked Exchange-only and switch off visibly.

No reference market inside an indicator

A single indicator does not request a second symbol to replace missing volume. A reference market brings latency, settlement and back-adjustment differences, session offsets, request budget, repaint risk, and a symbol mapping that silently goes wrong on unknown symbols.

It is worth that cost only where it adds a dimension the chart symbol does not have at all — open interest, term structure, trade volume as regime context — and that belongs in one dedicated context module rather than in twenty scripts: the Futures Context Module.

The Data Contract

A .pine file declares which data classes it needs at the end of its header. The block is being added to every script; not all of them carry it yet.

// Data Contract:
//   Price:     REQUIRED   chart symbol
//   Volume:    OPTIONAL   real trade volume only — degrades to neutral
//   OI:        NO
//   Reference: NO
//   Verdict:   CFD-safe

• Price is always REQUIRED.
• Volume and OI are NO, OPTIONAL (the part degrades) or REQUIRED (the script is pointless without it).
• Reference is NO or names the symbol source when classes B to E are used.
• Verdict is one of:
  • CFD-safe — runs anywhere, needs nothing beyond class A.
  • CFD-degraded — runs anywhere; the volume or open-interest part switches off visibly.
  • Reference-required — needs a reference market; not valid on a CFD alone.
  • Exchange-only — needs real trade volume (base or quote). On tick or n/a the script switches off visibly instead of degrading.

The verdict describes the data requirement, not an instrument class. Whether a given symbol meets it is decided by the runtime check, so a contract never says that a script “does not run on CFDs”.

Beyond the data class

Some conditions change the series a script calculates on without the script seeing them:

• Back-adjustment on continuous futures shifts historical prices, and with them every level and Fibonacci retracement.
• Settlement as close: the daily close of a future is the settlement price by default, not the last trade. A CFD’s daily close and a future’s daily close are different quantities.
• Extended or regular session produces different bars, highs, lows and daily closes.
• Non-standard chart types — Heikin Ashi, Renko, Kagi, Point & Figure, Line Break — deliver synthetic OHLC.
• Delayed data: CME group markets are delayed by about ten minutes without a paid data package, which matters intraday.
• Realtime values of the open bar change until it closes, and request.security() returns unconfirmed values in realtime.

The complete rule set, in German, with the matrix per instrument type and the runtime patterns: DATA_VALIDITY.md.