Point-in-Time Data Integrity

Point-in-time data integrity ensures that the data used in a backtest is exactly what was known at the precise moment a decision was made. This means accounting for data revisions, corporate actions, or exchange-specific updates that were not reflected in the initial feed.

If a system uses updated data that includes information added to the database after the fact, it introduces a form of look-ahead bias. For traders, this requires maintaining an archive of historical data as it appeared at every point in history.

In high-frequency crypto trading, this is critical because order flow data and exchange status updates can change rapidly. Maintaining this integrity is the only way to ensure that a backtest is a faithful representation of the decision-making process at that time.