fix_outlier_share_prices

Documentation for eth_defi.research.wrangle_vault_prices.fix_outlier_share_prices function.

fix_outlier_share_prices(prices_df, logger=<built-in function print>, max_diff=0.33, look_back=24, look_ahead=24)

Fix out rows with share price that is too high.

  • Sometimes share price jump to an outlier value and back

  • This caused abnormal returns in returns calculations, messing all volatility numbers, sharpe, charts, etc.

  • The root cause is bad oracles, fat fingers, MEV trades, etc.

  • See check-share-price script for inspecting individual prices

Case Fluegel DAO:

timestamp

chain

address

block_number

share_price

total_assets

total_supply

2024-07-16 15:02:57

8453

0x277a3c57f3236a7d458576074d7c3d7046eb26c

17176415

1.60

373,740.21

232,929.92

2024-07-16 16:02:57

8453

0x277a3c57f3236a7d458576074d7c3d7046eb26c

17178215

1.63

379,832.59

232,929.92

2024-07-16 17:02:57

8453

0x277a3c57f3236a7d458576074d7c3d7046eb26c

17180015

0.33

75,744.97

232,929.92

2024-07-16 18:02:57

8453

0x277a3c57f3236a7d458576074d7c3d7046eb26c

17181815

1.64

382,282.78

232,929.92

Case Untangle Finance:

Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-12 23:14:19 (3206): fixing: 1.038721 -> 1.038721, prev: 1.038827, next: 0.444865
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-13 00:14:13 (3207): fixing: 1.038931 -> 1.038931, prev: 1.038801, next: 0.444865
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-13 01:14:09 (3208): fixing: 1.038931 -> 1.038931, prev: 1.038801, next: 0.444865
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-13 02:14:03 (3209): fixing: 1.038931 -> 1.038931, prev: 1.038801, next: 0.444865
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-13 03:14:01 (3210): fixing: 1.038931 -> 1.038931, prev: 1.038801, next: 0.444865
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-13 04:13:56 (3211): fixing: 1.038931 -> 1.038931, prev: 1.038801, next: 0.444865
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-13 05:13:53 (3212): fixing: 1.038931 -> 1.038931, prev: 1.038801, next: 0.468629
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-13 06:13:51 (3213): fixing: 1.039134 -> 1.039134, prev: 1.038439, next: 0.468629
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-13 07:13:45 (3214): fixing: 1.039134 -> 1.039134, prev: 1.038439, next: 0.468629
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-13 08:13:40 (3215): fixing: 1.039134 -> 1.039134, prev: 1.038439, next: 0.468629
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-13 09:13:37 (3216): fixing: 1.039134 -> 1.039134, prev: 1.038439, next: 0.482511
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-13 10:13:27 (3217): fixing: 1.039134 -> 1.039134, prev: 1.038439, next: 0.482511
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-13 11:13:21 (3218): fixing: 1.039134 -> 1.039134, prev: 1.038439, next: 0.482511
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 00:11:51 (3230): fixing: 0.444865 -> 1.0405275, prev: 1.038721, next: 1.042334
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 01:11:42 (3231): fixing: 0.444865 -> 1.0406325, prev: 1.038931, next: 1.042334
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 02:11:33 (3232): fixing: 0.444865 -> 1.0407335, prev: 1.038931, next: 1.042536
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 03:11:36 (3233): fixing: 0.444865 -> 1.0407335, prev: 1.038931, next: 1.042536
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 04:11:26 (3234): fixing: 0.444865 -> 1.0407335, prev: 1.038931, next: 1.042536
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 05:11:17 (3235): fixing: 0.444865 -> 1.0407335, prev: 1.038931, next: 1.042536
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 06:11:10 (3236): fixing: 0.468629 -> 1.0407335, prev: 1.038931, next: 1.042536
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 07:11:01 (3237): fixing: 0.468629 -> 1.040835, prev: 1.039134, next: 1.042536
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 08:10:52 (3238): fixing: 0.468629 -> 1.0406445, prev: 1.039134, next: 1.042155
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 11:10:26 (3239): fixing: 0.468629 -> 1.0406445, prev: 1.039134, next: 1.042155
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 12:10:18 (3240): fixing: 0.482511 -> 1.0406445, prev: 1.039134, next: 1.042155
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 13:10:09 (3241): fixing: 0.482511 -> 1.0406445, prev: 1.039134, next: 1.042155
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-14 14:10:01 (3242): fixing: 0.482511 -> 1.0406445, prev: 1.039134, next: 1.042155
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 04:08:39 (3254): fixing: 1.042334 -> 1.042334, prev: 0.444865, next: 1.04251
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 05:08:33 (3255): fixing: 1.042334 -> 1.042334, prev: 0.444865, next: 1.04251
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 06:08:29 (3256): fixing: 1.042536 -> 1.042536, prev: 0.444865, next: 1.04251
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 07:08:24 (3257): fixing: 1.042536 -> 1.042536, prev: 0.444865, next: 1.04251
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 08:08:20 (3258): fixing: 1.042536 -> 1.042536, prev: 0.444865, next: 1.04251
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 09:08:12 (3259): fixing: 1.042536 -> 1.042536, prev: 0.444865, next: 1.04251
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 10:08:07 (3260): fixing: 1.042536 -> 1.042536, prev: 0.468629, next: 1.042519
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 11:08:03 (3261): fixing: 1.042536 -> 1.042536, prev: 0.468629, next: 1.042519
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 12:07:55 (3262): fixing: 1.042155 -> 1.042155, prev: 0.468629, next: 1.042519
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 13:07:51 (3263): fixing: 1.042155 -> 1.042155, prev: 0.468629, next: 1.042519
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 14:07:49 (3264): fixing: 1.042155 -> 1.042155, prev: 0.482511, next: 1.042519
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 15:07:42 (3265): fixing: 1.042155 -> 1.042155, prev: 0.482511, next: 1.042519
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-15 16:07:36 (3266): fixing: 1.042155 -> 1.042155, prev: 0.482511, next: 1.042354
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-23 02:04:05 (3433): fixing: 1.036482 -> 1.036482, prev: 1.126302, next: 0.487429
Abnormal share price detected for 42161-0x4a3f7dd63077cde8d7eff3c958eb69a3dd7d31a9 at index 2025-10-24 06:01:21 (3457): fixing: 0.487429 -> 1.041995, prev: 1.036482, next: 1.047508
Parameters

prices_df (pandas.core.frame.DataFrame) –

Return type

pandas.core.frame.DataFrame