One really important feature of time series data is the preservation of what the dataset looked like at each point in time. Financial data providers will make a

One really important feature of time series data is the preservation of what the dataset looked like at each point in time. Financial data providers will make a mistake (off by order of magnitude, missed a stock split, etc) and then go back and correct it. This means you end up training models entirely on corrected data, but trade based on uncorrected data.