Bad History Check
Author: dansmo
Creation Date: 8/18/2010 3:38 AM
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dansmo

#1

8/18/2010 3:38 AM

Hi,

is there a script available that checks intraday date for bad data?
Most important would be missing bars. Or can the "Bad History Data Check" script be used for intraday
data, too?
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Cone

#2

8/18/2010 4:03 AM

Depending on the provider, missing bars are expected for illiquid symbols on an intraday basis. For example, if stock ABC doesn't trade any shares from 10:31:00 to 10:34:00, you should expect 3 missing 1 minute bars. (Some providers may show the last close with 0 volume, I remember RealTick did this or had an option for it.)
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dansmo

#3

8/18/2010 5:25 AM

I want to check very liquid futures markets where I know that ther should not be any gap in the data during a trading day. Is there a script that does this?
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Eugene

#4

8/18/2010 7:01 AM

You could easily modify the strategy for intraday data. Here's an example that works for 60-min bars:
CODE:
Please log in to see this code.
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dansmo

#5

8/18/2010 9:21 AM

Thank you Eugene.
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