Auditing Broker Bar History for Gaps and Data Defects

Summary

The document describes an audit of terminal-held price bars before they are used for indicators or backtests. It checks OHLC consistency, bar timestamps, missing openings relative to the broker’s stated quote sessions, empty or flat bars, higher-timeframe bars against reconstructed M1 data, and stored spreads. It distinguishes session coverage from grid coverage so ordinary closures such as nights and weekends are not confused with missing data during declared trading hours. Findings include timestamps and are written to files that can be independently checked.

A broker-terminal example reports one unexplained gold gap among otherwise clean checks across the audited bars, while a separate short M1 sample shows flat bars, wide spreads, and in-session gaps. An independent script reportedly reproduced the audit counters without mismatches. These results describe particular terminal histories, not a general estimate of broker quality. The tool audits only locally available bar data, relies partly on the broker’s own session schedule, does not inspect tick history, and reports defects without repairing them.

Key ideas

• Session coverage helps distinguish unexplained gaps from expected market closures.
• OHLC, timestamps, empty bars, spreads, and cross-timeframe consistency are separate audit checks.
• Comparing higher-timeframe bars with M1 data can reveal disagreements within covered windows.
• Independent recomputation of findings makes an audit easier to verify.
• The audit describes terminal-held bar history and does not assess tick data or repair defects.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.