Finding Missing Periods in Historical Price Data
Summary
The document describes an expert advisor for detecting gaps in a broker’s historical price data for a chosen symbol and timeframe. It instructs the user to run the tool in the strategy tester with the date restriction disabled and open-prices-only modeling; the detected gaps are then listed in the log. This provides a practical data-quality check before historical analysis or strategy testing.
The tool ignores normal weekend closures when the broker shuts on Friday and reopens on Sunday, while reporting possible gaps around holidays. A minimum-gap-in-bars setting filters out short intervals, which may reflect periods with few trades rather than missing history. The account does not describe the detection algorithm, validate findings against an external data source, or explain how to distinguish all genuine outages from illiquid intervals. Results therefore depend on the broker’s calendar and the filter setting, and identified gaps should be reviewed in context.
Key ideas
- The expert advisor reports historical price-data gaps for a selected symbol and timeframe.
- It is run in the strategy tester with date limits off and open-prices-only modeling.
- Routine weekend closures are ignored, while holiday-period gaps may be reported.
- A minimum bar-gap setting can suppress short intervals associated with low trading activity.
- Reported gaps depend on the broker schedule and may need contextual review.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.