it would be useful to detect them programatically and I have no clue on how to go about it.
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how to find data gaps
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how to find data gaps
I am using barreplay to validate my strategy. I am sure there is some data gaps in the replay data. How can i detect the replay gap that is more than 2 minutes so i can figure out a way to ignore the results during that period of time.
it would be useful to detect them programatically and I have no clue on how to go about it.Tags: None
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Hello junkone,
Thank you for your post.
What is leading you to believe there are gaps in the Market Replay data? What instrument (including expiry contract month), bar type, interval, and date range are you testing?
If there were gaps in the data, there would be no results to ignore since the strategy would have no data to process and therefore would yield no results.
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