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how to check a long history of tickdata is complete, when are gaps etc?

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    how to check a long history of tickdata is complete, when are gaps etc?

    I bought and imported a large amount of tick data from disktrading.com and without going into whose fault it might be (disktrading, the historical data manager import or me myself) I have found gaps in the data, sometimes big gaps of days.

    I just found them by investigating strange trades in my back-testing results.

    I'm thinking of writing a strategy or an indicator that will identify the gaps for me so I can fill them in.

    Before I re-invent the wheel, I wanted to find out if someone's done this already.

    If not, then does anyone have a good idea of how to code the checking algorithm, and just as important, how to present the results?

    Thanks!

    #2
    Hello Adamus,

    You may get some ideas from this reference sample on working with Date / Time objects.

    Maybe create a TimeSpan object and compare that to a change in bars time stamp with Time


    PseudoCode Below:
    if (Time[0] - Time[1] > myTimeSpanValue)
    alertMe;

    You would have to do additional conversions to turn Time[0] into an integer.
    ToDay(Time[0]) will grab the Date.
    ToTime(Time[0]) will grab the Time.
    Last edited by NinjaTrader_RyanM1; 05-16-2010, 10:44 AM.
    Ryan M.NinjaTrader Customer Service

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