Data Validation for intra-day and futures data?
Author: kbellare
Creation Date: 11/24/2013 12:46 PM
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I'm using an IQFeed 10min, 60min, daily data on futures, and am missing some bars in the 10-min data - i discovered in a Multi-timeframe strategy because my indicators were not tallying by time-stamp across the two charts. Can this tool somehow be used to validate missing bars on -
1) Intra-day data?
2) Missing times/dates on futures data? e.g. Futures hours are different from US stocks and some run on parts of weekends (Sunday, etc)?

3) If this tool isn't suitable, could you recommend sample code to validate and "fill empty bars via interpolation" in order to maintain indicator integrity and synchronization? For example, if the 9am 60-minute bar is present but the 10minute bars have only 3 bars, can i interpolate the OHLCV values of the missing bars based on the neighboring bars?

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1) Missing bars are evaluated by the Data Tool on Daily scale only.
2) In the context of the tool, weekend bars mean just that: Saturdays/Sundays.