incomplete historical data

Forums ProRealTime English forum ProOrder support incomplete historical data

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  • #230921

    Hi everyone,

    during backtesting my strategies on DAX 15mn from 2006 to the present day, I keep getting weird results such as huge losses on single trades that should simply not happen with stops. Zooming in I’ve witnessed that the data is simply weird in some places: sometimes bars are just flat lines with the same value for open, close, high and low, sometimes there are missing bars, creating huge gaps between two bars (with 3 intermediary bars missing, for example). This throws the backtest completely awry with not even stops behaving like they should (for example it will open a position on the close of the 9:00 bar, which is to say at 9:15, and close it on the open of the following bar which should be 9:15 but is really 10:00, with the 9:15, 9:30 and 9:45 bars missing, with a 80 point gap, and not trigger the stop loss at, say, 5 points).

    Has anyone encountered similar glitches? Is their a way to remedy it or should I just accept that the data is incomplete and that I should make do with what we have, using backtest to assess the relative performance of different strategies and not their long-term absolute performance?

    Thanks for your help!


    How far back do the weird bars exist in the historical data?

    If, for example, before 2014 then limit your backtest to 2015 to 2024 … just a suggestion.



    One-value bars before 2009. Missing bars as recently as 2013. Indeed I could test only on the most recent years but I want to test also on a normal times like the 2008 debacle. Which is just not possible with incomplete data.

    Anyway if they allow the display of such data then shouldn’t it be complete and usable ?


    If you can post  a screenshot on here of the missing bars / weird bars then maybe we might have more suggestions and / or you can submit a Technical Report via Help off the PRT Platform … if you not know how to then just say.


    Thanks. The example that I had with missing bars now displays correctly. Maybe I was just tired yesterday. The weird gap happens between the 7:45 and the 8:00, so it might just be the gap between the broker’s fictionnal night prices and the actual price at the opening of the future DAX.

    The second image is of typical single-value bars from 2007. Not very useful.


    I confirm the non existent bars in Jun 2007 … see attached on DAX 1 hour TF … gaps from 20:00 through to 07:00 next morning.

Viewing 6 posts - 1 through 6 (of 6 total)

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