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Michael,
So, based on that info, I see why you methodology works, but in this case you’d be deleting data (rather than filling holes) for those few stocks that did not possibly trade on the holiday, yes?
I also see that Tomasz posted to another question about using Database Purify to cleanup data holes. I’ll have a look there.
So it seems to be data problem.
First you may need to check if you have no
holes and/or other data errors (using Tools->Database Purify)
...
Best regards,
Tomasz Janeczko
Thanks for your input.
Terry
--
Terry,
Let me just explain ONE source of dataholes (For me anyway).
* Normal EOD data comes in ok.
* Then you happen to have a Public Holiday, No stocks trade.
At this point NO BAR exists for said day.
* Time Goes By.....
* Then you get some stock updates.
Stock Updates (For me) have valid data prices (No volume) for
stocks ON THE PUBLIC HOLIDAY!!!
* NOW you have some data (Handfull of stocks that have been updated) with
data in the bar that previously did not exist. (Still with 0 volume).
The result - When you create a composite - There will be some days (eg
holidays) that only have a few stocks worth of data - As opposed to the
entire listing of stocks. Obviously - These days will gave MUCH less data
in them.
And can be seen as large down spikes in the composite.
ATB
Michael.
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