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Large Gaps Of Missing Symbol Data

Occasionally you may see the following error messages from MultiWalk:

Error: TradeStation’s optimization failed MultiWalk verification checks. | Large date gaps (missing data) found in symbol data. | 1 large gap(s) of missing @HO symbol data. Missing data can effect the accuracy of your backtest. | MultiWalk will attempt to re-download data from TradeStation server and run optimization again.

MultiWalk has built-in data verification processes and will scan the data for any large gaps after year 2007.

If it finds a large gap (more than can be accounted for because of holidays), MultiWalk will run a data prefetch process on the symbol in an attempt to get TradeStation to re-download the data from their server to the cache.  MultiWalk will then attempt to optimize the strategy again.  If this does not resolve the large gap of missing data, it will then simply use the data that is present, run the optimization and give the following message:

Symbol data has been requested from TradeStation, but data is still missing. Optimization will be used anyway, but accuracy of backtest may be effected. To correct, you can: (1) put symbol on a chart and click Ctrl-R to reload data, (2) delete the TS data cache, or (3) report this missing data to dataintegrity@tradestation.com

TradeStation does not provide API (programming access) to their data cache, so the best MultiWalk can do is run the symbol in an optimization in order to “stimulate” TradeStation to download the data.  If this is unsuccessful, then it means that either the data is really missing, or that MultiWalk is simply not able to “force” TradeStation to download it.

In this situation, then try the following:

  1. Put the symbol and bar interval that is missing data on a TradeStation chart.  Check to see if the data is now present.  If not, then click Ctrl-R to reload the chart.  If the data is now present on the chart, it is also in your local data cache.  You can now re-run the MultiWalk project.
  2. You can delete the TradeStation data cache.  Then re-run the MultiWalk project.  This is a fail-safe way to reload all symbol data from TradeStation.
  3. If the data is still missing after the above two steps, then contact TradeStation at dataintegrity@tradestation.com and let them know the symbol and time period of missing data so that they can correct their data servers.

For more information and a MultiWalk data-gap scanning project I wrote, see my Jan 2022 article.

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