Missing bars and the indicators that quietly shift

[Fairman]

Missing bars and the indicators that quietly shift

Some feeds skip a minute when no tick arrives. A chart then has a gap, and indicators calculated over the last N bars suddenly span a longer period than intended.

A 20 period moving average that includes a gap of ten minutes covers a different stretch of time. Volatility measures, range filters, and momentum readings get distorted without any visible sign.

On liquid pairs during busy sessions, missing bars are rare. On exotic pairs and in thin periods they are common, and the effect on indicators can be significant.

Some platforms fill the gap with a flat bar at the previous close, others leave it empty. The difference alters indicator values and therefore signals.

Checking how the platform handles gaps, and whether the strategy trades pairs and times where gaps are frequent, avoids a lot of confusing behaviour.

A useful guard is computing indicators on time-indexed data, not on a fixed count of bars. A twenty minute window is then always twenty minutes, regardless of gaps.

Has an indicator ever misbehaved on a thin pair because of missing bars?