when downloading historical data using JST (i think this would apply to live market depth data recording in JBT also), i do see that there are some samples missing the time series. for example, data at 11:01 would be present followed by 11:03 instead of 11:02. did anyone encounter these problems? is it a software glitch at JBT/ JST or IB itself provides discontinuous data or something lost in the network?
problem is that these discontinuities throw off my strategies and give un-reliable results. are there any strategies that could be followed in order to avoid discontinuities? thanks. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
