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BarFactory: Filling the missing data with previous value
http://www.smartquant.com/forums/viewtopic.php?f=86&t=15007
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Author:  takumisasakura [ Mon Aug 10, 2020 11:54 am ]
Post subject:  BarFactory: Filling the missing data with previous value

Sorry for a frequent ask in the forum.

I’m trying to build back the 5sec bar from the quotes data which I have, however Due to exchange, there are some data which are not traded and no bar data during that period. So I’m curious that is there a way of filling the bar with last close for OHLC?

Hopefully this question can be understandable.

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