|BarFactory: Filling the missing data with previous value
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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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