Ticker | VX |
From | 2009-01-01 00:00:00 |
Security Type | Future |
Market | USA |
Resolution | Minute |
Status | Waiting Review |
Corrupted Files Missing Files Listing/Delisting Error Dividend ErrorĀ
Missing Points Wrong Values Split Error Name Mapping ErrorĀ
TickerVXFrom2009-01-01 00:00:00Security TypeFutureMarketUSAResolutionMinuteStatusWaiting ReviewThere seem to be several multi day gaps in the futures data that cannot be explained by holidays. The most recent one is from 21/9/13 to 21/10/6. This problem is not related to the new continuous contracts, I first noticed it using the futures chain API. A backtest filtering and logging gaps (or rather unchanged prices) larger than 3 days is attached.