Static Data (FileSystemDataFeed) missing values

I have some data in csv format - minute bars in one large csv. I've repackaged it as outlined in "How do I load custom data" tutorial so that it looks like this:

Each zip file has the daily data inside as a csv file. From the docs: "Time is measured in the number of milliseconds since midnight on that day". I've put the number of milliseconds since middnight in the first column of each daily csv file. However, what do I do with missing data? At the moment, I've just skipped it. For example, my 2017-10-01 file starts like so:


Do I need a first row which looks like this:

Update Backtest

Update Backtest


The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


This discussion is closed