Gaps in Beta / Binance Futures (maybe a bug?)

Posted By: CpOo

Gaps in Beta / Binance Futures (maybe a bug?) - 04/27/21 12:45

Hi,

I am trying beta version and found that some data is missing, from 1 minute to few hours and also whole days. I checked the t6 file using the viewer (Z History Editor) and the data is there and it's Ok. I deleted the t6 file and download again from the Broker (New Binance Futures plugin / BTCUSDT and ETHUSDT data) and problem persist. Data is in the t6 file (as I can see with the Z editor) but it's not showing in the chart / not using for backtesting (worst thing is this obviously). Also check the data with the Gap Finder script and I can see the gaps also there.

I also try to move the Data from the beta to 2.35 and same thing happens.

Any help / advise would be much appreciated.

Posted By: AndrewAMD

Re: Gaps in Beta / Binance Futures (maybe a bug?) - 04/27/21 13:48

You’re saying the data is all there in t6 but not in Zorro?

Posted By: CpOo

Re: Gaps in Beta / Binance Futures (maybe a bug?) - 04/27/21 14:15

Yes, exactly that. I will upload some screenshots in few hours.

Posted By: AndrewAMD

Re: Gaps in Beta / Binance Futures (maybe a bug?) - 04/27/21 15:18

If there’s no gap in your t6 file, then it’s more likely a script problem. Post your script and t6 files.

Posted By: CpOo

Re: Gaps in Beta / Binance Futures (maybe a bug?) - 04/27/21 16:13

Hi Andrew,

Thank you very much for your help. I am using the GapFinder.c script to see the data and the gaps:

Code

// Display gaps in historical data.
// Red lines = gap length in days. 

function run()
{
	StartDate = 2012;
	LookBack = 0;
	set(PLOTNOW);
	BarPeriod = 1;
	asset("BTCUSDT");

	var m = minutesAgo(1);
	plot("Gap",m/(60*24),NEW,RED);
	//plot("Gap1m",m/(60*60*24),NEW,BLUE);

	}

I attach some examples:

Capture 1: You can see a big gap between Apr 16 20:00 and Apr 18 23:00... more than 2 days.

Capture 2: Same data (same .t6 file) on "Z History Editor". You can see that data from Apr 16 to Apr 18 is already there.

Capture 3 and Capture 4: Same data but in Z history editor grid view (at 20:00 and 00:00 of Apr 16)

Data is from Binance Futures plugin (the new Zorro plugin) and I downloaded using the default Download Script, connected to Binance production endpoint (wss://fstream.binance.com)

I try to upload also the t6 file but is not possible because its about 6Mb.

Attached picture 1.png

Posted By: AndrewAMD

Re: Gaps in Beta / Binance Futures (maybe a bug?) - 04/27/21 16:33

You need to enable weekend bars for the weekend candles to load. Otherwise, Zorro will filter them out.

Posted By: CpOo

Re: Gaps in Beta / Binance Futures (maybe a bug?) - 04/27/21 17:44

OMG! I promise you that I spent hours reading and trying to solve this... But without any luck.

Thank you very much!

The code to trade 24/7 and reset Weekends:

Code

function run()
{
	
	resf(BarMode, BR_WEEKEND);
....