Can you be more specific?
I need to be able to recode this in MQL4.
Is there a good reason to treat the subsequent assets differently to the first one?
I find the idea of replacing missing bars by interpolation to be strange. If there is simply a hole in the data, then fine interpolation may reduce the jump that occurs when the next data point arrives. But if the prices are simply not moving, then interpolation will lead you astray. Does interpolation happen when trading live too?
Is it possible to tell Zorro how I want it to deal with missing bars? If not could this be added? For example...
MissingBars = MB_SKIP; // could mean to skip assets with a missing bar. I can see how this option could be tricky to implement.
MissingBars = MB_INTERPOLATE; // could mean to create synthetic bars by interpolation.
MissingBars = MB_ADDTICK; // could mean to create synthetic bars by adding a single tick equal to the previous close price.