BREW_MissingData_Cht
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This tool is designed to monitor the integrity of your price data on MetaTrader. In trading, it is essential that the historical candles (bars) are continuous; if there are gaps in the data, it can lead to inaccurate analysis or incorrect signals from other indicators. This script automatically identifies those gaps and highlights them visually on your chart.
How the Logic Works
The script performs a continuous scan of your price history by comparing the timestamps of consecutive candles. Here is the step-by-step logic it follows:
1. Time Gap Analysis The tool looks at every candle and calculates the time difference between it and the one immediately preceding it. It takes into account your current chart timeframe (e.g., 1-minute, 5-minute, or 1-hour charts) to determine how many bars should have existed between those two points in time.
2. Weekend & Market Holiday Filtering To ensure the tool doesn't give "false alarms," it includes smart logic for market closures. It recognizes that when a market closes for the weekend, there is a significant jump in time. The script automatically detects these specific jumps and ignores them, so you aren't alerted about gaps caused by the market being closed.
3. Missing Data Identification If the tool finds a gap that isn't caused by a weekend or holiday, it calculates exactly how many bars are missing from your data feed.
4. Visual Alerts and Categorization Instead of just telling you data is missing, the script categorizes the severity of the gap based on the size:
- Minor Gaps: It places small markers on the chart to indicate very small missing segments.
- Major Gaps: As the number of missing bars increases (ranging from 5 to over 100), the markers on your chart become larger and more prominent, making it easy to spot significant data "holes" at a glance.
5. Notification System You can configure the script to send active alerts. If a gap exceeds a specific threshold (which you can set in the settings), the tool will trigger a notification. It also includes a limit on how many alerts it will send, preventing your platform from being overwhelmed by notifications if there are multiple large gaps in the history.
Summary for the User
Essentially, this script acts as a Data Integrity Monitor. It ensures that your charts are complete and "clean." If you notice these markers appearing on your chart, it means your data provider has skipped some price information, allowing you to identify exactly where the data is unreliable.
//+---------------------------------+
//| BREW_MissingData_Cht.mq4 |
//+---------------------------------+
#property copyright "Copyright © 2010, Brewmanz"
#property link "http://www.metaquotes.net/"
#property indicator_chart_window
//#property indicator_separate_window
#property indicator_buffers 5
#property indicator_color1 Red
#property indicator_color2 Red
#property indicator_color3 Red
#property indicator_color4 Red
#property indicator_color5 Red
#property indicator_width1 1
#property indicator_width2 2
#property indicator_width3 3
#property indicator_width4 4
#property indicator_width5 5
//---- input parameters
extern int AlertIfMissingPeriodsOver=10;
extern int AlertLimit=0;
extern int IconSize=indicator_width1;
//---- display buffers
double V1Buff[];
double V2Buff[];
double V3Buff[];
double V4Buff[];
double V5Buff[];
int AlertsToGo;
//+-------------------------------------------+
//| Custom indicator initialization function |
//+-------------------------------------------+
int init()
{
AlertsToGo = AlertLimit;
//Print("Init() starting");
string short_name;
IndicatorBuffers(5);
//---- indicator line
//SetIndexStyle( 0,DRAW_LINE);
SetIndexStyle( 0,DRAW_ARROW, EMPTY, indicator_width1, indicator_color1);
SetIndexArrow( 0,35);
SetIndexBuffer(0,V1Buff);
SetIndexStyle( 1,DRAW_ARROW, EMPTY, indicator_width2, indicator_color2);
SetIndexArrow( 1,35);
SetIndexBuffer(1,V2Buff);
SetIndexStyle( 2,DRAW_ARROW, EMPTY, indicator_width3, indicator_color3);
SetIndexArrow( 2,35);
SetIndexBuffer(2,V3Buff);
SetIndexStyle( 3,DRAW_ARROW, EMPTY, indicator_width4, indicator_color4);
SetIndexArrow( 3,35);
SetIndexBuffer(3,V4Buff);
SetIndexStyle( 4,DRAW_ARROW, EMPTY, indicator_width5, indicator_color5);
SetIndexArrow( 4,35);
SetIndexBuffer(4,V5Buff);
//---- name for DataWindow and indicator subwindow label
short_name="BREW MissingData(" + AlertIfMissingPeriodsOver + ")";
IndicatorShortName(short_name);
SetIndexLabel(0,"1 MissingBar");
SetIndexLabel(1,"2-5 MissingBars");
SetIndexLabel(2,"5-20 MissingBars");
SetIndexLabel(3,"21-100 MissingBars");
SetIndexLabel(4,">100 MissingBars");
//----
SetIndexDrawBegin(0,1);
//----
//Print("Init() ending");
return(0);
}
//+--------------------------------------+
int start()
{
//Print("Start() top");
//----
//if(Bars<=AtrPeriod) return(0);
int ix, ixMax, ixP, counted_bars=IndicatorCounted();
//Print("Bars=",Bars,",IndCnt=",IndicatorCounted());
//---- check for possible errors
if(counted_bars<0) return(-1);
//---- the last counted bar will be recounted
if(counted_bars>0) counted_bars--;
//---- count from oldest non-counted(treating most recent counted as to-be-recounted) to 0 (most recent)
ixMax=Bars-counted_bars;
for(ix = ixMax; ix >=0; ix--)
{
//if(ix > ixMax - TrailingBarsLength)//check if enough history to work
// continue;
datetime dThis = Time[ix];
datetime dPrev = Time[ix+1];
int periodStep = (dThis - dPrev)/(Period()*60);
// wait! if over weekend, deduct 'markets closed' time (49 hours)
if(TimeDayOfWeek(dThis) < TimeDayOfWeek(dPrev))
periodStep -= (49 * 60) / Period();
int periodMissed = periodStep - 1;
V1Buff[ix] = EMPTY_VALUE;
V2Buff[ix] = EMPTY_VALUE;
V3Buff[ix] = EMPTY_VALUE;
V4Buff[ix] = EMPTY_VALUE;
V5Buff[ix] = EMPTY_VALUE;
// is all okay?
if(periodMissed <= 0)
{
//V1Buff[ix] = EMPTY_VALUE;
continue;
}
// oops. data is missing. could be weekend ...
if(TimeDayOfWeek(dThis) < TimeDayOfWeek(dPrev))
{
if(periodMissed * Period() == 49 * 60)
{
//V1Buff[ix] = EMPTY_VALUE;
continue;
}
}
Print(TimeToStr(dPrev), "-", TimeToStr(dThis), " Missing ", periodMissed, " Periods of ", Period(), " mins");
if(periodMissed > AlertIfMissingPeriodsOver)
{
if(AlertsToGo > 0)
{
AlertsToGo--;
Alert(TimeToStr(dPrev), "-", TimeToStr(dThis), " Missing ", periodMissed, " Periods of ", Period(), " mins");
}
}
if(periodMissed == 1)
V1Buff[ix] = (Close[ix] + Close[ix+1]) /2.0;
else if(periodMissed <= 5)
V2Buff[ix] = (Close[ix] + Close[ix+1]) /2.0;
else if(periodMissed <= 20)
V3Buff[ix] = (Close[ix] + Close[ix+1]) /2.0;
else if(periodMissed <= 100)
V4Buff[ix] = (Close[ix] + Close[ix+1]) /2.0;
else
V5Buff[ix] = (Close[ix] + Close[ix+1]) /2.0;
}
//---- plot any calced values
//----
//Print("Start() ret");
return(0);
}
//+------------------------------------+
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