Data gap (incomplete history)
A data gap is an interval for which the chart holds no trades, depth updates or bars, even though the market may have been open. A gap is not a flat market and must never be drawn as zero volume; the honest representation is a marked hole.
Senzoukria · Glossary · Updated September 2026
Where gaps come from
Gaps appear at every stage between the exchange and the screen. A provider may cap the number of ticks returned per request, so a busy contract's history stops after a few hours. A history plant may be down while live data still flows. A connection may drop and reconnect, missing the trades in between. A local cache may hold one session but not the next. None of these situations means nothing traded.
- Provider limits: a request returns a partial window, or a refusal such as a permission code.
- Connectivity: a disconnection during the session, with resubscription that does not backfill.
- Bridges: the host platform captured history when its indicator started, not when the second application connected.
- Market closures are not gaps: a weekend or daily pause is expected emptiness and should be labelled as such.
Why zero and missing must stay separate
A bar with zero delta and a bar with no data look the same if the software fills holes with zeros, and every indicator downstream inherits the error. Cumulative delta accumulates through the hole as if nothing happened; a volume profile shows a low-volume node that never existed; a backtest evaluates a rule on a market that was not observed. Marking the interval as absent keeps those calculations honest and lets you decide whether the study is still usable.
In Senzoukria
This is an invariant of the product: a hole is never filled silently. The chart workspace carries an "Incomplete history" badge with the source name, and the option "Show available data (history may be incomplete)" makes the choice explicit. History notices distinguish the cases: CME Globex closed (nothing new to download), a broker refusal with its rp_code, a completed attempt with no status code, or a stalled load. In each case the chart keeps running on cached and live data rather than inventing bars.
The backtest data panel reports coverage as "cached out of N requested" windows and offers to download the missing history; a partial result says how many windows did not complete and keeps what already arrived. The built-in cumulative delta note states that a partially loaded session does not certify complete coverage since the opening.
Working with gaps in a backtest
- Store the coverage report with the results; missing intervals are part of the evidence.
- Exclude sessions whose gaps overlap the rule's decision points instead of interpolating.
- Do not compare two platforms' delta totals before checking that both received the same events.
- Retry history fills when the market is open; a weekend request returns nothing by design.
Related
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Frequently asked questions
- Can a data gap be reconstructed from OHLC bars?
- Not for order-flow purposes. Candles do not contain the executed bid and ask volume a footprint needs, nor the book updates a heatmap needs. A bar can fill the price axis, but the delta and the profile for that interval remain unknown and should stay marked as such.
- Is an empty history the same as a data gap?
- An empty history is one kind of gap. It can mean the provider's archive does not reach that far back, the history plant is down, or the request was refused. Empty history is not proof that nothing traded; keep the request interval and the error code before changing indicators.