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When subscribed to a single symbol, why is OnData() being called for a date when no data is available?
For example, for AAPL on 2020-08-31, OnData() is being called but there was no trade on 2020-08-30 since the markets were closed.
Also, how would we distinguish this case from the case where a data bar is really missing and therefore we might have to eliminate that symbol from our universe for a while since the indicators will not be accurate?
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Hi BeachFront,
The Slice event handler(OnData) combines all of the data into a single method. The data may contain Trade bars, Quote bars, Splits, Dividends, and Delisting events. The information about splits and dividends is passed at midnight; hence the OnData event handler is called to notify about Splits and Dividends.
Also, how would we distinguish this case from the case where a data bar is really missing, and therefore we might have to eliminate that symbol from our universe for a while since the indicators will not be accurate?
The algorithm will take care of the above scenario, i.e., the slice object will not contain TradeBars(if the fill forward is false). Refer to the attached backtest.
Best,
Varad Kabade
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