Data scrubbing

Occasionally data are missing from an exchange's records. PTT, Inc. makes every effort possible to acquire the missing data from other sources, as follows.

In some cases, only period high and low (no open, close, or tick volume) are available, and close for the last period of the day . In such cases, we set both the open and the close to the midpoint of the period range, with the following exceptions: for the first period, we set the open at the midpoint of the opening range, and for the last period, we set the close at the day's close. Tick volume is zero for such days, which can then easily be found by doing a search for zero tick volume .

If open interest and volume are unknown they are set to the average of the two surrounding days (i.e., linear interpolation) with the following exceptions: for the first day in the database, they are set to the volume and open interest of the second day, and for the last day in the database, they are set to the volume and open interest of the second-to-last day.