Just found that there is gap between 3:45AM and 4:19AM (PST) on Sep 24 for futures at TDA. Both API downloaded data and TOS are the same. For example, here is the /ES:
09/24/20 03:44 3233 3233.75 3232.75 3233.5 224
09/24/20 03:45 3233.5 3234 3233 3234 91
09/24/20 04:19 3229.25 3229.5 3229 3229 224
09/24/20 04:20 3229.25 3229.25 3226.5 3227 2678
09/24/20 04:21 3227.25 3227.5 3226.5 3226.5 372
I checked yahoo finance, there is no such gap. I am wondering what's going on at TDA, and has some doubt on the quality of data from it.
Submitted October 04, 2020 at 12:36PM by perdpg
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