How ThinkOrSwim Processes Missing Data Bars

[LukeTheLifeHacker]

Hello Everyone,

I hope you're all doing well. I've been exploring the ThinkOrSwim platform and encountered a question that I haven't been able to resolve through documentation or other resources. I apologize if I'm missing something obvious here.

To illustrate my question, I'm using a script that calculates the Exponential Moving Average (EMA) based on the last 20 bars. The script is straightforward:

// Script to calculate the Fast Exponential Moving Average (EMA).
input fastLength = 20;
script calc_fastEMA {
    input source = close;
    input length = fastLength;
    def fastMA = MovAvgExponential(source, length);
    plot out = fastMA;
}
def fastEMA = calc_fastEMA(close, fastLength);
plot FastEMAPlot = fastEMA;
FastEMAPlot.SetDefaultColor(Color.BLUE);

This script computes the EMA from the closing prices of the past 20 one-minute bars. However, my query arises in situations where there is a lack of trading activity for a specific bar. For instance, consider a scenario where there's no trading at 1:45 PM, within the 1:40-2:00 PM window.

My question is: How does ThinkOrSwim handle such missing data in its EMA calculation?

1. Does it perform a forward-fill, using the close price of 1:44 PM as the price for the missing 1:45 PM bar?
2. Or does it include an earlier bar (like the 1:39 PM bar) to ensure that the EMA is calculated over a full set of 20 bars with trading activity?

I'm trying to understand the underlying mechanics of the EMA calculation in the context of missing data. Any insights or pointers to relevant documentation would be greatly appreciated.

Thank you in advance for your help!

 

[Joshua]

Depends.

Under normal circumstances, the chart itself will simply skip time from 1:44 to 1:46 without an empty space appearing in between. The average is then calculated based on the most recent 20 available bars, which ever bars those might be.

But it's different when you're referencing a secondary symbol, and there is data for the primary symbol, but no data for the secondary symbol. In that case, the secondary reference returns Double.NaN which breaks the calculation if not handled. The usual method, in that case, is to do the forward fill, but you must do it yourself.

if isNaN(value) then value[1] else value

For the reverse, if there is no data for the primary symbol, but there is data for the secondary symbol, then there is no attempt at all to access the secondary symbol during those periods. It will only access the secondary data that directly corresponds to the primary.