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Date/Time: Wed, 24 Apr 2024 19:46:27 +0000

Post From: Small data gaps in Denali CME feed

[2022-09-26 12:04:53]
01110010 - Posts: 33
I have been looking back at some low timeframe intraday data from 2022-02-10 for ES on a backadjusted continuous volume based rollover chart setting. When I look at a 5 second chart, I can see small gaps where bars are missing, e.g. from 13:02:15 to 13:02:25 UTC the 13:02:20 candle is missing.

Here is 13:02:15 highlighted, then in the next image showing the immediate next candle to be 13:02:25 rather than 13:02:20 as expected:


This isn't the only spot where I've found these small gaps, is there anything that can be done about this? Thanks.