I am trying to build a continuous contract data base for ES and NQ, but there is gaps in the data I have. I only care about regular trading hours (RTH). I built my own indicator that exports the chart's data to a file, and converts the data from local timezone to UTC so its in NT 8's native format. The indicator also checks for missing bars IF the chart is minute based only. That's how I found out my data has gaps in it.
I'm uploading the indicator in hopes someone will upload the individual days that I have gaps in. This indicator makes it super fast to export a single day for years of data. Again, I'm only looking for individual days in my list below, but if someone wants to upload Jan 1, 2010 to current that would be cool as well. I have downloaded the 2000 - 2009 data from this thread...
Please use this indicator first to verify your data does not have gaps during RTH.
Once I've built a data base from 2000 - current, without gaps in RTH, I'll upload the file here.
How the indicator works
The indicator performs two functions.
Export the chart's data to a file in UTC timezone. NT 8 uses UTC based data files. It will export any chart type you run it on. If you run this on a renko chart it will export renko bar data. Once the file is created, the 'Export Data' option automatically disables itself (in case there is an accidental chart Reload you will not have to wait for it to finish again). If a data file of the same name already exists a number will automatically be added to the end of the file name. e.g. -(1).txt
Check for missing minute bars. Obviously, only time based charts can be checked for missing bars. It could be modified to work on Second charts, if someone wanted to do that. It can check for missing data the entire day or during a specific time range (based on your local timezone). By default, the option 'Only Check Between Time Range (RTH)' is enabled. There is an option to 'Save Missing Data to File'. If a missing data file of the same name already exists it will be deleted and replaced. That option automatically disables itself as well.