Thanks Grant, you point out another very important kind of missing data - securities that didn't exist (pre-IPO) until after the beginning of your backtest's date range, or those that ceased to exist (bankruptcy, acquisition) before the end of the date range.
We have special UI-level handling for these two cases, because with 10+ years of data, they are quite common. The UI will automatically adjust the start/end of the backtest to reflect the available trading history for each of the securities you specify in your code. To demonstrate, I set the UI to run over the full range of history for your clone above and recorded the UI aids that appear: http://screencast.com/t/WyIEZliR
As you can see in the video, we highlight the adjusted date ranges in blue and then if you click the link in the date picker dropdown, you can turn off the auto adjusting.
Even after we trim the backtest date range down to dates where the security existed, the securities may not trade in every minute (or even day) bar. The behavior I described above is for these missing bars.
Thanks for pointing out this case!
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