do you drop stalled bars or just avoid those symbols?
Read the research post on frozen crypto quotes over a full day. The part that got me was that a stall can last the whole recording, not just a few minutes.
My question is practical. In a backtest, what do you actually do with those minutes? Options I can see:
1) drop the bars entirely and let the strategy sit out
2. keep them but mark the symbol untradeable for that run plus some buffer after
3) filter the universe up front so thin stuff never enters
Option 3 feels like cheating on the research, since the post says a majors-only list would barely show the problem. But option 1 makes a mean reversion test look nicer than reality, because the fake flat stretch never triggers an entry and never eats a stop.
Also unclear to me: after a stall ends, is that first tick a real price or a catch-up jump? If it's catch-up, half my breakout signals in the low-liquidity names could just be data waking up.
What do people here do?