unfortunatly no easy way to fix this other than o/h/l/c. If you like to google 'gapless charts'. people have posted similar for ninja. the fix is a big improvement as compared to not accounting for the gap. Here is the fix for tradestation users. [The opening âgapâ is recorded for the first bar of each trading day. A relative stream of OHLC's are calculated by subtracting this âgapâ from the actual prices. This relative stream of OHLCâs are maintained right along side of the real OHLCâs. If the EL programmer needs to convert between the relative prices and the real price data, the sum of all the gap values is stored in the variable, âaccum,â which makes the conversion simple. ]
Here's a weird suggestion: You can just interpolate data from futures overnight trading. Fix it so that the close session and open session are in relative terms, and the prices of your underlying match up so that you get a smooth transition from close to next open. Adjust for volatility if needed.
The idea sounds good for backtesting. For interpolating the time series with random data + drift... someone may like to comment on the maths involved.
this is no gap chart http://www.elitetrader.com/vb/showthread.php?s=&threadid=97684&perpage=6&pagenumber=225