What instrument are you using? Can you get the price data from another source that includes the missing candles?
Aloha michel777, Are you asking about a thin instrument that doesn't even make a print every (insert timeframe here)? In other words, no transaction to have data to make a candle at that second/minute/hour? If that's the case, you could use the last price transacted in place of a missing candle and keep repeating it until something new trades. If that isn't the case, I don't understand what you're asking for
Strange...your post show that it was edited by the moderator without a reason for the edit. Regardless, you should post a chart that shows "missing candles" with an exponential moving average" as an example of what you're asking about. I ask because you link to an article at investopedia.com with charts that have no missing missing candlesticks with exponential moving average. Most likely you're trading something that is thinly traded, low volume (e.g. penny stock), or you're using a timeframe that's too low such as no transactions during whatever timeframe you're looking at. If not, there's something wrong with your data provider. Once again, post a chart of the trading instrument with missing candles (data that has the Open, High, Low, and Close the same price or no data) and say who's your data provider. wrbtrader
Linear interpolation would be acceptable assuming the current price is available (if not you shouldn't be trading). But obviously don't use that interpolate price for vol estimation. Rob