I think we're talking past eachother here. I don't expect the provider to do imputation for me, but I shouldn't have to bug them to get the best version of the data they have. Sure, sometimes missing is missing, but in my experience with Quandl/Zacks, its usually an error on their end. The price jumps are sometimes because they conflated two different tickers. If they divided instead of multiplying (split factors), I have to have external information to even detect the error! Same goes if they get a date wrong somewhere.