Variable feature length

While I was working on my model. I was wondering why we assume the market data to continuous rather than discrete. Market tend to be closed half the day, weekends and holidays. The market data does not have fixed interval between them and this could have a huge effect of the model. How would I try to resolve this?

And the other issue, what if used fundamentals of the company given the feature lengths are different what model can I use. I don’t want to pad the data.