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Missing values cannot be encoded in a GRIB message. The GRIB format does keep track of missing values but through the use of a bitmap  It does not allow the specification of a missing value. Setting the missing value is a feature that can be used only when encoding the data values stored in a GRIB message. This of course means that is the responsibility of the user to know what missing value is meaningful to the data. A default value of 9999 is set for the missing value in the library (not the GRIB message!). That means that when retrieving the values from a message without having set the missing value key, all missing values in the data will be replaced with the default value of 9999.

A small example on the use of the missing value during encoding can be found here: grib_set_bitmap.

During decoding it is advisable to query the bitmap directly to discover missing data values. See example here: grib_iterator_bitmap