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how did you acquire the security? if inherited then date of death value applies. if obtained by gift then you need donor's basis and FMV on the date of the gift. if you have a broker maybe they will help if you provide the applicable date. if it's publicly traded, you can use the web to research market values.
if none of these are possible, you use $0 or guess. if audited and the amount is a guess the IRS could disallow it.
What did you sell? Stocks or a house or ?
(stocks)
You have to report the sale on your tax return. Lacking any cost basis, the IRS will consider the entire sale amount as taxable. So, you need to make your best effort to determine the original cost basis, even if (worst case) it's a guess. Historical prices of publicly traded stocks are readily available on the internet and should, at least, satisfy the IRS that your basis wasn't zero; just "google" “Historical Stock Prices". I use http://bigcharts.marketwatch.com/historical/. The stockholder relations dept. at the company may be able to help.
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