Auditing Broker Trading Sessions Against Actual M1 Price History
Summary
The Session Reality Auditor compares a broker’s declared quote and trade sessions with observed one-minute bars over a configurable history window. For each weekday and minute, it measures how often bars appear, then reports effective sessions, declared minutes that are usually empty, bars outside declared hours, mismatches between quote and trade schedules, and exceptional gaps in normally active periods. It excludes the newest incomplete day and treats holidays as dates with missing bars.
The document gives a five-symbol demo-server example over 35 days, including repeated gaps near the currency rollover, a holiday early close for gold, and a simultaneous daytime outage across three currency pairs. It describes thresholds, report files, journal output, and independent verification against recomputed results. These observations illustrate why time-based strategies may assume tradable prices at times when history often contains no bar. The evidence is specific to one demo feed and period; the method relies on M1 presence, the current session table, available history, and server time, so it cannot reveal sub-minute silence or establish conditions on other accounts or servers.
Key ideas
- The auditor compares declared quote and trade schedules with the observed presence of M1 bars by minute and weekday.
- It distinguishes recurring empty declared minutes from one-off outages during minutes that are usually active.
- Its example finds rollover gaps in currency pairs, a holiday closure anomaly for gold, and other feed-specific interruptions.
- Observed effective sessions can inform time filters, while exceptional gaps may reveal days that backtests replay silently.
- Results depend on M1 history, the current session table, server time, and the audited feed; sub-minute gaps are not detected.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.