BarGenerator Time Slicing and Futures Trading Breaks

Summary

This brief VeighNa forum exchange asks how to adjust bar construction for the morning futures market break from 10:15 to 10:30. A respondent explains that the BarGenerator currently divides data according to timestamps and asks which kind of bar the user wants to build. No code change or specific handling rule is supplied.

The useful point is that bar aggregation follows timestamp boundaries, so treatment of a session interruption depends on the intended bar type and time slicing. The exchange does not establish whether bars should omit the break, span it, or reset when trading resumes. It also contains no tests or price data, and the respondent’s question leaves the requested modification unresolved. Traders using intraday futures bars would need to define the desired session behavior before adapting aggregation logic.

Key ideas

• The forum question concerns bar aggregation around the futures morning trading break.
• The reply describes BarGenerator as slicing data by timestamp.
• The desired bar type must be clarified before proposing a specific modification.
• The exchange does not provide an implementation or a resolved recommendation.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.