Building Daily Bars from Minute Data for Live Trading
Summary
A trader asks how to run a low-frequency strategy using daily bars, including whether the framework supports daily-bar aggregation and how to place orders at that interval. The practical suggestion is to record minute bars and have the strategy combine them into daily bars. This offers a basic route to daily-frequency live trading without requiring the trader to record daily bars directly.
The exchange does not explain the aggregation procedure or show how to configure it. The question specifically raises alignment issues for markets without overnight sessions, natural calendar days, and holidays, but the reply does not address them. No examples, tests, or evidence are provided about how bars are timestamped or how orders behave at the daily boundary. Traders would need to verify session calendars and bar construction for their market before relying on the approach in live trading.
Key ideas
- The framework is described as supporting daily-bar aggregation from recorded minute bars.
- A strategy can combine minute data into daily bars for daily-frequency trading.
- The exchange does not explain how to align bars across holidays or markets without overnight sessions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.