Building Futures Intraday Factors from Available Bar Data

Summary

This brief platform discussion concerns an error encountered while plotting intraday minute bars for a futures strategy. The response identifies a data-availability issue: fields such as adjustment factors and suffixed close-price columns are not present in the futures dataset described. It recommends working from the basic available fields and constructing needed factors with time-series operations such as shifts.

The exchange provides a practical debugging principle for futures research: verify that a requested column exists in the instrument’s dataset before using it, then derive unavailable features from supported raw data. The document does not show the specific error trace, code changes, factor definitions, or a confirmed resolution, so the advice is general and cannot establish which transformations will fix the original charting problem.

Key ideas

• The futures dataset described does not include adjustment-factor fields or suffixed close columns.
• Researchers should check field availability before referencing columns in a strategy or chart.
• Unavailable features may be derived from basic fields using time-series operations such as shifts.
• The discussion does not identify the exact error or verify a complete fix.

Tags

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