Completing Final Intraday Bars When Closing Ticks Are Missing

Summary

The post addresses missing final one-minute bars when a closing or session-boundary tick is not delivered. Its proposed fix adds logic to a bar generator’s tick-update handler: near selected minute boundaries, it checks for a tick arriving in the final second and, for specified times, emits the current bar after rounding its timestamp to the minute. This is intended to preserve the last bar when the expected boundary tick is absent.

The method is event-driven and still depends on receiving a qualifying tick close to the boundary. The author explicitly notes that a contract with no tick during the final half-second may still fail to produce the bar. The excerpt does not discuss session calendars, timezone handling, duplicate emission, partial bars, or testing across instruments, so users should validate boundary rules for their data feed and trading sessions before relying on it.

Key ideas

• The issue arises when a missing session-boundary tick prevents the final one-minute bar from being formed.
• The suggested handler emits the current bar when a qualifying tick arrives near selected minute boundaries.
• The bar timestamp is rounded to the start of its minute before emission.
• The workaround can still fail if no qualifying tick arrives near the boundary.
• The post does not provide broader handling for session calendars or duplicate and partial bars.

Tags

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