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Diagnosing Missing Final Minute Bars in Simulated Futures Data

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Summary

A forum user reports that when recording bars for three contracts through a simulated trading account, the final one-minute bar is missing for two Shanghai Futures Exchange contracts but remains available for a Guangzhou Futures Exchange contract. They ask whether this could be a bug.

The reply cautions that simulated and live feeds can differ and suggests printing or inspecting the incoming ticks to investigate. The exchange does not establish the cause, confirm a software defect, or provide a reproducible diagnosis. Its practical lesson is to check the raw tick stream and account for differences between simulated and live market data when troubleshooting missing bars.

Key ideas

  • The reported missing bar affects two contracts while another contract retains its final minute bar.
  • The respondent notes that simulated market data can differ from live data.
  • Inspecting the raw tick stream is suggested as a way to diagnose the issue.
  • The discussion does not determine whether the behavior is a software bug.

Tags

FuturesMarket microstructureExecution

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