Filtering Out-of-Session Ticks Before Bar Construction

Summary

This brief forum exchange addresses a live-trading timestamp anomaly in which a morning tick appears to be assigned a late-night time. The response points to bar construction rather than necessarily a timezone conversion problem: the bar synthesizer uses the latest tick as its reference and discards ticks earlier than that timestamp. If a tick stamped with trading time arrives during a non-trading period, it can affect later bar aggregation and make the sequence appear inconsistent.

The practical recommendation is to filter such anomalous or out-of-session ticks before they enter the bar-building process. The discussion offers no code, diagnostic procedure, or examples beyond the reported time discrepancy, so it does not establish that every similar issue has the same cause. Feed ordering, exchange timestamps, and the platform's aggregation settings would still need to be checked in a specific case.

Key ideas

• Bar synthesis may use the final tick's timestamp as a cutoff for subsequent ticks.
• A trading-time tick received outside the session can disrupt later bar aggregation.
• Filtering out-of-session or anomalous ticks is suggested as a remedy.
• The short exchange does not rule out timezone or data-feed issues in other cases.

Tags

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