Handling Out-of-Order Ticks in BarGenerator

Summary

This forum post asks why a tick-to-bar utility removed a check that discarded ticks timestamped earlier than the most recently processed tick. The author reports seeing this ordering issue in GFEX data for two silver contracts, with incoming tick timestamps slightly earlier than the stored last tick. They raise concurrent exchange processing, network delay, or packet reordering as possible causes, but do not establish which explanation is correct.

The concern is how accepting an older tick affects bar construction. The post observes that the generator mainly relies on minute-level timestamps, so reordered ticks within the same minute may leave the final minute bar unchanged, while asking the maintainers to explain the removal. It contains no maintainer response, code rationale, or comparison of resulting bars. It therefore documents a data-ordering edge case and an open implementation question rather than prescribing a fix.

Key ideas

• The post identifies ticks arriving with timestamps earlier than the previously processed tick.
• The reported examples involve GFEX silver contracts.
• Concurrent processing or network delays are suggested as possible sources of out-of-order delivery.
• The author believes within-minute ordering may not change the final minute bar.
• The reason for removing the timestamp filter remains unanswered in the document.

Tags

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