How BarGenerator Updates One-Minute Bar Highs from Tick Data

Summary

The document raises a focused implementation question about building one-minute bars from tick data with VeighNa’s BarGenerator. It asks why the update logic compares the current bar high with a tick’s last traded price, then conditionally considers the tick’s reported high when it exceeds the previous tick’s high.

The author observes that the tick high would normally already reflect the latest price and asks whether the bar high could instead be updated directly from that field. The document offers no answer, test, or broader explanation of exchange tick semantics, so it does not establish which approach is correct. The practical issue is whether last price and reported high can differ, and how tick feeds represent changes between updates; resolving it requires feed-specific context or inspection of the implementation’s intended behavior.

Key ideas

• The question concerns how tick fields contribute to a one-minute bar’s high price.
• The update logic compares the bar high with the latest trade price and may also use the tick’s reported high.
• The author asks whether using only the tick high would be sufficient.
• The document supplies no resolution or evidence about differences between feed implementations.

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