How VeighNa Assigns the 59th Minute to Hourly Bars

Summary

This community post investigates an hourly-bar timestamp behavior in VeighNa’s CTA framework. The author builds a simple strategy using a bar generator to aggregate minute bars into hourly bars, then writes the timestamps from both the minute-bar and hourly-bar callbacks to a file. The recorded output reportedly shows a bar timestamped at 21:59 being included in the hourly bar timestamped 22:00.

The author says the same behavior appears in both backtesting and live operation, and asks why the final minute is assigned this way. This is an observation about bar aggregation and timestamp conventions, not a trading signal or performance study. The post includes no response or explanation of the framework’s boundary rules, so it does not establish whether the timestamp denotes the interval’s start, end, or callback time. Users should verify the convention against their data source and framework version before interpreting hourly indicators or aligning orders to bars.

Key ideas

• The post compares minute-bar timestamps with timestamps from aggregated hourly bars.
• A minute bar marked 21:59 is reported as part of the hourly bar marked 22:00.
• The author reports seeing the same behavior in backtests and live operation.
• No explanation of VeighNa’s timestamp or interval-boundary convention is included.

Tags

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