Loading Historical Bars and Building Intraday Bars in VeighNa

Summary

This forum post explores how VeighNa's historical bar loading relates to strategy initialization, bar aggregation, and trading decisions. The author asks whether loading bars at minute, hourly, or daily intervals supplies the corresponding historical data, how BarGenerator can combine minute data into larger intervals, and whether intraday ticks can be used to form a daily bar shortly before the session ends. The practical aim is to place orders on the same day rather than wait for the next session.

The post also raises initialization and data availability concerns: whether the history manager becomes ready only after enough bars load, and what happens when a feed or database lacks minute history. It questions whether a request for thirty days of data can be met for a monthly futures contract with a shorter trading history. These are questions rather than confirmed answers; the document does not resolve framework behavior or offer tested implementation guidance.

Key ideas

• The post asks how the requested interval affects historical bars loaded during strategy initialization.
• It considers aggregating minute bars into longer intervals with a bar generator.
• The author wants to form a daily bar shortly before the close and trade in the same session.
• It raises the possibility that missing minute history could delay indicator initialization.
• It questions whether short-lived futures contracts can supply the full requested lookback.

Tags

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