Minute-Bar Construction and Boundary-Timestamp Tick Inclusion

Summary

The post raises a question about how a tick-data bar generator assigns observations at minute boundaries. The author reports that a bar labeled for 14:59 appears to include a tick stamped 15:00:00, even after data through 14:59:59.5 has been processed. A similar apparent offset is reported for a 09:30 bar and a 09:29 tick. The example concerns Chinese equity-index futures tick data downloaded through a market-data platform and processed with a bar-generation component.

This is a useful data-handling issue for researchers who aggregate ticks into minute bars: bar labels, interval conventions, and exchange session timestamps can affect which observations enter each bar. However, the post contains only the question. It provides no explanation, code-level analysis, or resolution, so it does not establish whether the behavior comes from the generator, the database, timestamp conventions, or the data source. The reported cases should be treated as observations to investigate rather than a general rule about bar construction.

Key ideas

• The post questions whether a tick stamped at a minute boundary is included in the preceding minute bar.
• It reports apparent boundary-timestamp discrepancies near both the market close and the morning open.
• Bar labels and interval conventions can change how tick data is grouped during aggregation.
• The post offers no answer, so the cause and generality of the reported behavior remain unknown.

Tags

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