Missing First-Tick Low When Building Minute Bars from Tick Data

Summary

This forum post reports a possible data-handling issue in a bar generator that aggregates ticks into one-minute bars. When the first tick arrives just after 9:30, its last traded price is used to initialize the bar’s open, high, low, and close. The post says this can omit a lower value recorded within that same tick, causing the completed minute bar to show an incorrect low.

The example gives a first tick with a last price of 4518.8 and a low price of 4516.8, followed by another tick in the same minute. The author asks whether the behavior is expected and whether a patch is planned. No resolution or confirmed software fix is included, so the report identifies a potential aggregation edge case rather than establishing how all versions behave.

Key ideas

• The reported issue arises while aggregating tick data into one-minute bars.
• The initialization described sets the bar low to the first tick’s last price.
• A tick’s own low can be below its last price and may be lost from the bar.
• The post asks for confirmation and a patch but provides no resolution.

Tags

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