Synchronizing Option Bars with a Timestamp-Monitoring Contract

Summary

This forum exchange addresses duplicate or misaligned intraday bars in an options strategy. A user reports that live indicator signals occur at different times from backtest signals and observes repeated minute-bar pushes from an option bar generator. The discussion attributes possible timing differences to feeds delivering contract timestamps at different moments.

The suggested remedy is to set a designated timestamp-monitoring contract, called dt_symbol, so that the generator uses that contract’s next-minute tick to determine when to assemble the preceding minute’s bars across contracts. The monitored symbol can be the underlying or another suitable contract; the choice depends on the feed and the desired timing reference. The exchange also clarifies that this setting controls bar-generation timing and is separate from filtering configuration, which is used to exclude ticks outside trading hours. It gives practical configuration guidance but no code validation or measured comparison, and the best reference contract remains a system-specific choice.

Key ideas

• Different data feeds can deliver contract timestamps at different times and contribute to bar misalignment.
• A designated timestamp-monitoring contract can control when minute bars are assembled across instruments.
• The reference contract may be the underlying or another suitable instrument, depending on the setup.
• Timestamp monitoring and trading-hours tick filtering serve separate purposes.
• The discussion offers configuration guidance but no quantitative validation.

Tags

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