Troubleshooting Missing Synthetic Hourly Bars from Minute Data

Summary

This forum exchange concerns missing hourly bars created by aggregating minute data for a futures contract. A user reports that the stored hourly series is incomplete on a particular date, despite the underlying minute records appearing intact, and later observes that an entire overnight session is absent. Another participant suggests checking whether the contract is inactive, since a missing minute bar at the hour boundary could prevent the aggregator from emitting an hourly bar.

The discussion recommends inspecting the bar-generation logic and offers recording one-minute bars followed by aggregation with a dataframe library as an alternative workflow. The user says the issue was resolved, but does not explain the cause or the fix. The exchange is useful as a short diagnostic checklist for time-bar construction, especially around trigger bars and session boundaries, but it does not provide a reproducible solution or establish which explanation applied in this case.

Key ideas

• Synthetic hourly bars may be missing when the minute bar that triggers aggregation is absent.
• Check contract activity and minute-bar availability at the boundary used by the aggregator.
• Logging or inspecting the bar-generation component can help isolate the cause.
• An alternative is to record minute bars and aggregate them afterward with dataframe tools.
• The user reports resolving the issue but does not document the specific cause or repair.

Tags

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