VeighNa Five-Minute Bars Use Bar-Start Timestamps
Summary
A brief forum exchange discusses why five-minute bars generated from one-minute data may differ from Wind data. A user suspects that one-minute bar alignment or delayed CTP data could explain a bar appearing at 9:00. The response clarifies that VeighNa timestamps bars by their start time, which gives a direct explanation for the apparent timing difference when comparing feeds or aggregations.
The exchange does not provide a code fix, establish that data delay caused the discrepancy, or compare the underlying price values. Its practical lesson is to check timestamp conventions before treating bars as misaligned or incorrectly synthesized. Differences in vendor conventions, recording delays, and bar construction remain possible sources of discrepancies and would need separate investigation.
Key ideas
- VeighNa labels a bar with its start time, according to the forum response.
- A bar stamped 9:00 may reflect a start-time convention rather than an erroneous close-time alignment.
- Comparisons between synthesized bars and vendor data should account for timestamp conventions.
- The exchange does not determine whether CTP delay or another data issue caused the observed discrepancy.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.