Why Daily Bar Strategies Can Have Orders Canceled at the Close
Summary
A brief VeighNa forum exchange describes an order-timing problem in a strategy that constructs daily bars from intraday data. The user says the daily bar is completed at the 3 p.m. close, after which an order submitted by the strategy is canceled. They ask whether the bar-construction rule should instead recognize a bar around 2:59 p.m.
The only reply says the behavior can be adjusted to suit the user's needs, without giving a concrete configuration or explaining order types, exchange cutoff rules, or event timing. The exchange highlights a practical issue for bar-based systems: a signal generated only after the final bar is complete may arrive too late for execution during that session. It offers no tested fix or broader trading method, so implementation details must be checked against the framework's bar-generation and order lifecycle behavior.
Key ideas
- A daily bar finalized at the session close may produce a signal after the time available for placing that day's orders.
- The forum question considers shifting bar recognition earlier, to around 2:59 p.m.
- The response gives no specific implementation or evidence that changing bar timing resolves cancellations.
- Strategy developers need to account for bar completion time and order timing in their execution logic.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.