Hello, while running some backtesting I noticed some of the minute bars are missing. Specifically at the market open. I can only assume there will be missing minute bars during the full trading day aswell. I am using the SIP feed when I’m fetching the historical bars.
2023-12-01 16:48:12,558 WARNING:First bar is not 14:30 for symbol: FI Close High Low n Open Volume vw
Timestamp
2023-11-10 14:31:00+00:00 119.62 119.95 119.62 33 119.95 18653 119.919696
2023-11-14 14:30:00+00:00 379.99 380.00 379.520 66 379.520 3715 379.661762
2023-11-14 14:33:00+00:00 380.94 380.96 380.905 48 380.915 1359 380.904312
2023-11-14 14:35:00+00:00 381.85 381.94 381.850 36 381.940 743 381.515579
2023-12-01 16:50:13,245 INFO:First three bars are not 14:30, 14:31, 14:32 for: DPZ