Time-based bars

How the clock cuts the tape

A time bar of interval T begins at a boundary of the clock, for example 09:31:00, and closes just before the next boundary. Every trade whose timestamp falls inside the interval belongs to the bar. The bar's open, high, low, close, volume and, on a footprint, its bid and ask volume per price, are all computed from those trades.

The bar boundary is defined in a timezone. Futures on CME follow a session that opens at 17:00 Chicago time, so a daily bar anchored at midnight local time and a session bar anchored at 17:00 CT are two different objects with different volume and range.

• A minute with no trades still produces a bar slot in time, but the bar has no volume and no traded levels. It should be shown as empty, not as a flat bar at the last price with zero volume presented as a measurement.
• Intraday intervals can be summed from the finest one: a 5-minute bar is the union of five 1-minute bars, which is why a platform can download only the minute and build the rest locally.

Why time bars are convenient

• Session comparisons are direct: 09:31 today lines up with 09:31 yesterday without any conversion.
• Backtests can be replayed against a clock, and a strategy's holding time is expressed in bars that have a known duration.
• Economic releases and market opens fall on known timestamps, so their bars are easy to find.
• Indicators whose formula assumes equal bar durations, such as speed of tape, are only meaningful on time bars or on counter bars whose duration is observed.

Where time bars mislead

• Activity is not spread evenly over the clock. A 1-minute bar at the open can hold more trades than an hour of the overnight session, so bar-to-bar comparisons of volume or delta mix very different amounts of information.
• Slow periods print many bars with a handful of trades each; every indicator computed on them inherits that noise.
• A fast move compresses into one or two bars, hiding the level-by-level sequence that a tick or range bar would spread out.

In Senzoukria

On the Footprint page, one minute to one hour are pinned next to the grain menu; the guided tour step "Timeframes and bar types" shows the menu and the star that pins other grains. The history setting explains that only the minute is downloaded from the broker and that every intraday timeframe is summed from it locally, so switching between 1, 5 and 15 minutes costs no round-trip.

The Time-of-Day Volume indicator keys on the session minute, ⌊(bar time − session open) / 60 s⌋ anchored at 17:00 CT, so its comparison across sessions pairs 09:31 today with 09:31 yesterday whatever the bar type, which is exactly the alignment time bars give for free. The futures backtesting guide covers the walk-forward rules that depend on that clock alignment.