Why are two days missing around each roll?

The roll day and the day before it are left out so bars of the outgoing and incoming contracts never mix in one series.

Can ohlcv-1m bars be used for footprint strategies?

They carry no delta and no price levels. They suit price-only rules; a delta-based rule would read nothing meaningful.

Backtest import: “Nothing in this folder can feed the backtest” and roll days left out

The automatic backtest imports a Databento folder under one contract root as a continuous series: trades give bars with delta and price levels, ohlcv-1m gives bars without them. A folder with neither is refused, roll days are left out, and bars already cached are never replaced.

Senzoukria · Troubleshooting · Updated September 2026

At a glance

Refusal: “Nothing in this folder can feed the backtest: neither trades nor ohlcv-1m.”
Rolls: “{n} days left out around contract rolls, so two contracts never mix.”
Last day: “The last complete day ({day}) was not written: without the next day, a roll could not be ruled out.”
Where: Replay → Automatic backtest → “Import a folder…”

What you see

In the automatic backtest panel, “Import a folder…” scans the folder. Possible lines: “Nothing in this folder can feed the backtest: neither trades nor ohlcv-1m.”, “{n} bar files of another interval will not be imported.”, “{n} trading days of another contract or root were left aside.”, “{n} days left out around contract rolls…”, “The last complete day ({day}) was not written…”, or “No bar could be written for {contract}.”

Why it happens

The backtest needs one continuous series under the contract chosen in the panel, for contracts of the same root only. Each day keeps its dominant contract; a roll day and the day before it are left out so two contracts never mix, and the last day waits for the next one to rule out a roll. Trades give bars with real delta and price levels. ohlcv-1m gives bars without delta or levels, and no coverage is claimed for them: a minute without a bar stays unknown. Bars already in the cache, from the broker, live or earlier imports, are never replaced.

How to fix it

Export trades (for delta and levels) or ohlcv-1m (for plain bars) from Databento; other intervals are ignored.
Select the contract of the right root in the panel before importing.
Add the day after your last day if you need it written.
Remember that a strategy reading delta sees nothing useful on ohlcv-1m bars.

What it is not

Not a data loss around rolls: those days are excluded on purpose and shown as gaps in the coverage.
Not an overwrite of your cache: existing bars win.

When to contact support

If the steps above do not change anything, send the case from Menu → Report a problem, or ask on the Senzoukria Discord. Include the contract selected, the schemas in the folder and the result lines.

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Frequently asked questions

Why are two days missing around each roll?: The roll day and the day before it are left out so bars of the outgoing and incoming contracts never mix in one series.
Can ohlcv-1m bars be used for footprint strategies?: They carry no delta and no price levels. They suit price-only rules; a delta-based rule would read nothing meaningful.

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