# Minute Bar Data Notes

The minute-bar path downloads raw Baostock intraday bars and stores them as a
Hive-partitioned dataset:

```bash
uv run python cli.py data download-minute \
    --universe sh600000 \
    --start-date 2024-01-02 --end-date 2024-01-05 \
    --frequency 5
```

The default layout is:

```text
data/minute_bars/{universe}/frequency=5m/month=YYYY-MM/*.pq
```

Derived-data plugins can aggregate those bars to daily `symbol_id,date` numeric
files, for example:

```bash
uv run python cli.py derived compute \
    --minute-path data/minute_bars/sh600000 \
    --daily-path data/daily_bars/sh600000 \
    --derived-type minute_daily_summary \
    --derived-name minute_summary
```

The legacy `feature compute` command delegates to the same derived-data
registry and remains available for existing scripts.

## Daily vs Minute Reconciliation

Baostock's daily raw bars and 5-minute raw bars are close, but they should not
be treated as perfectly reconstructible from each other.

When checking consistency, compare daily raw bars (`data download --adjust none`)
against minute bars on the same raw price scale. The minute aggregation should
use:

- `open`: first minute open
- `high`: max minute high
- `low`: min minute low
- `close`: last minute close
- `volume`: sum minute volume
- `amount`: sum minute amount
- `vwap`: `sum(amount) / sum(volume)`

In a sanity check for `sh600000` from `2024-01-02` through `2024-01-05`, Baostock
returned 4 daily rows and 192 5-minute bars, exactly 48 bars per day. Open, low,
and close matched daily exactly on all 4 days. High matched on 3 of 4 days; on
`2024-01-04`, the daily high was `6.67` while the max 5-minute high was `6.66`.
Minute-summed volume and amount were higher than daily by roughly `0.16%` to
`1.23%`. VWAP remained very close, with max relative difference around
`0.0043%`.

This appears to be a source-level Baostock reconciliation caveat, not a parser
or ordering issue: the minute bars covered the regular `09:35:00` through
`15:00:00` range and sorted correctly by timestamp.

Practical guidance:

- Use tolerance-based daily-vs-minute checks; do not require exact equality for
  high, volume, or amount.
- Expect open/close alignment to be a stronger sanity check than exact volume
  reconstruction.
- Use minute-derived values as separate daily features, not as replacements for
  the canonical daily bar dataset unless a strategy explicitly wants that
  source convention.