chinese-equity-quant/docs/minute_bar_data.md

Minute Bar Data Notes

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

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:

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

Feature plugins can aggregate those bars to daily symbol_id,date feature files, for example:

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

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.