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What would be a smart way to do DAILY consolidation of Futures data?
Currently, Futures is offered in granularity of Tick, Second and Minute.
I don't think consolidating a QuoteBar by 1,440 minutes (24 hours x 60 minutes) would be accurate.
It would be accurate if there is always 1,440 minutes of QuoteBars in one day. However, some days could have less than 1,440 minutes of QuoteBars (I know, news flash).
I suppose I could create a rolling window of TradeBars. Manually update a daily TradeBar with OHLC by evaluating each QuoteBar's OHLC.
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