I am trying to create a 1-min bar database using tickdata. If the market opens at 9:45 and the 1st 1-minute bar is calculated based on the pre-matching trades at 9:44, assuming there a trade at 9:45:00, should this be included in the "1st" 1- minute bar or the "2nd" 1 minute bar ? many thanks...
That should be a part of the first bar that occurs from 9:45:00 to 9:45:59. No bars are displayed before 9:45:00.