Record the boundary and the input bar’s full interval
A daily chart needs a declared day boundary. If an input bar straddles that boundary, it cannot be assigned wholly to either date without changing the interpretation. Keep the source start and end instants, their offsets and the intended output-day rule.
For this fictional case, the chosen boundary is midnight at +00:00 and a supplied bar runs from 23:30 to 00:30 across two dates. This is an entered convention, not a statement of an exchange session. A UK-local display should retain the underlying instant and its date rather than only a clock label.
Compare two paths with the same combined OHLC
Path A has values 100 at 23:30, 110 at 23:45, 90 at 00:15 and 105 at 00:30. Path B swaps the middle two values. Both paths have combined open 100, high 110, low 90 and close 105. Their pre-midnight and post-midnight extremes differ.
Once only that combined OHLC remains, you cannot tell which path generated it. Dividing the high and low proportionally by time would invent observations. The ambiguity is about lost information, not a rounding error in a daily calculator.
| Teaching path | Before midnight observations | After midnight observations |
|---|---|---|
| A | 100, 110 | 90, 105 |
| B | 100, 90 | 110, 105 |
| Combined OHLC for both | Open 100 / high 110 | Low 90 / close 105 |
Request evidence with enough temporal detail
To reconstruct the split, obtain finer bars or underlying observations that resolve the new boundary, together with a documented endpoint convention. If those inputs are absent, label the daily reconstruction incomplete. Do not silently substitute a different source with a different price definition.
Even finer data need a stated coverage rule. A gap surrounding midnight can leave the open or close uncertain. Keep missing intervals visible instead of manufacturing a price by copying the last available value without labelling that modelling choice.
A later observation is not an observed midnight price
In both fictional paths, the first supplied observation after the boundary is at 00:15. It does not establish the exact price at 00:00. A convention that carries the previous observation forward can define a modelled boundary value, but the result must be labelled as such. Even after recovering the order of the high and low, the source may still be too sparse for the requested boundary open or close. Preserve the observation gap instead of hiding it in a tidy candle.
Keep the aggregation result separate from a chart interpretation
This companion note explains why changing a daily boundary can require more than regrouping the bars you already possess. It does not assert that one chart boundary is universally correct or that a pattern reconstructed under either convention predicts a move.
A reproducible review lists the original bar interval, requested boundary, known OHLC and unresolved split. The fictional paths demonstrate non-uniqueness; they are not actual market ticks. No performance or suitability claim follows from the illustration.
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Primary sources and scope
- RFC 3339: Internet timestamps
Full dates and explicit numeric offsets; a timestamp representation does not prove clock synchronisation. Checked 2026-10-21.