Three-Layer Session Tagging Fixes Candlestick Chart Gaps in US Stock Platforms
A development team building US stock charting tools for a crypto-native platform discovered that raw data feeds were blending pre-market, regular, and after-hours trades into a single stream, causing visual gaps and distorted technical indicators. Professional users reported spending significant time manually filtering non-regular-hours data before running analysis tools like VWAP and RSI. To solve this, the team built a three-stage pipeline that ingests raw ticks via WebSocket, labels each tick with a session tag based on US Eastern Time windows, and aggregates OHLC candles strictly within session boundaries. The approach eliminates phantom volume spikes by never merging data across session boundaries or generating artificial filler candles. The pipeline was later packaged as a microservice, allowing product teams to request session-aware candlestick data through a single API parameter and enabling quant users to run session-specific backtests without manual data preparation.
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