Algo footprints at the minute boundary
Posted: Sat Oct 31, 2026 7:51 pm
Watch tick data around the start of each minute and some regularity can show up. Quotes update in clusters, and small price jumps appear with unusual frequency right on the minute.
Several causes overlap. Algorithms that run on a one-minute schedule send orders at the boundary. Benchmarks and indices calculate on fixed intervals. Risk systems and data feeds snapshot at regular times.
For scalpers working on one-minute candles, there's a subtle effect. The open of a new bar may be affected by these bursts, and the first few seconds can show moves that partly reverse.
Some strategies try to exploit it by avoiding entries at the very start of a bar, or by waiting a few seconds for the noise to clear. Others use the pattern as a signal for short-term fades.
Verifying it takes a day or two of tick data and a simple analysis of price change by second within the minute.
It's a small effect, but small effects are what scalping is made of.
Does your tick data show a pattern at the minute boundary?
Several causes overlap. Algorithms that run on a one-minute schedule send orders at the boundary. Benchmarks and indices calculate on fixed intervals. Risk systems and data feeds snapshot at regular times.
For scalpers working on one-minute candles, there's a subtle effect. The open of a new bar may be affected by these bursts, and the first few seconds can show moves that partly reverse.
Some strategies try to exploit it by avoiding entries at the very start of a bar, or by waiting a few seconds for the noise to clear. Others use the pattern as a signal for short-term fades.
Verifying it takes a day or two of tick data and a simple analysis of price change by second within the minute.
It's a small effect, but small effects are what scalping is made of.
Does your tick data show a pattern at the minute boundary?