Where your minute bars actually start

Small thing with consequences. When your data provider builds a one-minute bar, does it cover 09:30:00.000 through 09:30:59.999, or does it label that bar 09:31? Is the label the start or the end of the interval? Both conventions exist. Mixing them shifts every value in your series by one bar, which is the single most efficient way to invent a strategy that works. How to check without reading documentation: take a known event with a sharp move and see which bar contains it. If the move you can see on the tape at 10:15:30 appears in the bar labelled 10:15, the label is the start. If it appears in 10:16, the label is the end. This is worth doing once per data source and writing down. It costs ten minutes and it protects against a class of error that looks exactly like alpha.