It seems there is not a universal rule on how should the timestamps of candlestick data be set. I have the impression that using a timestamp on open is more common (i.e.: a 1-Minute candle with a timestamp at 00:00:00 would be open until a new tick is received at, at least, 00:01:00).
However, there seems to be software that generates candlestick data with the timestamp on close. See for instance the NinjaTrader docs:
NinjaTrader stamps a bar with the closing time of the bar. For example, a minute bar with a time of 9:31:00 AM has data from 9:30:00 AM through 9:30:59 AM. Using end of bar time stamps is required in order to be able to plot multiple series of differing time frames within a single chart all accurately synchronized to time.
What are the advantages/disadvantages of each method? Why Ninja considered on-close to be better while it seems that most others are using on-open? What would you recommend?
Timestamp on open:
- Oanda (not documented or I did not find it, but I know from experience)
Timestamp on close: