I am doing some academic work and using 1 minute bar data. I am wondering if when calculating the return time series, do I need to throw out the first return of the day because it is the return calculated from first bar today and last bar yesterday? My reasoning is that this return is not calculated over 1 minute time frame. It makes sense to me to throw this return out as "atypical".
for example you can see the jump from 2017-01-06 to 2017-01-08 here (6th being Friday and 8th being Sunday - this is an FX market)
df = data_fx['EURUSD'] df[df.index > '2017-01-06 21:55:00'].head() date 2017-01-06 21:56:00 1.053315 2017-01-06 21:57:00 1.053320 2017-01-06 21:58:00 1.053455 2017-01-06 21:59:00 1.053380 2017-01-08 22:00:00 1.053050 2017-01-08 22:01:00 1.053040 Name: close, dtype: float64