I have created a notebook to analyze minute data using a pipeline (I have not come across any notebook doing this yet, please let me know if there is something out there, so far, all I have seen is dataframes that use Quantopians prices function). I think this can be useful for others as well.
However, I am not able to reconstruct how the 1 min returns are actually computed, you can see below that I have created a close price column, which contains the price on the day before, but the 1 min returns to not match the return from the close on the day before to the open on the first day. I have added 2 cells at the bottom that demonstrate this. I am concerned that maybe my 1 min returns are not aligned correctly, any help is appreciated.