Aligning Volume Bars Across Multiple Futures

# Align volume bars for multivariate analysis


# Align volume bars for multivariate analysis












Looking at the book "Advances in financial machine learning" the author proposes a way to sample high frequency financial data in several fashions which are not only the standard time bars. I was trying to prepare a dataset for doing multivariate analysis using time series of several different futures. In doing that I would use volume bars, which are considered more representative of the effective flow of information provided by the market and also have desirable statistical properties like the recovering of normality, just looking at the returns.

Unfortunately, when I create volume bars for different assets given a threshold of traded contracts that signals to close the bar, the resulting bars are obviously not aligned. Actually, every future contract has its own volume path during the day, so there is no chance to get them aligned in time.

My concern comes when one wants to do some multivariate regression between the assets considered. How do I solve the problem of differently aligned timestamps? Is there a common way to solve this in practice?

I suspect that working with volume bars (or even tick/dollar bars) implies that you have to deal with the timestamp issue.

## Answer by chrisaycock (score 1)

https://quant.stackexchange.com/a/54550

It's not about timestamps. You just need to assign the same meaning to each bar.

Choose a fixed percentage of daily volume each bar should represent. Then for each individual day, compute the bar size from that percentage:

```
today's bar size = today's total volume * chosen fixed percentage
```

For example, I can choose that each bar should be 2% of the daily volume. So for each day, I will have a different bar size to get that 2%. And voila, I'll have the same number of bars within each day.

## Answer by ZhangYou0122 (score 0)

https://quant.stackexchange.com/a/75730

I'm also wondering about the same issue. There is even an exercise(2.3) that requires readers to "Apply ETF tricks" "On DOLLAR BAR series of E-mini S&P 500 futures and Eurostoxx 50 futures". There're are few code implementations floating around on Github, however, all of them assume that the bars are already aligned.

I think the alignment should be done when generating the dollar bars, the volumes of all assets need to be considered in the process. For example, we could generate a dollar bar for each of the assets whenever the sum of asset volumes reaches a certain threshold.