A model sampled every minute gives a quiet interval the same row count as an interval containing thousands of trades. That choice changes the distribution of observations used to estimate liquidity, signals and costs. Starting from a validated trade-and-quote timeline, this lesson constructs tick, volume and dollar bars, explains their different economic clocks, and prevents bar construction from introducing future information.
Learning objectives. By the end of this note you should be able to:
- distinguish calendar time from transaction and volume time;
- compute bar endpoints under three activity thresholds;
- document overshoot, session boundaries and incomplete bars;
- separate a bar's feature time from its future return label;
- evaluate sampling choices without assuming they produce independent returns.
In this lesson
- The question determines the clock
- Threshold construction
- Why activity bars can help
- A transparent bar builder
- Features, decisions and labels
Before you start
The full lesson, with worked examples and exercise solutions, is for members.
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