I’m trying to understand how to create my own intra-day stock trade bars from the trades feed, everything I can find on creating aggregates refer to the official CTS and UTP specifications which appears to be mostly relevant to creating daily bars.
I can create accurate daily bars following the trade conditions, however I’m not sure how the conditions apply to intra-day periods such as seconds and minutes.
I’ve been assuming that I can just exclude all trades that would be “NO” for the High/Low update rules, then ignoring any Reg. T conditions and the Close update rules as they only apply to daily bars.
Then my current hang up is what to do with trade conditions that update the volume only;
What happens if the only trade(s) for a period only update the volume, should I create a bar with the OHLC set to all 0s and update only the volume and number of trades?
Would a VWAP be calculated for all trades that update the volume, or only the trades that update the OHLC prices?