In Advances in Financial ML, It says we can use the etf trick with any of the bar methods described. However I don't get how it could work if we use anything other than time bars, since for each instrument, each bar will be formed at a different time.
In the notebook for the etf trick, time bars are used so we can't see the issue.
In Advances in Financial ML, It says we can use the etf trick with any of the bar methods described. However I don't get how it could work if we use anything other than time bars, since for each instrument, each bar will be formed at a different time.
In the notebook for the etf trick, time bars are used so we can't see the issue.