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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.
The text was updated successfully, but these errors were encountered:
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.
The text was updated successfully, but these errors were encountered: