The trade data is indexed by nanoseconds and is very noisy. The bid-ask bounce, for instance, causes the price to oscillate between the bid and ask prices when trade initiation alternates between buy and sell market orders. To improve the noise-signal ratio and improve the statistical properties, we need to resample and regularize the tick data by aggregating the trading activity.

We typically collect the open (first), low, high, and closing (last) price for the aggregated period, alongside the volume-weighted average price (VWAP), the number of shares traded, and the timestamp associated with the data.

See the normalize_tick_data.ipynb notebook in the folder for this chapter on GitHub for additional detail.