fintech-algorithms

Volume Bars

Install and import

bash
npm install fintech-algorithms
ts
import { constructBars } from "fintech-algorithms/market-data-engineering/bar-construction/volume-bars";

Signature

constructBars(trades, config)

Closes a bar once a target share volume has traded. Sampling by volume rather than by clock gives series with far more stable statistical properties than time bars.

Parameters

NameTypeNotes
tradesTrade[]The raw tape in chronological order. Each trade carries tradeId, timestamp, session, symbol, price, volume and currency.
config{ targetVolume: number; closePartial?: boolean }targetVolume is the cumulative share volume that closes a bar. A single trade larger than the target closes a bar on its own. closePartial decides whether a final short bar is emitted.

Returns

Bar[] · length fewer

One bar per completed volume bucket.

Errors

  • When targetVolume is not positive — throws

Complexity: time O(n), space O(bars).

Worked example

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input

trades
[
  {
    "tradeId": "T0001",
    "timestamp": "2026-01-05T14:30:00.000Z",
    "session": "2026-01-05",
    "symbol": "SYNTH",
    "price": 99.99,
    "volume": 36,
    "currency": "USD"
  },
  {
    "tradeId": "T0002",
    "timestamp": "2026-01-05T14:30:04.000Z",
    "session": "2026-01-05",
    "symbol": "SYNTH",
    "price": 99.99,
    "volume": 73,
    "currency": "USD"
  },
  {
    "tradeId": "T0003",
    "timestamp": "2026-01-05T14:30:07.000Z",
    "session": "2026-01-05",
    "symbol": "SYNTH",
    "price": 100,
    "volume": 110,
    "currency": "USD"
  }
]

Showing 3 of 240 elements.

config
{
  "closePartial": true,
  "targetVolume": 1300
}

Call

constructBars(trades, config)

Returns

array of 22 objects

[
  {
    "barIndex": 0,
    "session": "2026-01-05",
    "startTime": "2026-01-05T14:30:00.000Z",
    "endTime": "2026-01-05T14:30:46.000Z",
    "lastTradeTime": "2026-01-05T14:30:46.000Z",
    "open": 99.99,
    "high": 100.06,
    "low": 99.98,
    "close": 100.05,
    "volume": 1374,
    "dollarValue": 137422.17,
    "tickCount": 13,
    "firstTradeId": "T0001",
    "lastTradeId": "T0013"
  },
  {
    "barIndex": 1,
    "session": "2026-01-05",
    "startTime": "2026-01-05T14:30:54.000Z",
    "endTime": "2026-01-05T14:31:43.000Z",
    "lastTradeTime": "2026-01-05T14:31:43.000Z",
    "open": 100.05,
    "high": 100.12,
    "low": 100.04,
    "close": 100.12,
    "volume": 1422,
    "dollarValue": 142312.41,
    "tickCount": 11,
    "firstTradeId": "T0014",
    "lastTradeId": "T0024"
  },
  {
    "barIndex": 2,
    "session": "2026-01-05",
    "startTime": "2026-01-05T14:31:48.000Z",
    "endTime": "2026-01-05T14:32:24.000Z",
    "lastTradeTime": "2026-01-05T14:32:24.000Z",
    "open": 100.11,
    "high": 100.15,
    "low": 100.1,
    "close": 100.15,
    "volume": 1358,
    "dollarValue": 135978.28,
    "tickCount": 9,
    "firstTradeId": "T0025",
    "lastTradeId": "T0033"
  }
]

Showing 3 of 22 elements.

Diagrams

Volume Bars — article hero
Volume Bars — boundary and state
Volume Bars — construction anatomy

Calculation flow

Causal construction flow - Volume Bars 
flowchart TD
    A["Receive next cleaned eligible trade"] --> B{"New session?"}
    B -->|Yes| C["Apply partial-tail policy; reset to zero"]
    B -->|No| D["Keep open bar"]
    C --> E["Add the whole trade"]
    D --> E
    E --> F{"Cumulative shares >= target?"}
    F -->|No| A
    F -->|Yes| G["Emit OHLCV, close reason, and lineage"]
    G --> H["Reset to zero; do not carry overshoot"]
    H --> A

How it works

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References