Volume Bars
Install and import#
npm install fintech-algorithmsimport { 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#
| Name | Type | Notes |
|---|---|---|
trades | Trade[] | 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#
verified This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.
Input#
[
{
"tradeId": "W001",
"timestamp": "2026-01-05T14:30:00.000Z",
"session": "2026-01-05",
"symbol": "SYNTH",
"price": 100,
"volume": 400,
"currency": "USD"
},
{
"tradeId": "W002",
"timestamp": "2026-01-05T14:30:01.000Z",
"session": "2026-01-05",
"symbol": "SYNTH",
"price": 101,
"volume": 350,
"currency": "USD"
},
{
"tradeId": "W003",
"timestamp": "2026-01-05T14:30:02.000Z",
"session": "2026-01-05",
"symbol": "SYNTH",
"price": 99,
"volume": 500,
"currency": "USD"
}
]Showing 3 of 6 elements.
{
"targetVolume": 1000,
"closePartial": true
}Call#
constructBars(trades, config)Returns#
array of 3 objects
[
{
"barIndex": 0,
"session": "2026-01-05",
"startTime": "2026-01-05T14:30:00.000Z",
"endTime": "2026-01-05T14:30:02.000Z",
"lastTradeTime": "2026-01-05T14:30:02.000Z",
"open": 100,
"high": 101,
"low": 99,
"close": 99,
"volume": 1250,
"dollarValue": 124850,
"tickCount": 3,
"firstTradeId": "W001",
"lastTradeId": "W003"
},
{
"barIndex": 1,
"session": "2026-01-05",
"startTime": "2026-01-05T14:30:03.000Z",
"endTime": "2026-01-05T14:30:04.000Z",
"lastTradeTime": "2026-01-05T14:30:04.000Z",
"open": 99.5,
"high": 100.5,
"low": 99.5,
"close": 100.5,
"volume": 1000,
"dollarValue": 99900,
"tickCount": 2,
"firstTradeId": "W004",
"lastTradeId": "W005"
},
{
"barIndex": 2,
"session": "2026-01-05",
"startTime": "2026-01-05T14:30:05.000Z",
"endTime": "2026-01-05T14:30:05.000Z",
"lastTradeTime": "2026-01-05T14:30:05.000Z",
"open": 101,
"high": 101,
"low": 101,
"close": 101,
"volume": 250,
"dollarValue": 25250,
"tickCount": 1,
"firstTradeId": "W006",
"lastTradeId": "W006"
}
]Diagrams#
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.
References#
- R01 - Advances in Financial Machine Learning, Chapter 1 — Marcos Lopez de Prado
- R02 - NYSE Daily TAQ Client Specification — New York Stock Exchange, an Intercontinental Exchange company
- R03 - Trade Reporting Frequently Asked Questions — Financial Industry Regulatory Authority
- R04 - MIDAS: Market Information Data Analytics System — U.S. Securities and Exchange Commission
- Evidence and data note