I am trying to generate a custom tick index using two indices (Let's say australian index ASX 200 and Japenese Index NKY). Japan index ticks every 10 seconds...and australia ticks every 30/35 seconds. So obvious problem is ticks don't line up! Apart from a generic solution of interpolation is there any other way to combine them?
If I use the old tick of australian index, whenever a new japan index tick occurs then a news event in the middle of two austrlian ticks might create a problem.
Is it correct to use some sort of poisson process on arrival of australian index ticks? Probabilities might serve as weights!!
The custom index might be used to price a 1 minute binary option so keeping current information is important.