I have Level 1 data that has already been aggregated into 0.5s buckets by the exchange.
I'd like to further aggregate the data into hourly and daily buckets. I plan to do this by simply taking a snapshot on each time interval i.e. at market open then market open plus one hour etc.
Q1.) Is there anything wrong in principle with this simple sampling strategy?
As always the devil is in the detail with these things. Some of the less liquid contacts may not trade for up to a couple of hours at a time what should I so in this situation? There will be several other issues I'm sure.
Q2.) Is there a set of benchmarks/best practice that someone can point me to for bucketing data where some points may be missing.
Q3.) Does it ever make sense to average some of the values (say over the last hour to estimate the daily close value? Is so are there any rules of thumb I can use to select the appropriate averaging period?