Looking at the book "Advances in financial machine learning" the author proposes a way to sample high frequency financial data in several fashions which are not only the standard time bars. I was trying to prepare a dataset for doing multivariate analysis using time series of several different futures. In doing that I would use volume bars, which are considered more representative of the effective flow of information provided by the market and also have desirable statistical properties like the recovering of normality, just looking at the returns.
Unfortunately, when I create volume bars for different assets given a threshold of traded contracts that signals to close the bar, the resulting bars are obviously not aligned. Actually, every future contract has its own volume path during the day, so there is no chance to get them aligned in time.
My concern comes when one wants to do some multivariate regression between the assets considered. How do I solve the problem of differently aligned timestamps? Is there a common way to solve this in practice?
I suspect that working with volume bars (or even tick/dollar bars) implies that you have to deal with the timestamp issue.