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Financial models by default use time bars of prices/returns for input data. I use time bars to refer to both intraday (high frequency) and interday (low frequency) data since the sampling occurs at fixed intervals of time for both intraday and interday time bars.

Instead of time bars, the alternatives are (1) tick bars, (2) volume bars and (3) dollar bars which sample prices/returns based on the occurrence of (1) a new transaction, (2) a fixed volume threshold, and (3) pre-defined monetary amount traded, respectively.

I have only seen these alternative types of bars applied to intraday data (seconds, minutes, hours). Can't the same premise of volume bars and dollar bars be applied to interday data (daily, weekly, monthly)?

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Multiday aggregations are usually moving averages, not OHLC. For example, I might get the 10-day MA; I would not ask for the 10-day high. (Charts might take the latest sample, but that's only for visualization.)

As for multiday bars that aren't defined by time, I'm not sure how to interpret something like that. The bars would span multiple days and then cut-off in the middle of the day.

Consider the below example; bar #2 begins in day #1 and ends in day #2.

day: |-----1-----|-----2-----|-----3-----|-----4-----|
bar: |---1---|---2---|---3---|---4---|---5---|---6---|

Trading could vary wildly between those two days, like with earnings announcements or broader market volatility. So bar #2 would not be comparable to bars #1 or #3.

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    $\begingroup$ But even intraday volume/dollar bars were never meant to be comparable to intraday time bars either. We already know the intervals are based on different units like volume or dollar intervals, instead of time intervals, so there is no need or value in aligning bars to time bars anyway? The fact the trading is varying wildly due to earnings across a couple days is precisely the reason we'd want to switch to alternative bars, because tradition time bars are the ones varying wildly $\endgroup$
    – develarist
    Jun 28, 2020 at 12:41
  • $\begingroup$ I'm not sure I understand the example in the answer. Each day is spanning multiple bars, but if all I have is daily data it should be the other way around, no? Each bar should span multiple days, I think. Or maybe I'm missing something? @develarist, what did you end up using? $\endgroup$
    – Parzival
    Apr 9, 2021 at 0:08

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