data / bars / px.eq.us.bars.dollar
Dollar bars px.eq.us.bars.dollar
Volume-weighted bars sampled at fixed dollar thresholds.
PIT · Pro tier · 2008-01 → today · 1.2B rows
Coming soon — not served by the API yet.
Methodology
A bar closes when cumulative traded notional crosses the threshold, not when the clock ticks over, so each bar carries roughly the same amount of market activity and the sampling frequency follows volatility instead of imposing it. Thresholds are set per symbol from its own trailing notional so a large cap and a small cap produce comparable bar counts. start_ts and end_ts are both kept: a bar that took nine minutes and one that took nine seconds are different evidence, and a strategy that reads only the close of the bar is reading information from an unknown point in time.
Schema
| Column | Type | Role |
|---|---|---|
as_of_ts | timestamp | knowledge time · UTC |
effective_ts | timestamp | bar close time · US/Eastern |
symbol | string | ticker in force on effective_ts |
bar_index | int64 | ordinal within the symbol |
start_ts | timestamp | first print in the bar |
end_ts | timestamp | last print in the bar |
open | float64 | first trade price |
high | float64 | bar high |
low | float64 | bar low |
close | float64 | last trade price |
volume | int64 | shares in the bar |
dollar_volume | float64 | notional in the bar |
trade_count | int32 | prints aggregated |
Use cases
- Train return models on closer-to-normal, less autocorrelated samples.
- Compare a strategy's statistics against a time-bar baseline.
- Size bars consistently across symbols with very different liquidity.
Background
- Dollar bars vs time bars vs volume bars
- Point-in-time market data: as-of dates, restatements, and adjustments
Related packages
- px.eq.us.bars.volume — Volume bars