data / bars / px.eq.us.bars.volume
Volume bars px.eq.us.bars.volume
Bars sampled at fixed share volume thresholds.
PIT · Pro tier · 2008-01 → today · 1.4B rows
Coming soon — not served by the API yet.
Methodology
Shares per bar rather than notional per bar: the same construction rule as dollar bars, measured in a unit that does not move with price. That makes volume bars the better choice when a symbol's price level changes by an order of magnitude over the sample — a stock that split ten-for-one keeps comparable bars before and after, while a fixed dollar threshold would silently multiply the bar count. The threshold that was actually used is stored on every row, so a bar count can be reproduced exactly.
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 |
threshold | int64 | shares per 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 |
trade_count | int32 | prints aggregated |
Use cases
- Sample activity for names whose price level drifts over the sample.
- Build an event-time series for a microstructure study.
- Cross-check dollar-bar results against a price-independent sampler.
Background
Related packages
- px.eq.us.bars.dollar — Dollar bars