500+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
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Difficulty: Medium
Category: data_manipulation
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Topics: dollar_bars, market_microstructure, ohlcv, data_manipulation, tick_data
Dollar bars aggregate tick-level trade records into bars representing a constant notional value, rather than a constant time interval. This sampling method adapts to market activity, producing more stationary time series for microstructure analysis and algorithmic execution. They are a foundational data preprocessing technique in quantitative finance. Task Implement the function dollar_bar_construction(ticks, threshold) to aggregate a stream of trade ticks into dollar bars. The function should
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