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Building one-minute bars · Part 3 of 3
You hold a pandas Series trades of trade prices indexed by exchange timestamp, and build one-minute bars with bars = trades.resample("1min").last(), keeping pandas defaults. A strategy uses the bars to make a decision at each minute.
Quiet minutes have no trades, so their bars are NaN. You need a price every minute to mark positions to market. Which fill is right?
- A
bars.ffill() - B
bars.fillna(0) - C
bars.bfill() - D
bars.interpolate(), which draws a straight line between the neighbouring trades so the marks move smoothly
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