Build Bars

Time bars sample by the clock, producing bars with wildly different information content - a 5-minute bar during the open contains 100x more trades than one at 2pm.

The Problem

Standard time bars (1-min, 5-min, daily) sample at fixed intervals regardless of market activity. During high-volume periods, a single bar compresses thousands of trades; during quiet periods, a bar may contain just a handful. This creates heteroscedastic returns that violate the i.i.d. assumptions of most ML models. Volume and dollar bars sample by activity instead, producing bars with roughly equal information content and returns closer to normality.

The Pattern

WRONG

import polars as pl