Aggregation is realized by summing trades which has a common price, time and direction. But some platforms, such as Bookmap, aggregate trades with a time lag and at different prices. Their mechanism differs from the generally accepted
I am circling around the time & sale reconstruction mechanism for options. This thread gave me insights to look into the CME rules. Thanks for that. What I am still not clear on is, how are trade relations built between different legs? What I am gathering is: rely on IV change, timestamp and trades nearby in ms to construct a common trade. So far, seeing very mixed results. Can time & sale trade reconstruction be characterized as a bar chart problem and does it require order flow reconstructed data as well to truly analyze if the trade is a buy or a sale? Thanks