I wonder, how have some of you dealt with multiple data streams, and how to match them up, either through truncation, imputation, or some other means.
interpolate ?
Interpolation can help with missing values, but I'm not sure what it has to do with combining multiple inputs streams.
sorry if im probably missing something obv but if i had multiple data streams (say 3 exchanges) with different sample rates or missing values or whatever, i would interpolate each data stream to a common timeseries and then combine (average) the data. and would probably weight the inputs by volume
Okay, now I understand what you mean, which was the first suggestion in this thread. However, I don't think you are using the term "interpolate" correctly.
im listening...