How to use the etf trick with volume or dollar bars with different time indices for each bar? #538
Description
In Advances in Financial ML, It says we can use the etf trick with any of the bar methods described. However I don't get how it could work if we use anything other than time bars, since for each instrument, each bar will be formed at a different time.
In the notebook for the etf trick, time bars are used so we can't see the issue.