When trying to create 1m candles from tick data received via websocket, I am struggling to get the volume right. I am assuming that LastTradeQuantity is the volume associated with the tick but I am not sure.
I am using volume = current volume + LastTradeQuantity
I have observed that many a times, the 4 to 5 ticks received in a minute interval have the same LastTradeQuantity. I am a bit confused as to what should be the correct method to determine the volume associated with that particular tick. Kindly help.