Hi ...
My name is Ashutosh. I gone through your query on resampling tick data to minute. I am facing similar problem. I am extracting price and volume from tick data and when I resample using pandas resampling method, I get correct OHLC however the volume per minute are wrong and I cant see any pattern within error.
I am summing volumes for all ticks in a minute to arrive a total volume for the minute.
I am too developing python strategy for VWAP.
Would help if you can give any pointers from your experience.
Thank you
Regards
Ashutosh
January 2022
