How is aggregate db rolled up from tick db under the hood?

Technical Help
#1

From the documentation, I understand that tick db lets us collect, query and stream real-time market data and a tick is the minimum price change a security can make on an exchange.

Aggregate databases provide rolled-up views of tick databases up to any bar size, for example 1 second or 1 day.

How is the rolling up performed to create the aggregate db? Is it created by taking the average of the tick values?

#2

This is determined by the fields parameter.

From the API Reference:

Available aggregate functions are “Close”, “Open”, “High”, “Low”, “Mean”, “Sum”, and “Count”.

Create an aggregate database of 1 second bars containing the closing bid and ask and the mean bid size and ask size, from a tick database of futures trades and quotes, resulting in fields called BidPriceClose, AskPriceClose, BidSizeMean, and AskSizeMean:

>>> create_agg_db("cme-fut-taq-1sec", tick_db_code="cme-fut-taq",
                  bar_size="1s",
                  fields={"BidPrice":["Close"],
                          "AskPrice": ["Close"],
                          "BidSize": ["Mean"],
                          "AskSize": ["Mean"]
                          })
#3

So if i create a aggregate database of 1minute bars with fields = {"BidPrice": ["Close"]}
and the price of security is like

00: 00: 00 is 1.231
.....
.....
00: 00: 59 is 1.597

then the BidPriceClose of aggregate databse will contain price as 1.597

am i correct?

#4

Correct.

#5

Just one more question. There are scenerios where we don't have the data for 59th second.

00: 00: 00 is 1.231
.....
.....
00: 00: 50 is 1.432

then the BidPriceClose of aggregate databse will contain price as 1.432 basically whatever the last price present in i-1th minute to ith minute will be the price of ith minute

#6

Correct.