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Joel,
(I read thru your code, and like what SQ is doing for the programmer.)
Absolutely.
In fact, the CME often has several trades (ticks) within a single second.
(this is a big deal for data engines.)
So every second has a OHLC,T(ickcount),V(olume).
It is an incredible amount of data.
The data server needs to store time and sales as a basic data element.
In the case of tick bars, the time bars (1 second) must be broken up,
and reconstructed using trade counts (tick bars) or volume accumulations
(volume bars.)
Such stuff needs to be implemented by the data server,
because of these 'granularity' issues.
Eric
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