we subscribe to Elektron over Cloud (AWS) via websocket.
We get realtime streaming data fine. Trades come in as "Conflated: False"..Would this mean that we are seeing every "tick"? I notice gaps in the sequence numbers, so I am thinking there are some missing trade ticks.
We would like to compute 1-second bars from the realtime trade data. I realize that without every single tick, that I may miss a "high" or "low" within a timeframe. Also, i'm not sure which field to pay attention to for the volume. Any help would be appreciated.