Custom bars overview - Meridian

Time bars force every interval to have the same duration even when market activity changes. Meridian custom bars close when a measurable activity threshold is reached instead.

Available families

Bar type	Closes when
Dollar	Cumulative `price × quantity` reaches a quote-value threshold
Volume	Cumulative base-asset quantity reaches a volume threshold
Tick	A configured number of Binance aggTrade records has arrived
Imbalance	Absolute cumulative signed tick direction reaches an adaptive threshold

Current scope

Exchange: binance-futures
Product: BTCUSDT
Source: Binance Futures aggTrades
Algorithm: meridian_custom_bars_v2_continuous

Historical archives and the real-time tail use the same stateful bar processors. State checkpoints preserve incomplete bars and algorithm state across file, process, and day boundaries.

Why continuity matters

Restarting a bar at midnight or at every ZIP boundary changes the dataset. Meridian carries pending trades, cumulative thresholds, sequence numbers, and imbalance state forward so the historical and live series remain one continuous computation.

Query sequence

Call custom_bars_catalog to discover available types, thresholds, and ranges.
Select an exact threshold or threshold_key.
Call custom_bars with an explicit exchange, product, start, end, and limit.
Retain coverage and provenance with the rows.

Binance aggTrades consolidate executions under Binance’s aggregation rules. A Meridian tick bar counts aggTrade records, not an independently reconstructed count of every underlying matching-engine fill.

Custom bars are research data. Meridian does not attach trading signals, expected returns, order instructions, or strategy decisions to them.