Whoops, I forgot to address the elephant in the room:
Decentralized instruments will always have different tick volumes and/or volumes between exchanges. The SPX500 CFD is one of those instruments.
Next, I was unclear:
If the volume of M1 data is different to the volume of D1 data, how does someone convert the M1 volume to D1 colume when using BarPeriod = 1440 and M1 tick data?
Assuming data is coming from the same data vendor (and using the same metric, not confusing tick volume with actual volume), 1440 M1 data points should always add up to the equivalent D1 bar. A D1 has a DATE float value rounded down to the nearest integer to indicate which day.
Could this be a Zorro D1 volume retrieval bug?
