Hi everyone,

I'm trying to figure out how to create an indicator that ingests, say, Price data at fine resolution, but emits digested data at a different, coarse resolution. Before you suggest sliding windows, the scenario I'm after is more along the lines of:

Use One-Minute price (or log-returns) to calculate intraday one-minute volatility and emit this intraday vol once a day, kinda "a Daily intra-day on-minute volatility". A naive example, but gives an idea; the aggregation period is set by calendar(say, daily or hourly, or weekly), but the input data is intra-period, more fine.

The Indicators/ doesn't seem to have a close enough template for me to get a clear idea how to do this.