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Different Data Precision and Search Precision #19

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oldfishdk opened this issue Jan 11, 2023 · 1 comment
Open

Different Data Precision and Search Precision #19

oldfishdk opened this issue Jan 11, 2023 · 1 comment

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@oldfishdk
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Hi @philipperemy, I found this library very interesting but have a question. The code currently sets a limit on the precision which is 100us, but from what I read, I don't think it is necessary to apply the same restriction on the data as well? It seems to me that the precision is only used for search through the lag range and the covariance is estiamted using data with nanoseconds timestamp as index anyway. So is that possible to let the input data as is? This would be particularly useful when you want to iterate a bigger step and data resolution is much finer, say in nanoseconds.

@philipperemy
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@oldfishdk Thanks! I would it to look into it in more details but think it makes sense. Would you be able to make a quick PR for this?

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