How can I produce a stream of ticks from node A, each joined against the latest values from node B at that point?
For instance, A could tick every millisecond, whereas B changes daily or less. I would expect to return every tick from A, with each one annotated with the relevant B.
I’ve tried setting a very large tolerance() but that affects the output, i.e. tolerance(1d) only gives me bucketed daily outputs, not every tick from A.
Edit: In general I’m looking for ways to work with unevenly spaced (time-inhomogeneous) data, such as high-frequency financial time series, without losing precision.